async def get_cont_fute(
self,
symbol: str,
exchange: str,
) -> Contract:
"""Get an unqualifed contract for the current "continous" future.
"""
contcon = ibis.ContFuture(symbol, exchange=exchange)
frontcon = (await self.ib.qualifyContractsAsync(contcon))[0]
return ibis.Future(conId=frontcon.conId)
def _futuresContract(future: Future) -> IB.Contract:
lastTradeDate = future.expiration.strftime("%Y%m%d")
return IB.Future(
symbol=future.symbol,
exchange=future.exchange or "",
currency=future.currency.name,
multiplier=str(future.multiplier),
lastTradeDateOrContractMonth=lastTradeDate,
)
import ib_insync
import datetime
ib = ib_insync.IB()
ib.connect()
futures = [ ib_insync.Future("ES", "CFE", localSymbol=s) for s in ["ESU8","ESZ8"]]
last_lengths = {}
def onBarUpdate(bars, hasNewBar):
if hasNewBar:
print("New bar for", bars.contract.localSymbol)
ib.qualifyContracts(*futures)
for f in futures:
print(f)
if 0:
bars = ib.reqHistoricalData(
f,
endDateTime='',
durationStr='900 S',
barSizeSetting='5 secs',
whatToShow='bid',
useRTH=True,
formatDate=1,
keepUpToDate=True)
bars = ib.reqRealTimeBars(f, 5, "TRADES", False)
last_lengths[f.localSymbol] = 0
ib.barUpdateEvent += onBarUpdate