def time_condition(is_more: bool, time: str, is_conjunction: bool = True):
time_condition = order_condition.Create(
order_condition.OrderCondition.Time)
time_condition.isMore = is_more
time_condition.time = time
time_condition.isConjunctionConnection = is_conjunction
return time_condition
def TimeCondition(time: str, isMore: bool, isConjunction: bool):
timeCondition = order_condition.Create(OrderCondition.Time)
# Before or after...
timeCondition.isMore = isMore
# this time..
timeCondition.time = time
# AND | OR next condition (will be ignored if no more conditions are added)
timeCondition.isConjunctionConnection = isConjunction
return timeCondition
def MarginCondition(percent: int, isMore: bool, isConjunction: bool):
marginCondition = order_condition.Create(OrderCondition.Margin)
# If margin is above/below
marginCondition.isMore = isMore
# given percent
marginCondition.percent = percent
# AND | OR next condition (will be ignored if no more conditions are added)
marginCondition.isConjunctionConnection = isConjunction
# ! [margin_condition]
return marginCondition
def change_to_ib_order(self, order: Order) -> IBOrder:
# 市价单和限价单直接提交
ib_order: IBOrder = IBOrder()
if isinstance(order, MKTOrder):
ib_order.orderType = "MKT"
ib_order.totalQuantity = order.quantity
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
# 设置自适应算法
ib_order.algoStrategy = 'Adaptive'
ib_order.algoParams = [TagValue("adaptivePriority", 'Urgent')]
elif isinstance(order, LimitOrder):
ib_order.orderType = "LMT"
ib_order.totalQuantity = order.quantity
# 价格调整到两位小数
ib_order.lmtPrice = round(order.limit_price, 2)
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
else:
# 穿越单和延迟单转化为IB的条件单
if isinstance(order, DelayMKTOrder):
ib_order.orderType = "MKT"
ib_order.totalQuantity = order.quantity
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
cond = order_condition.Create(OrderCondition.Time)
cond.isMore = True
time = (Timestamp.now(tz='Asia/Shanghai') + order.delay_time).strftime('%Y%m%d %H:%M:%S')
cond.time(time)
ib_order.conditions.append(cond)
elif isinstance(order, CrossMKTOrder):
ib_order.orderType = "MKT"
ib_order.totalQuantity = order.quantity
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
price_cond = order_condition.Create(OrderCondition.Price)
contract = self.cli.code_to_contract(order.code)
price_cond.conId = contract.conId
price_cond.price = round(order.cross_price, 2)
price_cond.isMore = True if order.cross_direction == CrossDirection.UP else False
price_cond.exchange = contract.exchange
price_cond.triggerMethod = PriceCondition.TriggerMethodEnum.Default
ib_order.conditions.append(price_cond)
return ib_order
def ExecutionCondition(symbol: str, secType: str, exchange: str,
isConjunction: bool):
execCondition = order_condition.Create(OrderCondition.Execution)
# When an execution on symbol
execCondition.symbol = symbol
# at exchange
execCondition.exchange = exchange
# for this secType
execCondition.secType = secType
# AND | OR next condition (will be ignored if no more conditions are added)
execCondition.isConjunctionConnection = isConjunction
return execCondition
def price_condition(self, trigger_method: int, con_id: int, exchange: str,
price: float, is_more: bool, is_conjunction: bool):
priceCondition = order_condition.Create(
order_condition.OrderCondition.Price)
priceCondition.conId = con_id
priceCondition.exchange = exchange
priceCondition.isMore = is_more
priceCondition.triggerMethod = trigger_method
priceCondition.price = price
priceCondition.isConjunctionConnection = is_conjunction
return priceCondition
def decodeConditions(self, fields):
if self.serverVersion >= MIN_SERVER_VER_PEGGED_TO_BENCHMARK:
conditionsSize = decode(int, fields)
if conditionsSize > 0:
self.order.conditions = []
for _ in range(conditionsSize):
conditionType = decode(int, fields)
condition = order_condition.Create(conditionType)
condition.decode(fields)
self.order.conditions.append(condition)
self.order.conditionsIgnoreRth = decode(bool, fields)
self.order.conditionsCancelOrder = decode(bool, fields)
def get_ib_order(self, order: Order) -> IBOrder:
# 市价单和限价单直接提交
ib_order: IBOrder = IBOrder()
if order.order_type == OrderType.MKT:
ib_order.orderType = "MKT"
ib_order.totalQuantity = order.quantity
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
elif order.order_type == OrderType.LIMIT:
ib_order.orderType = "LMT"
ib_order.totalQuantity = order.quantity
ib_order.lmtPrice = order.limit_price
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
else:
# 穿越单和延迟单转化为IB的条件单
if order.order_type == OrderType.DELAY_MKT:
ib_order.orderType = "MKT"
ib_order.totalQuantity = order.quantity
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
cond = order_condition.Create(OrderCondition.Time)
cond.isMore = True
time = (Timestamp.now(tz='Asia/Shanghai') + order.delay_time).strftime('%Y%m%d %H:%M:%S')
cond.time(time)
ib_order.conditions.append(cond)
elif order.order_type == OrderType.CROSS_MKT:
ib_order.orderType = "MKT"
ib_order.totalQuantity = order.quantity
ib_order.action = 'BUY' if order.direction == OrderDirection.BUY else 'SELL'
price_cond = order_condition.Create(OrderCondition.Price)
contract = self.get_contract(order.code)
price_cond.conId = contract.conId
price_cond.price = order.cross_price
price_cond.isMore = True if order.cross_direction == CrossDirection.UP else False
price_cond.exchange = contract.exchange
price_cond.triggerMethod = PriceCondition.TriggerMethodEnum.Default
ib_order.conditions.append(price_cond)
return ib_order
def VolumeCondition(conId: int, exchange: str, isMore: bool, volume: int,
isConjunction: bool):
volCond = order_condition.Create(OrderCondition.Volume)
# Whenever contract...
volCond.conId = conId
# When traded at
volCond.exchange = exchange
# reaches a volume higher/lower
volCond.isMore = isMore
# than this...
volCond.volume = volume
# AND | OR next condition (will be ignored if no more conditions are added)
volCond.isConjunctionConnection = isConjunction
return volCond
def PercentageChangeCondition(pctChange: float, conId: int, exchange: str,
isMore: bool, isConjunction: bool):
pctChangeCondition = order_condition.Create(
OrderCondition.PercentChange)
# If there is a price percent change measured against last close price above or below...
pctChangeCondition.isMore = isMore
# this amount...
pctChangeCondition.changePercent = pctChange
# on this contract
pctChangeCondition.conId = conId
# when traded on this exchange...
pctChangeCondition.exchange = exchange
# AND | OR next condition (will be ignored if no more conditions are added)
pctChangeCondition.isConjunctionConnection = isConjunction
# ! [percentage_condition]
return pctChangeCondition
def PriceCondition(triggerMethod: int, conId: int, exchange: str,
price: float, isMore: bool, isConjunction: bool):
# Conditions have to be created via the OrderCondition.create
priceCondition = order_condition.Create(OrderCondition.Price)
# When this contract...
priceCondition.conId = conId
# traded on this exchange
priceCondition.exchange = exchange
# has a price above/below
priceCondition.isMore = isMore
priceCondition.triggerMethod = triggerMethod
# this quantity
priceCondition.price = price
# AND | OR next condition (will be ignored if no more conditions are added)
priceCondition.isConjunctionConnection = isConjunction
return priceCondition
def wrapper_price_update(self, set_price):
"""
Updates the prices of the order structure
:param set_price:
:return:
"""
# TODO Add time conditioned close. time in format 20181126 09:40:32 EET
# Market orders don't work outside RTH?
t = datetime.datetime.now() + timedelta(seconds=self.kill_time)
time_condition = order_condition.Create(
order_condition.OrderCondition.Time)
time_condition.isMore = True
time_condition.time = t.strftime("%y%m%d %H:%M:%S %Z")
self.logger.log("Setting order structure around price " +
str(set_price))
self.set_price = set_price
self.long_entry.lmtPrice = set_price + self.entry_spread
self.long_entry.auxPrice = set_price + self.entry_spread
self.long_tgt.auxPrice = set_price + self.tgt_spread
# self.long_trail.trailStopPrice = set_price - self.trail_spread
# self.long_trail.lmtPriceOffset = self.trail_spread
self.long_trail.auxPrice = self.trail_spread # Trailing amount
# self.long_time.conditionsCancelOrder = True
self.long_time.conditions.clear()
self.long_time.conditions.append(time_condition)
self.short_entry.lmtPrice = set_price - self.entry_spread
self.short_entry.auxPrice = set_price - self.entry_spread
self.short_tgt.auxPrice = set_price - self.tgt_spread
# self.short_trail.trailStopPrice = set_price + self.trail_spread
# self.short_trail.lmtPriceOffset = self.trail_spread
self.short_trail.auxPrice = self.trail_spread # Trailing amount
# self.short_time.conditionsCancelOrder = True
self.short_time.conditions.clear()
self.short_time.conditions.append(time_condition)
def processOpenOrder(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
order = Order()
order.orderId = decode(int, fields)
contract = Contract()
contract.conId = decode(int, fields) # ver 17 field
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
if version >= 32:
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields) # ver 2 field
if version >= 32:
contract.tradingClass = decode(str, fields)
# read order fields
order.action = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
order.totalQuantity = decode(float, fields)
else:
order.totalQuantity = decode(int, fields)
order.orderType = decode(str, fields)
if version < 29:
order.lmtPrice = decode(float, fields)
else:
order.lmtPrice = decode(float, fields, SHOW_UNSET)
if version < 30:
order.auxPrice = decode(float, fields)
else:
order.auxPrice = decode(float, fields, SHOW_UNSET)
order.tif = decode(str, fields)
order.ocaGroup = decode(str, fields)
order.account = decode(str, fields)
order.openClose = decode(str, fields)
order.origin = decode(int, fields)
order.orderRef = decode(str, fields)
order.clientId = decode(int, fields) # ver 3 field
order.permId = decode(int, fields) # ver 4 field
order.outsideRth = decode(bool, fields) # ver 18 field
order.hidden = decode(bool, fields) # ver 4 field
order.discretionaryAmt = decode(float, fields) # ver 4 field
order.goodAfterTime = decode(str, fields) # ver 5 field
order.sharesAllocation = decode(str, fields) # deprecated ver 6 field
order.faGroup = decode(str, fields) # ver 7 field
order.faMethod = decode(str, fields) # ver 7 field
order.faPercentage = decode(str, fields) # ver 7 field
order.faProfile = decode(str, fields) # ver 7 field
if self.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT:
order.modelCode = decode(str, fields)
order.goodTillDate = decode(str, fields) # ver 8 field
order.rule80A = decode(str, fields) # ver 9 field
order.percentOffset = decode(float, fields, SHOW_UNSET) # ver 9 field
order.settlingFirm = decode(str, fields) # ver 9 field
order.shortSaleSlot = decode(int, fields) # ver 9 field
order.designatedLocation = decode(str, fields) # ver 9 field
if self.serverVersion == MIN_SERVER_VER_SSHORTX_OLD:
exemptCode = decode(int, fields)
elif version >= 23:
order.exemptCode = decode(int, fields)
order.auctionStrategy = decode(int, fields) # ver 9 field
order.startingPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRefPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.delta = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeLower = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeUpper = decode(float, fields, SHOW_UNSET) # ver 9 field
order.displaySize = decode(int, fields) # ver 9 field
#if( version < 18) {
# # will never happen
# /* order.rthOnly = */ readBoolFromInt()
#}
order.blockOrder = decode(bool, fields) # ver 9 field
order.sweepToFill = decode(bool, fields) # ver 9 field
order.allOrNone = decode(bool, fields) # ver 9 field
order.minQty = decode(int, fields, SHOW_UNSET) # ver 9 field
order.ocaType = decode(int, fields) # ver 9 field
order.eTradeOnly = decode(bool, fields) # ver 9 field
order.firmQuoteOnly = decode(bool, fields) # ver 9 field
order.nbboPriceCap = decode(float, fields, SHOW_UNSET) # ver 9 field
order.parentId = decode(int, fields) # ver 10 field
order.triggerMethod = decode(int, fields) # ver 10 field
order.volatility = decode(float, fields, SHOW_UNSET) # ver 11 field
order.volatilityType = decode(int, fields) # ver 11 field
order.deltaNeutralOrderType = decode(str, fields) # ver 11 field (had a hack for ver 11)
order.deltaNeutralAuxPrice = decode(float, fields, SHOW_UNSET) # ver 12 field
if version >= 27 and order.deltaNeutralOrderType:
order.deltaNeutralConId = decode(int, fields)
order.deltaNeutralSettlingFirm = decode(str, fields)
order.deltaNeutralClearingAccount = decode(str, fields)
order.deltaNeutralClearingIntent = decode(str, fields)
if version >= 31 and order.deltaNeutralOrderType:
order.deltaNeutralOpenClose = decode(str, fields)
order.deltaNeutralShortSale = decode(bool, fields)
order.deltaNeutralShortSaleSlot = decode(int, fields)
order.deltaNeutralDesignatedLocation = decode(str, fields)
order.continuousUpdate = decode(bool, fields) # ver 11 field
# will never happen
#if( self.serverVersion == 26) {
# order.stockRangeLower = readDouble()
# order.stockRangeUpper = readDouble()
#}
order.referencePriceType = decode(int, fields) # ver 11 field
order.trailStopPrice = decode(float, fields, SHOW_UNSET) # ver 13 field
if version >= 30:
order.trailingPercent = decode(float, fields, SHOW_UNSET)
order.basisPoints = decode(float, fields, SHOW_UNSET) # ver 14 field
order.basisPointsType = decode(int, fields, SHOW_UNSET) # ver 14 field
contract.comboLegsDescrip = decode(str, fields) # ver 14 field
if version >= 29:
contract.comboLegsCount = decode(int, fields)
if contract.comboLegsCount > 0:
contract.comboLegs = []
for idxLeg in range(contract.comboLegsCount):
comboLeg = ComboLeg()
comboLeg.conId = decode(int, fields)
comboLeg.ratio = decode(int, fields)
comboLeg.action = decode(str, fields)
comboLeg.exchange = decode(str, fields)
comboLeg.openClose = decode(int, fields)
comboLeg.shortSaleSlot = decode(int, fields)
comboLeg.designatedLocation = decode(str, fields)
comboLeg.exemptCode = decode(int, fields)
contract.comboLegs.append(comboLeg)
order.orderComboLegsCount = decode(int, fields)
if order.orderComboLegsCount > 0:
order.orderComboLegs = []
for idxOrdLeg in range(order.orderComboLegsCount):
orderComboLeg = OrderComboLeg()
orderComboLeg.price = decode(float, fields, SHOW_UNSET)
order.orderComboLegs.append(orderComboLeg)
if version >= 26:
order.smartComboRoutingParamsCount = decode(int, fields)
if order.smartComboRoutingParamsCount > 0:
order.smartComboRoutingParams = []
for idxPrm in range(order.smartComboRoutingParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.smartComboRoutingParams.append(tagValue)
if version >= 20:
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET)
order.scaleSubsLevelSize = decode(int, fields, SHOW_UNSET)
else:
# ver 15 fields
order.notSuppScaleNumComponents = decode(int, fields, SHOW_UNSET)
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET) # scaleComponectSize
order.scalePriceIncrement = decode(float, fields, SHOW_UNSET) # ver 15 field
if version >= 28 and order.scalePriceIncrement != UNSET_DOUBLE \
and order.scalePriceIncrement > 0.0:
order.scalePriceAdjustValue = decode(float, fields, SHOW_UNSET)
order.scalePriceAdjustInterval = decode(int, fields, SHOW_UNSET)
order.scaleProfitOffset = decode(float, fields, SHOW_UNSET)
order.scaleAutoReset = decode(bool, fields)
order.scaleInitPosition = decode(int, fields, SHOW_UNSET)
order.scaleInitFillQty = decode(int, fields, SHOW_UNSET)
order.scaleRandomPercent = decode(bool, fields)
if version >= 24:
order.hedgeType = decode(str, fields)
if order.hedgeType:
order.hedgeParam = decode(str, fields)
if version >= 25:
order.optOutSmartRouting = decode(bool, fields)
order.clearingAccount = decode(str, fields) # ver 19 field
order.clearingIntent = decode(str, fields) # ver 19 field
if version >= 22:
order.notHeld = decode(bool, fields)
if version >= 20:
contract.underCompPresent = decode(bool, fields)
if contract.underCompPresent:
contract.underComp = UnderComp()
contract.underComp.conId = decode(int, fields)
contract.underComp.delta = decode(float, fields)
contract.underComp.price = decode(float, fields)
if version >= 21:
order.algoStrategy = decode(str, fields)
if order.algoStrategy:
order.algoParamsCount = decode(int, fields)
if order.algoParamsCount > 0:
order.algoParams = []
for idxAlgoPrm in range(order.algoParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.algoParams.append(tagValue)
if version >= 33:
order.solicited = decode(bool, fields)
orderState = OrderState()
order.whatIf = decode(bool, fields) # ver 16 field
orderState.status = decode(str, fields) # ver 16 field
orderState.initMargin = decode(str, fields) # ver 16 field
orderState.maintMargin = decode(str, fields) # ver 16 field
orderState.equityWithLoan = decode(str, fields) # ver 16 field
orderState.commission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.minCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.maxCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.commissionCurrency = decode(str, fields) # ver 16 field
orderState.warningText = decode(str, fields) # ver 16 field
if version >= 34:
order.randomizeSize = decode(bool, fields)
order.randomizePrice = decode(bool, fields)
if self.serverVersion >= MIN_SERVER_VER_PEGGED_TO_BENCHMARK:
if order.orderType == "PEG BENCH":
order.referenceContractId = decode(int, fields)
order.isPeggedChangeAmountDecrease = decode(bool, fields)
order.peggedChangeAmount = decode(float, fields)
order.referenceChangeAmount = decode(float, fields)
order.referenceExchangeId = decode(str, fields)
order.conditionsSize = decode(int, fields)
if order.conditionsSize > 0:
order.conditions = []
for idxCond in range(order.conditionsSize):
order.conditionType = decode(int, fields)
condition = order_condition.Create(order.conditionType)
condition.decode(fields)
order.conditions.append(condition)
order.conditionsIgnoreRth = decode(bool, fields)
order.conditionsCancelOrder = decode(bool, fields)
order.adjustedOrderType = decode(str, fields)
order.triggerPrice = decode(float, fields)
order.trailStopPrice = decode(float, fields)
order.lmtPriceOffset = decode(float, fields)
order.adjustedStopPrice = decode(float, fields)
order.adjustedStopLimitPrice = decode(float, fields)
order.adjustedTrailingAmount = decode(float, fields)
order.adjustableTrailingUnit = decode(int, fields)
if self.serverVersion >= MIN_SERVER_VER_SOFT_DOLLAR_TIER:
name = decode(str, fields)
value = decode(str, fields)
displayName = decode(str, fields)
order.softDollarTier = SoftDollarTier(name, value, displayName)
self.wrapper.openOrder(order.orderId, contract, order, orderState)
resolved_ibcontract = app.resolve_ib_contract(ibcontract)
print(resolved_ibcontract)
conContract = IBcontract()
conContract.symbol = "SPY"
conContract.secType = "STK"
#conContract.exchange = "SMART"
conContract.exchange = "BATS"
resolved_conContract = app.resolve_ib_contract(conContract)
print(resolved_conContract)
print(resolved_conContract.conId)
#Conditions have to be created via the OrderCondition.create
priceCondition = order_condition.Create(OrderCondition.Price)
priceCondition.conId = resolved_conContract.conId
#has a price above/below
priceCondition.isMore = True
priceCondition.triggerMethod = PriceCondition.TriggerMethodEnum.Last
priceCondition.price = 150
order = Order()
order.action = "BUY"
order.orderType = "LMT"
order.totalQuantity = 1
order.lmtPrice = 17
order.conditionsCancelOrder = True
#order.conditions.append(priceCondition)
order.conditions.append(priceCondition)
#order.conditions = priceCondition