class IBBroker(Broker):
cid = 0 # connection id
oid = 0 # order id
tid = 0 # tick id (for fetching quotes)
tws = None # Trader WorkStation
wrapper = None # instance of EWrapper
sid_to_tid = {} # map of security id to tick id
def __init__(self, wrapper=None):
Broker.__init__(self)
# initialize a default wrapper
if wrapper:
self.wrapper = wrapper
else:
self.wrapper = WrapperDefault()
# initialize the wrapper's portfolio object
self.wrapper.portfolio = IBPortfolio()
# get next order id
def get_next_oid(self):
IBBroker.oid += 1
return IBBroker.oid
# get next connection id
def get_next_cid(self):
IBBroker.cid += 1
return IBBroker.cid
# get next tick request id (for getting quotes)
def get_next_tid(self):
self.tid += 1
return self.tid
# connect to TWS
def connect(self, port=7496):
if self.is_connected():
self.disconnect()
cid = self.get_next_cid()
self.tws = EPosixClientSocket(self.wrapper)
self.tws.eConnect('', port, cid)
# disconnect from TWS
def disconnect(self):
self.tws.eDisconnect()
# check if TWS is connected
def is_connected(self):
if self.tws is None:
return False
return self.tws.isConnected()
# Convert Zipline order signs into IB action strings
def order_action(self, iSign):
if iSign > 0:
return 'BUY'
elif iSign < 0:
return 'SELL'
raise Exception('Order of zero shares has no IB side: %i' % iSign)
# get an IB contract by ticker
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
# get a default IB market order
def get_market_order(self, sid, amt):
order = Order();
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'MKT'
order.tif = 'DAY'
order.outsideRth = False
return order
# get a default IB limit order
def get_limit_order(self, sid, amt, lmtPrice):
order = Order();
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'LMT'
order.tif = 'DAY'
order.outsideRth = False
order.lmtPrice = lmtPrice
return order
# send the IB (contract, order) order to TWS
def place_order(self, contract, order):
oid = self.get_next_oid()
self.tws.placeOrder(oid, contract, order)
return oid
# send order with Zipline style order arguments
# <TODO> stop_price is not implemented
def order(self, sid, amt, limit_price=None, stop_price=None):
contract = self.get_contract_by_sid(sid)
amt = int(amt)
if limit_price is None:
order = self.get_market_order(sid, amt)
else:
order = self.get_limit_order(sid, amt, limit_price)
return self.place_order(contract, order)
# subscribe to market data ticks
def subscribe(self, sid):
tid = self.get_next_tid()
self.sid_to_tid[sid] = tid
contract = self.get_contract_by_sid(sid)
self.tws.reqMktData(tid, contract, '', False)
return tid
# subscribe to market data ticks for a list of tickers
def subscribe_list(self, tickers):
for tkr in tickers:
self.subscribe(tkr)
# cancel a market data subscription
def unsubscribe(self, sid):
if sid not in self.sid_to_tid.keys():
return
tid = self.sid_to_tid[sid]
self.tws.cancelMktData(tid)
# cancel all market data subscriptions
def unsubscribe_all(self):
sids = self.sid_to_tid.keys()
for sid in sids:
self.unsubscribe(sid)
# fetch a quote by ticker id tid
def get_quote_by_tid(self, tid):
return self.wrapper.tid_to_price[tid]
# fetch a quote by ticker sid
def get_quote(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return (None, None)
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
price = None
else:
price = self.wrapper.tid_to_price[tid]
if tid not in self.wrapper.tid_to_size:
size = None
else:
size = self.wrapper.tid_to_size[tid]
return (price, size)
# fetch a price by ticker sid
def get_price(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return None
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
return None
else:
price_dict = self.wrapper.tid_to_price[tid]
if 'price' in price_dict:
return price_dict['price']
return None
# get a Pandas DataFrame of current positions
def get_positions_frame(self):
ib_dict = {}
for sid, position in self.wrapper.portfolio.sid_to_position.iteritems():
# <TODO> don't use vars here
#ib_dict[sid] = vars(position)
ib_dict[sid] = {'marketValue': position.marketValue,
'realizedPNL': position.realizedPNL,
'marketPrice': position.marketPrice,
'unrealizedPNL': position.unrealizedPNL,
'accountName': position.accountName,
'averageCost': position.averageCost,
'sid': position.sid,
'position': position.position}
return pd.DataFrame.from_dict(ib_dict, orient='index')
class IBBroker(Broker):
cid = 0 # connection id
oid = 0 # order id
tid = 0 # tick id (for fetching quotes)
tws = None # Trader WorkStation
wrapper = None # instance of EWrapper
sid_to_tid = {} # map of security id to tick id
def __init__(self, wrapper=None):
Broker.__init__(self)
# initialize a default wrapper
if wrapper:
self.wrapper = wrapper
else:
self.wrapper = WrapperDefault()
# initialize the wrapper's portfolio object
self.wrapper.portfolio = IBPortfolio()
# get next order id
def get_next_oid(self):
IBBroker.oid += 1
return IBBroker.oid
# get next connection id
def get_next_cid(self):
IBBroker.cid += 1
return IBBroker.cid
# get next tick request id (for getting quotes)
def get_next_tid(self):
self.tid += 1
return self.tid
# connect to TWS
def connect(self, port=7496):
if self.is_connected():
self.disconnect()
cid = self.get_next_cid()
self.tws = EPosixClientSocket(self.wrapper)
self.tws.eConnect('', port, cid)
# disconnect from TWS
def disconnect(self):
self.tws.eDisconnect()
# check if TWS is connected
def is_connected(self):
if self.tws is None:
return False
return self.tws.isConnected()
# Convert Zipline order signs into IB action strings
def order_action(self, iSign):
if iSign > 0:
return 'BUY'
elif iSign < 0:
return 'SELL'
raise Exception('Order of zero shares has no IB side: %i' % iSign)
# get an IB contract by ticker
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
# get a default IB market order
def get_market_order(self, sid, amt):
order = Order()
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'MKT'
order.tif = 'DAY'
order.outsideRth = False
return order
# get a default IB limit order
def get_limit_order(self, sid, amt, lmtPrice):
order = Order()
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'LMT'
order.tif = 'DAY'
order.outsideRth = False
order.lmtPrice = lmtPrice
return order
# send the IB (contract, order) order to TWS
def place_order(self, contract, order):
oid = self.get_next_oid()
self.tws.placeOrder(oid, contract, order)
return oid
# send order with Zipline style order arguments
# <TODO> stop_price is not implemented
def order(self, sid, amt, limit_price=None, stop_price=None):
contract = self.get_contract_by_sid(sid)
amt = int(amt)
if limit_price is None:
order = self.get_market_order(sid, amt)
else:
order = self.get_limit_order(sid, amt, limit_price)
return self.place_order(contract, order)
# subscribe to market data ticks
def subscribe(self, sid):
tid = self.get_next_tid()
self.sid_to_tid[sid] = tid
contract = self.get_contract_by_sid(sid)
self.tws.reqMktData(tid, contract, '', False)
return tid
# subscribe to market data ticks for a list of tickers
def subscribe_list(self, tickers):
for tkr in tickers:
self.subscribe(tkr)
# cancel a market data subscription
def unsubscribe(self, sid):
if sid not in self.sid_to_tid.keys():
return
tid = self.sid_to_tid[sid]
self.tws.cancelMktData(tid)
# cancel all market data subscriptions
def unsubscribe_all(self):
sids = self.sid_to_tid.keys()
for sid in sids:
self.unsubscribe(sid)
# fetch a quote by ticker id tid
def get_quote_by_tid(self, tid):
return self.wrapper.tid_to_price[tid]
# fetch a quote by ticker sid
def get_quote(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return (None, None)
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
price = None
else:
price = self.wrapper.tid_to_price[tid]
if tid not in self.wrapper.tid_to_size:
size = None
else:
size = self.wrapper.tid_to_size[tid]
return (price, size)
# fetch a price by ticker sid
def get_price(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return None
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
return None
else:
price_dict = self.wrapper.tid_to_price[tid]
if 'price' in price_dict:
return price_dict['price']
return None
# get a Pandas DataFrame of current positions
def get_positions_frame(self):
ib_dict = {}
for sid, position in self.wrapper.portfolio.sid_to_position.iteritems(
):
# <TODO> don't use vars here
#ib_dict[sid] = vars(position)
ib_dict[sid] = {
'marketValue': position.marketValue,
'realizedPNL': position.realizedPNL,
'marketPrice': position.marketPrice,
'unrealizedPNL': position.unrealizedPNL,
'accountName': position.accountName,
'averageCost': position.averageCost,
'sid': position.sid,
'position': position.position
}
return pd.DataFrame.from_dict(ib_dict, orient='index')
