def enterPositions(self, weights, execution_sleep=True):
print "----------------------MAKING TRADES ON IB---------------------------"
# Instantiate our callback object
callback = self.PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# account updates
tws.reqAccountUpdates(True, self.accountNumber)
sleep(1)
print "available funds: %s" % (self.availableFunds)
print "net liquidation value: %s" % (self.netLiquidationValue)
###DELAY UNTIL MARKET HOURS
if execution_sleep:
day_of_week = datetime.now().isoweekday()
# if weekday, and we scanned after midnight, set execution time to this morning at 10:30 am
time_now = datetime.now()
if (
day_of_week in range(1, 6)
and (time_now.hour >= 0 and time_now.hour < 10)
and (time_now.minute >= 0 and time_now.minute < 30)
):
execution_time = datetime(
year=time_now.year, month=time_now.month, day=time_now.day, hour=10, minute=30
)
# otherwise, set to next trading day, morning at 10:30am
else:
execution_time = datetime.now()
execution_time = execution_time + dt.timedelta(days=1)
while execution_time.isoweekday() > 5:
execution_time = execution_time + dt.timedelta(days=1)
execution_time = datetime(
year=execution_time.year, month=execution_time.month, day=execution_time.day, hour=10, minute=30
)
to_sleep = (execution_time - datetime.now()).total_seconds()
print "----------sleeping until execution time of %s---------------" % (execution_time)
# sleep until that time
sleep(to_sleep)
for stock in weights:
print ("\n=====================================================================")
print (" Trading " + stock)
print ("=====================================================================\n")
stock_price = Trader.get_quote([stock])[0][self.QUOTE_LAST]
print "%s last stock price: %s" % (stock, stock_price)
contract = Contract()
contract.symbol = stock
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
if self.orderId is None:
print ("Waiting for valid order id")
sleep(1)
while self.orderId is None:
print ("Still waiting for valid order id...")
sleep(1)
# Order details
order = Order()
order.action = "BUY"
# order.lmtPrice = 140
order.orderType = "MKT"
dollar_value = self.availableFunds * weights[stock]
order.totalQuantity = int(round(dollar_value / stock_price, 0))
# order.algoStrategy = "AD"
order.tif = "DAY"
# order.algoParams = algoParams
order.transmit = True
print (
"Placing order for %d %s's, dollar value $%s (id: %d)"
% (order.totalQuantity, contract.symbol, dollar_value, self.orderId)
)
# Place the order
tws.placeOrder(self.orderId, contract, order) # orderId, # contract, # order
print ("\n=====================================================================")
print (" Order placed, waiting for TWS responses")
print ("=====================================================================\n")
sleep(3)
# reset orderid for next
self.orderId = self.orderId + 1
print ("\n=====================================================================")
print (" Trade done.")
print ("=====================================================================\n")
print ("******************* Press ENTER to quit when done *******************\n")
input()
print ("\nDisconnecting...")
tws.eDisconnect()
class TradeManager(object):
def __init__(self):
self.accountNumber = ''
self.optionExpiry = '20121221' # This needs manual updating!
self.maxAskBidRatio = 1.25
self.maxAskLastPriceRatio = 1.02
self.maxOrderQueueLength = 3
# Create a file for TWS logging
self.twslog_fh = open('/home/mchan/git/Artemis/twslog.txt', 'a', 0)
self.twslog_fh.write("Session Started " +
str(datetime.datetime.now()) + "\n")
self.callback = ArtemisIBWrapperSilent.ArtemisIBWrapper()
self.tws = EPosixClientSocket(self.callback)
self.orderIdCount = 1 # This will be updated automatically
self.requestIdCount = 1
self.invested = False
self.maxLimitPriceFactor = 1.02 # No limit orders above 2% of current ask price
# Connect the socket
self.socketnum = 30
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
# Strategy Generic object, has methods for interpreting consensus out/under performance
self.Strat = strategy.Strategy()
# Queue for orders
self.orderQueue = []
# Setup DB connector
self.db = dbutil.db(h='127.0.0.1', schema='mchan')
# Query Cash Account Balance
self.updateBuyingPowerNextId()
def updateBuyingPowerNextId(self):
self.callback.myNextValidId = None
self.callback.buyingPower = None
self.tws.reqAccountUpdates(1, self.accountNumber)
while (self.callback.buyingPower is None
or self.callback.myNextValidId is None):
pass
self.buyingPower = float(self.callback.buyingPower)
self.orderIdCount = int(self.callback.myNextValidId)
print "Buying Power recognized: ", self.buyingPower, " Next valid id recognized: ", self.orderIdCount
self.tws.reqAccountUpdates(0, self.accountNumber)
def calcInvSize(self):
'''
Calculates proper investment size
'''
# We take the total size of the portfolio, cash plus stock, and we divide by four
# The reasoning is that we want to avoid the day pattern trader restriction
# Dividing our portfolio size by four ensures that we have enough capital
# to trade for the four trading opportunities that will happen until we can
# finally sell our positions
# This also allows for diversification
self.updateBuyingPowerNextId()
portfolioList = self.getPortfolio()
secMarketPositions = 0
for myContract, myPosition, myMarketValue in portfolioList:
secMarketPositions += myMarketValue
totalPortfolioSize = secMarketPositions + self.buyingPower
investmentSize = min(self.buyingPower, (totalPortfolioSize / 4.0))
print "CALCULATE INVESTMENT SIZE: ", str(investmentSize)
return investmentSize
def twsReconnect(self):
print "Reconnecting TWS"
self.twslog_fh.write("Reconnecting TWS" +
str(datetime.datetime.now()) + '\n')
self.tws.eDisconnect()
try:
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
except TWSError, e:
print e
print "Attempting to reconnect:"
for i in range(0, 5):
time.sleep(5)
print "Try ", i
try:
self.tws.eConnect("",
7496,
self.socketnum,
poll_interval=1)
break
except TWSError, e:
print e
class TradeManager(object):
def __init__(self):
self.accountNumber = ''
self.optionExpiry = '20121221' # This needs manual updating!
self.maxAskBidRatio = 1.25
self.maxAskLastPriceRatio = 1.02
self.maxOrderQueueLength = 3
# Create a file for TWS logging
self.twslog_fh = open('/home/mchan/git/Artemis/twslog.txt', 'a', 0)
self.twslog_fh.write("Session Started " + str(datetime.datetime.now()) + "\n")
self.callback = ArtemisIBWrapperSilent.ArtemisIBWrapper()
self.tws = EPosixClientSocket(self.callback)
self.orderIdCount = 1 # This will be updated automatically
self.requestIdCount = 1
self.invested = False
self.maxLimitPriceFactor = 1.02 # No limit orders above 2% of current ask price
# Connect the socket
self.socketnum = 30
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
# Strategy Generic object, has methods for interpreting consensus out/under performance
self.Strat = strategy.Strategy()
# Queue for orders
self.orderQueue = []
# Setup DB connector
self.db = dbutil.db(h='127.0.0.1', schema='mchan')
# Query Cash Account Balance
self.updateBuyingPowerNextId()
def updateBuyingPowerNextId(self):
self.callback.myNextValidId = None
self.callback.buyingPower = None
self.tws.reqAccountUpdates(1, self.accountNumber)
while (self.callback.buyingPower is None or self.callback.myNextValidId is None):
pass
self.buyingPower = float(self.callback.buyingPower)
self.orderIdCount = int(self.callback.myNextValidId)
print "Buying Power recognized: ", self.buyingPower, " Next valid id recognized: ", self.orderIdCount
self.tws.reqAccountUpdates(0, self.accountNumber)
def calcInvSize(self):
'''
Calculates proper investment size
'''
# We take the total size of the portfolio, cash plus stock, and we divide by four
# The reasoning is that we want to avoid the day pattern trader restriction
# Dividing our portfolio size by four ensures that we have enough capital
# to trade for the four trading opportunities that will happen until we can
# finally sell our positions
# This also allows for diversification
self.updateBuyingPowerNextId()
portfolioList = self.getPortfolio()
secMarketPositions = 0
for myContract, myPosition, myMarketValue in portfolioList:
secMarketPositions += myMarketValue
totalPortfolioSize = secMarketPositions + self.buyingPower
investmentSize = min(self.buyingPower, (totalPortfolioSize/4.0))
print "CALCULATE INVESTMENT SIZE: ", str(investmentSize)
return investmentSize
def twsReconnect(self):
print "Reconnecting TWS"
self.twslog_fh.write("Reconnecting TWS" + str(datetime.datetime.now()) + '\n')
self.tws.eDisconnect()
try:
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
except TWSError, e:
print e
print "Attempting to reconnect:"
for i in range(0,5):
time.sleep(5)
print "Try ", i
try:
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
break
except TWSError, e:
print e
order.clientId = 46 order.action = "SELL" order.totalQuantity = 78 # may have to calculate a smarter number order.orderType = "MKT" order.tif = "DAY" order.transmit = True order.sweepToFill = False order.outsideRth = True callback.accountEnd = False portfolioList = [] callback.portfolioContract = None callback.portfolioPosition = None tws.reqAccountUpdates(1, accountNumber) #while (not callback.accountEnd): # callback.portfolioContract = None # callback.portfolioPosition = None # max_wait = timedelta(seconds=6) + datetime.now() # while (callback.portfolioPosition is None or callback.portfolioContract is None): # if datetime.now() > max_wait: # break # if callback.portfolioPosition is not None and callback.portfolioContract is not None: # myContract = Contract() # myContract.exchange = "SMART" # myContract.currency = "USD" # myContract.symbol = callback.portfolioContractSymbol # myContract.conId = callback.portfolioContractConId # myContract.secType = callback.portfolioContractSecType # myContract.strike = callback.portfolioContractStrike
