# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
today = datetime.today()
print("Requesting contract details...")
# Perform the request
tws.reqContractDetails(
42, # reqId,
contract, # contract,
)
print("\n=====================================================================")
print(" Contract details requested, waiting for TWS responses")
print("=====================================================================\n")
print("******************* Press ENTER to quit when done *******************\n")
input()
print("\nDisconnecting...")
tws.eDisconnect()
# generate clientid based on time of day so that we won't likely get duplicate clientids
timenow = datetime.utcnow().time()
clientid = timenow.hour * 60 * 60 + timenow.minute * 60 + timenow.second
tws.eConnect("", 7496, clientid)
api_started.wait(10)
if tws.exited:
sys.exit(2)
logging.info("API functional, getting started...")
logging.info("Requesting contract details...")
tws.reqContractDetails(0, contract)
contract_details_received.wait(5)
if not prev_session_end and not next_session_end:
logging.info("Failed to retrieve contract details. Aborting...")
sys.exit(ExitCode.error_can_continue)
logging.info("Contract details received.")
# historical data is requested and received in local timezone
now = datetime.now()
local_tz = tzlocal.get_localzone()
now = local_tz.localize(now)
if args.e == "now":
if not next_session_start:
if args.rth:
class SwigIBClientForInstrument(EWrapper):
'''Callback object passed to TWS, these functions will be called directly
by TWS.
'''
def __init__(self, port=4001, client_id=12):
super(SwigIBClientForInstrument, self).__init__()
self.tws = EPosixClientSocket(self)
self.port = port
self.client_id = client_id
self.got_history = Event()
self.got_contract = Event()
self.got_err = Event()
self.order_filled = Event()
self.order_ids = Queue()
def execDetails(self, id, contract, execution):
pass
def managedAccounts(self, openOrderEnd):
pass
### Order
def nextValidId(self, validOrderId):
'''Capture the next order id'''
self.order_ids.put(validOrderId)
def request_contract_details(self, contract):
today = datetime.today()
print("Requesting contract details...")
# Perform the request
self.tws.reqContractDetails(
43, # reqId,
contract, # contract,
)
print("\n====================================================================")
print(" Contract details requested, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
try:
self.got_contract.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.got_contract.is_set():
print('Failed to get contract within %d seconds' % WAIT_TIME)
def contractDetails(self, reqId, contractDetails):
print("Contract details received (request id %i):" % reqId)
print("callable: %s" % contractDetails.callable)
print("category: %s" % contractDetails.category)
print("contractMonth: %s" % contractDetails.contractMonth)
print("convertible: %s" % contractDetails.convertible)
print("coupon: %s" % contractDetails.coupon)
print("industry: %s" % contractDetails.industry)
print("liquidHours: %s" % contractDetails.liquidHours)
print("longName: %s" % contractDetails.longName)
print("marketName: %s" % contractDetails.marketName)
print("minTick: %s" % contractDetails.minTick)
print("nextOptionPartial: %s" % contractDetails.nextOptionPartial)
print("orderTypes: %s" % contractDetails.orderTypes)
print("priceMagnifier: %s" % contractDetails.priceMagnifier)
print("putable: %s" % contractDetails.putable)
if contractDetails.secIdList is not None:
for secId in contractDetails.secIdList:
print("secIdList: %s" % secId)
else:
print("secIdList: None")
print("subcategory: %s" % contractDetails.subcategory)
print("tradingHours: %s" % contractDetails.tradingHours)
print("timeZoneId: %s" % contractDetails.timeZoneId)
print("underConId: %s" % contractDetails.underConId)
print("evRule: %s" % contractDetails.evRule)
print("evMultiplier: %s" % contractDetails.evMultiplier)
contract = contractDetails.summary
print("\nContract Summary:")
print("exchange: %s" % contract.exchange)
print("symbol: %s" % contract.symbol)
print("secType: %s" % contract.secType)
print("currency: %s" % contract.currency)
print("tradingClass: %s" % contract.tradingClass)
if contract.comboLegs is not None:
for comboLeg in contract.comboLegs:
print("comboLegs: %s - %s" %
(comboLeg.action, comboLeg.exchange))
else:
print("comboLegs: None")
# inst_id = seq_mgr.get_next_sequence("instruments")
print("\nBond Values:")
print("bondType: %s" % contractDetails.bondType)
print("couponType: %s" % contractDetails.couponType)
print("cusip: %s" % contractDetails.cusip)
print("descAppend: %s" % contractDetails.descAppend)
print("issueDate: %s" % contractDetails.issueDate)
print("maturity: %s" % contractDetails.maturity)
print("nextOptionDate: %s" % contractDetails.nextOptionDate)
print("nextOptionType: %s" % contractDetails.nextOptionType)
print("notes: %s" % contractDetails.notes)
print("ratings: %s" % contractDetails.ratings)
print("validExchanges: %s" % contractDetails.validExchanges)
self.got_contract.set()
# 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)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % contract.symbol
# Perform the request
tws.reqContractDetails(42, contract) # reqId, # contract,
print "\n====================================================================="
print " Contract details requested, waiting for TWS responses"
print "=====================================================================\n"
print "******************* Press ENTER to quit when done *******************\n"
raw_input()
print "\nDisconnecting..."
tws.eDisconnect()
# generate clientid based on time of day so that we won't likely get duplicate clientids
timenow = datetime.utcnow().time()
clientid = timenow.hour * 60 * 60 + timenow.minute * 60 + timenow.second
tws.eConnect("", 7496, clientid)
api_started.wait(10)
if tws.exited:
sys.exit(2)
logging.info("API functional, getting started...")
logging.info("Requesting contract details...")
tws.reqContractDetails(0, contract)
contract_details_received.wait(5)
if not prev_session_end and not next_session_end:
logging.info("Failed to retrieve contract details. Aborting...")
sys.exit(ExitCode.error_can_continue)
logging.info("Contract details received.")
# historical data is requested and received in local timezone
now = datetime.now()
local_tz = tzlocal.get_localzone()
now = local_tz.localize(now)
if args.e == "now":
if not next_session_start:
if args.rth:
class SwigIBClientForInstrument(EWrapper):
'''Callback object passed to TWS, these functions will be called directly
by TWS.
'''
def __init__(self, port=4001, client_id=12):
super(SwigIBClientForInstrument, self).__init__()
self.tws = EPosixClientSocket(self)
self.port = port
self.client_id = client_id
self.got_history = Event()
self.got_contract = Event()
self.got_err = Event()
self.order_filled = Event()
self.order_ids = Queue()
def execDetails(self, id, contract, execution):
pass
def managedAccounts(self, openOrderEnd):
pass
### Order
def nextValidId(self, validOrderId):
'''Capture the next order id'''
self.order_ids.put(validOrderId)
def request_contract_details(self, contract):
today = datetime.today()
print("Requesting contract details...")
# Perform the request
self.tws.reqContractDetails(
43, # reqId,
contract, # contract,
)
print(
"\n===================================================================="
)
print(" Contract details requested, waiting %ds for TWS responses" %
WAIT_TIME)
print(
"====================================================================\n"
)
try:
self.got_contract.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.got_contract.is_set():
print('Failed to get contract within %d seconds' % WAIT_TIME)
def contractDetails(self, reqId, contractDetails):
print("Contract details received (request id %i):" % reqId)
print("callable: %s" % contractDetails.callable)
print("category: %s" % contractDetails.category)
print("contractMonth: %s" % contractDetails.contractMonth)
print("convertible: %s" % contractDetails.convertible)
print("coupon: %s" % contractDetails.coupon)
print("industry: %s" % contractDetails.industry)
print("liquidHours: %s" % contractDetails.liquidHours)
print("longName: %s" % contractDetails.longName)
print("marketName: %s" % contractDetails.marketName)
print("minTick: %s" % contractDetails.minTick)
print("nextOptionPartial: %s" % contractDetails.nextOptionPartial)
print("orderTypes: %s" % contractDetails.orderTypes)
print("priceMagnifier: %s" % contractDetails.priceMagnifier)
print("putable: %s" % contractDetails.putable)
if contractDetails.secIdList is not None:
for secId in contractDetails.secIdList:
print("secIdList: %s" % secId)
else:
print("secIdList: None")
print("subcategory: %s" % contractDetails.subcategory)
print("tradingHours: %s" % contractDetails.tradingHours)
print("timeZoneId: %s" % contractDetails.timeZoneId)
print("underConId: %s" % contractDetails.underConId)
print("evRule: %s" % contractDetails.evRule)
print("evMultiplier: %s" % contractDetails.evMultiplier)
contract = contractDetails.summary
print("\nContract Summary:")
print("exchange: %s" % contract.exchange)
print("symbol: %s" % contract.symbol)
print("secType: %s" % contract.secType)
print("currency: %s" % contract.currency)
print("tradingClass: %s" % contract.tradingClass)
if contract.comboLegs is not None:
for comboLeg in contract.comboLegs:
print("comboLegs: %s - %s" %
(comboLeg.action, comboLeg.exchange))
else:
print("comboLegs: None")
# inst_id = seq_mgr.get_next_sequence("instruments")
print("\nBond Values:")
print("bondType: %s" % contractDetails.bondType)
print("couponType: %s" % contractDetails.couponType)
print("cusip: %s" % contractDetails.cusip)
print("descAppend: %s" % contractDetails.descAppend)
print("issueDate: %s" % contractDetails.issueDate)
print("maturity: %s" % contractDetails.maturity)
print("nextOptionDate: %s" % contractDetails.nextOptionDate)
print("nextOptionType: %s" % contractDetails.nextOptionType)
print("notes: %s" % contractDetails.notes)
print("ratings: %s" % contractDetails.ratings)
print("validExchanges: %s" % contractDetails.validExchanges)
self.got_contract.set()
class SwigIBClient(EWrapper):
'''Callback object passed to TWS, these functions will be called directly
by TWS.
'''
def __init__(self, port=4001, client_id=12):
super(SwigIBClient, self).__init__()
self.tws = EPosixClientSocket(self)
self.port = port
self.client_id = client_id
self.got_history = Event()
self.got_contract = Event()
self.got_err = Event()
self.order_filled = Event()
self.order_ids = Queue()
def execDetails(self, id, contract, execution):
pass
def managedAccounts(self, openOrderEnd):
pass
### Order
def nextValidId(self, validOrderId):
'''Capture the next order id'''
self.order_ids.put(validOrderId)
def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld):
print(("Order #%s - %s (filled %d, remaining %d, avgFillPrice %f,"
"last fill price %f)") %
(id, status, filled, remaining, avgFillPrice, lastFilledPrice))
if remaining <= 0:
self.order_filled.set()
def openOrder(self, orderID, contract, order, orderState):
print("Order opened for %s" % contract.symbol)
def openOrderEnd(self):
pass
def commissionReport(self, commissionReport):
print 'Commission %s %s P&L: %s' % (commissionReport.currency,
commissionReport.commission,
commissionReport.realizedPNL)
### Historical data
def historicalData(self, reqId, date, open, high,
low, close, volume,
barCount, WAP, hasGaps):
if date[:8] == 'finished':
print("History request complete")
self.got_history.set()
else:
date = datetime.strptime(date, "%Y%m%d").strftime("%d %b %Y")
print(("History %s - Open: %s, High: %s, Low: %s, Close: "
"%s, Volume: %d") % (date, open, high, low, close, volume))
### Contract details
def contractDetailsEnd(self, reqId):
print("Contract details request complete, (request id %i)" % reqId)
def contractDetails(self, reqId, contractDetails):
print("Contract details received (request id %i):" % reqId)
print("callable: %s" % contractDetails.callable)
print("category: %s" % contractDetails.category)
print("contractMonth: %s" % contractDetails.contractMonth)
print("convertible: %s" % contractDetails.convertible)
print("coupon: %s" % contractDetails.coupon)
print("industry: %s" % contractDetails.industry)
print("liquidHours: %s" % contractDetails.liquidHours)
print("longName: %s" % contractDetails.longName)
print("marketName: %s" % contractDetails.marketName)
print("minTick: %s" % contractDetails.minTick)
print("nextOptionPartial: %s" % contractDetails.nextOptionPartial)
print("orderTypes: %s" % contractDetails.orderTypes)
print("priceMagnifier: %s" % contractDetails.priceMagnifier)
print("putable: %s" % contractDetails.putable)
if contractDetails.secIdList is not None:
for secId in contractDetails.secIdList:
print("secIdList: %s" % secId)
else:
print("secIdList: None")
print("subcategory: %s" % contractDetails.subcategory)
print("tradingHours: %s" % contractDetails.tradingHours)
print("timeZoneId: %s" % contractDetails.timeZoneId)
print("underConId: %s" % contractDetails.underConId)
print("evRule: %s" % contractDetails.evRule)
print("evMultiplier: %s" % contractDetails.evMultiplier)
contract = contractDetails.summary
print("\nContract Summary:")
print("exchange: %s" % contract.exchange)
print("symbol: %s" % contract.symbol)
print("secType: %s" % contract.secType)
print("currency: %s" % contract.currency)
print("tradingClass: %s" % contract.tradingClass)
if contract.comboLegs is not None:
for comboLeg in contract.comboLegs:
print("comboLegs: %s - %s" %
(comboLeg.action, comboLeg.exchange))
else:
print("comboLegs: None")
print("\nBond Values:")
print("bondType: %s" % contractDetails.bondType)
print("couponType: %s" % contractDetails.couponType)
print("cusip: %s" % contractDetails.cusip)
print("descAppend: %s" % contractDetails.descAppend)
print("issueDate: %s" % contractDetails.issueDate)
print("maturity: %s" % contractDetails.maturity)
print("nextOptionDate: %s" % contractDetails.nextOptionDate)
print("nextOptionType: %s" % contractDetails.nextOptionType)
print("notes: %s" % contractDetails.notes)
print("ratings: %s" % contractDetails.ratings)
print("validExchanges: %s" % contractDetails.validExchanges)
self.got_contract.set()
### Error
def error(self, id, errCode, errString):
if errCode == 165 or (errCode >= 2100 and errCode <= 2110):
print("TWS warns %s" % errString)
elif errCode == 502:
print('Looks like TWS is not running, '
'start it up and try again')
sys.exit()
elif errCode == 501:
print("TWS reports error in client: %s" % errString)
elif errCode >= 1100 and errCode < 2100:
print("TWS reports system error: %s" % errString)
elif errCode == 321:
print("TWS complaining about bad request: %s" % errString)
else:
super(SwigIBClient, self).error(id, errCode, errString)
self.got_err.set()
def winError(self, msg, lastError):
print("TWS reports API error: %s" % msg)
self.got_err.set()
def pyError(self, type, val, tb):
sys.print_exception(type, val, tb)
###
def connect(self):
if not self.tws.eConnect("", self.port, self.client_id):
raise RuntimeError('Failed to connect to TWS')
def disconnect(self):
print("\nDisconnecting...")
self.tws.eDisconnect()
def create_contract(self):
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
return contract
def request_contract_details(self, contract):
today = datetime.today()
print("Requesting contract details...")
# Perform the request
self.tws.reqContractDetails(
42, # reqId,
contract, # contract,
)
print("\n====================================================================")
print(" Contract details requested, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
try:
self.got_contract.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.got_contract.is_set():
print('Failed to get contract within %d seconds' % WAIT_TIME)
def request_hist_data(self, contract):
today = datetime.today()
print("Requesting historical data for %s" % contract.symbol)
# Request some historical data.
self.tws.reqHistoricalData(
2, # tickerId,
contract, # contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), # endDateTime,
"1 W", # durationStr,
"1 day", # barSizeSetting,
"TRADES", # whatToShow,
0, # useRTH,
1 # formatDate
)
print("\n====================================================================")
print(" History requested, waiting %ds for TWS responses" % WAIT_TIME)
print(" History requested, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
try:
self.got_history.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.got_history.is_set():
print('Failed to get history within %d seconds' % WAIT_TIME)
def subscribe_market_data(self, contract):
pass
def unsubscribe_market_data(self, contract):
pass
def place_order(self, contract):
print('Waiting for valid order id')
order_id = self.order_ids.get(timeout=WAIT_TIME)
if not order_id:
raise RuntimeError('Failed to receive order id after %ds' % WAIT_TIME)
# Order details
algoParams = TagValueList()
algoParams.append(TagValue("componentSize", "3"))
algoParams.append(TagValue("timeBetweenOrders", "60"))
algoParams.append(TagValue("randomizeTime20", "1"))
algoParams.append(TagValue("randomizeSize55", "1"))
algoParams.append(TagValue("giveUp", "1"))
algoParams.append(TagValue("catchUp", "1"))
algoParams.append(TagValue("waitForFill", "1"))
algoParams.append(TagValue("startTime", "20110302-14:30:00 GMT"))
algoParams.append(TagValue("endTime", "20110302-21:00:00 GMT"))
order = Order()
order.action = 'BUY'
order.lmtPrice = 140
order.orderType = 'LMT'
order.totalQuantity = 10
order.algoStrategy = "AD"
order.tif = 'DAT'
order.algoParams = algoParams
# order.transmit = False
print("Placing order for %d %s's (id: %d)" % (order.totalQuantity,
contract.symbol, order_id))
# Place the order
self.tws.placeOrder(
order_id, # orderId,
contract, # contract,
order # order
)
print("\n====================================================================")
print(" Order placed, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
print("Waiting for order to be filled..")
try:
self.order_filled.wait(WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.order_filled.is_set():
print('Failed to fill order')
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
today = datetime.today()
print("Requesting contract details...")
# Perform the request
tws.reqContractDetails(
42, # reqId,
contract, # contract,
)
print(
"\n=====================================================================")
print(" Contract details requested, waiting for TWS responses")
print(
"=====================================================================\n")
print(
"******************* Press ENTER to quit when done *******************\n")
input()
print("\nDisconnecting...")
tws.eDisconnect()
