# Simple contract for DELL
dell = Contract()
dell.exchange = "SMART"
dell.symbol = "DELL"
dell.secType = "STK"
dell.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % dell.symbol
# Request some historical data.
tws.reqHistoricalData(
1, #tickerId,
dell, #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 for TWS responses"
print "=====================================================================\n"
print "******************* Press ENTER to quit when done *******************\n"
raw_input()
print "\nDisconnecting..."
# Simple contract for DELL
dell = Contract()
dell.exchange = "SMART"
dell.symbol = "DELL"
dell.secType = "STK"
dell.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % dell.symbol
# Request some historical data.
tws.reqHistoricalData(
1, #tickerId,
dell, #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 for TWS responses"
print "=====================================================================\n"
print "******************* Press ENTER to quit when done *******************\n"
raw_input()
print "\nDisconnecting..."
tws.eDisconnect()
time.sleep(1)
# Connect to tws running on localhost
if not tws.eConnect("", 7496, 42):
raise RuntimeError('Failed to connect to TWS')
today = datetime.today()
for index, row in contractlist.iterrows():
print 'Index:', index, ', Sym:', row['sym']
#self.reqMktData(index, create_contract(row['sym']), '233', False)
# Request some historical data.
tws.reqHistoricalData(
index, # tickerId,
create_contract(row['sym']), # contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), # endDateTime,
"1 W", # durationStr,
"1 day", # barSizeSetting,
"TRADES", # whatToShow,
useRTH, # useRTH,
1, # formatDate
None # chartOptions
)
print("\n====================================================================")
print(" History requested, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
try:
callback.got_history.wait(timeout=WAIT_TIME)
print symbols
except KeyboardInterrupt:
else:
filename = "{}_{}_{}.csv".format(contract_to_string(contract),
barsize.replace(" ", ""), datatype)
output_file = open(filename, 'w')
s = "Receiving {} batches of historical data...".format(num_requests)
if num_requests > 1 and pacing:
s += " {} seconds remaining".format(
(num_requests - num_batches_received) * pacing)
logging.info(s)
prev_last_time = endtime
if tws.exited:
sys.exit(2)
tws.reqHistoricalData(0, contract, endtime.strftime("%Y%m%d %H:%M:%S"),
duration, barsize, datatype, rth_only, 1)
historical_data_received.wait()
if output_file.tell() > 0: # file not empty
logging.info("Reversing the output file...")
output_file.close()
with open(filename, 'r') as input_file:
lines = input_file.readlines()
lines.reverse()
with open(filename, 'w') as output_file:
for line in lines:
output_file.write(line)
else:
def error(self, id, errCode, errString):
global clientid
global tws
global connection_state
global pacing
global last_time
global cooldowntime
s = "IB[{}]: {}".format(errCode, errString)
if id > -1:
s += " (ID: {})".format(id)
logging.debug(s)
if errCode == ErrorCode.clientid_in_use:
logging.info(
"Client ID {} in use, reconnecting ...".format(clientid))
clientid += 1
tws = EPosixClientSocket(self)
tws.eConnect("", 7496, clientid)
elif errCode == ErrorCode.md_connection_ok:
logging.info("IB[{}]: {}".format(errCode, errString))
api_started.set()
# TODO: use a better string here!
elif errCode == ErrorCode.historical_data_error and "Historical data request pacing violation" in errString:
logging.info(
"Historical data pacing violation: retrying last batch and start using pacing between data requests..."
)
logging.info(errString)
if not pacing:
pacing = 10
dt = prev_last_time.strftime("%Y%m%d %H:%M:%S")
logging.info("Cooling down for {} seconds...".format(cooldowntime))
sleep(cooldowntime)
cooldowntime += 15 # sometimes we just need to cool down for a longer time
tws.reqHistoricalData(0, contract, dt, duration, barsize, datatype,
rth_only, 1)
elif errCode == ErrorCode.historical_data_error and "invalid step" in errString:
logging.info("IB[{}]: {}".format(errCode, errString))
historical_data_received.set()
elif errCode == ErrorCode.historical_data_error and "HMDS query returned no data" in errString:
logging.info("IB[{}]: {}".format(errCode, errString))
historical_data_received.set()
elif (errCode == ErrorCode.historical_data_error and "Trader Workstation exited" in errString) or \
errCode == ErrorCode.cannot_connect_to_tws:
logging.info("IB[{}]: {}".format(errCode, errString))
tws.exited = True
historical_data_received.set()
# requesting historical data from period too long time ago
elif errCode == ErrorCode.error_validating_request and "Historical data queries on this contract requesting any data earlier than" in errString:
dt = prev_last_time.strftime(dt_format)
logging.info(
"IB cannot provide data from period ending {}, it's too far back in the history."
.format(dt))
historical_data_received.set()
elif errCode == ErrorCode.error_validating_request:
s = "IB[{}]: {}".format(errCode, errString)
if id > -1:
s += " (ID: {})".format(id)
logging.fatal(s)
historical_data_received.set()
elif errCode == ErrorCode.connection_lost:
# TODO: some logic to retry after connection has been momentarily lost, and eventually give up...
logging.info("Connection lost, saving data end aborting...")
if not output_file:
sys.exit(ExitCode.error_can_continue)
historical_data_received.set()
elif errCode == ErrorCode.no_security_def_found:
logging.info("IB[{}]: {}".format(errCode, errString))
if not output_file:
sys.exit(ExitCode.error_can_continue)
historical_data_received.set()
else:
s = "IB[{}]: {}".format(errCode, errString)
if id > -1:
s += " (ID: {})".format(id)
logging.info(s)
def error(self, id, errCode, errString):
global clientid
global tws
global connection_state
global pacing
global last_time
global cooldowntime
s = "IB[{}]: {}".format(errCode, errString)
if id > -1:
s += " (ID: {})".format(id)
logging.debug(s)
if errCode == ErrorCode.clientid_in_use:
logging.info("Client ID {} in use, reconnecting ...".format(clientid))
clientid += 1
tws = EPosixClientSocket(self)
tws.eConnect("", 7496, clientid)
elif errCode == ErrorCode.md_connection_ok:
logging.info("IB[{}]: {}".format(errCode, errString))
api_started.set()
# TODO: use a better string here!
elif errCode == ErrorCode.historical_data_error and "Historical data request pacing violation" in errString:
logging.info("Historical data pacing violation: retrying last batch and start using pacing between data requests...")
logging.info(errString)
if not pacing:
pacing = 10
dt = prev_last_time.strftime("%Y%m%d %H:%M:%S")
logging.info("Cooling down for {} seconds...".format(cooldowntime))
sleep(cooldowntime)
cooldowntime += 15 # sometimes we just need to cool down for a longer time
tws.reqHistoricalData(0, contract, dt, duration, barsize, datatype, rth_only, 1)
elif errCode == ErrorCode.historical_data_error and "invalid step" in errString:
logging.info("IB[{}]: {}".format(errCode, errString))
historical_data_received.set()
elif errCode == ErrorCode.historical_data_error and "HMDS query returned no data" in errString:
logging.info("IB[{}]: {}".format(errCode, errString))
historical_data_received.set()
elif (errCode == ErrorCode.historical_data_error and "Trader Workstation exited" in errString) or \
errCode == ErrorCode.cannot_connect_to_tws:
logging.info("IB[{}]: {}".format(errCode, errString))
tws.exited = True
historical_data_received.set()
# requesting historical data from period too long time ago
elif errCode == ErrorCode.error_validating_request and "Historical data queries on this contract requesting any data earlier than" in errString:
dt = prev_last_time.strftime(dt_format)
logging.info("IB cannot provide data from period ending {}, it's too far back in the history.".format(dt))
historical_data_received.set()
elif errCode == ErrorCode.error_validating_request:
s = "IB[{}]: {}".format(errCode, errString)
if id > -1:
s += " (ID: {})".format(id)
logging.fatal(s)
historical_data_received.set()
elif errCode == ErrorCode.connection_lost:
# TODO: some logic to retry after connection has been momentarily lost, and eventually give up...
logging.info("Connection lost, saving data end aborting...")
if not output_file:
sys.exit(ExitCode.error_can_continue)
historical_data_received.set()
elif errCode == ErrorCode.no_security_def_found:
logging.info("IB[{}]: {}".format(errCode, errString))
if not output_file:
sys.exit(ExitCode.error_can_continue)
historical_data_received.set()
else:
s = "IB[{}]: {}".format(errCode, errString)
if id > -1:
s += " (ID: {})".format(id)
logging.info(s)
filename = args.o
else:
filename = "{}_{}_{}.csv".format(contract_to_string(contract), barsize.replace(" ", ""), datatype)
output_file = open(filename, 'w')
s = "Receiving {} batches of historical data...".format(num_requests)
if num_requests > 1 and pacing:
s += " {} seconds remaining".format((num_requests - num_batches_received) * pacing)
logging.info(s)
prev_last_time = endtime
if tws.exited:
sys.exit(2)
tws.reqHistoricalData(0, contract, endtime.strftime("%Y%m%d %H:%M:%S"), duration, barsize, datatype, rth_only, 1)
historical_data_received.wait()
if output_file.tell() > 0: # file not empty
logging.info("Reversing the output file...")
output_file.close()
with open(filename, 'r') as input_file:
lines = input_file.readlines()
lines.reverse()
with open(filename, 'w') as output_file:
for line in lines:
output_file.write(line)
# Connect to tws running on localhost
tws.eConnect("", 7496, 46, poll_interval=1)
accountNumber = ''
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "TOT"
contract.secType = "STK"
#contract.right = "PUT"
contract.currency = "USD"
#contract.secType = 'OPT'
#contract.strike = 24
#contract.expiry = '20121116'
today = datetime.today()
#tws.reqAccountUpdates(1, accountNumber)
#tws.reqAccountUpdates(0, accountNumber)
callback.histTickerID = contract.symbol
tws.reqHistoricalData(
1, #tickerId,
contract, #contract,
datetime(2012, 11, 2, 23, 59, 59).strftime("%Y%m%d %H:%M:%S"), #endDateTime,
"2 D", #durationStr,
"1 min", #barSizeSetting,
"TRADES", #whatToShow,
0, #useRTH,
1 #formatDate
)
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')
class TwsClient(object):
logger = logging.getLogger(__name__)
"""Represents Interactive Broker's TWS."""
_next_request_id = 0
def __init__(self, client_id: int):
"""Initialises an instance for the specified client id."""
self._client_id = client_id
self._requests_lock = threading.Lock()
self._requests = {}
self._wrapper = _MulticastWrapper(self._requests, self._requests_lock)
self._socket = EPosixClientSocket(self._wrapper)
@property
def client_id(self):
return self._client_id
def connect(self, host: str = "", port: int = 7496) -> Disconnecting:
"""Connects to TWS."""
if not self._socket.eConnect(host, port, self.client_id):
raise RuntimeError("Client[%d] Failed to connect at Host: %s, Port: %d" % \
(self._client_id, host, port))
TwsClient.logger.info("Client[%d] connected at Host: %s, Port: %d" %
(self._client_id, host, port))
return Disconnecting(self._socket)
def reqHistoricalData(self,
handler,
contract: Contract,
end_datetime: str,
duration: str = "1 D",
bar_size: BarSize = BarSize.Min1,
what_to_show: WhatToShow = WhatToShow.Trades,
use_rth: UseRth = UseRth.WithinTradingHour,
format_date: FormatDate = FormatDate.InString):
""""""
request = self._createRequest(RequestType.HistoricalData, handler)
self._socket.reqHistoricalData(request.request_id, contract,
end_datetime, duration, bar_size.value,
what_to_show.value, use_rth.value,
format_date.value)
return request
def reqMarketData(self,
handler,
contract: Contract,
generic_tick: str,
snapshot: bool = False):
""""""
request = self._createRequest(RequestType.MarketData, handler)
self._socket.reqMktData(request.request_id, contract, generic_tick,
snapshot)
return request
def reqOpenOrders(self):
return self._socket.reqOpenOrders()
def cancelRequest(self, request: Request):
""""""
req_id = request.request_id
with self._requests_lock:
if self._requests.get(req_id) != request:
return False
del self._requests[req_id]
try:
{
RequestType.HistoricalData:
lambda: self._socket.cancelHistoricalData(req_id),
RequestType.MarketData:
lambda: self.cancelMktData(req_id)
}[request.request_type]()
except KeyError:
raise LookupError(
"Client[%d] Reqest: %d - Unable to cancel unknown request type [%s]."
% (self._client_id, req_id, request.request_type.value))
def cancelMktData(self, req_id):
TwsClient.logger.info('MarketData request[%d] is cancelled.' % req_id)
self._socket.cancelMktData(req_id)
def _createRequest(self, req_type: RequestType, handler) -> Request:
TwsClient._next_request_id += 1
req_id = TwsClient._next_request_id
request = Request(self, req_type, req_id, handler)
with self._requests_lock:
self._requests[req_id] = request
return request
