def place_new_IB_order(self, ibcontract, trade, px, orderType, orderid=None, startTime=None, endTime=None):
"""
Places an order
Returns brokerorderid
raises exception if fails
"""
iborder = IBOrder()
iborder.action = bs_resolve(trade)
if orderType == 'STOP':
iborder.auxPrice = px
else:
iborder.lmtPrice = px
iborder.orderType = orderType
iborder.totalQuantity = abs(trade)
iborder.tif='DAY'
iborder.transmit=True
#compute time zone info
# ib doesn't work if you have startTime and endTime
# if startTime:
# startTime_tz = local_tz.localize(startTime)
# startTime_est = startTime_tz.astimezone(EST)
# iborder.goodAfterTime = startTime_est.strftime("%Y%m%d %H:%M:%S EST")
if endTime and orderType is not 'MKT':
print 'here'
iborder.tif = 'GTD'
endTime_tz = local_tz.localize(endTime)
endTime_est = endTime_tz.astimezone(EST)
iborder.goodTillDate = endTime_est.strftime("%Y%m%d %H:%M:%S EST")
## We can eithier supply our own ID or ask IB to give us the next valid one
if orderid is None:
print "Getting orderid from IB"
orderid=self.get_next_brokerorderid()
print "Using order id of %d" % orderid
# Place the order
self.tws.placeOrder(
orderid, # orderId,
ibcontract, # contract,
iborder # order
)
return orderid
def place_new_IB_order(self,
ibcontract,
trade,
lmtPrice,
orderType,
orderid=None):
"""
Places an order
Returns brokerorderid
raises exception if fails
"""
global iserror
global brokerorderid
global finished
global getting_executions
global order_structure
iborder = IBOrder()
iborder.action = bs_resolve(trade)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(trade)
iborder.tif = 'DAY'
iborder.transmit = True
getting_executions = False
order_structure = []
## We can eithier supply our own ID or ask IB to give us the next valid one
if orderid is None:
print "Getting orderid from IB"
orderid = self.get_next_brokerorderid()
print "Using order id of %d" % orderid
# Place the order
self.tws.placeOrder(
orderid, # orderId,
ibcontract, # contract,
iborder # order
)
return orderid
def place_plain_order(expiry, symbol, right, strike, orderType, quantity,
lmtPrice, orderId):
"""
Place a sinlge option order orderType="LMT"
"""
if orderId <= 0:
orderId = None
client, log_order = init_func()
log_order.info("placing order ")
ibcontract = IBcontract()
ibcontract.secType = get_contract_details(symbol)["secType"]
ibcontract.expiry = expiry
ibcontract.symbol = symbol
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.right = right
ibcontract.strike = strike
ibcontract.multiplier = get_contract_details(symbol)["multiplier"]
ibcontract.currency = get_contract_details(symbol)["currency"]
iborder = IBOrder()
iborder.action = bs_resolve(quantity)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(quantity)
iborder.tif = get_order_defaults()["tif"]
iborder.transmit = get_order_defaults()["transmit"]
order_structure = client.place_new_IB_order(ibcontract,
iborder,
orderid=orderId)
df1 = pd.DataFrame()
for idx, x in order_structure.items():
temp = pd.DataFrame.from_dict(x, orient='index').transpose()
df1 = df1.append(temp)
if not df1.empty:
df1 = df1.set_index(['orderid'], drop=True)
print(df1)
end_func(client=client)
def place_new_IB_order(self,
ibcontract,
trade,
lmtPrice,
orderType,
orderid=None):
"""
Places an order
Returns brokerorderid
raises exception if fails
"""
iborder = IBOrder()
iborder.action = bs_resolve(trade)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(trade)
iborder.tif = 'DAY'
iborder.transmit = True
# We can eithier supply our own ID or ask IB to give us the next valid
# one
if orderid is None:
print("Getting orderid from IB")
orderid = self.get_next_brokerorderid()
print("Using order id of %d" % orderid)
# Place the order
self.tws.placeOrder(
orderid, # orderId,
ibcontract, # contract,
iborder # order
)
return orderid
def place_new_IB_order(self,
ibcontract,
trade,
lmtPrice,
orderType,
orderid=None,
stopPrice=None,
trailStopPrice=None):
"""
Places an order
Returns brokerorderid
raises exception if fails
"""
iborder = IBOrder()
iborder.account = self.accountid
iborder.action = bs_resolve(trade)
self.logger.debug(
"Placing an order for %s:%s:%s" %
(ibcontract.exchange, ibcontract.symbol, ibcontract.secType))
#if orderType == "LMT":
# iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(trade)
iborder.tif = 'GTC'
iborder.transmit = False
## We can eithier supply our own ID or ask IB to give us the next valid one
if orderid is None:
#print "Getting orderid from IB"
orderid = self.get_next_brokerorderid()
if stopPrice:
stoporder = IBOrder()
stoporder.account = self.accountid
stoporder.action = bs_resolve((-1) * trade)
stoporder.orderType = "STP"
stoporder.totalQuantity = abs(trade)
stoporder.tif = 'GTC'
stoporder.transmit = False
stoporder.auxPrice = stopPrice
stoporder.parentId = orderid
self.logger.debug("Setup StopPrice %s" % stoporder.auxPrice)
if trailStopPrice:
limitorder = IBOrder()
limitorder.account = self.accountid
limitorder.action = bs_resolve((-1) * trade)
limitorder.orderType = "LMT"
limitorder.totalQuantity = abs(trade)
limitorder.tif = 'GTC'
limitorder.transmit = False
limitorder.lmtPrice = trailStopPrice
limitorder.parentId = orderid
self.logger.debug("Setup TrailPrice %s" % limitorder.lmtPrice)
# Place the order
#self.tws.placeOrder( orderid, ibcontract,iborder )
if stopPrice and trailStopPrice:
#limitorder.transmit=True
self.logger.debug("Place Order Stop and TrailPrice")
self.tws.placeOrder(orderid, ibcontract, iborder)
self.tws.placeOrder(orderid + 1, ibcontract, stoporder)
self.tws.placeOrder(orderid + 2, ibcontract, limitorder)
elif stopPrice:
#stoporder.transmit=True
self.logger.debug("Place Order Stop")
self.tws.placeOrder(orderid, ibcontract, iborder)
self.tws.placeOrder(orderid + 1, ibcontract, stoporder)
elif trailStopPrice:
#limitorder.transmit=True
self.logger.debug("Place Order trailStop")
self.tws.placeOrder(orderid, ibcontract, iborder)
self.tws.placeOrder(orderid + 2, ibcontract, limitorder)
else:
#iborder.transmit=True
self.logger.debug("Place Single Order")
self.tws.placeOrder(orderid, ibcontract, iborder)
return orderid
def place_or_modif_spread_order(expiry, symbol, right, strike_l, strike_s,
orderType, quantity, lmtPrice, orderId):
"""
Place new option spread order or modify existing order orderType="LMT"
Put orderId <= 0 if new order
"""
"""
Modification of an open order through the API can be achieved by the same client which placed the original order.
In the case of orders placed manually in TWS, the order can be modified by the client with ID 0.
To modify an order, simply call the IBApi.EClient.placeOrder function again with the same parameters used to place
the original order, except for the changed parameter. This includes the IBApi.Order.OrderId, which must match the
IBApi.Order.OrderId of the original. It is not generally recommended to try to change order parameters other than
the order price and order size. To change other parameters, it might be preferable to cancel the original order
and place a new order.
"""
# http://interactivebrokers.github.io/tws-api/modifying_orders.html#gsc.tab=0
if orderId <= 0:
orderId = None
client, log_order = init_func()
log_order.info("placing order ")
underl = {
1001:
RequestOptionData(symbol,
get_contract_details(symbol)["secType"], expiry,
strike_l, right,
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"], 1001),
1002:
RequestOptionData(symbol,
get_contract_details(symbol)["secType"], expiry,
strike_s, right,
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"], 1002)
}
action1 = {1001: "BUY", 1002: "SELL"}
list_results = client.getOptionsChain(underl)
legs = []
log_order.info("Number of requests [%d]" % (len(list_results)))
for reqId, request in list_results.items():
log_order.info(
"Requestid [%d]: Option[%s] Results [%d]" %
(reqId, str(request.get_in_data()), len(request.optionsChain)))
for opt1 in request.optionsChain:
leg1 = sy.ComboLeg()
leg1.conId = opt1['conId']
leg1.ratio = get_order_defaults()["ratio"]
leg1.action = action1[reqId]
leg1.exchange = opt1['exchange']
legs.append(leg1)
#sy.Contract.comboLegs
ibcontract = IBcontract()
ibcontract.comboLegs = sy.ComboLegList(legs)
ibcontract.symbol = symbol
ibcontract.secType = "BAG" # BAG is the security type for COMBO order
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.currency = get_contract_details(symbol)["currency"]
iborder = IBOrder()
iborder.action = bs_resolve(quantity)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(quantity)
iborder.tif = get_order_defaults()["tif"]
iborder.transmit = get_order_defaults()["transmit"]
order_structure = client.place_new_IB_order(ibcontract,
iborder,
orderid=orderId)
df1 = pd.DataFrame()
for idx, x in order_structure.items():
temp = pd.DataFrame.from_dict(x, orient='index').transpose()
df1 = df1.append(temp)
if not df1.empty:
df1 = df1.set_index(['orderid'], drop=True)
print(df1)
end_func(client=client)