Beispiel #1
0
	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
Beispiel #3
0
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)
Beispiel #4
0
    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
Beispiel #5
0
    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
Beispiel #6
0
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)