def _fromTDChildOrdertoIBOpenOrder(tdOrder, idConverter):
originalTdOrderId = str(tdOrder['orderId'])
int_orderId = idConverter.fromBrokerToIB(originalTdOrderId)
security = _fromTDInstrumentToIBridgePySecurity(tdOrder['orderLegCollection'][0]['instrument'])
contract = from_security_to_contract(security)
orderStatus = OrderStatusConverter().fromTDtoIB(str(tdOrder['status']))
quantity = int(float(tdOrder['quantity']))
orderState = IBCpp.OrderState()
orderState.status = orderStatus
ibOrder = IBCpp.Order()
ibOrder.orderId = int_orderId
ibOrder.account = str(tdOrder['accountId'])
ibOrder.action = str(tdOrder['orderLegCollection'][0]['instruction'])
ibOrder.totalQuantity = quantity
ibOrder.orderType = OrderTypeConverter().fromTDtoIB(str(tdOrder['orderType']))
ibOrder.tif = OrderTifConverter().fromTDtoIB(str(tdOrder['duration']))
if ibOrder.orderType == OrderType.LMT:
ibOrder.lmtPrice = float(str(tdOrder['price']))
elif ibOrder.orderType == OrderType.STP:
ibOrder.auxPrice = float(str(tdOrder['stopPrice']))
elif ibOrder.orderType == OrderType.STP_LMT:
ibOrder.lmtPrice = float(str(tdOrder['price']))
ibOrder.auxPrice = float(str(tdOrder['stopPrice']))
elif ibOrder.orderType == OrderType.MKT:
pass
else:
raise RuntimeError(__name__ + '::reqOneOrderWrapper: EXIT, cannot handle orderType=%s' % (ibOrder.orderType,))
ibOrder.orderRef = originalTdOrderId
orderStatus, filledQuantity, remaining, price, whyHeld = OrderConverter().fromTDtoIBOrderStatus(tdOrder)
return int_orderId, contract, ibOrder, orderState, security, orderStatus, filledQuantity, remaining, price, whyHeld
def reqPositionsWrapper(self):
ans = self._tdClient.accounts(positions=True, orders=False)
for accountCode in ans.keys():
# If there is no any position, just return
if 'positions' not in ans[accountCode]['securitiesAccount']:
self.simulatePositionEnd()
return
# If there are positions in the account
positions = ans[accountCode]['securitiesAccount']['positions']
for position in positions:
security = _fromTDInstrumentToIBridgePySecurity(
position['instrument'], self._log)
if security is None:
continue
contract = from_security_to_contract(security)
longQuantity = int(float(position['longQuantity']))
shortQuantity = int(float(position['shortQuantity']))
if shortQuantity == 0:
self.position(accountCode, contract, longQuantity,
float(position['averagePrice']))
else:
self.position(accountCode, contract,
(-1) * abs(shortQuantity),
float(position['averagePrice']))
self.simulatePositionEnd()
def reqPositions(self):
self.log.debug(__name__ + '::reqPositions')
for ct in self.aTrader.PORTFOLIO.positions:
self.aTrader.position(self.aTrader.accountCode,
from_security_to_contract(ct),
self.aTrader.PORTFOLIO.positions.amount,
self.aTrader.PORTFOLIO.positions.cost_basis)
self.aTrader.positionEnd()
def reqPositionsWrapper(self):
ans = self._robinhoodClient.get_all_positions()
# ans = [{'symbol':'SPY', 'quantity':100, 'average_buy_price':99.9}]
for position in ans:
security = symbol(str(position['symbol']))
contract = from_security_to_contract(security)
self.position(self._accountCode, contract,
int(float(position['quantity'])),
float(position['average_buy_price']))
self.simulatePositionEnd()
def fromRBtoIBOpenOrder(rbOrder, idConverter, accountCode):
# IBCpp.Order().orderId must be an integer so that an integer orderId has to be created
originalTdOrderId = str(rbOrder['id'])
int_orderId = idConverter.fromBrokerToIB(originalTdOrderId)
security = symbol(str(rbOrder['symbol']))
contract = from_security_to_contract(security)
orderStatus = OrderStatusConverter().fromRBtoIB(str(rbOrder['state']))
quantity = int(float(rbOrder['quantity']))
orderState = IBCpp.OrderState()
orderState.status = orderStatus
ibOrder = IBCpp.Order()
ibOrder.orderId = int_orderId
ibOrder.account = accountCode
ibOrder.action = OrderActionConverter().fromRBtoIB(
str(rbOrder['side'])) # _robinhoodClient side : buy, sell
ibOrder.totalQuantity = quantity
ibOrder.orderType = OrderTypeConverter().fromRBtoIB(
str(rbOrder['type']).lower(),
str(rbOrder['trigger']).lower())
ibOrder.tif = OrderTifConverter().fromRBtoIB(
str(rbOrder['time_in_force']))
if ibOrder.orderType == OrderType.LMT:
ibOrder.lmtPrice = float(str(rbOrder['price']))
elif ibOrder.orderType == OrderType.STP:
ibOrder.auxPrice = float(str(rbOrder['stop_price']))
elif ibOrder.orderType == OrderType.STP_LMT:
ibOrder.lmtPrice = float(str(rbOrder['price']))
ibOrder.auxPrice = float(str(rbOrder['stop_price']))
elif ibOrder.orderType == OrderType.MKT:
pass
else:
print(__name__ +
'::reqOneOrderWrapper: EXIT, cannot handle orderType=%s' %
(ibOrder.orderType, ))
exit()
return int_orderId, contract, ibOrder, orderState, security
def _send_req_to_server(self, activeRequests):
"""
pandas dataFrame: reqData
All requests are defined in broker_client_factory::BrokerClientDefs
"""
self._log.debug(__name__ + '::_send_req_to_server: brokerClient=%s' %
(self, ))
for reqId in activeRequests.get_request_ids():
aRequest = activeRequests.get_by_reqId_otherwise_exit(reqId)
self._allRequests[
reqId] = aRequest # move to allRequest which stores all requests
aRequest.status = ReqAttr.Status.SUBMITTED
reqType = aRequest.reqType
param = aRequest.param
self._log.debug('%s' % (aRequest, ))
if reqType == 'reqPositions':
self.reqPositionsWrapper()
elif reqType == 'reqConnect':
ans = self.isConnectedWrapper()
if ans:
aRequest.status = ReqAttr.Status.COMPLETED
else:
ans = self.connectWrapper()
if ans:
aRequest.status = ReqAttr.Status.COMPLETED
elif reqType == 'reqCurrentTime':
self.reqCurrentTimeWrapper()
elif reqType == 'reqAllOpenOrders':
self.reqAllOpenOrdersWrapper()
elif reqType == 'reqOneOrder':
ibpyOrderId = param['orderId']
self.reqOneOrderWrapper(ibpyOrderId)
elif reqType == 'reqAccountUpdates':
accountCode = param['accountCode']
subscribe = param['subscribe']
self.reqAccountUpdatesWrapper(
subscribe, accountCode) # Request to update account info
elif reqType == 'reqAccountSummary':
group = param['group']
tag = param['tag']
self.reqAccountSummaryWrapper(reqId, group, tag)
elif reqType == 'reqIds':
self.reqIdsWrapper()
elif reqType == 'reqHeartBeats':
self.reqHeartBeatsWrapper()
elif reqType == 'reqHistoricalData':
security = param['security']
endTime = param['endTime']
goBack = param['goBack']
barSize = param['barSize']
whatToShow = param['whatToShow']
useRTH = param['useRTH']
formatDate = 2 # param['formatDate'] Send epoch to IB server all the time. It is easier to handle
self.reqHistoricalDataWrapper(
reqId, from_security_to_contract(security), endTime,
goBack, barSize, whatToShow, useRTH, formatDate)
elif reqType == 'reqMktData':
security = param['security']
genericTickList = param['genericTickList']
snapshot = param['snapshot']
# put security and reqID in dictionary for fast access
# it is keyed by both security and reqId
self._realTimePriceRequestedList.addReqIdAndStrSecurity(
reqId, security.full_print())
self.reqMktDataWrapper(
reqId, from_security_to_contract(security),
genericTickList,
snapshot) # Send market data request to IB server
elif reqType == 'cancelMktData':
security = param['security']
reqId = self._realTimePriceRequestedList.findByStrSecurity(
security.full_print())
self.cancelMktDataWrapper(reqId)
self._realTimePriceRequestedList.deleteReqIdAndStrSecurity(
reqId, security.full_print())
elif reqType == 'reqRealTimeBars':
security = param['security']
barSize = param['barSize']
whatToShow = param['whatToShow']
useRTH = param['useRTH']
self._realTimePriceRequestedList.addReqIdAndStrSecurity(
reqId, security.full_print())
self.reqRealTimeBarsWrapper(
reqId, from_security_to_contract(security), barSize,
whatToShow,
useRTH) # Send market dataFromServer request to IB server
elif reqType == 'placeOrder':
"""
Ending label is IBCpp::callBacks::orderStatus
"""
contract = param['contract']
order = param['order']
self.placeOrderWrapper(contract, order, aRequest)
# When the order is placed, IB will callback orderStatus
# In broker_client_factory::CallBack::orderStatus, IBridgePy, set ending flag for this request and assign ibpyOrderId
# self.activeRequests.get_by_reqId_otherwise_exit(reqId).returnedResult = str_ibpyOrderId
# self.activeRequests.get_by_reqId_otherwise_exit(reqId).status = ReqAttr.Status.COMPLETED
elif reqType == 'modifyOrder':
"""
Ending label is IBCpp::callBacks::orderStatus
"""
ibpyOrderId = param['ibpyOrderId']
contract = param['contract']
order = param['order']
int_orderId = order.orderId
self._idConverter.verifyRelationship(int_orderId, ibpyOrderId)
self._log.info(
'ModifyOrder ibpyOrderId=%s security=%s order=%s' %
(ibpyOrderId, print_IBCpp_contract(contract),
print_IBCpp_order(order)))
self.modifyOrderWrapper(contract, order, aRequest)
elif reqType == 'reqContractDetails':
security = param['security']
self.reqContractDetailsWrapper(
reqId, from_security_to_contract(security))
elif reqType == 'calculateImpliedVolatility':
security = param['security']
optionPrice = float(param['optionPrice'])
underPrice = float(param['underPrice'])
# put security and reqID in dictionary for fast access
# it is keyed by both security and reqId
self._realTimePriceRequestedList.addReqIdAndStrSecurity(
reqId, security.full_print())
self.calculateImpliedVolatilityWrapper(
reqId, from_security_to_contract(security), optionPrice,
underPrice)
elif reqType == 'reqScannerSubscription':
subscription = param['subscription']
self.reqScannerSubscriptionWrapper(reqId, subscription)
# Need to upgrade IBCpp
# tagValueList = self.end_check_list.loc[idx, 'reqData'].param['tagValueList']
# self.reqScannerSubscription(reqId, subscription, tagValueList)
# self._log.debug(__name__ + '::_send_req_to_server:reqScannerSubscription:'
# + ' subscription=' + subscription.full_print() + ' tagValueList=' + str(tagValueList))
elif reqType == 'cancelScannerSubscription':
tickerId = param['tickerId']
self.cancelScannerSubscriptionWrapper(tickerId)
elif reqType == 'cancelOrder':
"""
Ending label is IBCpp::callBacks::error: errorCode = 10148
Do not use orderStatus callback to follow up on cancelOrder request because the status can be either Canceled Or PendingCancel
"""
ibpyOrderId = param['ibpyOrderId']
int_orderId = self._idConverter.fromBrokerToIB(ibpyOrderId)
param['int_orderId'] = int_orderId
self.cancelOrderWrapper(ibpyOrderId)
elif reqType == 'reqScannerParameters':
self.reqScannerParametersWrapper()
else:
self._log.error(
__name__ +
'::_send_req_to_server: EXIT, cannot handle reqType=%s' %
(reqType, ))
self.end()
def create_order(orderId,
accountCode,
security,
amount,
orderDetails,
createdTime,
ocaGroup=None,
ocaType=None,
transmit=None,
parentId=None,
orderRef='',
outsideRth=False,
hidden=False):
contract = from_security_to_contract(security)
order = IBCpp.Order()
if hidden:
if contract.exchange == ExchangeName.ISLAND:
order.hidden = True
else:
print(__name__ +
'::create_order: EXIT, only ISLAND accept hidden orders')
exit()
if amount > 0:
order.action = 'BUY'
elif amount < 0:
order.action = 'SELL'
order.orderId = orderId
order.account = accountCode
order.totalQuantity = int(abs(amount)) # int only
order.orderType = orderDetails.orderType # LMT, MKT, STP
order.tif = orderDetails.tif
order.orderRef = str(orderRef)
order.outsideRth = outsideRth
if ocaGroup is not None:
order.ocaGroup = ocaGroup
if ocaType is not None:
order.ocaType = ocaType
if transmit is not None:
order.transmit = transmit
if parentId is not None:
order.parentId = parentId
if orderDetails.orderType in ['MKT', 'MOC']:
pass
elif orderDetails.orderType == 'LMT':
order.lmtPrice = orderDetails.limit_price
elif orderDetails.orderType == 'STP':
order.auxPrice = orderDetails.stop_price
elif orderDetails.orderType == 'STP LMT':
order.lmtPrice = orderDetails.limit_price
order.auxPrice = orderDetails.stop_price
elif orderDetails.orderType == 'TRAIL LIMIT':
if orderDetails.trailing_amount is not None:
order.auxPrice = orderDetails.trailing_amount # trailing amount
if orderDetails.trailing_percent is not None:
order.trailingPercent = orderDetails.trailing_percent
order.trailStopPrice = orderDetails.stop_price
if order.action == 'SELL':
order.lmtPrice = orderDetails.stop_price - orderDetails.limit_offset
elif order.action == 'BUY':
order.lmtPrice = orderDetails.stop_price + orderDetails.limit_offset
elif orderDetails.orderType == 'TRAIL':
if orderDetails.trailing_amount is not None:
order.auxPrice = orderDetails.trailing_amount # trailing amount
if orderDetails.trailing_percent is not None:
order.trailingPercent = orderDetails.trailing_percent
if orderDetails.stop_price is not None:
order.trailStopPrice = orderDetails.stop_price
else:
print(__name__ + '::create_order: EXIT,Cannot handle orderType=%s' %
(orderDetails.orderType, ))
an_order = IbridgePyOrder(requestedContract=contract,
requestedOrder=order,
createdTime=createdTime)
return an_order