def submitOrder(self, order):
if order.isInitial():
ibContract = Contract()
ibOrder = Order()
ibContract.m_symbol = order.getInstrument()
ibContract.m_secType = self.__marketOptions['assetType']
ibContract.m_currency = self.__marketOptions['currency']
ibContract.m_exchange = self.__marketOptions['routing']
ibOrder.m_totalQuantity = order.getInstrumentTraits(
).roundQuantity(order.getQuantity())
if order.getAction() == (broker.Order.Action.BUY
or broker.Order.Action.BUY_TO_COVER):
ibOrder.m_action = 'BUY'
elif order.getAction() == broker.Order.Action.SELL:
ibOrder.m_action = 'SELL'
elif order.getAction() == broker.Order.Action.SELL_SHORT:
ibOrder.m_action = 'SELL'
if order.getType() == broker.Order.Type.MARKET:
if order.getFillOnClose():
ibOrder.m_orderType = 'MOC'
else:
ibOrder.m_orderType = 'MKT'
elif order.getType() == broker.Order.Type.LIMIT:
ibOrder.m_orderType = 'LMT'
ibOrder.m_lmtPrice = order.getInstrumentTraits().roundPrice(
order.getLimitPrice())
elif order.getType() == broker.Order.Type.STOP:
ibOrder.m_orderType = 'STP'
ibOrder.m_auxPrice = order.getInstrumentTraits().roundPrice(
order.getStopPrice())
elif order.getType() == broker.Order.Type.STOP_LIMIT:
ibOrder.m_orderType = 'STP LMT'
ibOrder.m_lmtPrice = order.getInstrumentTraits().roundPrice(
order.getLimitPrice())
ibOrder.m_auxPrice = order.getInstrumentTraits().roundPrice(
order.getStopPrice())
if order.getAllOrNone() == True:
ibOrder.m_allOrNone = 1
else:
ibOrder.m_allOrNone = 0
if order.getGoodTillCanceled() == True:
ibOrder.m_tif = 'GTC'
else:
ibOrder.m_tif = 'DAY'
self.__ib.placeOrder(self.__nextOrderId, ibContract, ibOrder)
order.setSubmitted(self.__nextOrderId, datetime.datetime.now())
self.__nextOrderId += 1
self._registerOrder(order)
# Switch from INITIAL -> SUBMITTED
# IMPORTANT: Do not emit an event for this switch because when using the position interface
# the order is not yet mapped to the position and Position.onOrderUpdated will get called.
order.switchState(broker.Order.State.SUBMITTED)
else:
raise Exception("The order was already processed")
def processMsg(self, msgId):
""" generated source for method processMsg """
if msgId == -1:
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price,
canAutoExecute)
if version >= 2:
# not a tick
if tickType == 1:
# BID
sizeTickType = 0
# BID_SIZE
elif tickType == 2:
# ASK
sizeTickType = 3
# ASK_SIZE
elif tickType == 4:
# LAST
sizeTickType = 5
# LAST_SIZE
if sizeTickType != -1:
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.TICK_OPTION_COMPUTATION:
impliedVol = self.readDouble()
if impliedVol < 0:
# -1 is the "not yet computed" indicator
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1:
# -2 is the "not yet computed" indicator
delta = Double.MAX_VALUE
if version >= 6 or tickType == TickType.MODEL_OPTION:
# introduced in version == 5
optPrice = self.readDouble()
if optPrice < 0:
# -1 is the "not yet computed" indicator
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0:
# -1 is the "not yet computed" indicator
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1:
# -2 is the "not yet computed" indicator
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1:
# -2 is the "not yet computed" indicator
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1:
# -2 is the "not yet computed" indicator
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0:
# -1 is the "not yet computed" indicator
undPrice = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType,
impliedVol, delta, optPrice,
pvDividend, gamma, vega,
theta, undPrice)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints,
formattedBasisPoints, impliedFuturesPrice,
holdDays, futureExpiry, dividendImpact,
dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
if version >= 3:
parentId = self.readInt()
if version >= 4:
lastFillPrice = self.readDouble()
if version >= 5:
clientId = self.readInt()
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining,
avgFillPrice, permId, parentId,
lastFillPrice, clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.self.readStr()
if version >= 2:
contract.m_localSymbol = self.self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
if version >= 4:
accountName = self.readStr()
if version == 6 and self.m_parent.serverVersion() == 39:
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice,
marketValue, averageCost,
unrealizedPNL, realizedPNL,
accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
# read version
version = self.readInt()
# read order id
order = Order()
order.m_orderId = self.readInt()
# read contract fields
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
# read order fields
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
if version < 29:
order.m_lmtPrice = self.readDouble()
else:
order.m_lmtPrice = self.readDoubleMax()
if version < 30:
order.m_auxPrice = self.readDouble()
else:
order.m_auxPrice = self.readDoubleMax()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
# will never happen
# order.m_ignoreRth =
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = self.readInt() == 1
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
# skip deprecated sharesAllocation field
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDoubleMax()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if self.m_parent.serverVersion() == 51:
self.readInt()
# exemptCode
elif version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDoubleMax()
order.m_stockRefPrice = self.readDoubleMax()
order.m_delta = self.readDoubleMax()
order.m_stockRangeLower = self.readDoubleMax()
order.m_stockRangeUpper = self.readDoubleMax()
order.m_displaySize = self.readInt()
if version < 18:
# will never happen
# order.m_rthOnly =
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readIntMax()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDoubleMax()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDoubleMax()
order.m_volatilityType = self.readInt()
if version == 11:
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = ("NONE" if
(receivedInt
== 0) else "MKT")
else:
# version 12 and up
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDoubleMax()
if version >= 27 and not Util.StringIsEmpty(
order.m_deltaNeutralOrderType):
order.m_deltaNeutralConId = self.readInt()
order.m_deltaNeutralSettlingFirm = self.readStr()
order.m_deltaNeutralClearingAccount = self.readStr()
order.m_deltaNeutralClearingIntent = self.readStr()
order.m_continuousUpdate = self.readInt()
if self.m_parent.serverVersion() == 26:
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDoubleMax()
if version >= 30:
order.m_trailingPercent = self.readDoubleMax()
if version >= 14:
order.m_basisPoints = self.readDoubleMax()
order.m_basisPointsType = self.readIntMax()
contract.m_comboLegsDescrip = self.readStr()
if version >= 29:
comboLegsCount = self.readInt()
if comboLegsCount > 0:
contract.m_comboLegs = []
i = 0
while i < comboLegsCount:
conId = self.readInt()
ratio = self.readInt()
action = self.readStr()
exchange = self.readStr()
openClose = self.readInt()
shortSaleSlot = self.readInt()
designatedLocation = self.readStr()
exemptCode = self.readInt()
comboLeg = ComboLeg(conId, ratio, action, exchange,
openClose, shortSaleSlot,
designatedLocation, exemptCode)
contract.m_comboLegs.append(comboLeg)
i += 1
orderComboLegsCount = self.readInt()
if orderComboLegsCount > 0:
order.m_orderComboLegs = []
i = 0
while i < orderComboLegsCount:
price = self.readDoubleMax()
orderComboLeg = OrderComboLeg(price)
order.m_orderComboLegs.append(orderComboLeg)
i += 1
if version >= 26:
smartComboRoutingParamsCount = self.readInt()
if smartComboRoutingParamsCount > 0:
order.m_smartComboRoutingParams = []
i = 0
while i < smartComboRoutingParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_smartComboRoutingParams.add(tagValue)
i += 1
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
# int notSuppScaleNumComponents =
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
order.m_scalePriceAdjustValue = self.readDoubleMax()
order.m_scalePriceAdjustInterval = self.readIntMax()
order.m_scaleProfitOffset = self.readDoubleMax()
order.m_scaleAutoReset = self.readBoolFromInt()
order.m_scaleInitPosition = self.readIntMax()
order.m_scaleInitFillQty = self.readIntMax()
order.m_scaleRandomPercent = self.readBoolFromInt()
if version >= 24:
order.m_hedgeType = self.readStr()
if not Util.StringIsEmpty(order.m_hedgeType):
order.m_hedgeParam = self.readStr()
if version >= 25:
order.m_optOutSmartRouting = self.readBoolFromInt()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 22:
order.m_notHeld = self.readBoolFromInt()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
if version >= 21:
order.m_algoStrategy = self.readStr()
if not Util.StringIsEmpty(order.m_algoStrategy):
algoParamsCount = self.readInt()
if algoParamsCount > 0:
order.m_algoParams = []
i = 0
while i < algoParamsCount:
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_algoParams.append(tagValue)
i += 1
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order,
orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance,
benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
if version >= 3:
reqId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
if version >= 4:
contract.m_underConId = self.readInt()
if version >= 5:
contract.m_longName = self.readStr()
contract.m_summary.m_primaryExch = self.readStr()
if version >= 6:
contract.m_contractMonth = self.readStr()
contract.m_industry = self.readStr()
contract.m_category = self.readStr()
contract.m_subcategory = self.readStr()
contract.m_timeZoneId = self.readStr()
contract.m_tradingHours = self.readStr()
contract.m_liquidHours = self.readStr()
if version >= 8:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 7:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
while i < secIdListCount:
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
if version >= 3:
reqId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
if version >= 4:
contract.m_longName = self.readStr()
if version >= 6:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 5:
if secIdListCount > 0:
contract.m_secIdList = []
while i < secIdListCount:
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
if version >= 7:
reqId = self.readInt()
# read contract fields
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 9:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
if version >= 8:
exec_.m_orderRef = self.readStr()
if version >= 9:
exec_.m_evRule = self.readStr()
exec_.m_evMultiplier = self.readDouble()
self.eWrapper().execDetails(reqId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side,
price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker,
operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType,
newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator = "finished"
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(
reqId, date, open, high, low, close, volume, barCount, WAP,
Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
# send end of dataset marker
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1,
-1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
# int version =
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
# int version =
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close,
volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
# int version =
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
# int version =
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
# int version =
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
# int version =
self.readInt()
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
self.eWrapper().deltaNeutralValidation(reqId, underComp)
elif msgId == self.TICK_SNAPSHOT_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
elif msgId == self.MARKET_DATA_TYPE:
# int version =
self.readInt()
marketDataType = self.readInt()
self.eWrapper().marketDataType(reqId, marketDataType)
elif msgId == self.COMMISSION_REPORT:
# int version =
self.readInt()
commissionReport = CommissionReport()
commissionReport.m_execId = self.readStr()
commissionReport.m_commission = self.readDouble()
commissionReport.m_currency = self.readStr()
commissionReport.m_realizedPNL = self.readDouble()
commissionReport.m_yield = self.readDouble()
commissionReport.m_yieldRedemptionDate = self.readInt()
self.eWrapper().commissionReport(commissionReport)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID,
EClientErrors.UNKNOWN_ID.code_(),
EClientErrors.UNKNOWN_ID.msg())
return False
return True
def place_order(order_list):
""" Auto-detects which args should be assigned to a new Contract or Order, then use to place order.
Makes use of globals to set initial values, but allows args to override (ie clientId)
To modify and order, the following parameters are needed (IB won't complain if some of these are missing, but the
order update won't succeed):
* orderId
* exchange
* totalQuantity
* secType
* action
* orderType AND related paramters (ie TRAIL needs trailingPercent)
* symbol
* currency
* exchange
"""
log.debug('Starting place_order with args_list: {}'.format(order_list))
client = connection.get_client(0)
if client is None:
connection.close_client(client)
return g.error_resp[-2]
elif client.isConnected() is False:
return g.error_resp[-1]
# To allow for bracketed orders (or processing a string of orders in a single request), we expect args to be a list
if not isinstance(order_list, list):
order_list = [order_list]
parentId = None
order_ids = set()
dont_wait_order_ids = set(
) # Some orders aren't worth waiting for responses on
for args in order_list:
# If an orderId was provided, we'll be updating an existing order, so only send attributes which are updatable:
# totalQuantity, orderType, symbol, secType, action
# TODO consider casting unicode to utf-8 here. Otherwise we get error(id=1, errorCode=512, errorMsg=Order Sending Error - char format require string of length 1)
# log.debug('Processing args from order_list: {}'.format(args))
orderId = args.get('orderId', None)
if orderId is None:
orderId = g.orderId
g.orderId += 1
order_ids.add(orderId)
if 'goodAfterTime' in args:
dont_wait_order_ids.add(orderId)
contract = Contract()
order = Order()
# Populate contract with appropriate args
for attr in dir(contract):
if attr[:2] == 'm_' and attr[2:] in args:
setattr(contract, attr, args[attr[2:]])
# Populate order with appropriate
order.m_clientId = client.clientId
for attr in dir(order):
if attr[:2] == 'm_' and attr[2:] in args:
setattr(order, attr, args[attr[2:]])
# If this is a bracketed order, we'll need to add in the parentId for children orders
if parentId:
order.m_parentId = parentId
log.debug(
'Placing order # {} on client # {} (connected={}): {}'.format(
orderId, client.clientId, client.isConnected(), args))
client.placeOrder(orderId, contract, order)
# Assume our 1st order in the list is the parent. Use this for remaining bracket orders and also error handling
if not parentId:
parentId = orderId
log.debug('Setting child order parentId={}'.format(parentId))
log.debug('Ignoring responses for these orderIds: {}'.format(
dont_wait_order_ids))
order_ids = order_ids - dont_wait_order_ids
# Don't look for order status or errors until we actually transmit the last order, but then look for status for
# all order_ids
timeout = g.timeout
resp = wait_for_responses(order_ids, client, timeout)
connection.close_client(client)
return resp
def place_order_oca(order_list):
""" Places a Bracket-like OCA set of orders.
The 1st item in `order_list` is to open a position, and all remaining orders in list
are an OCA group to close the position. IBREST creates the OCA group name by using the orderId.
Auto-detects which args should be assigned to a new Contract or Order, then use to place order.
Makes use of globals to set initial values, but allows args to override (ie clientId)
To modify and order, the following parameters are needed (IB won't complain if some of these are missing, but the
order update won't succeed):
* orderId
* exchange
* totalQuantity
* secType
* action
* orderType AND related paramters (ie TRAIL needs trailingPercent)
* symbol
* currency
* exchange
Setting `oca` to True implies
"""
log.debug('Starting place_order_oca with args_list: {}'.format(order_list))
client = connection.get_client(0)
if client is None:
connection.close_client(client)
return g.error_resp[-2]
elif client.isConnected() is False:
return g.error_resp[-1]
# To allow for bracketed orders (or processing a string of orders in a single request), we expect args to be a list
if not isinstance(order_list, list):
log.error('place_order_oca requires list of orders')
return
# Our 1st order in the list opens a position. The rest close it, but are only placed once the 1st order is Filled.
oca_list = []
ocaGroup = None
order_ids = set()
dont_wait_order_ids = set(
) # Some orders aren't worth waiting for responses on
for args in order_list:
# If an orderId was provided, we'll be updating an existing order, so only send attributes which are updatable:
# totalQuantity, orderType, symbol, secType, action
# TODO consider casting unicode to utf-8 here. Otherwise we get error(id=1, errorCode=512, errorMsg=Order Sending Error - char format require string of length 1)
# log.debug('Processing args from order_list: {}'.format(args))
orderId = args.get('orderId', None)
if orderId is None:
orderId = g.orderId
g.orderId += 1
if 'goodAfterTime' in args:
dont_wait_order_ids.add(orderId)
contract = Contract()
order = Order()
# Populate contract with appropriate args
for attr in dir(contract):
if attr[:2] == 'm_' and attr[2:] in args:
setattr(contract, attr, args[attr[2:]])
# Populate order with appropriate
order.m_clientId = client.clientId
for attr in dir(order):
if attr[:2] == 'm_' and attr[2:] in args:
setattr(order, attr, args[attr[2:]])
# If this is a bracketed order, we'll need to add in the ocaGroup for children orders
if ocaGroup:
# Use our ocaGroup as the OCA group name.
# The 1st order won't have this because its an Open order
# All remaining orders are Close orders in an OCA group, which we'll store to file for later use
order_ids.add(orderId)
order.m_ocaType = 1
order.m_ocaGroup = str(ocaGroup)
oca_list.append((orderId, contract, order))
# Don't actually place this OCA order just yet
continue
log.debug(
'Placing Open order # {} on client # {} (connected={}): {}'.format(
orderId, client.clientId, client.isConnected(), args))
client.placeOrder(orderId, contract, order)
# Assume our 1st order in the list is the parent. Use this for remaining bracket orders and also error handling
if not ocaGroup:
ocaGroup = orderId
log.debug('Setting ocaGroup={}'.format(ocaGroup))
# The only response for placing an order is an error, so we'll check for open orders and wait for this orderId or
# and error to show up.
# At this point, our Open order has been placed. Look for it to be Filled, then place OCA orders.
# The User must set a goodTillDate on their open order to keep it from filling >1min into the future, or else this
# function will have given up waiting for it to be filled, and not set the closing OCA group.
resp = dict()
timeout = 60 / 0.25
order_ids = order_ids - dont_wait_order_ids
# Make a 1-item set representing our Open postion order
oca_set = set([ocaGroup])
resp['open_resp'] = wait_for_responses(oca_set, client, timeout,
['Filled'])
# Our open order is filled, so now place our OCA group close orders
log.debug(
'Placing OCA group of {} orders, ignoring responses for these orderIds: {}'
.format(len(oca_list), dont_wait_order_ids))
for o in oca_list:
client.placeOrder(*o)
# Now get responses for these new OCA orders
resp['close_resp'] = wait_for_responses(order_ids, client, timeout)
connection.close_client(client)
return resp
def kv2contract(m_contract):
newContract = Contract()
map(lambda x: newContract.__setattr__(x, m_contract[x].encode('ascii') if type(m_contract[x]) == unicode else m_contract[x]), m_contract.keys())
return newContract
def get_eod_options(
self,
contract_=Contract(),
eod_or_bod=True, # EOD or BOD options?
whatToShow_='MIDPOINT',
endDateTime_=datetime.datetime.now(),
numOfWeeks_=1,
sameContract_=False):
"""
The method returns EOD (3 min before close) and BOD data for options. It uses a different handler
Contract: Specifies the contract we are querying. ib.ext.Contract
eod_or_bod: end of the day or beginning of the day. Boolean
whatToShow: TRADE, MIDPOINT, BID, ASK, BID_ASK. From IB, string.
endDateTime_: The last datetime that you would like to be queried. string in the right format
numOfWeeks_: number of weekes we are iterating over. int
sameContract_: For storage purposes, if it is indeed the same contract then get_conId would return the same id
"""
# First step is to define a dictionary whill will be populated by IB API
con = ibConnection(port=4001, clientId=998)
#con.registerAll(self.watcher)
#con.register(self.my_hist_data_handler, message.historicalData)
#con.register(self.my_hist_option_eod_handler, message.historicalData)
if eod_or_bod:
con.register(self.my_hist_option_eod_handler,
message.historicalData)
else:
con.register(self.my_hist_option_bod_handler,
message.historicalData)
# Setting up the connection
con.connect()
# First we should clean up the temporary dataframe of ours
if not self.hist_data.empty:
self.hist_data.drop(range(self.hist_data.shape[0]), inplace=True)
# Putting the request in
weekEnd = endDateTime_
for i in xrange(numOfWeeks_):
con.reqHistoricalData(
tickerId=i,
contract=contract_,
endDateTime=weekEnd.strftime("%Y%m%d %H:%M:%S %Z"),
durationStr='1 W',
barSizeSetting='3 mins',
whatToShow=whatToShow_,
useRTH=0,
formatDate=1)
sleep(2)
print ' - Iteration %s Completed - ' % i
weekEnd = weekEnd - datetime.timedelta(days=7)
# Sleep
sleep(1)
# Canceling the request
con.cancelHistoricalData(tickerId=1)
# Adding One Thing Before Storing The Contract
self.hist_data['whatToShow'] = whatToShow_
self.hist_data['Ticker'] = contract_.m_symbol
self.hist_data.date = pd.to_datetime(self.hist_data.date)
# Storing The Data
conId = self.get_conId(sameContract=sameContract_)
self.store_historical_data(contract_, conId)
# Disconnecting
print('Disconnected', con.disconnect())
def __init__(self):
self.m_summary = Contract()
self.m_minTick = 0
self.m_underConId = 0
def __init__(self):
""" generated source for method __init__ """
self.m_summary = Contract()
self.m_minTick = 0
self.m_underConId = 0
self.m_evMultiplier = 0
def historical_data_handler(msg):
# The response data callback function
# print (msg.reqId, msg.date, msg.open, msg.close, msg.high, msg.low)
print(msg)
if __name__ == '__main__':
# Establish IB connection, make sure you have the correct port, clientId
conn = ibConnection(host='127.0.0.1', port=7497, clientId=999)
# Register the response callback function and type of data to be returned
conn.register(historical_data_handler, message.historicalData)
conn.registerAll(all_message_handler)
conn.connect()
# Establish a Contract object and the params for the request
req = Contract()
req.m_secType = "CFD"
req.m_symbol = "IBDE30"
req.m_currency = "EUR"
req.m_exchange = "SMART"
req.m_primaryExch = "SMART"
endtime = strftime('%Y%m%d %H:%M:%S')
conn.reqHistoricalData(1, req, endtime, "14 D", "1 min", "BID", 1, 1)
# Make sure the connection don't get disconnected prior the response data return
sleep(5)
conn.disconnect()
def _create_contract(symbol):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = 'STK'
return contract
contract.m_secType = sec_type
contract.m_exchange = exch
contract.m_primaryExch = prim_exch
contract.m_currency = curr
return contract
def create_order(order_type, quantity, action):
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
contract = Contract()
contract.symbol = "FISV"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
class TestWrapper(wrapper.EWrapper):
def historicalData(self, reqId: TickerId, date: str, open: float,
high: float, low: float, close: float, volume: int,
barCount: int, WAP: float, hasGaps: int):
super().historicalData(reqId, date, open, high, low, close, volume,
barCount, WAP, hasGaps)
print("HistoricalData. ", reqId, " Date:", date, "Open:", open,
"High:", high, "Low:", low, "Close:", close, "Volume:", volume,
barCount, "WAP:", WAP, "HasGaps:", hasGaps)
from ib.opt import Connection
from ib.ext.Contract import Contract
import time
import csv
Equity = Contract()
Equity.m_secType = 'Stk'
Equity.m_exchange = 'Smart'
Equity.m_currency = 'USD'
EquityList = ['XOM', 'JNJ', 'BRK B', 'JPM','GE','T','WFC','BAC','PG','CVX','VZ','PFE','MRK','HD','C','KO','DIS','V','UNH','PEP','PM','IBM','MO','SLB','ORCL','MMM','MDT','MA','WMT','MCD','ABBV','BMY','BA','HON','CVS','SPY']
PriceList = []
PriceData = csv.writer(open('/home/ori/price.csv','wb'))
def print_message_from_ib(msg):
print(msg)
def savepx(msg):
if msg.field == 4:
PriceList.insert(msg.tickerId,msg.price)
def main():
conn = Connection.create(port=7496,clientId=999)
conn.registerAll(print_message_from_ib)
conn.connect()
count = 0
for ticker in EquityList:
Equity.m_symbol = ticker
conn.register(savepx,'TickPrice')# move this out of loop, just do it once
conn.reqMktData(count,Equity,225,True)#true snapshot
def reqMktData(self):
contract = Contract() #
contract.m_symbol = 'QQQQ'
contract.m_secType = 'STK'
contract.m_exchange = 'SMART'
self.connection.reqMktData(1, contract, '', False)
def _make_stock_contract(self, symbol):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = 'STK'
contract.m_exchange = 'SMART/ISLAND'
return contract
def __init__(self, currency, strategy=None, frequency=60):
"""
initialize function
:param currency: str, fx pair to trade, e.g. 'EUR'
:param strategy: function(parameter contains self), execution strategy
:param frequency: int, how many seconds to run strategy
"""
# store parameters
self.currency = currency
self.strategy = strategy
self.frequency = frequency
# create contract
self.__contract = Contract()
self.__contract.m_symbol = currency
self.__contract.m_secType = 'CASH'
self.__contract.m_exchange = 'IDEALPRO'
self.__contract.m_primaryExch = 'IDEALPRO'
self.__contract.m_currency = 'USD'
# create empty order
self.__order = Order()
# connect to IB and register callback function
self.conn = Connection.create(port=7497, clientId=1994)
self.conn.connect()
# self.conn.registerAll(self.reply_handler)
self.conn.register(self.error_handler, message.Error)
self.conn.register(self.bar_handler, message.realtimeBar)
self.conn.register(self.snapshot_handler, message.tickPrice)
self.conn.register(self.valid_id_handler, message.nextValidId)
self.conn.register(self.time_handler, message.currentTime)
self.conn.register(self.open_order_handler, message.orderStatus)
self.conn.register(self.position_handler, message.position)
self.conn.register(self.market_depth_handler, message.updateMktDepth)
# get valid request ID and order ID
self.__req_id = 1
self.__order_id = 1
self.conn.reqIds(1)
# initialise other variables
self.debug = False
self.stop_ind = False
self.order_time = None
self.current_time = None
self.position = 0
self.errors = []
self.bar_data = pd.DataFrame(
columns=['DATETIME', 'OPEN', 'CLOSE', 'HIGH', 'LOW'])
self.bid_price = None
self.ask_price = None
self.open_orders = {}
self.min_price = MIN_PRICE[currency]
# request real time data
self.conn.reqRealTimeBars(tickerId=self.__req_id,
contract=self.__contract,
barSize=5,
whatToShow='MIDPOINT',
useRTH=1)
self.__req_id += 1
self.conn.reqMktDepth(tickerId=self.__req_id,
contract=self.__contract,
numRows=1)
self.__req_id += 1
def my_callback_handler(msg):
#for reference on this /home/deep/development/IbPy/ib/ext/TickType
#another class method tt.getField(msg.field)
if msg.field in [
tt.BID, tt.ASK, tt.LAST, tt.HIGH, tt.LOW, tt.OPEN, tt.CLOSE
]:
print tt.getField(msg.field), msg.price
elif msg.field in [
tt.BID_SIZE, tt.ASK_SIZE, tt.LAST_SIZE, tt.VOLUME, tt.AVG_VOLUME
]:
print tt.getField(msg.field), msg.size
elif msg.field in [tt, LAST_TIMESTAMP]:
print tt.getField(msg.field), msg.time
tws = ibConnection()
tws.register(my_callback_handler, message.tickSize, message.tickPrice)
tws.connect()
c = Contract()
c.m_symbol = "KSCL"
c.m_secType = "STK"
c.m_exchange = "NSE"
c.m_currency = "INR"
tws.reqMktData(5, c, "", False)
sleep(10000000)
print 'All done'
tws.disconnect()
m_totalQuantity = 0
m_orderType = ""
m_lmtPrice = float()
m_auxPrice = float()
'''
order.m_lmtPrice = price
order.m_orderType = order_type
order.m_totalQuantity = qty
order.m_action = action
# more functionalities....
return order
# In[23]:
ng = Contract()
ng.m_symbol = "CN"
ng.m_secType = "FUT"
ng.m_exchange = "SGX"
ng.m_expiry = "20161129"
ng.m_currency = "USD"
ng.m_multiplier = 1
ng.m_tradingClass = "CN"
# In[24]:
TWS = tws(ng)
# In[25]:
TWS.connect()
def processMsg(self, msgId):
if (msgId == -1):
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
canAutoExecute = 0
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price, canAutoExecute)
if version >= 2:
sizeTickType = -1
if tickType == 1:
sizeTickType = 0
elif tickType == 2:
sizeTickType = 3
elif tickType == 4:
sizeTickType = 5
if (sizeTickType != -1):
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
size = self.readInt()
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0:
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1:
delta = Double.MAX_VALUE
modelPrice = float()
pvDividend = float()
if (tickType == TickType.MODEL_OPTION):
modelPrice = self.readDouble()
pvDividend = self.readDouble()
else:
modelPrice = pvDividend = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, modelPrice, pvDividend)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuturesPrice, holdDays, futureExpiry, dividendImpact, dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
parentId = 0
if version >= 3:
parentId = self.readInt()
lastFillPrice = 0
if version >= 4:
lastFillPrice = self.readDouble()
clientId = 0
if version >= 5:
clientId = self.readInt()
whyHeld = None
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
accountName = None
if version >= 4:
accountName = self.readStr()
if (version == 6) and (self.m_parent.serverVersion() == 39):
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
version = self.readInt()
order = Order()
order.m_orderId = self.readInt()
contract = Contract()
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
order.m_lmtPrice = self.readDouble()
order.m_auxPrice = self.readDouble()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = (self.readInt() == 1)
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDouble()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDouble()
order.m_stockRefPrice = self.readDouble()
order.m_delta = self.readDouble()
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_displaySize = self.readInt()
if version < 18:
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readInt()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDouble()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDouble()
order.m_volatilityType = self.readInt()
if (version == 11):
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = "NONE" if (receivedInt == 0) else "MKT"
else:
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDouble()
order.m_continuousUpdate = self.readInt()
if (self.m_parent.serverVersion() == 26):
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDouble()
if version >= 14:
order.m_basisPoints = self.readDouble()
order.m_basisPointsType = self.readInt()
contract.m_comboLegsDescrip = self.readStr()
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order, orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
## for-while
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance, benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
orderId = self.readInt()
contract = Contract()
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
self.eWrapper().execDetails(orderId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side, price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker, operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType, newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
version = self.readInt()
reqId = self.readInt()
startDateStr = ""
endDateStr = ""
completedIndicator = "finished"
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
## for-while
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(reqId, date, open, high, low, close, volume, barCount, WAP, Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
version = self.readInt()
xml = self.readStr()
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close, volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(), EClientErrors.UNKNOWN_ID.msg())
return False
return True
def get_ratios(stocks, cols):
dl = Downloader()
c = Contract()
#Create empty list to store data
l = []
# Loop over list of stocks
idx = 0
for x in stocks:
idx += 1
for _ in range(5):
c.m_symbol = x
c.m_secType = 'STK'
c.m_exchange = 'SMART'
c.m_currency = 'USD'
# sleep(1)
dl.requestData(c)
sleep(1)
m0 = str(x)
m = dl.tickType47value
sleep(1)
if dl.tickType47value:
row = []
row.append(m0)
row.append(m)
dl.cancelData()
# sleep(0.5)
r = row[1].split(';')
dic = {}
dic['Symbol'] = row[0]
for i in r:
item = i.split('=')
if len(item) > 1:
dic[item[0]] = item[1]
if item[1] == '-99999.99':
dic[item[0]] = 0
l.append(dic)
print(row[0], ' Added ', idx, '/', len(stocks))
break
dl.cancelData()
# sleep(0.5)
if cols != None:
df = pd.DataFrame(l)[cols]
#print(df)
return df
# df = get_ratios(['AAL','WYNN','SIX','MGM','MAR','HLT','WYND'],['Symbol','APENORM','AROAPCT','AROIPCT','BETA','DIVGRPCT','EPSTRENDGR','PR52WKPCT','PRICE2BK','QCURRATIO','QLTD2EQ','QPR2REV','QQUICKRATI','QTOTD2EQ','REVTRENDGR','TTMGROSMGN','TTMINTCOV','TTMNIPEREM','TTMOPMGN','TTMPAYRAT','YIELD','YLD5YAVG'])
# print(df)
# df = float(get_ratios(['AAPL'],['YIELD']).iloc[0])
#
# print(df)
cnx.commit()
Flag = 1
logger.debug('Flag set to %s', Flag)
print(Flag)
return (Flag)
while Flag == 0:
logger.debug('Flag set to %s', Flag)
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
time.sleep(1)
qqq = Contract()
qqq.m_symbol = Table
qqq.m_secType = 'STK'
qqq.m_exchange = 'SMART:ISLAND'
qqq.m_currency = 'USD'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'TRADES', 0, 1)
logger.debug('Returned from Reply Handler')
time.sleep(1) #give IB time to send us messages
logger.debug('Disconnecting from Server')
conn.disconnect()
logger.debug('Finished Daily OHLC')
def contract_to_dict(contract):
"""Convert an IBPy Contract object to a dict containing any non-default values."""
default = Contract()
return {field: val for field, val in vars(contract).items() if val != getattr(default, field, None)}
