def __init__(self, name='broker'):
""" initialize broker class
"""
self.name = name
self.log = logger.getLogger(self.name)
self.log.debug('Initializing broker. Pandas version={0}'.format(pandas.__version__))
self.contracts = {} # a dict to keep track of subscribed contracts
self.tws = ibConnection() # tws interface
self.nextValidOrderId = None
self.dataModel = Subscriptions(self.tws) # data container
self.tws.registerAll(self.defaultHandler)
#self.tws.register(self.debugHandler,message.TickPrice)
self.tws.register(self.nextValidIdHandler, 'NextValidId')
self.log.debug('Connecting to tws')
self.tws.connect()
self.tws.reqAccountUpdates(True, '')
def main():
#connect
# conn = Connection.create(port=7497,clientId=4)
conn = ibConnection()
conn.registerAll(print_message_from_ib)
conn.unregister(print_message_from_ib, message.tickSize, message.tickPrice,
message.tickString, message.tickOptionComputation)
conn.register(my_BidAsk, message.tickPrice)
conn.connect()
print("test:", Gbid)
##get contract
newContract = Contract()
newContract.m_symbol = 'EUR' #買入物
newContract.m_secType = 'CASH' #股票,外匯
newContract.m_exchange = 'IDEALPRO' #交易所
newContract.m_currency = 'USD' #交易貨幣
tickID = 3
conn.reqMktData(tickID, newContract, '', False)
# print(message.tickPrice.price)
#test = 1.17363
#if( Gbid > test ):
#orderID = 104
#mktOrder = Order()
#mktOrder.m_totalQuantity = 100
#mktOrder.m_orderType = 'LMT'
#mktOrder.m_action = 'BUY'
#mktOrder.m_lmtPrice = Gbid + 0.001
#conn.placeOrder(orderID,newContract,mktOrder)
time.sleep(1)
conn.disconnect()
def request_market_data(self, timeframe, interval, symbol, sectype, \
exchange, currency=None, expiry=None, \
primexch=None, latestdate=None):
# Establish a connection
sys.stdout.write("\nCalling connection\n")
connection = ibConnection()
connection.register(self.ibhndl.my_callback_handler, \
message.historicalData)
connection.connect()
#Contract
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = sectype
contract.m_exchange = exchange
contract.m_currency = currency
if primexch:
contract.m_primaryExch = primexch
if expiry:
contract.m_expiry = expiry
# Get historical data
rtnData = self.ibhndl.reqHistoricalData(contract, interval, connection,\
timeframe, latestdate)
connection.disconnect()
if not rtnData[0]:
sys.stderr.write("ERROR: No data return for %s : %s\n" % (symbol,\
interval))
return rtnData, ""
dateList = list()
stockFile = list()
for data, volume in zip(rtnData[0], rtnData[1]):
dateList = dateList + [data[0]]
dataStr = '%s, %s, %s, %s, %s, %s' % \
(strftime("%Y-%m-%d %H:%M:%S", \
localtime(int(str(data[0]))/1000)), data[1], \
data[2], data[3], data[4], str(volume[1]))
stockFile = stockFile + [dataStr]
convertStr = '%Y-%m-%d %H:%M:%S'
date, _, _, _, closep, volume = \
np.loadtxt(stockFile, delimiter=',', unpack=True, \
converters={0:mdates.strpdate2num(convertStr)})
#PATTERNS
retpat = []
try:
patterndb = PatternDB()
patterndb.add(HS())
patterndb.add(IHS())
retpat = patterndb.check(closep[-60:], date[-60:])
except Exception, excp:
sys.stderr.write("ERROR: PATTERNS failed with exception " \
"%s\n" % excp)
def connect(self):
self._con = ibConnection()
self._con.registerAll(self.watcher)
self._con.unregister(self.watcher, 'ContractDetails', 'ContractDetailsEnd', 'TickPrice', 'TickSize', 'TickString', 'TickGeneric')
self._con.register(self.tick_price_hander, 'TickPrice')
self._con.register(self.tick_snapshot_end_handler, 'TickSnapshotEnd')
self._con.connect()
def __init__(self, host='localhost', port=4001,
client_id=130, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(seconds=60)):
self.moving_window_period = moving_window_period
# self.chart = Chart()
self.ib_util = IBUtil()
# Store parameters for this model
# self.strategy_params = StrategyParameters(evaluation_time_secs,
# resample_interval_secs)
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.ohlc = None # I need another store for minute data (I think)
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
#addition for hdf store
self.data_path = os.path.normpath("/Users/maxime_back/Documents/avocado/data.csv")
self.ohlc_path = os.path.normpath("/Users/maxime_back/Documents/avocado/ohlc.csv")
self.last_trim = dt.datetime.now()
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
def tick_csv(self):
#linked to button "csv"
connected = varCon.get()
#init variables
self.bid = None
self.bidsz = None
self.ask = None
self.asksz = None
#create csv
init_time = time.strftime("%d-%m-%Y_%H'%M'%S")
security = varSymbol.get()
myFile = "data/Tick/EUR." + str(security) + "_" + str(
init_time) + ".txt"
#create csv header
csvheader = ["Time", "Bid", "Bidsize", "Ask", "Asksize"]
f = open(str(myFile), "w+")
self.writer = csv.writer(f, delimiter=' ')
self.writer.writerow(csvheader)
#check if connected
if connected:
self.disconnect()
self.led_off()
connected = TRUE
self.led_on()
#establish connection
self.con = ibConnection(port=myPort, clientId=myclientId)
self.con.register(self.error_handler, message.Error)
self.con.register(self.nextValidId_handler, message.nextValidId)
self.con.register(self.BidAsk, message.tickPrice, message.tickSize)
self.con.connect()
def __init__(
self, data_handler, position_handler, portfolio_handler, account,
gmail_and_password=None
):
"""Initialize parameters of the Interactive Brokers Portfolio."""
super(InteractiveBrokersPortfolio, self).__init__(
data_handler, position_handler, portfolio_handler
)
# Set the account identifier for this portfolio. This should correspond
# to either the live trading account or the paper trading account.
self.account = account
# Now create connections to the Trader Workstation.
self.conn = ibConnection(
clientId=IB.portfolio_id.value, port=IB.port.value
)
self.conn.register(
self.__update_portfolio_handler, message.updatePortfolio
)
self.conn.register(self.__error_handler, message.error)
if not self.conn.connect():
raise ValueError(
"Odin was unable to connect to the Trader Workstation."
)
# If we want to receive email notifications that trades have been
# filled, then we provide the gmail account and its password.
self.gmail_and_password = gmail_and_password
def get_market_depth(self, contract_=Contract(), numRows_=5):
"""
This mathod helps to get the depth of the market before placing an order
"""
# 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_market_depth_handler, 'UpdateMktDepth')
# Setting up the connection
con.connect()
# Cleaning up the market depth
self.market_depth.drop(range(self.market_depth.shape[0]), inplace=True)
self.market_depthL2.drop(range(self.market_depthL2.shape[0]),
inplace=True)
self.all_market_depth.drop(range(self.all_market_depth.shape[0]),
inplace=True)
self.all_market_depthL2.drop(range(self.all_market_depthL2.shape[0]),
inplace=True)
# Requesting the market depth
con.reqMktDepth(1, contract_, numRows_)
# Sleep
sleep(1)
# Canceling the request
con.cancelMktDepth(tickerId=1)
# Storing The Data
# ...
# Disconnecting
print('Disconnected', con.disconnect())
def __init__(self):
self.tws = ibConnection(port=4001, clientId=999)
self.tws.register(self.bidaskHandler, message.tickPrice)
# ib poses a ~1min/req rate limit on updateAccountValue and orderStatus
self.tws.register(self.accountHandler, message.updateAccountValue)
self.tws.register(self.portfolioHandler, message.updatePortfolio)
self.tws.register(self.orderStatusHandler, message.orderStatus)
self.tws.register(self.openOrderHandler, message.openOrder)
self.tws.register(self.validIdHandler, message.nextValidId)
self.tws.register(self.serverTimeHandler, message.currentTime)
self.tws.connect()
self.netliq = []
self.pSym = []
self.pSiz = []
self.pVal = []
self.bids = []
self.asks = []
self.openOrderIds = []
self.openParentIds = []
self.openAuxPrices = [] # stop prices
self.reqId = 0
self.orderId = []
self.server_time = [
] # used to ping IB periodically in case of lost connection
def get_updates(self):
"""
This method helps us to get the historical data. It is not written in the most optimal way yet.
"""
# First step is to define a dictionary whill will be populated by IB API
con = ibConnection(port=4001, clientId=998)
con.register(self.my_acct_handler, 'UpdateAccountValue')
con.register(self.my_tick_handler, message.tickPrice, message.tickSize)
con.register(self.my_hist_data_handler, message.historicalData)
# Setting up the connection
con.connect()
# Defining the contract
aapl = Contract()
aapl.m_symbol = 'AAPL'
aapl.m_secType = 'STK'
aapl.m_exchange = 'SMART'
# con.reqMktData(1, aapl, '', False)
# con.reqHistoricalData(tickerId=1,
# contract=aapl,
# endDateTime=datetime.datetime.today().strftime("%Y%m%d %H:%M:%S %Z"),
# durationStr='1 Y',
# barSizeSetting='1 day',
# whatToShow='MIDPOINT',
# useRTH=0,
# formatDate=1)
# Sleep
sleep(5)
# Disconnecting
print('Disconnected', con.disconnect())
def get_execution(self, executionFilter_=ExecutionFilter()):
"""
Getting the details of the execution within the past 24 hours. Commission reports as well
An executionFilter needs to be passed in
"""
# First step is to define a dictionary will will be populated by IB API
con = ibConnection(port=4001, clientId=999)
# Registering Handlers
#con.registerAll(self.watcher)
con.register(self.my_execution_handler, message.execDetails)
con.register(self.my_commission_handler, message.commissionReport)
con.register(self.my_execution_end, message.execDetailsEnd)
# Setting up the connection
con.connect()
# Cleaning up the this_execution first
if not self.this_execution.empty:
self.this_execution.drop(range(self.this_execution.shape[0]),
inplace=True)
# Cleaning up the this_execution first
if not self.this_commission.empty:
self.this_commission.drop(range(self.this_commission.shape[0]),
inplace=True)
# Asking the execution details
#filter_in = self.make_exec_filter(secType = 'BAG')
con.reqExecutions(1, executionFilter_)
sleep(5)
# Disconnecting
print('Disconnected', con.disconnect())
def __init__(self):
"""Initialize parameters of the Interactive Brokers price handler
object.
"""
super(InteractiveBrokersPriceHandler, self).__init__()
self.conn = ibConnection(clientId=IB.data_handler_id.value,
port=IB.port.value)
self.conn.register(self.__tick_price_handler, message.tickPrice)
if not self.conn.connect():
raise ValueError(
"Odin was unable to connect to the Trader Workstation.")
# Set the target field to download data from.
today = dt.datetime.today()
open_t, close_t = dt.time(9, 30), dt.time(16)
cur_t = today.time()
# If today is a weekday and the timing is correct, then we use the most
# recently observed price. Otherwise we use the close price.
if today.weekday() < 5 and cur_t >= open_t and cur_t <= close_t:
self.field = TickType.LAST
else:
self.field = TickType.CLOSE
# Initialize a pandas panel to store the price data.
self.bar = pd.Panel(items=[PriceFields.current_price.value])
def __init__(self, contract, date, t, bar_size='5 mins', duration='1 D', rth=1, outfile='none'):
self.outfile = outfile
self.headings = ['date', 'time', 'open', 'high', 'low', 'close', 'volume', 'count', 'WAP', 'hasGaps']
self.bars = []
self.contract = contract
self.date = date
self.t = t
self.bar_size = bar_size
self.duration = duration
self.rth = rth
self.tick_id = 1
self.con = ibConnection(host = 'localhost', port = 7496, clientId = 139)
self.con.registerAll(self.all_msgs)
self.con.register(self.incoming_bars, message.historicalData)
self.con.connect(); time.sleep(1)
end_datetime = ('%s %s US/Eastern' % (self.date, self.t))
self.con.reqHistoricalData(tickerId=self.tick_id, contract=self.contract, endDateTime=end_datetime,
durationStr=self.duration, barSizeSetting=self.bar_size,
whatToShow='TRADES', useRTH=self.rth, formatDate=1)
self.finished = False
while not self.finished: # loop here until self._incoming_bars() finishes
pass
self.con.cancelHistoricalData(self.tick_id); time.sleep(1)
self.con.disconnect(); time.sleep(1)
self.bars = pd.DataFrame(self.bars, columns=self.headings)
if self.outfile != 'none':
self.bars.to_csv(self.outfile, cols=self.headings)
def __init__(self, config):
self.config = config
config = ConfigParser.ConfigParser()
config.read("config/app.cfg")
host = config.get("market", "ib.gateway").strip('"').strip("'")
port = int(config.get("market", "ib.port"))
appid = int(config.get("market", "ib.appid.portfolio"))
r_host = config.get("redis", "redis.server").strip('"').strip("'")
r_port = config.get("redis", "redis.port")
r_db = config.get("redis", "redis.db")
self.r_conn = redis.Redis(r_host, r_port, r_db)
self.con = ibConnection(host, port, appid)
self.con.registerAll(self.on_ib_message)
#self.con.registerAll(self.xyz)
self.cal_greeks_settings['rate'] = config.get("market", "portfolio.cal.param.rate")
self.cal_greeks_settings['div'] = config.get("market", "portfolio.cal.param.div")
self.rs_port_keys['port_conid_set'] = config.get("redis", "redis.datastore.key.port_conid_set").strip('"').strip("'")
self.session_id = self.gen_session_id()
logging.info("********** Starting up portfolio-ex manager")
logging.info("********** session id preix is [%s], this id is prepended to every key in the redis db" % self.session_id)
logging.info("**********")
logging.info("********** clear the redis datastore for all records that start with this session id [%s]" % self.session_id)
self.clear_redis_portfolio()
def __init__(self):
options = get_options()
basicConfig()
self.connection = ibConnection(options.host, options.port,
options.clientid)
self.clientid = options.clientid
self.connection.register(self._reply_next_valid_order_id,
'NextValidId')
self.connection.register(self._update_account_value, 'AccountSummary')
self.connection.register(self._reply_managed_accounts,
'ManagedAccounts')
self.connection.register(self._reply_current_time, 'CurrentTime')
self.connection.register(self._reply_realtime_snapshot,
message.tickPrice, message.tickSize)
self.connection.register(self._reply_place_order, 'OrderStatus')
self.connection.register(self._error_handler, 'Error')
self.connection.register(self._reply_execution_details, 'ExecDetails')
self.connection.registerAll(self._reply_all)
self.ib_account_cash = dict()
self.ib_account_list = list()
self.market_data = dict()
self._requested_tickers = dict()
self.orders = dict()
self._order_events = set()
self._current_time = None
self._time_received_next_valid_order_id = None
self._next_valid_order_id = None
self.messages = list()
self.execution_allocation_msgs = list()
self.execution_allocations = AccountAllocations()
def __init__(self, host='localhost', port=4001,
client_id=101, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(hours=1)):
self.moving_window_period = moving_window_period
self.chart = Chart()
self.ib_util = IBUtil()
# Store parameters for this model
self.strategy_params = StrategyParameters(evaluation_time_secs,
resample_interval_secs)
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
def get_market_value(symbol, sec_type, exchange, currency, expiry, strike,
right):
con = ibConnection()
con.registerAll(watcher)
con.unregister(watcher, message.tickSize, message.tickPrice,
message.tickString, message.tickOptionComputation)
con.register(ticket_price_handler, message.tickPrice)
con.connect()
sleep(1)
tickId = 1
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = sec_type
contract.m_exchange = exchange
contract.m_currency = currency
contract.m_expiry = expiry
contract.m_strike = strike
contract.m_right = right
print('* * * * REQUESTING MARKET DATA * * * *')
con.reqMktData(tickId, contract, '', False)
sleep(2)
print('* * * * CANCELING MARKET DATA * * * *')
con.cancelMktData(tickId)
sleep(0.1)
con.disconnect()
def generate_spx(self, symbol="SPX", exchange="SMART", currency="USD", \
secType="OPT", expiry="20151023",
strikep=None):
""" Function to resemble a main function """
# Establish a connection
sys.stdout.write("\nCalling connection\n")
connection = ibConnection()
connection.registerAll(self.ibhndl.my_callback_handler)
connection.connect()
# Get contract details
contract_values = Contract()
contract_values.m_symbol = symbol
contract_values.m_exchange = exchange
contract_values.m_currency = currency
contract_values.m_secType = secType
contract_values.m_expiry = expiry
if strikep:
contract_values.m_strike = strikep
self.ibhndl.get_contract_details(connection, 1, contract_values)
# Get Market values
self.ibhndl.get_market_data(connection)
if not os.path.isdir(os.path.join('.', 'spx_files')):
os.makedirs('spx_files')
mydir = os.path.join(os.getcwd(), 'spx_files', \
datetime.datetime.now().strftime('%Y-%m-%d_%H-%M-%S'))
os.makedirs(mydir)
OPTIONS.to_csv(os.path.join(mydir, 'Options.csv'))
sys.stdout.write("\n\n")
def start(self):
"""Start the connection and read the realtime bars for the specified
tickers.
"""
# connection and handler
self.connection = ibConnection(
host=self.host,
port=self.port,
clientId=self.client_id)
# registration
self.connection.register( self.ticker_updated, message.RealtimeBar )
# connect
self.connection.connect()
for inx,stock in enumerate(self.stocks):
print "Requesting:\t%d = %s" % (inx,stock)
# create the contract
contract = Contract()
contract.m_symbol = stock
contract.m_secType = 'STK'
contract.m_exchange = self.exchange
contract.m_currency = 'USD'
self.connection.reqRealTimeBars(inx, contract, 5, 'TRADES', False)
def __init__(self):
self.tws = ibConnection(port=4001, clientId=999)
self.tws.register(self.bidaskHandler, message.tickPrice)
# ib poses a ~1min/req rate limit on updateAccountValue and orderStatus
self.tws.register(self.accountHandler, message.updateAccountValue)
self.tws.register(self.portfolioHandler, message.updatePortfolio)
self.tws.register(self.orderStatusHandler, message.orderStatus)
self.tws.register(self.openOrderHandler, message.openOrder)
self.tws.register(self.validIdHandler, message.nextValidId)
self.tws.register(self.serverTimeHandler, message.currentTime)
self.tws.connect()
self.netliq = []
self.pSym = []
self.pSiz = []
self.pVal = []
self.bids = []
self.asks = []
self.openOrderIds = []
self.openParentIds = []
self.openAuxPrices = [] # stop prices
self.reqId = 0
self.orderId = []
self.server_time = [] # used to ping IB periodically in case of lost connection
def create_tws_connection(self):
""" Connect to the TWs running on port 7496, with a clientId of 10.
Need a separate ID for market data connection, if used elsewhere.
"""
tws_conn = ibConnection()
tws_conn.connect()
return tws_conn
def __init__(self, config):
self.config = config
host = config.get("market", "ib.gateway").strip('"').strip("'")
port = int(config.get("market", "ib.port"))
appid = int(config.get("market", "ib.appid.portfolio"))
self.rs_port_keys['port_conid_set'] = config.get("redis", "redis.datastore.key.port_conid_set").strip('"').strip("'")
self.rs_port_keys['port_prefix'] = config.get("redis", "redis.datastore.key.port_prefix").strip('"').strip("'")
self.rs_port_keys['port_summary'] = config.get("redis", "redis.datastore.key.port_summary").strip('"').strip("'")
self.rs_port_keys['port_items'] = config.get("redis", "redis.datastore.key.port_items").strip('"').strip("'")
self.rs_port_keys['acct_summary'] = config.get("redis", "redis.datastore.key.acct_summary").strip('"').strip("'")
self.account_tags = eval(config.get("portfolio", "portfolio.account_summary_tags").strip('"').strip("'"))
self.epc = eval(config.get("portfolio", "portfolio.epc").strip('"').strip("'"))
# instantiate a epc object if the config says so
if self.epc['stream_to_Kafka']:
self.epc['epc'] = EPCPub(config)
r_host = config.get("redis", "redis.server").strip('"').strip("'")
r_port = config.get("redis", "redis.port")
r_db = config.get("redis", "redis.db")
self.r_conn = redis.Redis(r_host, r_port, r_db)
self.con = ibConnection(host, port, appid)
self.con.registerAll(self.on_ib_message)
self.download_states = [False, False]
self.tlock = Lock()
def __init__(self, host='localhost', port=4001,
client_id=101, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(hours=1)):
self.moving_window_period = moving_window_period
self.chart = Chart()
self.ib_util = IBUtil()
# Store parameters for this model
self.strategy_params = StrategyParameters(evaluation_time_secs,
resample_interval_secs)
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
def main(options):
basicConfig()
logging.root.setLevel(verbose_levels.get(options.verbose, ERROR))
options.port
con = ibConnection(options.host, 7497, options.clientid)
# con.registerAll(reply_handler)
con.register(error_handler, 'Error')
con.register(update_account_value, 'AccountSummary')
con.register(my_BidAsk, message.tickPrice, message.tickSize)
con.register(reply_handler, 'UpdateMktDepth')
con.connect()
short_sleep()
request_account_summary(connection=con, options=options)
request_market_data(connection=con, options=options, symbol='GOOG')
request_market_data(connection=con, options=options, symbol='MSFT')
request_market_depth(connection=con, options=options)
#test_000(connection=con, options=options)
#test_003(connection=con, options=options)
#test_999(connection=con, options=options)
sleep(2)
con.eDisconnect()
def __init__(self,account='',limit_adjust_interval = 15, max_adjust_time=5,loglevel = logging.INFO):
self.logger = logging.getLogger('mxIBhandler')
self.logger.setLevel(loglevel)
#logging.basicConfig(format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
self.con = ibConnection()
self.NextOrderID = 100
self.__connected = True
self.available_cash = dict()
self.__updatePortfolioEvent = Event()
self.__updatePortfolioEvent.clear()
self.__OrdersFinished = Event()
self.__OrdersFinished.set()
self.__portfolio = dict()
self.openorders = dict()
self.log = dict()
self.__SyncStockGetOrderID = None
self.__SyncStockGetEvent = Event()
self.__SyncStockGetEvent.set()
self.__SyncStockGetPrice = None
self.__SyncStockGetType = TickTypeBid
self.__SyncStockGetMultipleEvent = Event()
self.__SyncStockGetMultipleEvent.set()
self.__SyncStockGetMultipleType = TickTypeBid
self.__SyncStockGetMultiplePrice = dict()
self.__SyncStockGetMultipleIDs = dict()
self._account = account
self.__MapToOriginalOrderID = dict() #map orderid to unique id
self.__MapToExecuteOrderID = dict()
self.limit_adjust_interval = limit_adjust_interval
self.adjist_limits_thread = None
self.max_adjust_time = datetime.timedelta(minutes=max_adjust_time)
#register callback handlers
self.con.register(self.updateAccountValueHandler, message.updateAccountValue)
self.con.register(self.updatePortfolioHandler, message.updatePortfolio)
self.con.register(self.accountDownloadEndHandler, message.accountDownloadEnd)
self.con.register(self.tickPriceHandler, message.tickPrice)
self.con.register(self.tickSizeHandler, message.tickSize)
self.con.register(self.nextValidIdHandler, message.nextValidId)
self.con.register(self.orderStatusHandler, message.orderStatus)
self.con.register(self.errorHandler, message.error)
self.logger.debug("mxIBhandler connecting...")
self.con.connect()
self.con.reqAccountUpdates(True, self._account)
if not (self.__updatePortfolioEvent.wait(timeout=10) and (self.__connected == True)):
self.logger.error("mxIBhandler connection timeout")
raise IOError("Connection timeout")
else:
self.logger.debug("mxIBhandler connection succesful")
def __init__(self, contract, Id=1, mkt_depth=5, ClientId=512):
self.mkt_data = snapshot()
self.con = ibConnection(clientId=ClientId)
self.contract = contract
self.mkt_depth = mkt_depth
self.Id = Id #orderId, autoincrement.
self.order_book = {}
self.ticker_id = 1
def __init__(self, host='localhost', port=7496, clientid=0):
self.__con = ibConnection(host, port, clientid)
self.__con.registerAll(log_reply_handler)
self.__con.register(save_order_id, 'NextValidId')
self.__con.register(save_tick, 'TickSize', 'TickPrice')
self.__con.register(historical_data_handler, 'HistoricalData')
self.__con.connect()
short_sleep()
def __init__(self,contract,Id=1,mkt_depth=5,ClientId=512):
self.mkt_data = snapshot()
self.con = ibConnection(clientId=ClientId)
self.contract = contract
self.mkt_depth = mkt_depth
self.Id = Id #orderId, autoincrement.
self.order_book = {}
self.ticker_id = 1
def main():
global con
con = ibConnection(port=7497, clientId=1618)
# 7496 for real account, 7497 for paper trader
con.register(marketDataHandler, message.tickPrice)
con.register(contractDetailsHandler, 'ContractDetails')
con.register(historicalDataHandler, message.historicalData)
con.connect()
def __init__(self):
"""__init__ passes the object its first parameters."""
self.con = ibConnection()
self.con.register(self.tickPriceHandler, 'TickPrice')
self.con.registerAll(self.listener)
self.con.connect()
self.tickID = 1
self.recordFile = open('aapl_100.dat', 'a')
def __init__(self):
"""__init__ passes the object its first parameters."""
self.con = ibConnection()
self.con.register(self.tickPriceHandler, 'TickPrice')
self.con.registerAll(self.listener)
self.con.connect()
self.tickID = 1
self.recordFile = open('aapl_100.dat', 'a')
def create_tws_connection(self): """ Connect to the Trader Workstation (TWS) running on usual port of 7496, with clientID 10. The clientID is chosen; two seperate IDs - one for execution connection and market data connection. """ tws_conn = ibConnection() #ibConnection().connect() return tws_conn.connect()
def create_tws_connection(self):
'''
Connect to the Trader Workstation (TWS) running on the usual port of 7496 (7497 for paper trading?), with a
clientId of 10. The clientId is chosen by us and we will need separate IDs for the execution connection and
market data connection, if the market data connection is used elsewhere
'''
tws_conn = ibConnection()
tws_conn.connect()
return tws_conn
def create_tws_connection(self):
"""
Connect to the Trader Workstation (TWS) running on the usual port of 7496, with a clientId of 10.
The clientId is chosen by us and we will need to separate IDs for both the execution connection and market data connection, if the latter is used elsewhere.
"""
tws_conn = ibConnection()
# Perform connection.
tws_conn.connect()
return tws_conn
def create_tws_connection(self):
"""
Connect to the Trader Workstation (TWS) running on the usual port of 7496, with a clientId of 10.
The clientId is chosen by us and we will need to separate IDs for both the execution connection and market data connection, if the latter is used elsewhere.
"""
tws_conn = ibConnection()
# Perform connection.
tws_conn.connect()
return tws_conn
def __init__(self, config):
self.config = config
ibgw = config.get("market", "ib.gateway").strip('"').strip("'")
ibport = config.get("market", "ib.port")
ibid = config.get("market", "ib.appid")
logging.debug("ibgw, port, app id: %s %s %s" % (ibgw, ibport, ibid))
self.con = ibConnection(ibgw, int(ibport), int(ibid))
self.con.registerAll(self.on_ib_message)
def connect(self):
""" connect to tws """
self.tws = ibConnection() # tws interface
self.tws.registerAll(self._defaultHandler)
self.tws.register(self._nextValidIdHandler,'NextValidId')
self.log.debug('Connecting to tws')
self.tws.connect()
self.tws.reqAccountUpdates(True,'')
self.tws.register(self._priceHandler,'TickPrice')
def _connect(self):
self._conn = ibConnection(host=self._opts.twsHost,
port=self._opts.twsPort,
clientId=self._opts.twsClientId)
self._conn.connect()
# Sleep for 1 second.
sleep(1)
print("Connected to IB")
self._connected = True
def connect(self):
""" connect to tws """
self.tws = ibConnection() # tws interface
self.tws.registerAll(self._defaultHandler)
self.tws.register(self._nextValidIdHandler, 'NextValidId')
self.log.debug('Connecting to tws')
self.tws.connect()
self.tws.reqAccountUpdates(True, '')
self.tws.register(self._priceHandler, 'TickPrice')
def create_tws_connection(self):
'''
Connect to the TWS running on the usual port of 7496, with a clientId of 10.
The clientId is chose by us and we will need separate IDs for both the execution connection
and market data connection, if the latter is used elsewhere.
:return: TWS Connection
'''
tws_conn = ibConnection()
tws_conn.connect()
return tws_conn
def __init__(self):
"""
Connection to the IB API
"""
print "Calling connection"
# Creation of Connection class
self.connection = ibConnection()
# Register data handlers
self.connection.registerAll(self.process_messages)
# Connect
self.connection.connect()
def create_tws_connection(self):
"""
Collegamento alla Trader Workstation (TWS) in esecuzione
sulla porta standard 7496, con un clientId di 10.
Il clientId è scelto da noi e avremo bisogno ID separati
sia per la connessione di esecuzione che per la connessione
ai dati di mercato, se quest'ultima è utilizzata altrove.
"""
tws_conn = ibConnection()
tws_conn.connect()
return tws_conn
def testConnection():
""" a simple test to check working of streaming prices etc """
tws = ibConnection()
tws.registerAll(dummyHandler)
tws.connect()
c = createContract('SPY')
tws.reqMktData(1, c, '', False)
sleep(3)
print 'testConnection done.'
def testConnection():
''' a simple test to check working of streaming prices etc '''
tws = ibConnection(clientId=1050)
tws.registerAll(dummyHandler)
tws.connect()
c = mkContract('TSLA')
tws.reqMktData(2,c,'',False)
sleep(3)
print 'testConnection done.'
def testConnection():
''' a simple test to check working of streaming prices etc '''
tws = ibConnection(clientId=1050)
tws.registerAll(dummyHandler)
tws.connect()
c = mkContract('TSLA')
tws.reqMktData(2, c, '', False)
sleep(3)
print 'testConnection done.'
def populate_price():
# open the
con = ibConnection()
con.registerAll(watchAll)
con.unregister(watchAll, message.historicalData)
con.register(printData, message.historicalData)
con.connect()
time.sleep(1)
cursor.execute("select e.eh_sk, e.cik, s.symbol, e.form, YEAR(e.insert_ts) as year, MONTH(e.insert_ts) as month, DAY(e.insert_ts) as day, HOUR(e.insert_ts) as hour, MINUTE(e.insert_ts) as minute, c.industry_id from extract_history e, company c, symbol s where e.cik = c.cik and e.status = 'S' and e.cik = s.cik and e.date_id > s.start_date_id and e.date_id <= s.end_date_id and e.date_id > 8767 and hour(e.insert_ts) < 15 and cast(e.insert_ts as time) > cast('08:30:00' as time) and eh_sk = 1359157 group by cik, year, month, day, hour, minute order by e.insert_ts limit 20")
def newTest(options):
# if we're still here, we should connect
con = ibConnection(options.host, options.port, options.clientid)
con.registerAll(reply_handler)
con.register(save_order_id, 'NextValidId')
con.register(save_tick, 'TickSize', 'TickPrice')
con.connect()
short_sleep()
#test_002(con, options)
test_007(con, options)
#test_009(con, options)
long_sleep()
def testConnection():
""" a simple test to check working of streaming prices etc """
tws = ibConnection()
tws.registerAll(dummyHandler)
tws.connect()
c = createContract('SPY')
tws.reqMktData(1, c, '', False)
sleep(3)
print 'testConnection done.'
def run(self):
host = config.get("market", "ib.gateway").strip('"').strip("'")
port = int(config.get("market", "ib.port"))
appid = int(config.get("market", "ib.appid.portfolio"))
self.con = ibConnection(host, port, appid)
self.con.registerAll(self.on_ib_message)
self.con.connect()
while 1:
self.con.reqAllOpenOrders()
self.reqExecutions()
sleep(2)
def connect(self):
self._con = ibConnection()
self._con.registerAll(self.watcher)
self._con.unregister(self.watcher, 'ContractDetails', 'ContractDetailsEnd', 'TickPrice', 'TickSize', 'TickString', 'TickOptionComputation', 'TickGeneric')
self._con.register(self.contract_details_handler, 'ContractDetails')
self._con.register(self.contract_details_end_handler, 'ContractDetailsEnd')
self._con.register(self.tick_price_hander, 'TickPrice')
self._con.register(self.tick_size_handler, 'TickSize')
self._con.register(self.tick_string_handler, 'TickString')
self._con.register(self.tick_option_computation_handler, 'TickOptionComputation')
self._con.register(self.tick_generic_handler, 'TickGeneric')
self._con.register(self.tick_snapshot_end_handler, 'TickSnapshotEnd')
self._con.connect()
def connect():
global con
con = ibConnection(port=7496, clientId=1618)
# 7496 for real account, 7497 for paper trader
con.registerAll(allMessageHandler)
con.register(accountDetailsHandler, 'UpdateAccountValue')
con.register(positionsHandler, 'UpdatePortfolio')
con.register(accountDetailsEnder, 'AccountDownloadEnd')
con.register(marketDataHandler, message.tickPrice)
con.register(contractDetailsHandler, 'ContractDetails')
con.register(contractDetailsEnder, 'ContractDetailsEnd')
con.register(historicalDataHandler, message.historicalData)
con.connect()
def create_tws_connection(self):
"""
Connect to the Trader Workstation (TWS, IB API using the IbPy ibConnection
object) using the standard port of 7496, with a clientId of 10.
The clientId is chosen by the user and we will need separate IDs for
both the execution connection and the market data connection, if the
latter is also used elsewhere.
"""
tws_conn = ibConnection()
tws_conn.connect()
return tws_conn
def __init__(self, contract, date, t, duration, outfile):
self.outfile = outfile
self.contract = contract
self.date = date
self.t = t
self.duration = str(duration) + ' S'
self.tick_id = 1
self.con = ibConnection()
self.con.register(self.process_data, message.historicalData)
self.con.connect()
time.sleep(1)
end_datetime = ('%s %s US/Eastern' % (self.date, self.t))
self.con.reqHistoricalData(tickerId=self.tick_id, contract=self.contract, endDateTime=end_datetime, durationStr=self.duration, barSizeSetting='5 secs', whatToShow='TRADES', useRTH=0, formatDate=1)
self.data_received = False
def logTicks(contracts,verbose=False):
'''
log ticks from IB to a csv file
Parameters
----------
contracts : ib.ext.Contract objects
verbose : print out all tick events
'''
# check for correct input
assert isinstance(contracts,(list,Contract)) ,'Wrong input, should be a Contract or list of contracts'
#---create subscriptions dictionary. Keys are subscription ids
subscriptions = {}
try:
for idx, c in enumerate(contracts):
subscriptions[idx+1] = c
except TypeError: # not iterable, one contract provided
subscriptions[1] = contracts
tws = ibConnection()
logger = TickLogger(tws,subscriptions)
if verbose: tws.registerAll(printMessage)
tws.connect()
#-------subscribe to data
for subId, c in subscriptions.items():
assert isinstance(c,Contract) , 'Need a Contract object to subscribe'
tws.reqMktData(subId,c,"",False)
#------start a loop that must be interrupted with Ctrl-C
print('Press Ctr-C to stop loop')
try:
while True:
time.sleep(2) # wait a little
logger.flush() # commit data to file
sys.stdout.write('.') # print a dot to the screen
except KeyboardInterrupt:
print('Interrupted with Ctrl-c')
logger.close()
tws.disconnect()
print('All done')
def __init__(self, contract, date, barsize, outfile): self.outfile = outfile self.contract = contract self.date = date #self.t = t self.barsize = barsize #self.duration = str(duration) + ' S' self.tick_id = 1 self.con = ibConnection(port=7496, clientId=996) self.con.register(self.process_data, message.historicalData) #self.con.register(self.error_handler, 'Error') self.con.connect() time.sleep(1) end_datetime = self.date self.con.reqHistoricalData(tickerId=self.tick_id, contract=self.contract, endDateTime=end_datetime, durationStr='1 D', barSizeSetting=barsize, whatToShow='TRADES', useRTH=0, formatDate=1) self.data_received = False
def __init__(self,debug=False):
self._log = logger.getLogger('DLD')
self._log.debug('Initializing data dwonloader. Pandas version={0}, ibpy version:{1}'.format(pandas.__version__,ib.version))
self.tws = ibConnection()
self._dataHandler = _HistDataHandler(self.tws)
if debug:
self.tws.registerAll(self._debugHandler)
self.tws.unregister(self._debugHandler,message.HistoricalData)
self._log.debug('Connecting to tws')
self.tws.connect()
self._timeKeeper = TimeKeeper() # keep track of past requests
self._reqId = 1 # current request id
def __init__(self,debug=False):
self._log = logging.getLogger('DLD')
self._log.debug('Initializing data dwonloader. Pandas version={0}, ibpy version:{1}'.format(pd.__version__,ib.__version__))
self.tws = ibConnection()
self._dataHandler = _HistDataHandler(self.tws)
if debug:
self.tws.enableLogging() # show debugging output from ibpy
self._log.debug('Connecting to tws')
self.tws.connect()
self._timeKeeper = TimeKeeper() # keep track of past requests
self._reqId = 1 # current request id
def getPrevDayStat(sym, sec='STK', exch='SMART'):
con = ibConnection(clientId=1050)
con.registerAll(watchAll)
con.unregister(watchAll, message.historicalData)
con.register(dataWatcher, message.historicalData)
con.unregister(watchAll, message.error)
con.register(errHandler, message.error)
con.connect()
time.sleep(1)
contractTuple = (sym, sec, exch, 'USD', '', 0.0, '')
endSecs = time.time()-(5-time.daylight)*60*60 # to NY EST via gmtime
NYtime = time.gmtime(endSecs)
# combined dateStr+timeStr format is 'YYYYMMDD hh:mm:ss TMZ'
dateStr = time.strftime('%Y%m%d', NYtime)
timeStr = time.strftime(' %H:%M:%S EST', NYtime)
dataWatcher.pricesWatched =[0,0,0,0]
dataWatcher.finished = False # true when historical data is done
con.reqHistoricalData(0,
contract(contractTuple),
dateStr+timeStr, # last requested bar date/time
'2 D', # quote duration, units: S,D,W,M,Y
'1 day', # bar length
'TRADES', # what to show
0, 1 )
countSecs = 0
while not dataWatcher.finished and countSecs < 5: # wait up to 20 seconds
time.sleep(1)
countSecs += 1
if dataWatcher.finished==False:
con.reqHistoricalData(0,
contract(contractTuple),
dateStr+timeStr, # last requested bar date/time
'1 D', # quote duration, units: S,D,W,M,Y
'1 day', # bar length
'TRADES', # what to show
0, 1 )
countSecs = 0
while not dataWatcher.finished and countSecs < 5: # wait up to 20 seconds
time.sleep(1)
countSecs += 1
con.disconnect()
print dataWatcher.pricesWatched
return dataWatcher.pricesWatched