def historicalTicks(self, reqId, ticks, done):
self._results[reqId] += [
HistoricalTick(
datetime.datetime.fromtimestamp(t.time, datetime.timezone.utc),
t.price, t.size) for t in ticks if t.size
]
if done:
self._endReq(reqId)
def _decode(self, fields):
"""
Decode the fields of the single response and call the appropriate
callback handler.
"""
msgId = int(fields[0])
# bypass the ibapi decoder for ticks for more efficiency
if msgId == 1:
if self._priceSizeTick:
_, _, reqId, tickType, price, size, _ = fields
self._priceSizeTick(int(reqId), int(tickType), float(price),
int(size))
return
elif msgId == 2:
_, _, reqId, tickType, size = fields
self.wrapper.tickSize(int(reqId), int(tickType), int(size))
return
elif msgId == 12:
_, _, reqId, position, operation, side, price, size = fields
self.wrapper.updateMktDepth(int(reqId), int(position),
int(operation), int(side),
float(price), int(size))
return
elif msgId == 46:
_, _, reqId, tickType, value = fields
self.wrapper.tickString(int(reqId), int(tickType), value.decode())
return
elif msgId == 90:
_, reqId, barCount, date, open_, close, high, low, \
average, volume = fields
bar = BarData(date.decode(), float(open_), float(high), float(low),
float(close), float(volume), int(barCount),
float(average))
self.wrapper.historicalDataUpdate(int(reqId), bar)
return
# snoop for nextValidId and managedAccounts response,
# when both are in then the client is ready
elif msgId == 9:
_, _, validId = fields
self._reqIdSeq = int(validId)
if self._accounts:
self._readyEvent.set()
elif msgId == 15:
_, _, accts = fields
self._accounts = accts.decode().split(',')
if self._reqIdSeq:
self._readyEvent.set()
# new features not yet in ibapi
# https://interactivebrokers.github.io/tws-api/historical_time_and_sales.html
elif msgId == 96:
_, reqId, nTicks, *fields = fields
ticks = []
for _ in range(int(nTicks)):
time, _, price, size, *fields = fields
tick = HistoricalTick(int(time), float(price), int(size))
ticks.append(tick)
done = fields[0] == b'1'
self.wrapper.historicalTicks(int(reqId), ticks, done)
return
elif msgId == 97:
_, reqId, nTicks, *fields = fields
ticks = []
for _ in range(int(nTicks)):
time, mask, priceBid, priceAsk, sizeBid, sizeAsk, \
*fields = fields
tick = HistoricalTickBidAsk(int(time), int(mask),
float(priceBid), float(priceAsk),
int(sizeBid), int(sizeAsk))
ticks.append(tick)
done = fields[0] == b'1'
self.wrapper.historicalTicksBidAsk(int(reqId), ticks, done)
return
elif msgId == 98:
_, reqId, nTicks, *fields = fields
ticks = []
for _ in range(int(nTicks)):
time, mask, price, size, exchange, \
specialConditions, *fields = fields
tick = HistoricalTickLast(int(time), int(mask), float(price),
int(size), exchange.decode(),
specialConditions.decode())
ticks.append(tick)
done = fields[0] == b'1'
self.wrapper.historicalTicksLast(int(reqId), ticks, done)
return
elif msgId == 99:
_, reqId, tickType, time, *fields = fields
if tickType in (1, 2):
price, size, mask, exchange, specialConditions = fields
mask = int(mask)
attribs = TickAttrib(pastLimit=bool(mask & 1),
unreported=bool(mask & 2))
self.wrapper.tickByTickAllLast(int(reqId), int(tickType),
int(time), float(price),
int(size), attribs, exchange,
specialConditions.decode())
elif tickType == 3:
bidPrice, askPrice, bidSize, askSize, mask = fields
mask = int(mask)
attribs = TickAttrib(bidPastLow=bool(mask & 1),
askPastHigh=bool(mask & 2))
self.wrapper.tickByTickBidAsk(int(reqId), int(time),
float(bidPrice), float(askPrice),
int(bidSize), int(askSize),
attribs)
elif tickType == 4:
midPoint = fields[0]
self.wrapper.tickByTickMidPoint(int(reqId), int(time),
float(midPoint))
return
self.decoder.interpret(fields)
def _decode(self, fields):
"""
Decode the fields of the single response and call the appropriate
callback handler.
"""
msgId = int(fields[0])
# bypass the abapi decoder for ticks for more efficiency
if msgId == 1:
if self._priceSizeTick:
_, _, reqId, tickType, price, size, _ = fields
self._priceSizeTick(int(reqId), int(tickType),
float(price), int(size))
return
elif msgId == 2:
_, _, reqId, tickType, size = fields
self.wrapper.tickSize(int(reqId), int(tickType), int(size))
return
elif msgId == 12:
_, _, reqId, position, operation, side, price, size = fields
self.wrapper.updateMktDepth(int(reqId), int(position),
int(operation), int(side), float(price), int(size))
return
elif msgId == 46:
_, _, reqId, tickType, value = fields
self.wrapper.tickString(int(reqId), int(tickType), value.decode())
return
elif msgId == 90:
_, reqId, barCount, date, open_, close, high, low, \
average, volume = fields
bar = BarData(date.decode(), float(open_), float(high),
float(low), float(close), float(volume),
int(barCount), float(average))
self.wrapper.historicalDataUpdate(int(reqId), bar)
return
# snoop for nextValidId and managedAccounts response,
# when both are in then the client is ready
elif msgId == 9:
_, _, validId = fields
self._reqIdSeq = int(validId)
if self._accounts:
self._readyEvent.set()
elif msgId == 15:
_, _, accts = fields
self._accounts = accts.decode().split(',')
if self._reqIdSeq:
self._readyEvent.set()
# new features not yet in ibapi
elif msgId == 96:
reqId, nTicks, *fields = fields
ticks = []
for _ in range(nTicks):
time, _, price, size, *fields = fields
tick = HistoricalTick(int(time), float(price), int(size))
ticks.append(tick)
done = fields[0] == b'1'
self.wrapper.historicalTicks(int(reqId), ticks, done)
return
elif msgId == 97:
reqId, nTicks, *fields = fields
ticks = []
for _ in range(nTicks):
time, mask, priceBid, priceAsk, sizeBid, sizeAsk, \
*fields = fields
tick = HistoricalTickBidAsk(int(time), int(mask),
float(priceBid), float(priceAsk),
int(sizeBid), int(sizeAsk))
ticks.append(tick)
done = fields[0] == b'1'
self.wrapper.historicalTicksBidAsk(int(reqId), ticks, done)
return
elif msgId == 98:
reqId, nTicks, *fields = fields
ticks = []
for _ in range(int(nTicks)):
time, mask, price, size, exchange, \
specialConditions, *fields = fields
tick = HistoricalTickLast(int(time), int(mask),
float(price), int(size),
exchange.decode(), specialConditions.decode())
ticks.append(tick)
done = fields[0] == b'1'
self.wrapper.historicalTicksLast(int(reqId), ticks, done)
return
self.decoder.interpret(fields)