def data_feed():
app = TestApp("0.0.0.0", 4001, 9)
for com in Configuration().GetData()['CompanyList']:
ibcontract = IBcontract()
ibcontract.secType = "STK"
ibcontract.lastTradeDateOrContractMonth = "201809"
ibcontract.symbol = com
ibcontract.exchange = "SMART"
resolved_ibcontract = app.resolve_ib_contract(ibcontract)
durationstr = "1 D"
for bar in barSize:
historic_data = app.get_IB_historical_data(resolved_ibcontract,
durationstr, bar)
signal = 1
dataset = pd.DataFrame(historic_data)
dataset['signal'] = signal
for index, row in dataset.iterrows():
if dataset['open'][index] > dataset['close'][index]:
signal = 1
else:
signal = 0
print(signal)
dataset['signal'][index] = signal
print(com)
print(bar)
Feed_IntraDay(com, bar, dataset)
print(dataset)
def processPositionDataMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
account = decode(str, fields)
# decode contract fields
contract = Contract()
contract.conId = decode(int, fields)
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields)
if version >= 2:
contract.tradingClass = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
position = decode(float, fields)
else:
position = decode(int, fields)
avgCost = 0.
if version >= 3:
avgCost = decode(float, fields)
self.wrapper.position(account, contract, position, avgCost)
def basic_order(self, order_id: int):
contract_aapl = self.contract_aapl()
parent = Order()
parent.orderId = order_id
parent.action = "buy"
parent.orderType = "LMT"
parent.totalQuantity = 1
parent.lmtPrice = 8
parent.transmit = False
option_contract = Contract()
option_contract.symbol = 'TSLA'
option_contract.secType = "OPT"
option_contract.exchange = "SMART"
option_contract.primaryExchange = "SMART"
option_contract.currency = "USD"
option_contract.strike = 310.0
option_contract.lastTradeDateOrContractMonth = "20190315"
option_contract.right = "P"
pp33_order_builder = PP33BracketOrderBuilder(order_id, parent)
for order_in_bracket in pp33_order_builder.bracket_order_list():
self.placeOrder(order_in_bracket.orderId, option_contract,
order_in_bracket)
def generate_ib_contract(symbol: str,
exchange: Exchange) -> Optional[Contract]:
""""""
try:
fields = symbol.split(JOIN_SYMBOL)
ib_contract = Contract()
ib_contract.exchange = EXCHANGE_VT2IB[exchange]
ib_contract.secType = fields[-1]
ib_contract.currency = fields[-2]
ib_contract.symbol = fields[0]
if ib_contract.secType in ["FUT", "OPT", "FOP"]:
ib_contract.lastTradeDateOrContractMonth = fields[1]
if ib_contract.secType == "FUT":
if len(fields) == 5:
ib_contract.multiplier = int(fields[2])
if ib_contract.secType in ["OPT", "FOP"]:
ib_contract.right = fields[2]
ib_contract.strike = float(fields[3])
ib_contract.multiplier = int(fields[4])
except IndexError:
ib_contract = None
return ib_contract
def make_contract(symbol='',
conID=0,
secType='STK',
currency='USD',
exchange='',
primaryExchange='',
multiplier=100,
tradingClass='',
localSymbol='',
right='',
lastTradeDateOrContractMonth='',
strike=0):
contract = Contract()
contract.symbol = symbol
contract.conId = conID
contract.secType = secType
contract.currency = currency
contract.exchange = exchange
contract.primaryExchange = primaryExchange
contract.multiplier = multiplier
contract.tradingClass = tradingClass
if tradingClass == '':
contract.tradingClass = symbol
contract.localSymbol = localSymbol
contract.right = right
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
contract.strike = strike
return contract
def createContract(self,
symbol,
secType,
currency,
exchange,
primaryExchange=None,
right=None,
strike=None,
expiry=None):
contract = Contract()
if type(symbol) is list:
# Foreign stocks
print(symbol[0], symbol[1])
contract.symbol = symbol[0]
contract.currency = symbol[1]
else:
contract.symbol = symbol
contract.currency = currency
if primaryExchange:
contract.primaryExchange = primaryExchange
contract.secType = secType
contract.exchange = exchange
if right:
contract.right = right
if strike:
contract.strike = strike
if expiry:
contract.lastTradeDateOrContractMonth = expiry
return contract
def getdata(self):
app = TestApp("0.0.0.0", 4001, 10)
for com in Configuration().GetData()['CompanyList']:
ibcontract = IBcontract()
ibcontract.secType = "STK"
ibcontract.lastTradeDateOrContractMonth = "201809"
ibcontract.symbol = com
ibcontract.exchange = "SMART"
resolved_ibcontract = app.resolve_ib_contract(ibcontract)
dataset1 = {
0: ['20190502 13:30:00', '20190502 16:00:00'],
1: [209.95, 208.65],
2: [212.65, 210.29],
3: [208.13, 208.41],
4: [208.63, 209.17],
5: [149612, 100915]
}
durationstr = "3600 S"
# historic_data = app.get_IB_historical_data(resolved_ibcontract, durationstr, bar)
df = pd.DataFrame(dataset1)
df.rename(columns={
0: "date",
1: "open",
2: "high",
3: "low",
4: "close",
5: "volume"
},
inplace=True)
for bar in barSize:
dataset = self.strategy(df)
print(com)
print(bar)
# MongoStore().Feed_IntraDay(com, bar, dataset)
print(df)
def contractDetails(self, reqId: int, contractDetails: ContractDetails):
super(IbApp, self).contractDetails(reqId, contractDetails)
self.Logger.info('contractDetails received %s ' %
contractDetails.summary)
if reqId not in self.requestedContracts:
self.Logger.warning('Unknown contractDetails reqId: %s' % reqId)
return
contract = self.requestedContracts[reqId]
if contract.symbol == contractDetails.summary.symbol or contract.symbol == contractDetails.marketName:
validated = Contract()
validated.symbol = contractDetails.summary.symbol
validated.secType = contractDetails.summary.secType
validated.exchange = contractDetails.summary.exchange
validated.tradingClass = contractDetails.summary.tradingClass
validated.lastTradeDateOrContractMonth = contractDetails.summary.lastTradeDateOrContractMonth
validated.localSymbol = contractDetails.summary.localSymbol
if self.__subRealMD:
cId = self.nextReqId()
self.marketDataLookup[cId] = validated.localSymbol
self.requestedMarketData[cId] = validated
self.reqMktData(cId, contract, "", True, False, [])
if self.__subHistMD:
hId = self.nextReqId()
self.historicalLookup[hId] = validated.localSymbol
self.requestedHistoricalData[hId] = validated
self.reqHistoricalData(hId, validated, '', "2 D", "1 day",
"TRADES", 1, 1, False, list("XYZ"))
else:
self.Logger.warning('Unknown contract received %s' %
contractDetails.summary)
def create_contract(self,
symbol,
secType=None,
exchange=None,
primary_exchange=None,
currency=None,
lastTradeDate=None):
"""
Returns List with Contract. If multiple contracts are possible, a list with all contracts is returned
:param secType:
:param lastTradeDate:
:param symbol:
:param exchange:
:return:
"""
ibcontract = IBcontract()
ibcontract.symbol = symbol
if secType is not None:
ibcontract.secType = secType
if currency is not None:
ibcontract.currency = currency
if exchange is not None:
ibcontract.exchange = exchange
if primary_exchange is not None:
ibcontract.primaryExchange = primary_exchange
if lastTradeDate is not None:
ibcontract.lastTradeDateOrContractMonth = lastTradeDate
resolved_contract = self.resolve_ib_contract(ibcontract)
return resolved_contract
def processPositionMultiMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
reqId = decode(int, fields)
account = decode(str, fields)
# decode contract fields
contract = Contract()
contract.conId = decode(int, fields)
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields)
contract.tradingClass = decode(str, fields)
position = decode(float, fields)
avgCost = decode(float, fields)
modelCode = decode(str, fields)
self.wrapper.positionMulti(reqId, account, modelCode, contract, position, avgCost)
def make_contract(symbol,
secType,
exchange,
primaryExchange,
currency,
lastTradeDateOrContractMonth=None,
strike=None,
right=None,
multiplier=None,
tradingClass=None):
contract = Contract()
contract.symbol = symbol
contract.secType = secType
contract.exchange = exchange
contract.primaryExchange = primaryExchange
contract.currency = currency
if lastTradeDateOrContractMonth is not None:
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
if strike is not None:
contract.strike = strike
if right is not None:
contract.right = strike
if multiplier is not None:
contract.multiplier = multiplier
if tradingClass is not None:
contract.tradingClass = tradingClass
return contract
def processExecutionDataMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
reqId = -1
if version >= 7:
reqId = decode(int, fields)
orderId = decode(int, fields)
# decode contract fields
contract = Contract()
contract.conId = decode(int, fields) # ver 5 field
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
if version >= 9:
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields)
if version >= 10:
contract.tradingClass = decode(str, fields)
# decode execution fields
exec = Execution()
exec.orderId = orderId
exec.execId = decode(str, fields)
exec.time = decode(str, fields)
exec.acctNumber = decode(str, fields)
exec.exchange = decode(str, fields)
exec.side = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
exec.shares = decode(float, fields)
else:
exec.shares = decode(int, fields)
exec.price = decode(float, fields)
exec.permId = decode(int, fields) # ver 2 field
exec.clientId = decode(int, fields) # ver 3 field
exec.liquidation = decode(int, fields) # ver 4 field
if version >= 6:
exec.cumQty = decode(float, fields)
exec.avgPrice = decode(float, fields)
if version >= 8:
exec.orderRef = decode(str, fields)
if version >= 9:
exec.evRule = decode(str, fields)
exec.evMultiplier = decode(float, fields)
if self.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT:
exec.modelCode = decode(str, fields)
self.wrapper.execDetails(reqId, contract, exec)
def SimpleFuture():
contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "201612"
return contract
def makeSimpleContract(ct:OneContract):
contract = Contract()
contract.symbol=ct.symbol
contract.secType=ct.sectype
contract.currency=ct.currency
contract.exchange=ct.exchange
contract.lastTradeDateOrContractMonth=ct.expire
#contract.conId=ct.contractID can't to this contract ID is different
return contract
def FutureWithMultiplier():
contract = Contract()
contract.symbol = "DAX"
contract.secType = "FUT"
contract.exchange = "DTB"
contract.currency = "EUR"
contract.lastTradeDateOrContractMonth = "201609"
contract.multiplier = "5"
return contract
def contract_amzn_opt(self):
incomplete_contract = Contract()
incomplete_contract.symbol = 'AMZN'
incomplete_contract.secType = "OPT"
incomplete_contract.exchange = "SMART"
incomplete_contract.currency = "USD"
incomplete_contract.strike = 1900
incomplete_contract.lastTradeDateOrContractMonth = "20190719"
incomplete_contract.right = "C"
return incomplete_contract
def contract_spx_option(self):
contract = Contract()
contract.symbol = 'SPX'
contract.secType = "OPT"
contract.exchange = "SMART"
contract.primaryExchange = "SMART"
contract.currency = "USD"
contract.strike = 2800
contract.lastTradeDateOrContractMonth = "20190329"
contract.right = "C"
return contract
def createOptionContract(self, symbol, currency, exchange):
contract = Contract()
contract.symbol = symbol
contract.secType = "OPT"
contract.exchange = exchange
contract.currency = currency
contract.lastTradeDateOrContractMonth = "201901"
contract.strike = 150
contract.right = "C"
contract.multiplier = "100"
return contract
def OptionAtIse():
contract = Contract()
contract.symbol = "BPX"
contract.secType = "OPT"
contract.currency = "USD"
contract.exchange = "ISE"
contract.lastTradeDateOrContractMonth = "20160916"
contract.right = "C"
contract.strike = 65
contract.multiplier = "100"
return contract
def create_contract(symbol, secType, currency, exchange, expiry):
contract = IBcontract()
contract.symbol = symbol
contract.secType = secType
contract.currency = currency
contract.exchange = exchange
if expiry is not None:
contract.lastTradeDateOrContractMonth = expiry
return contract
def OptionAtBOX():
contract = Contract()
contract.symbol = "GOOG"
contract.secType = "OPT"
contract.exchange = "BOX"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20170120"
contract.strike = 615
contract.right = "C"
contract.multiplier = "100"
return contract
def FuturesOnOptions():
contract = Contract()
contract.symbol = "SPX"
contract.secType = "FOP"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20180315"
contract.strike = 1025
contract.right = "C"
contract.multiplier = "250"
return contract
def optContract():
contract = Contract()
contract.symbol = 'GOOG'
contract.secType = 'OPT'
contract.exchange = 'SMART'
contract.currency = 'USD'
contract.lastTradeDateOrContractMonth = '20190823'
contract.strike = 1190
contract.right = 'C'
contract.multiplier = '100'
return contract
def futures(symbol="ES",
sec_type="FUT",
currency="USD",
exchange="GLOBEX",
lastTradeDateOrContractMonth="202103"):
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
return contract
def contract(symbol="ES",
secType="FUT",
exchange="GLOBEX",
lastTradeDateOrContractMonth="202103"):
contract = Contract()
contract.symbol = symbol
contract.secType = secType
contract.currency = "USD"
contract.exchange = exchange
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
print('Contract details are retrieved', contract)
return contract
def OptionAtBOX():
#! [optcontract]
contract = Contract()
contract.symbol = "AMZN"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20190125"
contract.strike = 1570
contract.right = "C"
contract.multiplier = "100"
#! [optcontract]
return contract
def generalStk(symbol="ES",
sec_type="FUT",
currency="USD",
exchange="GLOBEX",
lastTradeDateOrContractMonth="202103"):
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
log(f'Contract details extracted {contract}')
return contract
def form_option_contract(symbol, strike, type):
contract1 = Contract() # Creates a contract object from the import
contract1.symbol = symbol # Sets the ticker symbol
contract1.secType = "OPT" # Defines the security type as stock
contract1.currency = "USD" # Currency is US dollars
contract1.exchange = "SMART"
contract1.strike = strike
contract1.right = type # call not put
contract1.expiry = "20200717"
contract1.lastTradeDateOrContractMonth = "20200717"
# contract1.PrimaryExch = "NYSE"
return contract1 # Returns the contract object
def getRolledOption(self, r):
option = Contract()
option.symbol = self.statData.buyWrite["underlyer"]["@tickerSymbol"]
option.avPrice = r["sellprice"]
option.secType = "OPT"
option.exchange = "SMART"
option.currency = "USD"
option.lastTradeDateOrContractMonth = r['to']
option.strike = r['strike']
option.right = "Call"
option.multiplier = "100"
return option
def option(self):
option = Contract()
option.symbol = self.statData.buyWrite["underlyer"]["@tickerSymbol"]
option.avPrice = self.statData.inioptprice
option.secType = "OPT"
option.exchange = "SMART"
option.currency = "USD"
option.lastTradeDateOrContractMonth = self.statData.expiry
option.strike = self.statData.strike
option.right = "Call"
option.multiplier = "100"
return option
def _fetchFutureMonth(self):
contract = Contract()
'''
contract.secType = "CONTFUT"
#contract.lastTradeDateOrContractMonth="201812" # CONTFUT can be used to get details of contract from which we can get month for order
contract.symbol="SBIN"
contract.exchange="NSE"
'''
contract.secType = "FUT"
contract.lastTradeDateOrContractMonth="201805"
contract.symbol="SBIN"
contract.exchange="NSE"
## resolve the contract
self.ib.reqContractDetails(213, contract)
