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 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 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 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 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='',
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 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 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 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 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 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 OptionWithTradingClass():
contract = Contract()
contract.symbol = "SPX"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.primaryExchange = "SMART"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20190219"
contract.strike = 2520
contract.right = "C"
contract.multiplier = "100"
contract.tradingClass = "SPX"
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 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 contract_bidu_option(self):
# ! [optcontract]
contract = Contract()
contract.symbol = "BIDU"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20190322"
contract.strike = 165
contract.right = "PUT"
contract.multiplier = "100"
# ! [optcontract]
return contract
def OptionWithTradingClass():
# ! [optcontract_tradingclass]
contract = Contract()
contract.symbol = "SANT"
contract.secType = "OPT"
contract.exchange = "MEFFRV"
contract.currency = "EUR"
contract.lastTradeDateOrContractMonth = "20190621"
contract.strike = 7.5
contract.right = "C"
contract.multiplier = "100"
contract.tradingClass = "SANEU"
# ! [optcontract_tradingclass]
return contract
def make_contract(symbol: str, sec_type: str, currency: str, exchange: str, expiry: str, strike: str) -> Contract:
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
if sec_type == "OPT":
contract.lastTradeDateOrContractMonth = expiry
contract.strike = strike
contract.right = "Call"
contract.multiplier = "100"
contract.exchange = exchange
return contract
def Dict_to_Contract(data: dict):
con = Contract()
con.symbol = data['symbol']
con.conId = data['conID']
con.secType = data['secType']
con.currency = data['currency']
con.exchange = data['exchange']
con.primaryExchange = data['primaryExchange']
con.multiplier = data['multiplier']
con.tradingClass = data['tradingClass']
con.localSymbol = data['localSymbol']
con.right = data['right']
con.lastTradeDateOrContractMonth = data['lastTradeDateOrContractMonth']
con.strike = data['strike']
return con
def main():
SetupLogger()
logging.info("now is %s", datetime.datetime.now())
openPosition = getOpenPosition()
print(openPosition)
app = TestApp(ib_api_include.ip, ib_api_include.port,
ib_api_include.clientId)
time.sleep(ib_api_include.sleeptime_trading)
summary = DataFrame(portfolio,
columns=[
'symbol', 'secType', 'exchange', 'position',
'marketPrice', 'marketValue', 'averageCost',
'unrealizedPNL', 'realizedPNL', 'accountName'
])
reqId = 1000
#watchlist_stock_treshold = pd.read_excel('my_ib_threshold.xlsx', sheet_name = 'watchlist_stock_treshold')
#watchlist_stock_treshold = DataFrame(watchlist_stock_treshold)
for i in range(0, len(openPosition)):
record = openPosition.iloc[i]
ibcontract = IBcontract()
ibcontract.secType = record.AssetClass
ibcontract.symbol = record.UnderlyingSymbol
ibcontract.exchange = "SMART"
ibcontract.currency = record.CurrencyPrimary
ibcontract.lastTradeDateOrContractMonth = record.Expiry
ibcontract.strike = record.Strike
ibcontract.multiplier = record.Multiplier
ibcontract.right = record["Put/Call"]
app.reqMktData(reqId, ibcontract)
ibcontract = IBcontract()
ibcontract.symbol = "MU"
ibcontract.exchange = "SMART"
ibcontract.secType = "STK"
app.reqMktNews(reqId, ibcontract)
time.sleep(30)
print(
DataFrame(marketdataPrice,
columns=[
"reqId", "tickType", "tickPrice",
"CanAutoExecuteOrNot"
]))
print(
DataFrame(marketdataSize,
columns=["reqId", "tickType", "tickSize"]))
reqId += 1
app.disconnect()
def read_option_chain(MainClass, ScannerClass, ticker):
# Define a contract for the underlying stock
contract = Contract()
contract.symbol = ticker
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
MainClass.reqContractDetails(0, contract)
time.sleep(2)
# Get the current price of the stock
MainClass.reqTickByTickData(1, contract, "MidPoint", 1, True)
time.sleep(4)
# Request strike prices and expirations
Scannerclass = client
if Scannerclass.conids:
Scannerclass.reqSecDefOptParams(2, ticker, '',
'STK', Scannerclass.conid)
time.sleep(2)
else:
print('Failed to obtain contract identifier.')
exit()
# Create contract for stock option
req_id = 3
if Scannerclass.strikes:
for strike in Scannerclass.strikes:
Scannerclass.chain[strike] = {}
for right in ['C', 'P']:
# Add to the option chain
Scannerclass.chain[strike][right] = {}
# Define the option contract
contract.secType = 'OPT'
contract.right = right
contract.strike = strike
contract.exchange = Scannerclass.exchange
contract.lastTradeDateOrContractMonth =
Scannerclass.expiration
# Request option data
Scannerclass.reqMktData(req_id, contract,
'100', False, False, [])
req_id += 1
time.sleep(1)
def createCallOpt(symbol,
strike,
contractMonth,
sec_type="OPT",
currency="INR",
exchange="NSE"):
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
contract.right = "C"
contract.strike = strike
contract.multiplier = 1
contract.tradingClass = 'BANKNIFTY'
contract.lastTradeDateOrContractMonth = contractMonth
return contract
def create_options_contract(symbol,
exp,
strike,
right,
exchange='SMART',
currency='USD',
multiplier='100'):
# opt_spy = create_options_contract('SPY', '20210319', '400', 'C')
contract = Contract()
contract.symbol = symbol
contract.lastTradeDateOrContractMonth = exp
contract.strike = strike
contract.right = right
contract.secType = 'OPT'
contract.exchange = exchange
contract.currency = currency
contract.multiplier = multiplier
return contract
def processPortfolioValueMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
# read contract fields
contract = Contract()
contract.conId = decode(int, fields) # ver 6 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 >= 7:
contract.multiplier = decode(str, fields)
contract.primaryExchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields) # ver 2 field
if version >= 8:
contract.tradingClass = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
position = decode(float, fields)
else:
position = decode(int, fields)
marketPrice = decode(float, fields)
marketValue = decode(float, fields)
averageCost = decode(float, fields) # ver 3 field
unrealizedPNL = decode(float, fields) # ver 3 field
realizedPNL = decode(float, fields) # ver 3 field
accountName = decode(str, fields) # ver 4 field
if version == 6 and self.serverVersion == 39:
contract.primaryExchange = decode(str, fields)
self.wrapper.updatePortfolio( contract,
position, marketPrice, marketValue, averageCost,
unrealizedPNL, realizedPNL, accountName)
def _get_option_contract(ticker: str,
expiration: str,
strike: float,
right: str,
exchange="SMART",
currency="USD",
**_):
""" Helper function for creating a contract object for use in querying
data for options
"""
if right not in ["C", "P"]:
raise ValueError(f"Invalid right: {right}")
contract = Contract()
contract.secType = "OPT"
contract.symbol = ticker
contract.exchange = exchange
contract.currency = currency
contract.lastTradeDateOrContractMonth = expiration
contract.strike = strike
contract.right = right
return contract
