class AppWrapper(wrapper.EWrapper):
""" Thread to Manage Callbacks. """
def __init__(self):
wrapper.EWrapper.__init__(self)
self.startedLogic = False
self.logic = AppLogic(self)
self.client = self.logic.client
@iswrapper
def nextValidId(self, orderId):
self.logic.account.setNextOrderId(orderId)
console().info("Next Order ID: {}".format(orderId))
if not self.startedLogic:
self.logic.start()
self.startedLogic = True
@iswrapper
def managedAccounts(self, accountsList):
self.logic.account.setAccount(accountsList)
console().info("Received Account: {}".format(self.logic.account))
subscribeAccountPositions(self.client)
@iswrapper
def contractDetails(self, reqId, contractDetails):
super().contractDetails(reqId, contractDetails)
symbol = contractDetails.summary.localSymbol
expires = contractDetails.summary.lastTradeDateOrContractMonth
console().info("Received Contract Details for: {}. Expires: {}".format(
symbol, expires))
self.client.pushRequestData(reqId, {symbol: contractDetails})
@iswrapper
def contractDetailsEnd(self, reqId):
super().contractDetailsEnd(reqId)
console().info("Got All Contract Details.")
self.client.finishRequest(reqId)
contractDetails = self.client.getRequestData(reqId)
self.client.purgeRequest(reqId)
self.logic.future = getCurrentFuturesContract(contractDetails)
@iswrapper
def tickPrice(self, reqId, tickType, price, attrib):
super().tickPrice(reqId, tickType, price, attrib)
if tickType == TICK_TYPES["LAST_PRICE"]:
self.client.pushRequestData(reqId, {"price": {"last": price}})
@iswrapper
def tickSize(self, reqId, tickType, size):
super().tickSize(reqId, tickType, size)
@iswrapper
def tickGeneric(self, reqId, tickType, value):
super().tickGeneric(reqId, tickType, value)
@iswrapper
def tickString(self, reqId, tickType, value):
super().tickString(reqId, tickType, value)
@iswrapper
def error(self, reqId, errorCode, errorString):
super().error(reqId, errorCode, errorString)
apiMessage(errorString)
@iswrapper
def position(self, account, contract, position, avgCost):
super().position(account, contract, position, avgCost)
if account == self.logic.account.account:
console().info("Position Update: {}: #Contracts: {}".format(
contract.localSymbol, position))
self.logic.account.updatePosition(contract, position)
else:
console().warning(
"Got Position for Untracked Account: {}".format(account))
@iswrapper
def historicalData(self, reqId, bar):
console().info(
"Got Historical Data. Date:{}. High:${}. Low:${}".format(
bar.date, bar.high, bar.low))
self.client.pushRequestData(
reqId, {"historical": {
"high": bar.high,
"low": bar.low
}})
@iswrapper
def historicalDataEnd(self, reqId, start, end):
super().historicalDataEnd(reqId, start, end)
self.client.finishRequest(reqId)
@iswrapper
def openOrder(self, orderId, contract, order, orderState):
self.logic.account.tmpOrders[orderId] = (contract, order,
orderState.status)
@iswrapper
def openOrderEnd(self):
openOrders, tmpOrders = self.logic.account.openOrders, self.logic.account.tmpOrders
ledger = self.client.ledger
for orderId, values in tmpOrders.items():
symbol, status = values[0].localSymbol, values[2]
oldStatus = openOrders[orderId][2] if orderId in openOrders.keys(
) else None
logOrder(ledger, orderId, symbol, values[1], status, oldStatus)
self.logic.account.openOrders = tmpOrders
self.logic.account.tmpOrders = {}
@iswrapper
def orderStatus(self, orderId, status, filled, remaining, avgFillPrice,
permId, parentId, lastFillPrice, clientId, whyHeld):
if clientId != config.CLIENTID:
return
openOrders = self.logic.account.openOrders
if orderId not in openOrders.keys():
return
contract, order, oldStatus = openOrders[orderId]
symbol = contract.localSymbol
logOrder(self.client.ledger, orderId, symbol, order, status, oldStatus)
openOrders[orderId] = (contract, order, status)
if status in ["Cancelled", "Filled"]:
self.client.reqOpenOrders()
@iswrapper
def receiveFA(self, dataType, profile):
console().info("Got the Advisor Profile Data")
reqId = self.client.getRequestID("ADVISOR CONFIG")
self.client.pushRequestData(reqId, {"xml": profile})
self.client.finishRequest(reqId)
class AppWrapper(wrapper.EWrapper):
""" Thread to Manage Callbacks. """
def __init__(self):
wrapper.EWrapper.__init__(self)
self.startedLogic = False
self.logic = AppLogic(self)
self.client = self.logic.client
@iswrapper
def nextValidId(self, orderId):
self.logic.account.setNextOrderId(orderId)
console().info("Next Order ID: {}".format(orderId))
if not self.startedLogic:
self.logic.start()
self.startedLogic = True
@iswrapper
def managedAccounts(self, accountsList):
self.logic.account.setAccount(accountsList)
console().info("Received Account: {}".format(self.logic.account))
subscribeAccountPositions(self.client)
@iswrapper
def contractDetails(self, reqId, contractDetails):
super().contractDetails(reqId, contractDetails)
symbol = contractDetails.summary.localSymbol
expires = contractDetails.summary.lastTradeDateOrContractMonth
console().info("Received Contract Details for: {}. Expires: {}".format(
symbol, expires))
self.client.pushRequestData(reqId, {symbol: contractDetails})
@iswrapper
def contractDetailsEnd(self, reqId):
super().contractDetailsEnd(reqId)
console().info("Got All Contract Details.")
self.client.finishRequest(reqId)
contractDetails = self.client.getRequestData(reqId)
self.client.purgeRequest(reqId)
self.logic.future = getCurrentFuturesContract(contractDetails)
@iswrapper
def tickPrice(self, reqId, tickType, price, attrib):
super().tickPrice(reqId, tickType, price, attrib)
if tickType == TICK_TYPES["LAST_PRICE"]:
self.client.pushRequestData(reqId, {"price": {"last": price}})
@iswrapper
def tickSize(self, reqId, tickType, size):
super().tickSize(reqId, tickType, size)
@iswrapper
def tickGeneric(self, reqId, tickType, value):
super().tickGeneric(reqId, tickType, value)
@iswrapper
def tickString(self, reqId, tickType, value):
super().tickString(reqId, tickType, value)
@iswrapper
def error(self, reqId, errorCode, errorString):
super().error(reqId, errorCode, errorString)
apiMessage(errorString)
@iswrapper
def position(self, account, contract, position, avgCost):
super().position(account, contract, position, avgCost)
if account == self.logic.account.account:
console().info("Position Update: {}: #Contracts: {}".format(
contract.localSymbol, position))
self.logic.account.updatePosition(contract, position)
else:
console().warning(
"Got Position for Untracked Account: {}".format(account))
@iswrapper
def historicalData(self, reqId, bar):
if ("bars" not in self.client.data[reqId].keys()):
self.client.pushRequestData(
reqId, {"bars": deque(maxlen=config.TIME_PERIODS)})
self.client.data[reqId]["bars"].append(
BAR(High=bar.high, Low=bar.low, Close=bar.close, Time=bar.date))
@iswrapper
def historicalDataUpdate(self, reqId, bar):
lastBar = self.client.data[reqId]["bars"][-1]
newBar = BAR(High=bar.high,
Low=bar.low,
Close=bar.close,
Time=bar.date)
if (lastBar.Time == newBar.Time):
self.client.data[reqId]["bars"][-1] = newBar
else:
self.client.data[reqId]["bars"].append(newBar)
cci = calculateCCI(self.client.data[reqId]["bars"])
console().info("Calculated CCI: {}".format(cci))
@iswrapper
def historicalDataEnd(self, reqId, start, end):
super().historicalDataEnd(reqId, start, end)
console().info("Got CCI Historical Data")
self.client.finishRequest(reqId)
@iswrapper
def openOrder(self, orderId, contract, order, orderState):
self.logic.account.tmpOrders[orderId] = (contract, order,
orderState.status)
@iswrapper
def openOrderEnd(self):
openOrders, tmpOrders = self.logic.account.openOrders, self.logic.account.tmpOrders
ledger = self.client.ledger
for orderId, values in tmpOrders.items():
symbol, status = values[0].localSymbol, values[2]
oldStatus = openOrders[orderId][2] if orderId in openOrders.keys(
) else None
logOrder(ledger, orderId, symbol, values[1], status, oldStatus)
self.logic.account.openOrders = tmpOrders
self.logic.account.tmpOrders = {}
@iswrapper
def orderStatus(self, orderId, status, filled, remaining, avgFillPrice,
permId, parentId, lastFillPrice, clientId, whyHeld):
if clientId != config.CLIENTID:
return
openOrders = self.logic.account.openOrders
if orderId not in openOrders.keys():
return
contract, order, oldStatus = openOrders[orderId]
symbol = contract.localSymbol
logOrder(self.client.ledger, orderId, symbol, order, status, oldStatus)
openOrders[orderId] = (contract, order, status)
if status in ["Cancelled", "Filled"]:
self.client.reqOpenOrders()