def __init__(self): # , client_id=10, port=7496, account_code=None):
# no need acc code?????
#if account_code is None:
# raise ValueError("Account number is needed. Please pass acc number.")
# return
# self.client_id = client_id
# self.order_id = 1
# self.qty = qty
#self.symbol_id, self.symbol = 0, symbol
#self.resample_interval = resample_interval
#self.averaging_period = averaging_period
# self.port = port
# self.tws_conn = None
#self.bid_price, self.ask_price = 0, 0
#self.last_prices = pd.DataFrame(columns=[self.symbol_id])
#self.average_price = 0
#self.is_position_opened = False
# self.account_code = None
self.unrealized_pnl, self.realized_pnl = 0, 0
self.position = 0
self.order_id = 0
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.prices = None # Store last prices in a DataFrame
self.lock = threading.Lock()
self.ib_contract = IBContract()
class IBFramework(object):
def __init__(self): # , client_id=10, port=7496, account_code=None):
# no need acc code?????
#if account_code is None:
# raise ValueError("Account number is needed. Please pass acc number.")
# return
# self.client_id = client_id
# self.order_id = 1
# self.qty = qty
#self.symbol_id, self.symbol = 0, symbol
#self.resample_interval = resample_interval
#self.averaging_period = averaging_period
# self.port = port
# self.tws_conn = None
#self.bid_price, self.ask_price = 0, 0
#self.last_prices = pd.DataFrame(columns=[self.symbol_id])
#self.average_price = 0
#self.is_position_opened = False
# self.account_code = None
self.unrealized_pnl, self.realized_pnl = 0, 0
self.position = 0
self.order_id = 0
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.prices = None # Store last prices in a DataFrame
self.lock = threading.Lock()
self.ib_contract = IBContract()
def init_stocks_data(self, symbols):
self.symbols = symbols # symbols is list of symbol strings
self.prices = pd.DataFrame(columns=symbols) # Init price storage. prices is dataframe
for stock_symbol in symbols:
contract = self.ib_contract.create_stock_contract(stock_symbol)
self.stocks_data[stock_symbol] = StockData(contract)
print self.prices
print self.stocks_data
print self.stocks_data.iteritems()
# Example call: time.strftime(datatype.DATE_TIME_FORMAT),
# datatype.DURATION_1_HR, datatype.BAR_SIZE_5_SEC, datatype.WHAT_TO_SHOW_TRADES, datatype.RTH_ALL
# datatype - import misc.ibdata_types as datatype
def request_historical_data(self, ib_conn, end_time, duration, bar_size, what_to_show, trading_hours):
self.lock.acquire()
try:
for index, (key, stock_data) in enumerate(
self.stocks_data.iteritems()):
print index, key, stock_data
stock_data.is_storing_data = True
ib_conn.reqHistoricalData(
index,
stock_data.contract,
end_time,
duration,
bar_size,
what_to_show,
trading_hours,
datatype.DATEFORMAT_STRING)
time.sleep(1)
finally:
self.lock.release()
def create_stock_order(self, quantity, is_buy, is_market_order=False):
order = Order()
order.m_totalQuantity = quantity
order.m_orderType = \
DataType.ORDER_TYPE_MARKET if is_market_order else \
DataType.ORDER_TYPE_LIMIT
order.m_action = \
DataType.ORDER_ACTION_BUY if is_buy else \
DataType.ORDER_ACTION_SELL
return order
def __generate_order_id(self):
next_order_id = self.order_id
self.order_id += 1
return next_order_id
def __send_order(self, symbol, qty):
stock_data = self.stocks_data[symbol]
order = self.ib_util.create_stock_order(abs(qty), qty > 0)
self.conn.placeOrder(self.__generate_order_id(),
stock_data.contract,
order)
stock_data.add_to_position(qty)
