def error(self, reqId: int, errorCode: int, errorString: str):
# https://interactivebrokers.github.io/tws-api/message_codes.html
warningCodes = {165, 202, 399, 434, 492, 10167}
isWarning = errorCode in warningCodes or 2100 <= errorCode < 2200
msg = (f'{"Warning" if isWarning else "Error"} '
f'{errorCode}, reqId {reqId}: {errorString}')
contract = self._reqId2Contract.get(reqId)
if contract:
msg += f', contract: {contract}'
if isWarning:
self._logger.info(msg)
else:
self._logger.error(msg)
if reqId in self._futures:
# the request failed
if self._quash_errors:
self._endReq(reqId)
else:
self._endReq(reqId,
RequestError(reqId, errorCode, errorString),
success=False)
elif (self.clientId, reqId) in self.trades:
# something is wrong with the order, cancel it
trade = self.trades[(self.clientId, reqId)]
if not trade.isDone():
status = trade.orderStatus.status = OrderStatus.Cancelled
logEntry = TradeLogEntry(self.lastTime, status, msg)
trade.log.append(logEntry)
self._logger.warning(f'Canceled order: {trade}')
self.ib.orderStatusEvent.emit(trade)
trade.statusEvent.emit(trade)
trade.cancelledEvent.emit(trade)
if errorCode == 165:
# for scan data subscription there are no longer matching results
dataList = self.reqId2Subscriber.get(reqId)
if dataList:
dataList.clear()
dataList.updateEvent.emit(dataList)
elif errorCode == 317:
# Market depth data has been RESET
ticker = self.reqId2Ticker.get(reqId)
if ticker:
# clear all DOM levels
ticker.domTicks += [
MktDepthData(self.lastTime, 0, '', 2, 0, level.price, 0)
for level in ticker.domAsks
]
ticker.domTicks += [
MktDepthData(self.lastTime, 0, '', 2, 1, level.price, 0)
for level in ticker.domBids
]
ticker.domAsks.clear()
ticker.domBids.clear()
self.pendingTickers.add(ticker)
self.ib.errorEvent.emit(reqId, errorCode, errorString, contract)
def updateMktDepthL2(self,
reqId: int,
position: int,
marketMaker: str,
operation: int,
side: int,
price: float,
size: int,
isSmartDepth: bool = False):
# operation: 0 = insert, 1 = update, 2 = delete
# side: 0 = ask, 1 = bid
ticker = self.reqId2Ticker[reqId]
dom = ticker.domBids if side else ticker.domAsks
if operation == 0:
dom.insert(position, DOMLevel(price, size, marketMaker))
elif operation == 1:
dom[position] = DOMLevel(price, size, marketMaker)
elif operation == 2:
if position < len(dom):
level = dom.pop(position)
price = level.price
size = 0
tick = MktDepthData(self.lastTime, position, marketMaker, operation,
side, price, size)
ticker.domTicks.append(tick)
self.pendingTickers.add(ticker)
def error(self, reqId, errorCode, errorString):
# https://interactivebrokers.github.io/tws-api/message_codes.html
warningCodes = {165, 202, 399, 434, 10167}
isWarning = errorCode in warningCodes or 2100 <= errorCode < 2200
msg = (
f'{"Warning" if isWarning else "Error"} '
f'{errorCode}, reqId {reqId}: {errorString}')
contract = self._reqId2Contract.get(reqId)
if contract:
msg += f', contract: {contract}'
if isWarning:
self._logger.info(msg)
else:
self._logger.error(msg)
if reqId in self._futures:
# the request failed
self._endReq(reqId)
elif (self.clientId, reqId) in self.trades:
# something is wrong with the order, cancel it
trade = self.trades[(self.clientId, reqId)]
if not trade.isDone():
status = trade.orderStatus.status = OrderStatus.Cancelled
logEntry = TradeLogEntry(self.lastTime, status, msg)
trade.log.append(logEntry)
self._logger.warning(f'Canceled order: {trade}')
self.ib.orderStatusEvent.emit(trade)
trade.cancelledEvent.emit(trade)
elif errorCode == 317:
# Market depth data has been RESET
ticker = self.reqId2Ticker.get(reqId)
if ticker:
for side, l in ((0, ticker.domAsks), (1, ticker.domBids)):
for position in reversed(l):
level = l.pop(position)
tick = MktDepthData(
self.lastTime, position, '', 2,
side, level.price, 0)
ticker.domTicks.append(tick)
self.ib.errorEvent.emit(reqId, errorCode, errorString, contract)
def error(self, reqId: int, errorCode: int, errorString: str):
# https://interactivebrokers.github.io/tws-api/message_codes.html
warningCodes = {165, 202, 399, 404, 434, 492, 10167}
isWarning = errorCode in warningCodes or 2100 <= errorCode < 2200
msg = (
f'{"Warning" if isWarning else "Error"} '
f'{errorCode}, reqId {reqId}: {errorString}')
contract = self._reqId2Contract.get(reqId)
if contract:
msg += f', contract: {contract}'
if isWarning:
self._logger.info(msg)
else:
self._logger.error(msg)
if reqId in self._futures:
# the request failed
if self.ib.RaiseRequestErrors:
error = RequestError(reqId, errorCode, errorString)
self._endReq(reqId, error, success=False)
else:
self._endReq(reqId)
elif (self.clientId, reqId) in self.trades:
# something is wrong with the order, cancel it
trade = self.trades[(self.clientId, reqId)]
if not trade.isDone():
status = trade.orderStatus.status = OrderStatus.Cancelled
logEntry = TradeLogEntry(self.lastTime, status, msg)
trade.log.append(logEntry)
self._logger.warning(f'Canceled order: {trade}')
self.ib.orderStatusEvent.emit(trade)
trade.statusEvent.emit(trade)
trade.cancelledEvent.emit(trade)
if errorCode == 165:
# for scan data subscription there are no longer matching results
dataList = self.reqId2Subscriber.get(reqId)
if dataList:
dataList.clear()
dataList.updateEvent.emit(dataList)
elif errorCode == 317:
# Market depth data has been RESET
ticker = self.reqId2Ticker.get(reqId)
if ticker:
# clear all DOM levels
ticker.domTicks += [MktDepthData(
self.lastTime, 0, '', 2, 0, level.price, 0)
for level in ticker.domAsks]
ticker.domTicks += [MktDepthData(
self.lastTime, 0, '', 2, 1, level.price, 0)
for level in ticker.domBids]
ticker.domAsks.clear()
ticker.domBids.clear()
self.pendingTickers.add(ticker)
elif errorCode == 10225:
# Bust event occurred, current subscription is deactivated.
# Please resubscribe real-time bars immediately
bars = self.reqId2Subscriber.get(reqId)
if isinstance(bars, RealTimeBarList):
self.ib.client.cancelRealTimeBars(reqId)
self.ib.client.reqRealTimeBars(
reqId, bars.contract, bars.barSize, bars.whatToShow,
bars.useRTH, bars.realTimeBarsOptions)
elif isinstance(bars, BarDataList):
self.ib.client.cancelHistoricalData(reqId)
self.ib.client.reqHistoricalData(
reqId, bars.contract, bars.endDateTime,
bars.durationStr, bars.barSizeSetting, bars.whatToShow,
bars.useRTH, bars.formatDate, bars.keepUpToDate,
bars.chartOptions)
self.ib.errorEvent.emit(reqId, errorCode, errorString, contract)