def processSoftDollarTiersMsg(self, fields):
sMsgId = next(fields)
reqId = decode(int, fields)
nTiers = decode(int, fields)
tiers = []
for idxTier in range(nTiers):
tier = SoftDollarTier()
tier.name = decode(str, fields)
tier.value = decode(str, fields)
tier.dislplayName = decode(str, fields)
tiers.append(tier)
self.wrapper.softDollarTiers(reqId, tiers)
def decodeSoftDollarTier(self, fields):
if self.serverVersion >= MIN_SERVER_VER_SOFT_DOLLAR_TIER:
name = decode(str, fields)
value = decode(str, fields)
displayName = decode(str, fields)
self.order.softDollarTier = SoftDollarTier(name, value,
displayName)
def __init__(self):
self.softDollarTier = SoftDollarTier("", "", "")
# order identifier
self.orderId = 0
self.clientId = 0
self.permId = 0
# main order fields
self.action = ""
self.totalQuantity = 0
self.orderType = ""
self.lmtPrice = UNSET_DOUBLE
self.auxPrice = UNSET_DOUBLE
# extended order fields
self.tif = "" # "Time in Force" - DAY, GTC, etc.
self.activeStartTime = "" # for GTC orders
self.activeStopTime = "" # for GTC orders
self.ocaGroup = "" # one cancels all group name
self.ocaType = 0 # 1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK
self.orderRef = ""
self.transmit = True # if false, order will be created but not transmited
self.parentId = 0 # Parent order Id, to associate Auto STP or TRAIL orders with the original order.
self.blockOrder = False
self.sweepToFill = False
self.displaySize = 0
self.triggerMethod = 0 # 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last, 4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-point
self.outsideRth = False
self.hidden = False
self.goodAfterTime = "" # Format: 20060505 08:00:00 {time zone}
self.goodTillDate = "" # Format: 20060505 08:00:00 {time zone}
self.rule80A = "" # Individual = 'I', Agency = 'A', AgentOtherMember = 'W', IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M', IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
self.allOrNone = False
self.minQty = UNSET_INTEGER #type: int
self.percentOffset = UNSET_DOUBLE # typefloat; REL orders only
self.overridePercentageConstraints = False
self.trailStopPrice = UNSET_DOUBLE # typefloat
self.trailingPercent = UNSET_DOUBLE # typefloat; TRAILLIMIT orders only
# financial advisors only
self.faGroup = ""
self.faProfile = ""
self.faMethod = ""
self.faPercentage = ""
# institutional (ie non-cleared) only
self.designatedLocation = "" #used only when shortSaleSlot=2
self.openClose = "O" # O=Open, C=Close
self.origin = CUSTOMER # 0=Customer, 1=Firm
self.shortSaleSlot = 0 # typeint; 1 if you hold the shares, 2 if they will be delivered from elsewhere. Only for Action=SSHORT
self.exemptCode = -1
# SMART routing only
self.discretionaryAmt = 0
self.eTradeOnly = True
self.firmQuoteOnly = True
self.nbboPriceCap = UNSET_DOUBLE # typefloat
self.optOutSmartRouting = False
# BOX exchange orders only
self.auctionStrategy = AUCTION_UNSET # typeint; AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT
self.startingPrice = UNSET_DOUBLE # typefloat
self.stockRefPrice = UNSET_DOUBLE # typefloat
self.delta = UNSET_DOUBLE # typefloat
# pegged to stock and VOL orders only
self.stockRangeLower = UNSET_DOUBLE # typefloat
self.stockRangeUpper = UNSET_DOUBLE # typefloat
self.randomizePrice = False
self.randomizeSize = False
# VOLATILITY ORDERS ONLY
self.volatility = UNSET_DOUBLE # typefloat
self.volatilityType = UNSET_INTEGER # typeint # 1=daily, 2=annual
self.deltaNeutralOrderType = ""
self.deltaNeutralAuxPrice = UNSET_DOUBLE # typefloat
self.deltaNeutralConId = 0
self.deltaNeutralSettlingFirm = ""
self.deltaNeutralClearingAccount = ""
self.deltaNeutralClearingIntent = ""
self.deltaNeutralOpenClose = ""
self.deltaNeutralShortSale = False
self.deltaNeutralShortSaleSlot = 0
self.deltaNeutralDesignatedLocation = ""
self.continuousUpdate = False
self.referencePriceType = UNSET_INTEGER # typeint; 1=Average, 2 = BidOrAsk
# COMBO ORDERS ONLY
self.basisPoints = UNSET_DOUBLE # typefloat; EFP orders only
self.basisPointsType = UNSET_INTEGER # typeint; EFP orders only
# SCALE ORDERS ONLY
self.scaleInitLevelSize = UNSET_INTEGER # typeint
self.scaleSubsLevelSize = UNSET_INTEGER # typeint
self.scalePriceIncrement = UNSET_DOUBLE # typefloat
self.scalePriceAdjustValue = UNSET_DOUBLE # typefloat
self.scalePriceAdjustInterval = UNSET_INTEGER # typeint
self.scaleProfitOffset = UNSET_DOUBLE # typefloat
self.scaleAutoReset = False
self.scaleInitPosition = UNSET_INTEGER # typeint
self.scaleInitFillQty = UNSET_INTEGER # typeint
self.scaleRandomPercent = False
self.scaleTable = ""
# HEDGE ORDERS
self.hedgeType = "" # 'D' - delta, 'B' - beta, 'F' - FX, 'P' - pair
self.hedgeParam = "" # 'beta=X' value for beta hedge, 'ratio=Y' for pair hedge
# Clearing info
self.account = "" # IB account
self.settlingFirm = ""
self.clearingAccount = "" #True beneficiary of the order
self.clearingIntent = "" # "" (Default), "IB", "Away", "PTA" (PostTrade)
# ALGO ORDERS ONLY
self.algoStrategy = ""
self.algoParams = None #TagValueList
self.smartComboRoutingParams = None #TagValueList
self.algoId = ""
# What-if
self.whatIf = False
# Not Held
self.notHeld = False
self.solicited = False
# models
self.modelCode = ""
# order combo legs
self.orderComboLegs = None # OrderComboLegListSPtr
self.orderMiscOptions = None # TagValueList
# VER PEG2BENCH fields:
self.referenceContractId = 0
self.peggedChangeAmount = 0.
self.isPeggedChangeAmountDecrease = False
self.referenceChangeAmount = 0.
self.referenceExchangeId = ""
self.adjustedOrderType = ""
self.triggerPrice = UNSET_DOUBLE
self.adjustedStopPrice = UNSET_DOUBLE
self.adjustedStopLimitPrice = UNSET_DOUBLE
self.adjustedTrailingAmount = UNSET_DOUBLE
self.adjustableTrailingUnit = 0
self.lmtPriceOffset = UNSET_DOUBLE
self.conditions = [] # std::vector<std::shared_ptr<OrderCondition>>
self.conditionsCancelOrder = False
self.conditionsIgnoreRth = False
# ext operator
self.extOperator = ""
# native cash quantity
self.cashQty = UNSET_DOUBLE
self.mifid2DecisionMaker = ""
self.mifid2DecisionAlgo = ""
self.mifid2ExecutionTrader = ""
self.mifid2ExecutionAlgo = ""
self.dontUseAutoPriceForHedge = False
self.isOmsContainer = False
self.discretionaryUpToLimitPrice = False
self.autoCancelDate = ""
self.filledQuantity = UNSET_DOUBLE
self.refFuturesConId = 0
self.autoCancelParent = False
self.shareholder = ""
self.imbalanceOnly = False
self.routeMarketableToBbo = False
self.parentPermId = 0
self.usePriceMgmtAlgo = None
def processOpenOrder(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
order = Order()
order.orderId = decode(int, fields)
contract = Contract()
contract.conId = decode(int, fields) # ver 17 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 >= 32:
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields) # ver 2 field
if version >= 32:
contract.tradingClass = decode(str, fields)
# read order fields
order.action = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
order.totalQuantity = decode(float, fields)
else:
order.totalQuantity = decode(int, fields)
order.orderType = decode(str, fields)
if version < 29:
order.lmtPrice = decode(float, fields)
else:
order.lmtPrice = decode(float, fields, SHOW_UNSET)
if version < 30:
order.auxPrice = decode(float, fields)
else:
order.auxPrice = decode(float, fields, SHOW_UNSET)
order.tif = decode(str, fields)
order.ocaGroup = decode(str, fields)
order.account = decode(str, fields)
order.openClose = decode(str, fields)
order.origin = decode(int, fields)
order.orderRef = decode(str, fields)
order.clientId = decode(int, fields) # ver 3 field
order.permId = decode(int, fields) # ver 4 field
order.outsideRth = decode(bool, fields) # ver 18 field
order.hidden = decode(bool, fields) # ver 4 field
order.discretionaryAmt = decode(float, fields) # ver 4 field
order.goodAfterTime = decode(str, fields) # ver 5 field
order.sharesAllocation = decode(str, fields) # deprecated ver 6 field
order.faGroup = decode(str, fields) # ver 7 field
order.faMethod = decode(str, fields) # ver 7 field
order.faPercentage = decode(str, fields) # ver 7 field
order.faProfile = decode(str, fields) # ver 7 field
if self.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT:
order.modelCode = decode(str, fields)
order.goodTillDate = decode(str, fields) # ver 8 field
order.rule80A = decode(str, fields) # ver 9 field
order.percentOffset = decode(float, fields, SHOW_UNSET) # ver 9 field
order.settlingFirm = decode(str, fields) # ver 9 field
order.shortSaleSlot = decode(int, fields) # ver 9 field
order.designatedLocation = decode(str, fields) # ver 9 field
if self.serverVersion == MIN_SERVER_VER_SSHORTX_OLD:
exemptCode = decode(int, fields)
elif version >= 23:
order.exemptCode = decode(int, fields)
order.auctionStrategy = decode(int, fields) # ver 9 field
order.startingPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRefPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.delta = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeLower = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeUpper = decode(float, fields, SHOW_UNSET) # ver 9 field
order.displaySize = decode(int, fields) # ver 9 field
#if( version < 18) {
# # will never happen
# /* order.rthOnly = */ readBoolFromInt()
#}
order.blockOrder = decode(bool, fields) # ver 9 field
order.sweepToFill = decode(bool, fields) # ver 9 field
order.allOrNone = decode(bool, fields) # ver 9 field
order.minQty = decode(int, fields, SHOW_UNSET) # ver 9 field
order.ocaType = decode(int, fields) # ver 9 field
order.eTradeOnly = decode(bool, fields) # ver 9 field
order.firmQuoteOnly = decode(bool, fields) # ver 9 field
order.nbboPriceCap = decode(float, fields, SHOW_UNSET) # ver 9 field
order.parentId = decode(int, fields) # ver 10 field
order.triggerMethod = decode(int, fields) # ver 10 field
order.volatility = decode(float, fields, SHOW_UNSET) # ver 11 field
order.volatilityType = decode(int, fields) # ver 11 field
order.deltaNeutralOrderType = decode(str, fields) # ver 11 field (had a hack for ver 11)
order.deltaNeutralAuxPrice = decode(float, fields, SHOW_UNSET) # ver 12 field
if version >= 27 and order.deltaNeutralOrderType:
order.deltaNeutralConId = decode(int, fields)
order.deltaNeutralSettlingFirm = decode(str, fields)
order.deltaNeutralClearingAccount = decode(str, fields)
order.deltaNeutralClearingIntent = decode(str, fields)
if version >= 31 and order.deltaNeutralOrderType:
order.deltaNeutralOpenClose = decode(str, fields)
order.deltaNeutralShortSale = decode(bool, fields)
order.deltaNeutralShortSaleSlot = decode(int, fields)
order.deltaNeutralDesignatedLocation = decode(str, fields)
order.continuousUpdate = decode(bool, fields) # ver 11 field
# will never happen
#if( self.serverVersion == 26) {
# order.stockRangeLower = readDouble()
# order.stockRangeUpper = readDouble()
#}
order.referencePriceType = decode(int, fields) # ver 11 field
order.trailStopPrice = decode(float, fields, SHOW_UNSET) # ver 13 field
if version >= 30:
order.trailingPercent = decode(float, fields, SHOW_UNSET)
order.basisPoints = decode(float, fields, SHOW_UNSET) # ver 14 field
order.basisPointsType = decode(int, fields, SHOW_UNSET) # ver 14 field
contract.comboLegsDescrip = decode(str, fields) # ver 14 field
if version >= 29:
contract.comboLegsCount = decode(int, fields)
if contract.comboLegsCount > 0:
contract.comboLegs = []
for idxLeg in range(contract.comboLegsCount):
comboLeg = ComboLeg()
comboLeg.conId = decode(int, fields)
comboLeg.ratio = decode(int, fields)
comboLeg.action = decode(str, fields)
comboLeg.exchange = decode(str, fields)
comboLeg.openClose = decode(int, fields)
comboLeg.shortSaleSlot = decode(int, fields)
comboLeg.designatedLocation = decode(str, fields)
comboLeg.exemptCode = decode(int, fields)
contract.comboLegs.append(comboLeg)
order.orderComboLegsCount = decode(int, fields)
if order.orderComboLegsCount > 0:
order.orderComboLegs = []
for idxOrdLeg in range(order.orderComboLegsCount):
orderComboLeg = OrderComboLeg()
orderComboLeg.price = decode(float, fields, SHOW_UNSET)
order.orderComboLegs.append(orderComboLeg)
if version >= 26:
order.smartComboRoutingParamsCount = decode(int, fields)
if order.smartComboRoutingParamsCount > 0:
order.smartComboRoutingParams = []
for idxPrm in range(order.smartComboRoutingParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.smartComboRoutingParams.append(tagValue)
if version >= 20:
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET)
order.scaleSubsLevelSize = decode(int, fields, SHOW_UNSET)
else:
# ver 15 fields
order.notSuppScaleNumComponents = decode(int, fields, SHOW_UNSET)
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET) # scaleComponectSize
order.scalePriceIncrement = decode(float, fields, SHOW_UNSET) # ver 15 field
if version >= 28 and order.scalePriceIncrement != UNSET_DOUBLE \
and order.scalePriceIncrement > 0.0:
order.scalePriceAdjustValue = decode(float, fields, SHOW_UNSET)
order.scalePriceAdjustInterval = decode(int, fields, SHOW_UNSET)
order.scaleProfitOffset = decode(float, fields, SHOW_UNSET)
order.scaleAutoReset = decode(bool, fields)
order.scaleInitPosition = decode(int, fields, SHOW_UNSET)
order.scaleInitFillQty = decode(int, fields, SHOW_UNSET)
order.scaleRandomPercent = decode(bool, fields)
if version >= 24:
order.hedgeType = decode(str, fields)
if order.hedgeType:
order.hedgeParam = decode(str, fields)
if version >= 25:
order.optOutSmartRouting = decode(bool, fields)
order.clearingAccount = decode(str, fields) # ver 19 field
order.clearingIntent = decode(str, fields) # ver 19 field
if version >= 22:
order.notHeld = decode(bool, fields)
if version >= 20:
contract.underCompPresent = decode(bool, fields)
if contract.underCompPresent:
contract.underComp = UnderComp()
contract.underComp.conId = decode(int, fields)
contract.underComp.delta = decode(float, fields)
contract.underComp.price = decode(float, fields)
if version >= 21:
order.algoStrategy = decode(str, fields)
if order.algoStrategy:
order.algoParamsCount = decode(int, fields)
if order.algoParamsCount > 0:
order.algoParams = []
for idxAlgoPrm in range(order.algoParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.algoParams.append(tagValue)
if version >= 33:
order.solicited = decode(bool, fields)
orderState = OrderState()
order.whatIf = decode(bool, fields) # ver 16 field
orderState.status = decode(str, fields) # ver 16 field
orderState.initMargin = decode(str, fields) # ver 16 field
orderState.maintMargin = decode(str, fields) # ver 16 field
orderState.equityWithLoan = decode(str, fields) # ver 16 field
orderState.commission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.minCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.maxCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.commissionCurrency = decode(str, fields) # ver 16 field
orderState.warningText = decode(str, fields) # ver 16 field
if version >= 34:
order.randomizeSize = decode(bool, fields)
order.randomizePrice = decode(bool, fields)
if self.serverVersion >= MIN_SERVER_VER_PEGGED_TO_BENCHMARK:
if order.orderType == "PEG BENCH":
order.referenceContractId = decode(int, fields)
order.isPeggedChangeAmountDecrease = decode(bool, fields)
order.peggedChangeAmount = decode(float, fields)
order.referenceChangeAmount = decode(float, fields)
order.referenceExchangeId = decode(str, fields)
order.conditionsSize = decode(int, fields)
if order.conditionsSize > 0:
order.conditions = []
for idxCond in range(order.conditionsSize):
order.conditionType = decode(int, fields)
condition = order_condition.Create(order.conditionType)
condition.decode(fields)
order.conditions.append(condition)
order.conditionsIgnoreRth = decode(bool, fields)
order.conditionsCancelOrder = decode(bool, fields)
order.adjustedOrderType = decode(str, fields)
order.triggerPrice = decode(float, fields)
order.trailStopPrice = decode(float, fields)
order.lmtPriceOffset = decode(float, fields)
order.adjustedStopPrice = decode(float, fields)
order.adjustedStopLimitPrice = decode(float, fields)
order.adjustedTrailingAmount = decode(float, fields)
order.adjustableTrailingUnit = decode(int, fields)
if self.serverVersion >= MIN_SERVER_VER_SOFT_DOLLAR_TIER:
name = decode(str, fields)
value = decode(str, fields)
displayName = decode(str, fields)
order.softDollarTier = SoftDollarTier(name, value, displayName)
self.wrapper.openOrder(order.orderId, contract, order, orderState)
