class Broker(object):
"""
"""
ACCOUNT = "U1734198"
MARKET = "MKT"
LIMIT = "LMT"
BOT = "BOT"
SLD = "SLD"
tickers = [] # List of Instruments to get Data from IB
_events_queue = None
def __init__(self, events_queue):
self.logger = logging.getLogger("renaissance")
self.ibWrapper = IBWrapper()
self.ibClient = IBclient(self.ibWrapper, accountid="U1734198")
self._events_queue = events_queue
def createContract(self, secType, symbol, exchange, expiry=None, currency=None ):
"""
Create new IB Contract
:param secType: Contract sector type: STK, OPT, FUT, IND, FOP, CASH,BAG, NEWS
:param expiry: The expiration date. Use the format YYYYMM.
:param symbol: This is the symbol of the underlying asset.
:param exchange: The order destination, such as Smart.
"""
ibcontract = IBcontract()
ibcontract.secType = secType
if expiry:
ibcontract.expiry = expiry
if currency:
ibcontract.currency = currency
ibcontract.symbol = symbol
ibcontract.exchange = exchange
return ibcontract
#def generateSignal(self, ibcontract, trade, lmtPrice="0.0", orderType=MARKET, orderId=None, stopPrice=None, trailStopPrice=None):
# """
# Generate a signal BUY/SELL
#
# :param ibcontract: IBContract from swigibpy
# :param trade: Quantity
# :param lmtPrice: Limit price in case orderType is LMT
# :param orderType: MKT or LMT
# :param orderid: Order id. If None wrapper will inquire IB for next available code.
# :param stopPrice: Order Stop Loss price
# :param trailStopPrice: Order Stop Gain price
# """
#
# orderid = placeNewOrder(ibcontract, trade, lmtPrice, orderType, orderId, stopPrice, trailStopPrice)
#
# return orderid
def placeNewOrder(self, ibcontract, trade, lmtPrice="0.0", orderType=MARKET, orderId=None, stopPrice=None, trailStopPrice=None):
"""
Place an IB Order
:param ibcontract: IBContract from swigibpy
:param trade: Quantity
:param lmtPrice: Limit price in case orderType is LMT
:param orderType: MKT or LMT
:param orderid: Order id. If None wrapper will inquire IB for next available code.
:param stopPrice: Order Stop Loss price
:param trailStopPrice: Order Stop Gain price
"""
orderid = self.ibClient.place_new_IB_order(ibcontract, trade, lmtPrice, orderType, orderId, stopPrice, trailStopPrice)
if not orderid:
self.logger.fatal("Order was not placed! IB Connection is down!")
return orderid
def getNextTick(self, instrument, durationStr="60 S", barSizeSetting="1 min"):
"""
Get the next minute DCHLOV (date, close, high, low, open, volume) data
"""
df = self.getHistoricalData(instrument.contract, durationStr=durationStr, barSizeSetting=barSizeSetting)
tickSignal = TickEvent(instrument, df=df)
self._events_queue.put(tickSignal)
def getHistoricalData(self, ibcontract, durationStr="1 Y", barSizeSetting="1 day"):
result = self.ibClient.get_IB_historical_data(ibcontract, durationStr, barSizeSetting, tickerid=random.randint(1000, 9000))
return result
def getMarketData(self, ibcontract):
result = self.ibClient.get_IB_market_data(ibcontract)
return result
def getAccountData(self):
#print "Bid size, Ask size; Bid price; Ask price"
#ans = ibClient.get_IB_market_data(ibcontract)
#return ans
(account_value, portfolio_data) = self.ibClient.get_IB_account_data()
return (account_value, portfolio_data)
class Broker(object):
"""
"""
ACCOUNT = "U1734198"
MARKET = "MKT"
LIMIT = "LMT"
BOT = "BOT"
SLD = "SLD"
tickers = [] # List of Instruments to get Data from IB
_events_queue = None
def __init__(self, events_queue):
self.logger = logging.getLogger("renaissance")
self.ibWrapper = IBWrapper()
self.ibClient = IBclient(self.ibWrapper, accountid="U1734198")
self._events_queue = events_queue
def createContract(self,
secType,
symbol,
exchange,
expiry=None,
currency=None):
"""
Create new IB Contract
:param secType: Contract sector type: STK, OPT, FUT, IND, FOP, CASH,BAG, NEWS
:param expiry: The expiration date. Use the format YYYYMM.
:param symbol: This is the symbol of the underlying asset.
:param exchange: The order destination, such as Smart.
"""
ibcontract = IBcontract()
ibcontract.secType = secType
if expiry:
ibcontract.expiry = expiry
if currency:
ibcontract.currency = currency
ibcontract.symbol = symbol
ibcontract.exchange = exchange
return ibcontract
#def generateSignal(self, ibcontract, trade, lmtPrice="0.0", orderType=MARKET, orderId=None, stopPrice=None, trailStopPrice=None):
# """
# Generate a signal BUY/SELL
#
# :param ibcontract: IBContract from swigibpy
# :param trade: Quantity
# :param lmtPrice: Limit price in case orderType is LMT
# :param orderType: MKT or LMT
# :param orderid: Order id. If None wrapper will inquire IB for next available code.
# :param stopPrice: Order Stop Loss price
# :param trailStopPrice: Order Stop Gain price
# """
#
# orderid = placeNewOrder(ibcontract, trade, lmtPrice, orderType, orderId, stopPrice, trailStopPrice)
#
# return orderid
def placeNewOrder(self,
ibcontract,
trade,
lmtPrice="0.0",
orderType=MARKET,
orderId=None,
stopPrice=None,
trailStopPrice=None):
"""
Place an IB Order
:param ibcontract: IBContract from swigibpy
:param trade: Quantity
:param lmtPrice: Limit price in case orderType is LMT
:param orderType: MKT or LMT
:param orderid: Order id. If None wrapper will inquire IB for next available code.
:param stopPrice: Order Stop Loss price
:param trailStopPrice: Order Stop Gain price
"""
orderid = self.ibClient.place_new_IB_order(ibcontract, trade, lmtPrice,
orderType, orderId,
stopPrice, trailStopPrice)
if not orderid:
self.logger.fatal("Order was not placed! IB Connection is down!")
return orderid
def getNextTick(self,
instrument,
durationStr="60 S",
barSizeSetting="1 min"):
"""
Get the next minute DCHLOV (date, close, high, low, open, volume) data
"""
df = self.getHistoricalData(instrument.contract,
durationStr=durationStr,
barSizeSetting=barSizeSetting)
tickSignal = TickEvent(instrument, df=df)
self._events_queue.put(tickSignal)
def getHistoricalData(self,
ibcontract,
durationStr="1 Y",
barSizeSetting="1 day"):
result = self.ibClient.get_IB_historical_data(ibcontract,
durationStr,
barSizeSetting,
tickerid=random.randint(
1000, 9000))
return result
def getMarketData(self, ibcontract):
result = self.ibClient.get_IB_market_data(ibcontract)
return result
def getAccountData(self):
#print "Bid size, Ask size; Bid price; Ask price"
#ans = ibClient.get_IB_market_data(ibcontract)
#return ans
(account_value, portfolio_data) = self.ibClient.get_IB_account_data()
return (account_value, portfolio_data)