def main():
app = TestApp()
app.connect("127.0.0.1", 7497,
988) # LFX comment - this needs to be host, port, client ID
contracts = [
ContractSamples.EurGbpFx(),
ContractSamples.AudChfFx(),
ContractSamples.ChfJpyFx(),
ContractSamples.EurChfFx(),
ContractSamples.EurJpyFx(),
ContractSamples.EurUsdFx(),
ContractSamples.GbpChfFx(),
ContractSamples.GbpJpyFx(),
ContractSamples.NzdUsdFx(),
ContractSamples.UsdJpyFx()
]
JSONContent = requests.get(contracts).json()
content = json.dumps(JSONContent, indent=4, sort_keys=True)
print(content)
for i in contracts:
app.reqContractDetails(1, i)
app.run()
def historicalData_req(self):
# Requesting historical data
query_time = (datetime.datetime.today() -
datetime.timedelta(days=180)).strftime("%Y%m%d %H:%M:%S")
self.reqHistoricalData(4102, ContractSamples.EurGbpFx(), query_time, "1 M",
"1 day", "MIDPOINT", 1, 1, False, [])
self.reqHistoricalData(4103, ContractSamples.EurGbpFx(), query_time,
"10 D", "1 hour", "MIDPOINT", 1, 1, False, [])
def opt_tick_req_single_code(self,index,option_code,queryTime):
self.client.opt_req_next_code = False
order_id = index*100000 + 1
while not self.client.opt_req_next_code and not self.client.process_done:
time_recorder = 0
self.client.reqHistoricalTicks(order_id, ContractSamples.OptionWithLocalSymbol(option_code),
queryTime.strftime("%Y%m%d %H:%M:%S"), "", 1000, "TRADES", 1, True, [])
time.sleep(10)
while not self.client.process_done:
if self.client.opt_req_next_code:
print('next code...............')
break
elif self.client.opt_req_continue:
queryTime = self.client.lasttime
order_id += 1
self.client.opt_req_continue = False
print('continue...............')
break
else:
time.sleep(2)
time_recorder += 1
if time_recorder > 90: #3分钟内没有返回内容，则重新提交请求
fw = open('data.txt', 'a')
fw.write(option_code+' '+str(order_id)+' '+str(queryTime)+'\n')
fw.close()
self.client.opt_req_next_code = True
self.client.tick_num = 1
break
print(datetime.datetime.now(), 'sleeping.................')
print(datetime.datetime.now())
def option_tikc_req(self):
index_continue = -1
if index_continue == -1:
index_continue = 0
for index in self.stock_code_map.keys():
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
self.client.reqContractDetails(index, ContractSamples.OptionForQuery(stock_code))
time.sleep(30)
print('Asked for ', str(stock_code))
while not self.client.req_opt_contract_end and not self.client.process_done:
print('waiting for req_opt_contract_end Done')
time.sleep(2)
print(self.client.option_code_map)
else:
temp = pd.read_csv('option_code_map.csv')
self.client.option_code_map = temp['option_code'].values.tolist()
option_code_map = self.client.option_code_map
for index in range(index_continue, len(option_code_map)):
if self.client.process_done:
break
else:
option_code = option_code_map[index]
self.client.opt_req_next_code = False
queryTime = datetime.datetime(2018, 3, 20, 9, 30)
self.opt_tick_req_single_code(index, option_code, queryTime)
print('request option tick data done!')
def persistData(self, reqId: int, time: int, price: float, size: int,
tickAttribLast: TickAttribLast):
#print(" inside persistData")
contract = ContractSamples.SimpleFuture()
values = (1, contract.symbol, reqId, time, price, size)
db = DBHelper()
db.insertData(values)
def historicalDataRequests_req_Seconds(self):
flag = 0
for queryTime in date_list:
if flag == 1:
queryTime += timedelta(hours=16)
else:
queryTime = datetime.datetime(2017,12,8,10,30)
flag = 1
if self.client.process_done:
break
while queryTime.hour > 9:
for index in self.stock_code_map.keys():
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index), str(queryTime))
self.client.reqHistoricalData(index, ContractSamples.USStockAtSmart(stock_code),
queryTime.strftime("%Y%m%d %H:%M:%S"),
"1800 S", "1 secs", "TRADES", 1, 1, False, [])
time.sleep(10)
print('Finish query', stock_code + str(queryTime))
# print(xx)
queryTime -= timedelta(seconds=1800)
print('request done')
def historicalDataRequests_req_opt_Seconds(self):
for index in self.stock_code_map.keys():
queryTime = datetime.datetime(2018, 1, 16, 16, 00)
endday = queryTime - timedelta(days=180)
while queryTime > endday:
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index), str(queryTime))
self.client.reqHistoricalData(index, ContractSamples.OptionWithLocalSymbol(stock_code),
queryTime.strftime("%Y%m%d %H:%M:%S"),
"1800 S", "1 secs", "TRADES", 1, 1, False, [])
time.sleep(11)
print('Finish query', stock_code + str(queryTime))
if queryTime.hour == 10 and queryTime.minute == 0:
if queryTime.isoweekday() == 1:
queryTime -= timedelta(days=2,hours=18)
else:
queryTime -= timedelta(hours=18)
else:
queryTime -= timedelta(seconds=1800)
print('request done')
def opt_tick_req_single_code(self,index,option_code,query_Time):
queryTime = query_Time
while not self.client.opt_req_next_code and not self.client.process_done:
self.client.reqHistoricalTicks(index, ContractSamples.OptionWithLocalSymbol(option_code),
queryTime.strftime("%Y%m%d %H:%M:%S"), "", 1000, "TRADES", 1, True, [])
time.sleep(15)
while not self.client.process_done:
if self.client.opt_req_next_time:
if queryTime.isoweekday() == 1:
queryTime -= timedelta(days=3)
else:
queryTime -= timedelta(days=1)
queryTime = datetime.datetime.combine(queryTime.date(),query_Time.time())
print(queryTime)
self.client.opt_req_next_time = False
print('next time...............')
break
elif self.client.opt_req_continue:
queryTime = self.client.lasttime
self.client.opt_req_continue = False
print('continue...............')
break
else:
time.sleep(0.5)
print('sleeping.................')
def marketDepthOperations_req(self):
# Requesting the Deep Book
# ! [reqmarketdepth]
#self.reqMktDepth(2001, ContractSamples.EurGbpFx(), 5, False, [])
#self.reqMktDepth(2001, ContractSamples.USStock(), 5, True, [])
self.reqMktDepth(2002, ContractSamples.SimpleFuture(), 5, True, [])
def tickDataOperations_req(self):
self.reqMarketDataType(MarketDataTypeEnum.DELAYED_FROZEN)
#self.reqMktData(1015, ContractSamples.SimpleFuture(), "", False, False, [])
#self.reqMktData(1999, ContractSamples.USSPYStockAtSmart(), "233,236,258", False, False, [])
#self.reqHistoricalData(2, ContractSamples.ContFut(), "", "1 Y", "1 hour", "BID_ASK", 0, 1, False, []);
self.reqTickByTickData(19002, ContractSamples.SimpleFuture(),
"AllLast", 0, False)
def mktData_req_opt(self):
for index in self.stock_code_map.keys():
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index))
self.client.reqMktData(index, ContractSamples.OptionWithLocalSymbol(stock_code), "100,101,104,106,233,236,258", False, False, [])
print('Finish query', stock_code)
print('request done')
def persistData(self, reqId: int, time: int, price: float, size: int,
tickAttribLast: TickAttribLast):
#print(" inside persistData")
contract = ContractSamples.USStock()
converted_time = datetime.datetime.fromtimestamp(time).strftime(
"%Y%m%d %H:%M:%S")
values = (1, contract.symbol, contract.secType, reqId, time, price,
size)
db = DBHelper()
db.insertData(values)
def main():
app = TestApp()
app.connect("127.0.0.1", 7497, 988) # LFX comment - this needs to be host, port, client ID
contract = ContractSamples.EurUsdFx()
app.reqHistoricalData(1, contract, "", "1 M", "1 day", "MIDPOINT", 0, 1, False, [])
app.run()
def main():
app = TestApp()
app.connect("127.0.0.1", 7497, 988) # LFX comment - this needs to be host, port, client ID
contract = ContractSamples.EurGbpFx()
app.reqMarketDataType(4)
app.reqMktData(1, contract, "", False, False, [])
app.run()
def historicalDataRequests_req_HeadTimestamp(self):
# Requesting historical data
# ! [reqHeadTimeStamp]
for index in self.stock_code_map.keys():
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
print('Start to get', stock_code, str(index))
self.client.reqHeadTimeStamp(index, ContractSamples.OptionWithLocalSymbol(stock_code), "TRADES", 0, 1)
time.sleep(10)
print('Finish query', stock_code)
def orderOperations_req(self):
# If not check - orders will be placed consistently
if self.started:
return
# Will need to set this flag to false somewhere in order to place a new order
self.started = True
# The parameter is always ignored.
self.reqIds(-1)
self.placeOrder(self.nextOrderId(), ContractSamples.EurGbpFx(),
OrderSamples.MarketOrder("SELL", 20000))
def optionsOperations_req(self):
# ! [reqsecdefoptparams]
self.reqSecDefOptParams(0, "IBM", "", "STK", 8314)
# ! [reqsecdefoptparams]
# Calculating implied volatility
# ! [calculateimpliedvolatility]
self.calculateImpliedVolatility(5001, ContractSamples.OptionAtBOX(), 5,
85, [])
# ! [calculateimpliedvolatility]
# Calculating option's price
# ! [calculateoptionprice]
self.calculateOptionPrice(5002, ContractSamples.OptionAtBOX(), 0.22,
85, [])
# ! [calculateoptionprice]
# Exercising options
# ! [exercise_options]
self.exerciseOptions(5003, ContractSamples.OptionWithTradingClass(), 1,
1, self.account, 1)
def main():
app = TestApp()
app.connect("127.0.0.1", 7497,
988) # LFX comment - this needs to be host, port, client ID
contract = ContractSamples.EurGbpFx()
app.reqHistoricalData(1, contract, "", "7 D", "1 hour", "MIDPOINT", 0, 1,
False, [])
#app.historicalDataOperations_req()
app.run()
def ocaSample(self):
"""One Cancels All. This could come in handy when I'm not picky
about the particular strike, but care more that I get one of several
strikes at a reasonable price. For instance place multiple limit orders
when I only want 1."""
ocaOrders = [
OrderSamples.LimitOrder("BUY", 1, 10),
OrderSamples.LimitOrder("BUY", 1, 11),
OrderSamples.LimitOrder("BUY", 1, 12)
]
OrderSamples.OneCancelsAll("TestOCA_" + self.nextValidOrderId,
ocaOrders, 2)
for o in ocaOrders:
self.placeOrder(self.nextOrderId(), ContractSamples.USStock(), o)
def main():
app = TestApp()
app.connect("127.0.0.1", 7497, 988) # LFX comment - this needs to be host, port, client ID
contract = ContractSamples.EurGbpFx()
# order = OrderSamples.MarketOrder("buy", 10)
app.nextValidId(orderId=1)
Timer(3, app.stop).start()
app.run()
def main():
app = TestApp()
app.connect("127.0.0.1", 7497, 0)
print("serverVersion:%s connectionTime:%s" %
(app.serverVersion(), app.twsConnectionTime()))
# app.reqContractDetails(10, ContractSamples.SI())
# app.reqMktData(1101,ContractSamples.SI(),"",False,False,[])
# app.reqMktData(1101, ContractSamples.USStockAtSmart(), "", False, False, [])
queryTime = (datetime.datetime.today() -
datetime.timedelta(days=180)).strftime("%Y%m%d %H:%M:%S")
SI_data = app.reqHistoricalData(4101, ContractSamples.SI(), queryTime,
"1 M", "1 day", "MIDPOINT", 1, 1, [])
app.run()
def __init__(self):
TestWrapper.__init__(self)
TestClient.__init__(self, wrapper=self)
self.nKeybInt = 0
self.started = False
self.nextValidOrderId = None
self.nextRequestId = 5000
self.historicalDataFrame = pd.DataFrame(columns=[
"reqID", "Date", "Open", "High", "Low", "Close", "Volume", "Count",
"WAP"
])
self.permId2ord = {}
#self.reqId2nErr = collections.defaultdict(int)
self.globalCancelOnly = False
self.simplePlaceOid = None
self.sampleStock = ContractSamples.USStockAtSmart()
self.historicalDataReceived = False
def optionsOperations_req(self):
# ! [reqsecdefoptparams]
# self.client.reqSecDefOptParams(1, "IBM", "", "STK", 8314)
# self.client.reqContractDetails(210, ContractSamples.OptionForQuery())
# self.client.reqMktData(1002, ContractSamples.USStockAtSmart('AAPL'), "", False, False, []) #OptionForQuery()
# self.client.reqHistoricalData(1, ContractSamples.OptionForQuery(),
# "20180224 16:00:00", "900 S", "1 secs", "TRADES", 1, 1, False, [])
# self.client.reqHistoricalTicks(0, ContractSamples.OptionWithLocalSymbol("AAPL 180420C00180000"),
# "20171124 09:30:00", "", 1000, "TRADES", 1, True, [])
# self.opt_tick_req_single_code(0, "AAPL 180420C00180000", datetime.datetime(2017,11,22,9,30))
self.client.reqHeadTimeStamp(1, ContractSamples.OptionWithLocalSymbol("AAPL 190118C00135000"), "TRADES", 0, 1)
# self.client.reqMktData(1000, ContractSamples.OptionWithLocalSymbol("AAPL 180420C00180000"), "100,101,104,106,233,236,258", False, False, [])
# ! [reqsecdefoptparams]
print('request done!!')
def paper_trade(self):
my_client = MongoClient('10.12.0.30', 27017)
my_db = my_client['research']
my_col = my_db['optionsonar']
data = my_col.find({}, {'_id': 0})
data_pd = pd.DataFrame(list(data))
start_num = len(data_pd)
order_done = False
while not self.client.process_done and not order_done:
if self.client.nextValidOrderId is not None:
self.client.placeOrder(self.client.nextOrderId(), ContractSamples.OptionWithLocalSymbol('AAPL 180420C00180000'),
OrderSamples.LimitOrder("BUY", 3, 0.1))
order_done = True
else:
time.sleep(1)
print('wait for placing order')
print('place order done')
def historicalDataRequests_req_Days(self):
queryTime = datetime.datetime(2016, 12, 25)
while queryTime > datetime.datetime(1980, 1, 1):
for index in self.stock_code_map.keys():
if self.client.process_done:
break
stock_code = self.stock_code_map[index]
headTimestamp = datetime.datetime.strptime(stock_HeadTimestamp[stock_code], '%Y/%m/%d')
if queryTime > headTimestamp:
print('Start to get', stock_code, str(index), str(queryTime))
self.client.reqHistoricalData(index, ContractSamples.USStockAtSmart(stock_code),
queryTime.strftime("%Y%m%d %H:%M:%S"),
"1 Y", "1 day", "TRADES", 1, 1, False, [])
time.sleep(10)
print('Finish query', stock_code + str(queryTime))
# print(xx)
queryTime -= timedelta(days=360)
print('request done')
def run(self):
i = 1
while i == 1:
records = Signal.objects.all()
for record in records:
if record.status == "new":
print(f"new record id: {record.id}")
rec = json.loads(record.request_payload) # Parse json
if rec['url'] == 'placeorder':
self.app.nextOrderId()
# STK
#contract = ContractSamples.USStock()
#contract.symbol = rec['symbol']
#self.app.placeOrder(self.app.nextOrderId(), contract, OrderSamples.MarketOrder(rec['direction'], rec['volume']))
#contract = ContractSamples.EurGbpFx()
contract = ContractSamples.USStock()
contract.symbol = rec['symbol']
self.app.placeOrder(
self.app.nextValidOrderId, contract,
OrderSamples.MarketOrder(rec['direction'],
rec['volume']))
#print("next trading.py:" + str(self.app.nextValidOrderId))
print("Request payload(Trading.py):" + str(rec))
record.status = "processed"
#record.url = rec['url']
record.req_id = self.app.nextValidOrderId
record.save()
if rec['url'] == 'botstatus':
record.status = "processed"
#record.req_id = self.app.nextValidOrderId
record.save()
time.sleep(1)
def option_tikc_req(self):
for index in self.stock_code_map.keys():
if self.client.process_done:
break
else:
stock_code = self.stock_code_map[index]
self.client.reqContractDetails(index, ContractSamples.OptionForQuery(stock_code))
time.sleep(11)
while not self.client.req_opt_contract_end and not self.client.process_done:
print('waiting for req_opt_contract_end Done')
time.sleep(0.5)
option_code_map = self.client.option_code_map
for index in option_code_map:
if self.client.process_done:
break
else:
option_code = option_code_map[index]
self.client.opt_req_next_code = False
queryTime = datetime.datetime(2018, 3, 9, 9, 30)
self.opt_tick_req_single_code(index, option_code, queryTime)
print('request option tick data done!')
def historicalDataOperations_req(self):
self.reqHistoricalData(10, ContractSamples.EurGbpFx(), "", "1 D",
"1 hour", "MIDPOINT", 1, 1, True, [])
self.reqHistoricalData(20, ContractSamples.EurUsdFx(), "", "1 D",
"1 hour", "MIDPOINT", 1, 1, False, [])
def historicalDataOperations_req(self):
self.reqHistoricalData(1, ContractSamples.EurGbpFx(), "",
"1 M", "1 day", "MIDPOINT", 1, 1, False, [])
def run(self):
i = 1
while i == 1:
records = Signal.objects.all()
for record in records:
if record.status == "new":
print(f"Watch loop: new record id: {record.id}")
rec = json.loads(record.request_payload) # Parse json
if rec['url'] == 'placeorder':
self.app.nextOrderId()
contract = ContractSamples.USStock()
contract.exchange = rec['exchange']
contract.symbol = rec['symbol']
contract.currency = rec['currency']
if rec['order_type'] == 'market':
# Place market orders
self.app.placeOrder(
self.app.nextValidOrderId, contract,
OrderSamples.MarketOrder(
rec['direction'], rec['volume']))
else:
self.app.placeOrder(
self.app.nextValidOrderId, contract,
OrderSamples.LimitOrder(
rec['direction'], rec['volume'],
rec['price']))
print("Request payload (Trading.py placeorder):" +
str(rec))
try:
record.status = "pending"
record.req_id = self.app.nextValidOrderId
record.save()
except:
error = 'Trading.py. Update Model query error. Most likely - no MYSQL connection. Code: 99oozz4'
print(error)
self.log.error(error)
if rec['url'] == 'botstatus' and record.status != 'pending':
self.app.timeStamp()
print('Entered bot status: ' + str(i) + ' ' +
str(self.app.timestamp))
contract = ContractSamples.USStock()
contract.exchange = 'nyse'
contract.symbol = 'aapl'
self.app.reqContractDetails(self.app.timestamp,
contract)
#self.app.reqPositionsMulti(self.app.timestamp, "", "")
try:
record.status = "pending"
record.req_id = self.app.timestamp
record.save()
except:
error = 'Trading.py. Update Model query error. Most likely - no MYSQL connection. Code: 99oozz5'
print(error)
self.log.error(error)
# Get all positions. Can be executed with symbol as an optional parameter
# Response will be returned to positionMulti. positionMultiEnd - will be the finalizing event
# https://interactivebrokers.github.io/tws-api/classIBApi_1_1EClient.html#a4fa2744c3459f9f6cf695980267608c3
if rec['url'] == 'getpositions' and record.status != 'pending':
self.app.timeStamp()
print('Entered bot getpositions:' + str(i) + ' ' +
str(self.app.timestamp))
self.app.reqPositionsMulti(self.app.timestamp, "", "")
TestApp.positionSymbol = rec['symbol'].upper()
try:
record.status = "pending"
record.req_id = self.app.timestamp
record.save()
except:
error = 'Trading.py. Update Model query error. Most likely - no MYSQL connection. Code: 26ooutt'
print(error)
self.log.error(error)
if rec['url'] == 'getquote' and record.status != 'pending':
self.app.timeStamp()
print('Entered bot get quote:' + str(i) + ' ' +
str(self.app.timestamp))
contract = ContractSamples.USStock()
contract.exchange = rec['exchange']
contract.symbol = rec['symbol']
contract.currency = rec['currency']
# self.app.reqContractDetails(self.app.timestamp, contract)
# Tick types
self.app.reqMktData(self.app.timestamp, contract, "",
False, False, [])
try:
record.status = "pending"
record.req_id = self.app.timestamp
record.save()
except:
error = 'Trading.py. Update Model query error. Most likely - no MYSQL connection. Code: 99oozz6'
print(error)
self.log.error(error)
# https://github.com/dacoders77/tbr/blob/master/!%D1%81%23/TBR_noform/Classes/ApiManager.cs
# iBClient.ClientSocket.reqMktData(requestId, contract, "", true, false, null);
# https://github.com/dacoders77/tbr/blob/master/!%D1%81%23/TBR_noform/Form1.cs
# ibClient.TickPrice += IbClient_TickPrice; // reqMarketData. EWrapper Interface
if rec['url'] == 'cancelall' and record.status != 'pending':
self.app.timeStamp()
print('Entered cancel all:' + str(i) + ' ' +
str(self.app.timestamp))
self.app.reqGlobalCancel()
try:
record.status = 'processed'
record.req_id = self.app.timestamp
record.response_payload = 'cancel all ok'
record.save()
except:
error = 'Trading.py. Update Model query error. Most likely - no MYSQL connection. Code: 99oozz7'
print(error)
self.log.error(error)
time.sleep(1)