def updateMktDepthL2(self, id, position, marketMaker, operation, side, price, size):
"""
TickerId id, int position, IBString marketMaker, int operation, int side, double price,
int size
"""
logger.debug("updateMktDepthL2, id=%s position=%s marketMaker=%s operation=%s side=%s price=%s size=%s", id,
position, marketMaker, operation, side, price, size)
def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, gamma, vega, theta, undPrice):
"""
TickerId tickerId, TickType tickType, double impliedVol, double delta, double optPrice,
double pvDividend, double gamma, double vega, double theta, double undPrice
"""
logger.debug(
"tickOptionComputation, tickerId=%s tickType=%s simpliedVol=%s delta=%s optPrice=%s, gamma=%s, vega=%s, theta=%s, undPrice=%s",
tickerId, tickType, impliedVol, delta, optPrice, gamma, vega, theta, undPrice)
def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr):
"""
int reqId, int rank, ContractDetails contractDetails, IBString const & distance,
IBString const & benchmark, IBString const & projection, IBString const & legsStr
"""
logger.debug(
"scannerData, reqId=%s, rank=%s, contractDetails=%s, distance=%s, benchmark=%s, projection=%s, legsStr=%s",
reqId, rank, contractDetails, distance, benchmark, projection, legsStr)
def realtimeBar(self, reqId, time, open, high, low, close, volume, wap, count):
"""
TickerId reqId, long time, double open, double high, double low, double close, long volume,
double wap, int count
"""
logger.debug("realtimeBar, reqId=%s time=%s open=%s high=%s low=%s close=%s volume=%s wap=%s count=%s", reqId,
time, open, high,
low, close, volume,
wap, count)
def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL,
accountName):
"""
Contract contract, int position, double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, IBString const & accountName
"""
logger.debug(
"updatePortfolio, contract=%s position=%s marketPrice=%s marketValue=%s averageCost=%s, unrealizedPNL=%s, realizedPNL=%s, accountName=%s",
contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL,
accountName)
def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld):
"""
OrderId orderId, IBString const & status, int filled, int remaining, double avgFillPrice,
int permId, int parentId, double lastFillPrice, int clientId, IBString const & whyHeld
"""
logger.debug(
"orderStatus, id=%s, status=%s, filled=%s, remaining=%s, avgFillPrice=%s, permId=%s, parentId=%s, lastFilledPrice=%s, clientId=%s, whyHeld=%s",
id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld)
def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureExpiry,
dividendImpact, dividendsToExpiry):
"""
EWrapper self, TickerId tickerId, TickType tickType, double basisPoints, IBString const & formattedBasisPoints,
double totalDividends, int holdDays, IBString const & futureExpiry,
double dividendImpact, double dividendsToExpiry
"""
logger.debug(
"tickEFP, tickerId=%s tickType=%s basisPoints=%s formattedBasisPoints=%s totalDividends=%s, holdDays=%s, futureExpiry=%s, dividendImpact=%s, dividendsToExpiry=%s",
tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureExpiry,
dividendImpact, dividendsToExpiry)
def on_trade(self, trade):
logger.debug("[%s] %s" % (self.__class__.__name__, trade))
self.__trade_dict[trade.inst_id] = trade
self.get_series(get_series_id(trade)).add(timestamp=trade.timestamp,
data={
"price": trade.price,
"size": trade.size
})
if self._is_realtime_persist():
self.store.save_trade(trade)
def on_new_ord_req(self, new_ord_req):
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
self.clordid_ordid_map
self.__add_order(new_ord_req)
self.__send_exec_report(new_ord_req, 0, 0, Submitted)
fill_info = self.fill_strategy.process_new_order(new_ord_req)
executed = self.execute(new_ord_req, fill_info)
if executed:
self.__remove_order(new_ord_req)
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
def historicalData(self, reqId, date, open, high,
low, close, volume,
barCount, WAP, hasGaps):
"""
TickerId reqId, IBString const & date, double open, double high, double low, double close,
int volume, int barCount, double WAP, int hasGaps)
"""
logger.debug(
"historicalData, reqId=%s date=%s open=%s high=%s low=%s close=%s volume=%s barCount=%s WAP=%s hasGaps=%s",
reqId, date, open, high,
low, close, volume,
barCount, WAP, hasGaps)
def on_bar(self, bar):
logger.debug("[%s] %s" % (self.__class__.__name__, bar))
self.__bar_dict[bar.inst_id] = bar
self.get_series(get_series_id(bar)).add(timestamp=bar.timestamp,
data={
"open": bar.open,
"high": bar.high,
"low": bar.low,
"close": bar.close,
"vol": bar.vol
})
if self._is_realtime_persist():
self.store.save_bar(bar)
def on_quote(self, quote):
logger.debug("[%s] %s" % (self.__class__.__name__, quote))
self.__quote_dict[quote.inst_id] = quote
self.get_series(get_series_id(quote)).add(timestamp=quote.timestamp,
data={
"bid": quote.bid,
"ask": quote.ask,
"bid_size":
quote.bid_size,
"ask_size":
quote.ask_size
})
if self._is_realtime_persist():
self.store.save_quote(quote)
def tickString(self, tickerId, tickType, value):
"""
TickerId tickerId, TickType tickType, IBString const & value
"""
logger.debug("tickString, tickerId=%s tickType=%s value=%s", tickerId, tickType, value)
def on_market_depth(self, market_depth: MarketDepth) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, market_depth))
def updateAccountValue(self, key, val, currency, accountName):
"""
IBString const & key, IBString const & val, IBString const & currency, IBString const & accountName
"""
logger.debug("updateAccountValue, key=%s val=%s currency=%s accountName=%s", key, val, currency,
accountName)
def on_quote(self, quote: Quote) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, quote))
def on_trade(self, trade: Trade) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, trade))
def on_new_ord_req(self, new_ord_req: NewOrderRequest) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
self.send_order(new_ord_req)
def on_bar(self, bar: Bar) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, bar))
def on_portf_upd(self, portf_upd: PortfolioUpdate) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, portf_upd))
def on_error(self, err):
logger.debug("[%s] Error: %s" % (self.__class__.__name__, err))
def on_exec_report(self, exec_report: ExecutionReport) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, exec_report))
def on_acc_upd(self, acc_upd: AccountUpdate) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, acc_upd))
def on_ord_upd(self, ord_upd: OrderStatusUpdate) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, ord_upd))
def nextValidId(self, orderId):
"""
OrderId orderId
"""
logger.debug("nextValidId, orderId=%s", orderId)
def on_ord_replace_req(self, ord_replace_req: OrderReplaceRequest) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))
self.replace_order(ord_replace_req)
def tickGeneric(self, tickerId, tickType, value):
"""
TickerId tickerId, TickType tickType, double value
"""
logger.debug("tickGeneric, tickerId=%s tickType=%s value=%s", tickerId, tickType, value)
def on_completed(self):
logger.debug("[%s] Completed" % self.__class__.__name__)
def on_ord_cancel_req(self, ord_cancel_req: OrderCancelRequest) -> None:
logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))
self.cancel_order(ord_cancel_req)
def updateAccountTime(self, timeStamp):
"""
IBString const & timeStamp
"""
logger.debug("updateAccountTime, timeStamp=%s", timeStamp)
