def request_outright_market_data(self):
outright_ticker_list = self.price_request_dictionary['outright']
self.nonfinished_bid_price_list.extend(outright_ticker_list)
self.nonfinished_ask_price_list.extend(outright_ticker_list)
self.nonfinished_bid_quantity_list.extend(outright_ticker_list)
self.nonfinished_ask_quantity_list.extend(outright_ticker_list)
for i in range(len(outright_ticker_list)):
self.bid_price_dictionary[outright_ticker_list[i]] = np.nan
self.ask_price_dictionary[outright_ticker_list[i]] = np.nan
self.bid_quantity_dictionary[outright_ticker_list[i]] = np.nan
self.ask_quantity_dictionary[outright_ticker_list[i]] = np.nan
self.fair_price_dictionary[outright_ticker_list[i]] = np.nan
outright_ib_contract = ib_contract.get_ib_contract_from_db_ticker(
ticker=outright_ticker_list[i], sec_type='F')
self.outright_contract_dictionary[
outright_ticker_list[i]] = outright_ib_contract
self.market_data_ReqId_dictionary[
self.next_val_id] = outright_ticker_list[i]
self.log.info('req id: ' + str(self.next_val_id) +
', outright_ticker:' + str(outright_ticker_list[i]))
self.reqMktData(self.next_valid_id(), outright_ib_contract, "",
False, False, [])
def request_historical_bar_data(self):
ticker_list = self.ticker_list
self.nonfinished_historical_data_list = ticker_list
for i in range(len(ticker_list)):
self.high_price_dictionary[ticker_list[i]] = []
self.low_price_dictionary[ticker_list[i]] = []
self.close_price_dictionary[ticker_list[i]] = []
self.open_price_dictionary[ticker_list[i]] = []
self.volume_dictionary[ticker_list[i]] = []
self.bar_date_dictionary[ticker_list[i]] = []
outright_ib_contract = ib_contract.get_ib_contract_from_db_ticker(
ticker=ticker_list[i], sec_type='F')
self.bar_data_ReqId_dictionary[self.next_val_id] = ticker_list[i]
print('req id: ' + str(self.next_val_id) + ', outright_ticker:' +
str(ticker_list[i]))
self.reqHistoricalData(reqId=self.next_valid_id(),
contract=outright_ib_contract,
endDateTime='',
durationStr=self.durationStr,
barSizeSetting='5 mins',
whatToShow='TRADES',
useRTH=0,
formatDate=1,
chartOptions=[],
keepUpToDate=False)
def main_run(self):
ticker_list = self.ticker_list
self.nonfinished_ticker_list = cpy.deepcopy(ticker_list)
for i in range(len(ticker_list)):
contract_i = ib_contract.get_ib_contract_from_db_ticker(ticker=ticker_list[i], sec_type='F')
self.contractDetailReqIdDictionary[self.next_val_id] = ticker_list[i]
self.nonfinished_contract_detail_ReqId_list.append(self.next_val_id)
self.reqContractDetails(self.next_valid_id(), contract_i)
def main_run(self):
position_frame = self.position_frame
for i in range(len(position_frame.index)):
if position_frame.loc[i, 'instrument'] == 'F':
contract_i = ib_contract.get_ib_contract_from_db_ticker(
ticker=position_frame.loc[i, 'ticker'], sec_type='F')
elif position_frame.loc[i, 'instrument'] == 'O':
contract_i = ib_contract.get_ib_contract_from_db_ticker(
ticker=position_frame.loc[i, 'ticker'],
sec_type='OF',
option_type=position_frame.loc[i, 'option_type'],
strike=float(position_frame.loc[i, 'strike_price']))
elif position_frame.loc[i, 'instrument'] == 'S':
contract_i = ib_contract.get_ib_contract_from_db_ticker(
ticker=position_frame.loc[i, 'ticker'], sec_type='S')
self.contractDetailReqIdDictionary[self.next_val_id] = i
self.nonfinished_contract_detail_ReqId_list.append(
self.next_val_id)
self.reqContractDetails(self.next_valid_id(), contract_i)
def main_run(self):
vcs_pairs = self.vcs_pairs
proxy_ticker_list = list(
set(vcs_pairs['proxy_ticker1'].unique())
| set(vcs_pairs['proxy_ticker2'].unique()))
self.nonfinished_bid_price_list.extend(proxy_ticker_list)
self.nonfinished_ask_price_list.extend(proxy_ticker_list)
for i in range(len(proxy_ticker_list)):
print('id:' + str(self.next_val_id) + ', ' + proxy_ticker_list[i])
self.market_data_ReqId_dictionary[
self.next_val_id] = proxy_ticker_list[i]
outright_ib_contract = ib_contract.get_ib_contract_from_db_ticker(
ticker=proxy_ticker_list[i], sec_type='F')
self.reqMktData(self.next_valid_id(), outright_ib_contract, "",
False, False, [])
def req_option_chains(self):
vcs_pairs = self.vcs_pairs
self.option_ticker_list = list(
set(vcs_pairs['ticker1'].unique())
| (set(vcs_pairs['ticker2'].unique())))
for i in range(len(self.option_ticker_list)):
self.contractDetailReqIdDictionary[
self.next_val_id] = self.option_ticker_list[i]
ib_option_contract = ib_contract.get_ib_contract_from_db_ticker(
ticker=self.option_ticker_list[i], sec_type='OF')
self.nonfinished_contract_detail_ReqId_list.append(
self.next_val_id)
print('id:' + str(self.next_val_id) + ', ' +
self.option_ticker_list[i])
self.reqContractDetails(self.next_valid_id(), ib_option_contract)
def request_outright_market_data(self):
outright_ticker_list = self.price_request_dictionary['outright']
self.nonfinished_bid_price_list.extend(outright_ticker_list)
self.nonfinished_ask_price_list.extend(outright_ticker_list)
self.nonfinished_bid_quantity_list.extend(outright_ticker_list)
self.nonfinished_ask_quantity_list.extend(outright_ticker_list)
for i in range(len(outright_ticker_list)):
if self.num_messages>=30:
tm.sleep(2)
self.num_messages = 0
outright_ib_contract = ib_contract.get_ib_contract_from_db_ticker(ticker=outright_ticker_list[i], sec_type='F')
self.market_data_ReqId_dictionary[self.next_val_id] = outright_ticker_list[i]
self.log.info('req id: ' + str(self.next_val_id) + ', outright_ticker:' + str(outright_ticker_list[i]));
self.reqMktData(self.next_valid_id(), outright_ib_contract, "", False, False, [])
self.num_messages += 1
def request_market_data(self):
ticker_list = self.ticker_list
self.nonfinished_bid_price_list.extend(ticker_list)
self.nonfinished_ask_price_list.extend(ticker_list)
self.nonfinished_bid_quantity_list.extend(ticker_list)
self.nonfinished_ask_quantity_list.extend(ticker_list)
self.nonfinished_historical_data_list.extend(ticker_list)
for i in range(len(ticker_list)):
self.bid_price_dictionary[ticker_list[i]] = np.nan
self.ask_price_dictionary[ticker_list[i]] = np.nan
self.bid_quantity_dictionary[ticker_list[i]] = np.nan
self.ask_quantity_dictionary[ticker_list[i]] = np.nan
self.current_high_price_dictionary[ticker_list[i]] = np.nan
self.current_low_price_dictionary[ticker_list[i]] = np.nan
self.long_breakout_price_dictionary[ticker_list[i]] = np.nan
self.short_breakout_price_dictionary[ticker_list[i]] = np.nan
self.long_stop_price_dictionary[ticker_list[i]] = np.nan
self.short_stop_price_dictionary[ticker_list[i]] = np.nan
self.long_target_price_dictionary[ticker_list[i]] = np.nan
self.short_target_price_dictionary[ticker_list[i]] = np.nan
self.long_trade_possible_dictionary[ticker_list[i]] = False
self.short_trade_possible_dictionary[ticker_list[i]] = False
self.stop_adjustment_possible_dictionary[ticker_list[i]] = False
self.trade_entry_price_dictionary[ticker_list[i]] = np.nan
outright_ib_contract = ib_contract.get_ib_contract_from_db_ticker(
ticker=ticker_list[i], sec_type='F')
self.ib_contract_dictionary[ticker_list[i]] = outright_ib_contract
self.market_data_ReqId_dictionary[
self.next_val_id] = ticker_list[i]
self.log.info('req id: ' + str(self.next_val_id) +
', outright_ticker:' + str(ticker_list[i]))
self.reqMktData(self.next_valid_id(), outright_ib_contract, "",
False, False, [])
