def get_valid_spy_contract(idx) -> OptionContract:
from ib_insync import IB, Stock
ib = IB()
ib.connect(clientId=idx + 1)
ib_stk_con = Stock(symbol="SPY", exchange="SMART", currency="USD")
ib_details = ib.reqContractDetails(ib_stk_con)[0]
ib.reqMarketDataType(4)
tick = ib.reqMktData(contract=ib_stk_con, snapshot=True)
while np.isnan(tick.ask):
ib.sleep()
ask = tick.ask
ib_con_id = ib_details.contract.conId
ib_chains = ib.reqSecDefOptParams(
underlyingSymbol="SPY",
futFopExchange="",
underlyingSecType="STK",
underlyingConId=ib_con_id,
)
ib_chain = ib_chains[0]
ib_chain.strikes.sort(key=lambda s: abs(s - ask))
strike = ib_chain.strikes[0]
expiration_str = ib_chain.expirations[idx]
expiration_date = datetime.strptime(expiration_str, "%Y%m%d")
spy_contract = OptionContract(
symbol="SPY",
strike=strike,
right=Right.CALL,
multiplier=int(ib_chain.multiplier),
last_trade_date=expiration_date,
)
ib.disconnect()
return spy_contract
class TkApp:
"""
Example of integrating with Tkinter.
"""
def __init__(self):
self.ib = IB().connect()
self.root = tk.Tk()
self.root.protocol('WM_DELETE_WINDOW', self._onDeleteWindow)
self.entry = tk.Entry(self.root, width=50)
self.entry.insert(0, "Stock('TSLA', 'SMART', 'USD')")
self.entry.grid()
self.button = tk.Button(self.root,
text='Get details',
command=self.onButtonClick)
self.button.grid()
self.text = tk.Text(self.root)
self.text.grid()
self.loop = asyncio.get_event_loop()
def onButtonClick(self):
contract = eval(self.entry.get())
cds = self.ib.reqContractDetails(contract)
self.text.delete(1.0, tk.END)
self.text.insert(tk.END, str(cds))
def run(self):
self._onTimeout()
self.loop.run_forever()
def _onTimeout(self):
self.root.update()
self.loop.call_later(0.03, self._onTimeout)
def _onDeleteWindow(self):
self.loop.stop()
def update_details(ib: IB, store: AbstractBaseStore,
keys: Optional[Union[str, List[str]]] = None) -> None:
"""
Pull contract details from ib and update metadata in store.
Args:
ib: connected IB instance
store: datastore instance, for which data will be updated
keys (Optional): keys in datastore, for which data is to be updated,
if not given, update all keys
"""
if keys is None:
keys = store.keys()
elif isinstance(keys, str):
keys = [keys]
contracts = {}
for key in keys:
try:
contract = eval(store.read_metadata(key)['repr'])
except TypeError:
log.error(f'Metadata missing for {key}')
continue
contract.update(includeExpired=True)
contracts[key] = contract
ib.qualifyContracts(*contracts.values())
details = {}
for k, v in contracts.copy().items():
try:
details[k] = ib.reqContractDetails(v)[0]
except IndexError:
log.error(f'Contract unavailable: {k}')
del contracts[k]
# get commission levels
order = MarketOrder('BUY', 1)
commissions = {}
for k, v in contracts.items():
try:
commissions[k] = ib.whatIfOrder(v, order).commission
except AttributeError:
log.error(f'Commission unavailable for: {k}')
commissions[k] = np.nan
for c, d in details.items():
_d = {'name': d.longName,
'min_tick': d.minTick,
'commission': commissions[c]
}
store.write_metadata(c, _d)
log.info('Data written to store.')
def back_fill_catalog(
ib: IB,
catalog: DataCatalog,
contracts: List[Contract],
start_date: datetime.date,
end_date: datetime.date,
tz_name="Asia/Hong_Kong",
kinds=("BID_ASK", "TRADES"),
):
"""
Back fill the data catalog with market data from Interactive Brokers.
Parameters
----------
ib : IB
The ib_insync client.
catalog : DataCatalog
DataCatalog to write the data to
contracts : List[Contract]
The list of IB Contracts to collect data for
start_date : datetime.date
The start_date for the back fill.
end_date : datetime.date
The end_date for the back fill.
tz_name : str
The timezone of the contracts
kinds : tuple[str] (default: ('BID_ASK', 'TRADES')
The kinds to query data for
"""
for date in pd.bdate_range(start_date, end_date):
for kind in kinds:
for contract in contracts:
[details] = ib.reqContractDetails(contract=contract)
instrument = parse_instrument(contract_details=details)
raw = fetch_market_data(contract=contract,
date=date.to_pydatetime(),
kind=kind,
tz_name=tz_name,
ib=ib)
if kind == "TRADES":
ticks = parse_historic_trade_ticks(
historic_ticks=raw, instrument_id=instrument.id)
elif kind == "BID_ASK":
ticks = parse_historic_quote_ticks(
historic_ticks=raw, instrument_id=instrument.id)
else:
raise RuntimeError()
write_objects(catalog=catalog, chunk=ticks)
"FB",
"AAPL",
"NFLX",
"MSFT",
"BABA",
"INTC",
"TSLA",
]
FUTURES = [
"ES", "NQ", "RTY", "CL", "NG", "ZB", "ZN", "GC", "MXP", "EUR", "JPY", "GBP"
]
stockContracts = [Stock(s, "SMART", "USD") for s in STOCK]
ib.qualifyContracts(*stockContracts)
futures = [ib.reqContractDetails(Future(f)) for f in FUTURES]
futuresContracts = [c.contract for f in futures for c in f]
futuresContracts = [
c for c in futuresContracts if c.tradingClass == c.symbol
and c.lastTradeDateOrContractMonth.startswith("2019")
]
for contract in stockContracts + futuresContracts:
ib.reqMktData(contract, "", False, False)
def onPendingTickers(tickers):
ticks = []
for t in tickers:
encodedTick = json.dumps(util.tree(t))
ticks.append({"Data": encodedTick})
class IBStore(with_metaclass(MetaSingleton, object)):
'''Singleton class wrapping an ibpy ibConnection instance.
The parameters can also be specified in the classes which use this store,
like ``IBData`` and ``IBBroker``
Params:
- ``host`` (default:``127.0.0.1``): where IB TWS or IB Gateway are
actually running. And although this will usually be the localhost, it
must not be
- ``port`` (default: ``7496``): port to connect to. The demo system uses
``7497``
- ``clientId`` (default: ``None``): which clientId to use to connect to
TWS.
``None``: generates a random id between 1 and 65535
An ``integer``: will be passed as the value to use.
- ``notifyall`` (default: ``False``)
If ``False`` only ``error`` messages will be sent to the
``notify_store`` methods of ``Cerebro`` and ``Strategy``.
If ``True``, each and every message received from TWS will be notified
- ``_debug`` (default: ``False``)
Print all messages received from TWS to standard output
- ``reconnect`` (default: ``3``)
Number of attempts to try to reconnect after the 1st connection attempt
fails
Set it to a ``-1`` value to keep on reconnecting forever
- ``timeout`` (default: ``3.0``)
Time in seconds between reconnection attemps
- ``timeoffset`` (default: ``True``)
If True, the time obtained from ``reqCurrentTime`` (IB Server time)
will be used to calculate the offset to localtime and this offset will
be used for the price notifications (tickPrice events, for example for
CASH markets) to modify the locally calculated timestamp.
The time offset will propagate to other parts of the ``backtrader``
ecosystem like the **resampling** to align resampling timestamps using
the calculated offset.
- ``timerefresh`` (default: ``60.0``)
Time in seconds: how often the time offset has to be refreshed
- ``indcash`` (default: ``True``)
Manage IND codes as if they were cash for price retrieval
'''
# Set a base for the data requests (historical/realtime) to distinguish the
# id in the error notifications from orders, where the basis (usually
# starting at 1) is set by TWS
REQIDBASE = 0x01000000
BrokerCls = None #getattr(sys.modules["cerebro.strategies." +classname.split('.')[0]], classname.split('.')[1])IBBroker #None # broker class will autoregister
DataCls = None # data class will auto register
params = (
('host', '127.0.0.1'),
('port', 7496),
('clientId', None), # None generates a random clientid 1 -> 2^16
('notifyall', False), # NOT IMPLEMENTED
('_debug', False),
('reconnect', 3), # -1 forever, 0 No, > 0 number of retries
('timeout', 3.0), # timeout between reconnections
('timeoffset', True), # Use offset to server for timestamps if needed
('timerefresh', 60.0), # How often to refresh the timeoffset
('indcash', True), # Treat IND codes as CASH elements
('readonly', False), # Set to True when IB API is in read-only mode
('account', ''), # Main account to receive updates for
)
@classmethod
def getdata(cls, *args, **kwargs):
'''Returns ``DataCls`` with args, kwargs'''
return cls.DataCls(*args, **kwargs)
@classmethod
def getbroker(cls, *args, **kwargs):
'''Returns broker with *args, **kwargs from registered ``BrokerCls``'''
return cls.BrokerCls(*args, **kwargs)
def __init__(self):
super(IBStore, self).__init__()
self._env = None # reference to cerebro for general notifications
self.broker = None # broker instance
self.datas = list() # datas that have registered over start
# self.ccount = 0 # requests to start (from cerebro or datas)
# self._lock_tmoffset = threading.Lock()
# self.tmoffset = timedelta() # to control time difference with server
# # Structures to hold datas requests
# self.qs = collections.OrderedDict() # key: tickerId -> queues
# self.ts = collections.OrderedDict() # key: queue -> tickerId
self.iscash = dict() # tickerIds from cash products (for ex: EUR.JPY)
self.acc_cash = AutoDict() # current total cash per account
self.acc_value = AutoDict() # current total value per account
self.acc_upds = AutoDict() # current account valueinfos per account
self.positions = collections.defaultdict(Position) # actual positions
self.orderid = None # next possible orderid (will be itertools.count)
self.managed_accounts = list() # received via managedAccounts
self.notifs = queue.Queue() # store notifications for cerebro
self.orders = collections.OrderedDict() # orders by order ided
self.opending = collections.defaultdict(list) # pending transmission
self.brackets = dict() # confirmed brackets
self.last_tick = None
# Use the provided clientId or a random one
if self.p.clientId is None:
self.clientId = random.randint(1, pow(2, 16) - 1)
else:
self.clientId = self.p.clientId
if self.p.timeout is None:
self.timeout = 2
else:
self.timeout = self.p.timeout
if self.p.readonly is None:
self.readonly = False
else:
self.readonly = self.p.readonly
if self.p.account is None:
self.account = ""
else:
self.account = self.p.account
if self.p._debug:
util.logToConsole(level=logging.DEBUG)
util.patchAsyncio()
util.startLoop()
self.ib = IB()
self.ib.connect(
host=self.p.host, port=self.p.port,
clientId=self.clientId,
timeout=self.timeout,
readonly=self.readonly,
account=self.account,
)
# This utility key function transforms a barsize into a:
# (Timeframe, Compression) tuple which can be sorted
def keyfn(x):
n, t = x.split()
tf, comp = self._sizes[t]
return (tf, int(n) * comp)
# This utility key function transforms a duration into a:
# (Timeframe, Compression) tuple which can be sorted
def key2fn(x):
n, d = x.split()
tf = self._dur2tf[d]
return (tf, int(n))
# Generate a table of reverse durations
self.revdur = collections.defaultdict(list)
# The table (dict) is a ONE to MANY relation of
# duration -> barsizes
# Here it is reversed to get a ONE to MANY relation of
# barsize -> durations
for duration, barsizes in self._durations.items():
for barsize in barsizes:
self.revdur[keyfn(barsize)].append(duration)
# Once managed, sort the durations according to real duration and not
# to the text form using the utility key above
for barsize in self.revdur:
self.revdur[barsize].sort(key=key2fn)
def start(self, data=None, broker=None):
#self.reconnect(fromstart=True) # reconnect should be an invariant
# Datas require some processing to kickstart data reception
if data is not None:
self._env = data._env
# For datas simulate a queue with None to kickstart co
self.datas.append(data)
# if connection fails, get a fakeation that will force the
# datas to try to reconnect or else bail out
return self.getTickerQueue(start=True)
elif broker is not None:
self.broker = broker
def stop(self):
try:
self.ib.disconnect() # disconnect should be an invariant
except AttributeError:
pass # conn may have never been connected and lack "disconnect"
def get_notifications(self):
'''Return the pending "store" notifications'''
# The background thread could keep on adding notifications. The None
# mark allows to identify which is the last notification to deliver
self.notifs.put(None) # put a mark
notifs = list()
while True:
notif = self.notifs.get()
if notif is None: # mark is reached
break
notifs.append(notif)
return notifs
def managedAccounts(self):
# 1st message in the stream
self.managed_accounts = self.ib.managedAccounts()
# Request time to avoid synchronization issues
self.reqCurrentTime()
def currentTime(self,msg):
if not self.p.timeoffset: # only if requested ... apply timeoffset
return
curtime = datetime.fromtimestamp(float(msg.time))
with self._lock_tmoffset:
self.tmoffset = curtime - datetime.now()
threading.Timer(self.p.timerefresh, self.reqCurrentTime).start()
def timeoffset(self):
with self._lock_tmoffset:
return self.tmoffset
def reqCurrentTime(self):
self.ib.reqCurrentTime()
def nextOrderId(self):
# Get the next ticker using a new request value from TWS
self.orderid = self.ib.client.getReqId()
return self.orderid
def getTickerQueue(self, start=False):
'''Creates ticker/Queue for data delivery to a data feed'''
q = queue.Queue()
if start:
q.put(None)
return q
return q
def getContractDetails(self, contract, maxcount=None):
#cds = list()
cds = self.ib.reqContractDetails(contract)
#cds.append(cd)
if not cds or (maxcount and len(cds) > maxcount):
err = 'Ambiguous contract: none/multiple answers received'
self.notifs.put((err, cds, {}))
return None
return cds
def reqHistoricalDataEx(self, contract, enddate, begindate,
timeframe, compression,
what=None, useRTH=False, tz='',
sessionend=None,
#tickerId=None
):
'''
Extension of the raw reqHistoricalData proxy, which takes two dates
rather than a duration, barsize and date
It uses the IB published valid duration/barsizes to make a mapping and
spread a historical request over several historical requests if needed
'''
# Keep a copy for error reporting purposes
kwargs = locals().copy()
kwargs.pop('self', None) # remove self, no need to report it
if timeframe < TimeFrame.Seconds:
# Ticks are not supported
return self.getTickerQueue(start=True)
if enddate is None:
enddate = datetime.now()
if begindate is None:
duration = self.getmaxduration(timeframe, compression)
if duration is None:
err = ('No duration for historical data request for '
'timeframe/compresison')
self.notifs.put((err, (), kwargs))
return self.getTickerQueue(start=True)
barsize = self.tfcomp_to_size(timeframe, compression)
if barsize is None:
err = ('No supported barsize for historical data request for '
'timeframe/compresison')
self.notifs.put((err, (), kwargs))
return self.getTickerQueue(start=True)
return self.reqHistoricalData(contract=contract, enddate=enddate,
duration=duration, barsize=barsize,
what=what, useRTH=useRTH, tz=tz,
sessionend=sessionend)
# Check if the requested timeframe/compression is supported by IB
durations = self.getdurations(timeframe, compression)
# if not durations: # return a queue and put a None in it
# return self.getTickerQueue(start=True)
# Get or reuse a queue
# if tickerId is None:
# tickerId, q = self.getTickerQueue()
# else:
# tickerId, q = self.reuseQueue(tickerId) # reuse q for old tickerId
# Get the best possible duration to reduce number of requests
duration = None
# for dur in durations:
# intdate = self.dt_plus_duration(begindate, dur)
# if intdate >= enddate:
# intdate = enddate
# duration = dur # begin -> end fits in single request
# break
intdate = begindate
if duration is None: # no duration large enough to fit the request
duration = durations[-1]
# Store the calculated data
# self.histexreq[tickerId] = dict(
# contract=contract, enddate=enddate, begindate=intdate,
# timeframe=timeframe, compression=compression,
# what=what, useRTH=useRTH, tz=tz, sessionend=sessionend)
barsize = self.tfcomp_to_size(timeframe, compression)
if contract.secType in ['CASH', 'CFD']:
#self.iscash[tickerId] = 1 # msg.field code
if not what:
what = 'BID' # default for cash unless otherwise specified
elif contract.secType in ['IND'] and self.p.indcash:
#self.iscash[tickerId] = 4 # msg.field code
pass
what = what or 'TRADES'
q = self.getTickerQueue()
histdata = self.ib.reqHistoricalData(
contract,
intdate.strftime('%Y%m%d %H:%M:%S') + ' GMT',
duration,
barsize,
what,
useRTH,
2) # dateformat 1 for string, 2 for unix time in seconds
for msg in histdata:
q.put(msg)
return q
def reqHistoricalData(self, contract, enddate, duration, barsize,
what=None, useRTH=False, tz='', sessionend=None):
'''Proxy to reqHistorical Data'''
# get a ticker/queue for identification/data delivery
q = self.getTickerQueue()
if contract.secType in ['CASH', 'CFD']:
#self.iscash[tickerId] = True
if not what:
what = 'BID' # TRADES doesn't work
elif what == 'ASK':
#self.iscash[tickerId] = 2
pass
else:
what = what or 'TRADES'
# split barsize "x time", look in sizes for (tf, comp) get tf
#tframe = self._sizes[barsize.split()[1]][0]
# self.histfmt[tickerId] = tframe >= TimeFrame.Days
# self.histsend[tickerId] = sessionend
# self.histtz[tickerId] = tz
histdata = self.ib.reqHistoricalData(
contract,
enddate.strftime('%Y%m%d %H:%M:%S') + ' GMT',
duration,
barsize,
what,
useRTH,
2) # dateformat 1 for string, 2 for unix time in seconds
for msg in histdata:
q.put(msg)
return q
def reqRealTimeBars(self, contract, useRTH=False, duration=5):
'''Creates a request for (5 seconds) Real Time Bars
Params:
- contract: a ib.ext.Contract.Contract intance
- useRTH: (default: False) passed to TWS
- duration: (default: 5) passed to TWS
Returns:
- a Queue the client can wait on to receive a RTVolume instance
'''
# get a ticker/queue for identification/data delivery
q = self.getTickerQueue()
rtb = self.ib.reqRealTimeBars(contract, duration,
'MIDPOINT', useRTH=useRTH)
self.ib.sleep(duration)
for bar in rtb:
q.put(bar)
return q
def reqMktData(self, contract, what=None):
'''Creates a MarketData subscription
Params:
- contract: a ib.ext.Contract.Contract intance
Returns:
- a Queue the client can wait on to receive a RTVolume instance
'''
# get a ticker/queue for identification/data delivery
q = self.getTickerQueue()
ticks = '233' # request RTVOLUME tick delivered over tickString
if contract.secType in ['CASH', 'CFD']:
#self.iscash[tickerId] = True
ticks = '' # cash markets do not get RTVOLUME
if what == 'ASK':
#self.iscash[tickerId] = 2
pass
# q.put(None) # to kickstart backfilling
# Can request 233 also for cash ... nothing will arrive
md = MktData()
q_ticks = queue.Queue()
util.run(md.update_ticks(self.ib, contract, ticks, q_ticks))
while not q_ticks.empty():
ticker = q_ticks.get()
for tick in ticker.ticks:
# https://interactivebrokers.github.io/tws-api/tick_types.html
if tick != self.last_tick: #last price
#print(str(tick.time) +" >> " + str(tick.price))
self.last_tick = tick
q.put(tick)
return q
# The _durations are meant to calculate the needed historical data to
# perform backfilling at the start of a connetion or a connection is lost.
# Using a timedelta as a key allows to quickly find out which bar size
# bar size (values in the tuples int the dict) can be used.
_durations = dict([
# 60 seconds - 1 min
('60 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min')),
# 120 seconds - 2 mins
('120 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins')),
# 180 seconds - 3 mins
('180 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins')),
# 300 seconds - 5 mins
('300 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins')),
# 600 seconds - 10 mins
('600 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins')),
# 900 seconds - 15 mins
('900 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins')),
# 1200 seconds - 20 mins
('1200 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins')),
# 1800 seconds - 30 mins
('1800 S',
('1 secs', '5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins')),
# 3600 seconds - 1 hour
('3600 S',
('5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour')),
# 7200 seconds - 2 hours
('7200 S',
('5 secs', '10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours')),
# 10800 seconds - 3 hours
('10800 S',
('10 secs', '15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours', '3 hours')),
# 14400 seconds - 4 hours
('14400 S',
('15 secs', '30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours', '3 hours', '4 hours')),
# 28800 seconds - 8 hours
('28800 S',
('30 secs',
'1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours', '3 hours', '4 hours', '8 hours')),
# 1 days
('1 D',
('1 min', '2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours', '3 hours', '4 hours', '8 hours',
'1 day')),
# 2 days
('2 D',
('2 mins', '3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours', '3 hours', '4 hours', '8 hours',
'1 day')),
# 1 weeks
('1 W',
('3 mins', '5 mins', '10 mins', '15 mins',
'20 mins', '30 mins',
'1 hour', '2 hours', '3 hours', '4 hours', '8 hours',
'1 day', '1 W')),
# 2 weeks
('2 W',
('15 mins', '20 mins', '30 mins',
'1 hour', '2 hours', '3 hours', '4 hours', '8 hours',
'1 day', '1 W')),
# 1 months
('1 M',
('30 mins',
'1 hour', '2 hours', '3 hours', '4 hours', '8 hours',
'1 day', '1 W', '1 M')),
# 2+ months
('2 M', ('1 day', '1 W', '1 M')),
('3 M', ('1 day', '1 W', '1 M')),
('4 M', ('1 day', '1 W', '1 M')),
('5 M', ('1 day', '1 W', '1 M')),
('6 M', ('1 day', '1 W', '1 M')),
('7 M', ('1 day', '1 W', '1 M')),
('8 M', ('1 day', '1 W', '1 M')),
('9 M', ('1 day', '1 W', '1 M')),
('10 M', ('1 day', '1 W', '1 M')),
('11 M', ('1 day', '1 W', '1 M')),
# 1+ years
('1 Y', ('1 day', '1 W', '1 M')),
])
# Sizes allow for quick translation from bar sizes above to actual
# timeframes to make a comparison with the actual data
_sizes = {
'secs': (TimeFrame.Seconds, 1),
'min': (TimeFrame.Minutes, 1),
'mins': (TimeFrame.Minutes, 1),
'hour': (TimeFrame.Minutes, 60),
'hours': (TimeFrame.Minutes, 60),
'day': (TimeFrame.Days, 1),
'W': (TimeFrame.Weeks, 1),
'M': (TimeFrame.Months, 1),
}
_dur2tf = {
'S': TimeFrame.Seconds,
'D': TimeFrame.Days,
'W': TimeFrame.Weeks,
'M': TimeFrame.Months,
'Y': TimeFrame.Years,
}
def getdurations(self, timeframe, compression):
key = (timeframe, compression)
if key not in self.revdur:
return []
return self.revdur[key]
def getmaxduration(self, timeframe, compression):
key = (timeframe, compression)
try:
return self.revdur[key][-1]
except (KeyError, IndexError):
pass
return None
def tfcomp_to_size(self, timeframe, compression):
if timeframe == TimeFrame.Months:
return '{} M'.format(compression)
if timeframe == TimeFrame.Weeks:
return '{} W'.format(compression)
if timeframe == TimeFrame.Days:
if not compression % 7:
return '{} W'.format(compression // 7)
return '{} day'.format(compression)
if timeframe == TimeFrame.Minutes:
if not compression % 60:
hours = compression // 60
return ('{} hour'.format(hours)) + ('s' * (hours > 1))
return ('{} min'.format(compression)) + ('s' * (compression > 1))
if timeframe == TimeFrame.Seconds:
return '{} secs'.format(compression)
# Microseconds or ticks
return None
def dt_plus_duration(self, dt, duration):
size, dim = duration.split()
size = int(size)
if dim == 'S':
return dt + timedelta(seconds=size)
if dim == 'D':
return dt + timedelta(days=size)
if dim == 'W':
return dt + timedelta(days=size * 7)
if dim == 'M':
month = dt.month - 1 + size # -1 to make it 0 based, readd below
years, month = divmod(month, 12)
return dt.replace(year=dt.year + years, month=month + 1)
if dim == 'Y':
return dt.replace(year=dt.year + size)
return dt # could do nothing with it ... return it intact
# def histduration(self, dt1, dt2):
# # Given two dates calculates the smallest possible duration according
# # to the table from the Historical Data API limitations provided by IB
# #
# # Seconds: 'x S' (x: [60, 120, 180, 300, 600, 900, 1200, 1800, 3600,
# # 7200, 10800, 14400, 28800])
# # Days: 'x D' (x: [1, 2]
# # Weeks: 'x W' (x: [1, 2])
# # Months: 'x M' (x: [1, 11])
# # Years: 'x Y' (x: [1])
# td = dt2 - dt1 # get a timedelta for calculations
# # First: array of secs
# tsecs = td.total_seconds()
# secs = [60, 120, 180, 300, 600, 900, 1200, 1800, 3600, 7200, 10800,
# 14400, 28800]
# idxsec = bisect.bisect_left(secs, tsecs)
# if idxsec < len(secs):
# return '{} S'.format(secs[idxsec])
# tdextra = bool(td.seconds or td.microseconds) # over days/weeks
# # Next: 1 or 2 days
# days = td.days + tdextra
# if td.days <= 2:
# return '{} D'.format(days)
# # Next: 1 or 2 weeks
# weeks, d = divmod(td.days, 7)
# weeks += bool(d or tdextra)
# if weeks <= 2:
# return '{} W'.format(weeks)
# # Get references to dt components
# y2, m2, d2 = dt2.year, dt2.month, dt2.day
# y1, m1, d1 = dt1.year, dt1.month, dt2.day
# H2, M2, S2, US2 = dt2.hour, dt2.minute, dt2.second, dt2.microsecond
# H1, M1, S1, US1 = dt1.hour, dt1.minute, dt1.second, dt1.microsecond
# # Next: 1 -> 11 months (11 incl)
# months = (y2 * 12 + m2) - (y1 * 12 + m1) + (
# (d2, H2, M2, S2, US2) > (d1, H1, M1, S1, US1))
# if months <= 1: # months <= 11
# return '1 M' # return '{} M'.format(months)
# elif months <= 11:
# return '2 M' # cap at 2 months to keep the table clean
# # Next: years
# # y = y2 - y1 + (m2, d2, H2, M2, S2, US2) > (m1, d1, H1, M1, S1, US1)
# # return '{} Y'.format(y)
# return '1 Y' # to keep the table clean
def makecontract(self, symbol, sectype, exch, curr,
expiry='', strike=0.0, right='', mult=1):
'''returns a contract from the parameters without check'''
contract = Contract()
contract.symbol = symbol
contract.secType = sectype
contract.exchange = exch
if curr:
contract.currency = curr
if sectype in ['FUT', 'OPT', 'FOP']:
contract.lastTradeDateOrContractMonth = expiry
if sectype in ['OPT', 'FOP']:
contract.strike = strike
contract.right = right
if mult:
contract.multiplier = mult
return contract
def cancelOrder(self, orderid):
'''Proxy to cancelOrder'''
self.ib.cancelOrder(orderid)
def placeOrder(self, orderid, contract, order):
'''Proxy to placeOrder'''
trade = self.ib.placeOrder(contract, order)
while not trade.isDone():
self.ib.waitOnUpdate()
return trade
def reqTrades(self):
'''Proxy to Trades'''
return self.ib.trades()
def reqPositions(self):
'''Proxy to reqPositions'''
return self.ib.reqPositions()
def getposition(self, contract, clone=False):
# Lock access to the position dicts. This is called from main thread
# and updates could be happening in the background
#with self._lock_pos:
position = self.positions[contract.conId]
if clone:
return copy(position)
return position
def reqAccountUpdates(self, subscribe=True, account=None):
'''Proxy to reqAccountUpdates
If ``account`` is ``None``, wait for the ``managedAccounts`` message to
set the account codes
'''
if account is None:
#self._event_managed_accounts.wait()
self.managedAccounts()
account = self.managed_accounts[0]
#self.ib.reqAccountUpdates(subscribe, bytes(account))
self.updateAccountValue()
def updateAccountValue(self):
# Lock access to the dicts where values are updated. This happens in a
# sub-thread and could kick it at anytime
#with self._lock_accupd:
#if self.connected():
ret = self.ib.accountValues()
for msg in ret:
try:
value = float(msg.value)
except ValueError:
value = msg.value
self.acc_upds[msg.account][msg.tag][msg.currency] = value
if msg.tag == 'NetLiquidation':
# NetLiquidationByCurrency and currency == 'BASE' is the same
self.acc_value[msg.account] = value
elif msg.tag == 'TotalCashBalance' and msg.currency == 'BASE':
self.acc_cash[msg.account] = value
def get_acc_values(self, account=None):
'''Returns all account value infos sent by TWS during regular updates
Waits for at least 1 successful download
If ``account`` is ``None`` then a dictionary with accounts as keys will
be returned containing all accounts
If account is specified or the system has only 1 account the dictionary
corresponding to that account is returned
'''
# Wait for at least 1 account update download to have been finished
# before the account infos can be returned to the calling client
# if self.connected():
# self._event_accdownload.wait()
# Lock access to acc_cash to avoid an event intefering
#with self._updacclock:
if account is None:
# wait for the managedAccount Messages
# if self.connected():
# self._event_managed_accounts.wait()
if not self.managed_accounts:
return self.acc_upds.copy()
elif len(self.managed_accounts) > 1:
return self.acc_upds.copy()
# Only 1 account, fall through to return only 1
account = self.managed_accounts[0]
try:
return self.acc_upds[account].copy()
except KeyError:
pass
return self.acc_upds.copy()
def get_acc_value(self, account=None):
'''Returns the net liquidation value sent by TWS during regular updates
Waits for at least 1 successful download
If ``account`` is ``None`` then a dictionary with accounts as keys will
be returned containing all accounts
If account is specified or the system has only 1 account the dictionary
corresponding to that account is returned
'''
# Wait for at least 1 account update download to have been finished
# before the value can be returned to the calling client
# if self.connected():
# self._event_accdownload.wait()
# Lock access to acc_cash to avoid an event intefering
#with self._lock_accupd:
if account is None:
# wait for the managedAccount Messages
# if self.connected():
# self._event_managed_accounts.wait()
if not self.managed_accounts:
return float()
elif len(self.managed_accounts) > 1:
return sum(self.acc_value.values())
# Only 1 account, fall through to return only 1
account = self.managed_accounts[0]
try:
return self.acc_value[account]
except KeyError:
pass
return float()
def get_acc_cash(self, account=None):
'''Returns the total cash value sent by TWS during regular updates
Waits for at least 1 successful download
If ``account`` is ``None`` then a dictionary with accounts as keys will
be returned containing all accounts
If account is specified or the system has only 1 account the dictionary
corresponding to that account is returned
'''
# Wait for at least 1 account update download to have been finished
# before the cash can be returned to the calling client'
# if self.connected():
# self._event_accdownload.wait()
# result = [v for v in self.ib.accountValues() \
# if v.tag == 'TotalCashBalance' and v.currency == 'BASE']
# Lock access to acc_cash to avoid an event intefering
#with self._lock_accupd:
if account is None:
#wait for the managedAccount Messages
# if self.connected():
# self._event_managed_accounts.wait()
if not self.managed_accounts:
return float()
elif len(self.managed_accounts) > 1:
return sum(self.acc_cash.values())
# Only 1 account, fall through to return only 1
account = self.managed_accounts[0]
try:
return self.acc_cash[account]
except KeyError:
pass
import datetime
import asyncio
import time
import categories
import orders
import config
import logger
import logic
from indicator import Indicator
ib = IB()
ib.connect(config.HOST, config.PORT, clientId=config.CLIENTID)
buyPrice = '2770.75'
contContract = ib.reqContractDetails(
ContFuture(symbol=config.SYMBOL, exchange=config.EXCHANGE))
tradeContract = contContract[0].contract
print("tradecontract ", tradeContract)
print("")
#contract = ib.Future(symbol = contract.symbol)
#print("contract for symbol",contract)
print("")
openOrdersList = ib.openOrders()
#print("contract",contract)
print("open orders", openOrdersList)
print("open orders", ib.openTrades())
print("open trades ", ib.trades())
print("orders ", ib.orders())
print("length of orders ", len(openOrdersList))
x = 0
# not sure we need to differentiate between buy or sell stop orders below
class Live(IB):
def __init__(self,
symbol,
temp,
client,
verbose=False,
notification=False):
self.symbol = symbol
instruments = pd.read_csv('instruments.csv').set_index('symbol')
params = instruments.loc[self.symbol]
self.market = str(params.market)
self.exchange = str(params.exchange)
self.temp = temp
self.tick_size = float(params.tick_size)
self.digits = int(params.digits)
self.leverage = int(params.leverage)
self.client = client
self.verbose = verbose
self.notification = notification
self.ib = IB()
print(self.ib.connect('127.0.0.1', 7497, client))
self.get_contract()
self.data = self.download_data(tempo=self.temp, duration='1 D')
self.current_date()
self.pool = pd.DataFrame(columns=[
'date', 'id', 'type', 'lots', 'price', 'S/L', 'T/P', 'commission',
'comment', 'profit'
])
self.history = pd.DataFrame(columns=[
'date', 'id', 'type', 'lots', 'price', 'S/L', 'T/P', 'commission',
'comment', 'profit'
])
self.pending = pd.DataFrame(columns=[
'date', 'id', 'type', 'lots', 'price', 'S/L', 'T/P', 'commission',
'comment', 'profit'
])
self.position = 0
self.number = 0
def get_contract(self):
if self.market == 'futures':
expiration = self.ib.reqContractDetails(
Future(self.symbol,
self.exchange))[0].contract.lastTradeDateOrContractMonth
self.contract = Future(symbol=self.symbol,
exchange=self.exchange,
lastTradeDateOrContractMonth=expiration)
elif self.market == 'forex':
self.contract = Forex(self.symbol)
elif self.market == 'stocks':
self.contract = Stock(symbol=self.symbol,
exchange=self.exchange,
currency='USD')
def download_data(self, tempo, duration):
pr = (lambda mark: 'TRADES' if mark == 'futures' else
('TRADES' if mark == 'stocks' else 'MIDPOINT'))(self.market)
historical = self.ib.reqHistoricalData(self.contract,
endDateTime='',
durationStr=duration,
barSizeSetting=tempo,
whatToShow=pr,
useRTH=True,
keepUpToDate=True)
return historical
def data_to_df(self, data):
df = util.df(data)[['date', 'open', 'high', 'low', 'close',
'volume']].set_index('date')
df.index = pd.to_datetime(df.index)
return df
def send_telegram_message(self, msg):
'''Sends a telegram message
'''
requests.post(
'https://api.telegram.org/bot804823606:AAFq-YMKr4hIjQ4N5M8GYCGa5w9JJ1kIunk/sendMessage',
data={
'chat_id': '@ranguito_channel',
'text': msg
})
def current_date(self):
self.date = datetime.now().strftime('%Y-%m-%d')
self.weekday = datetime.now().weekday()
self.hour = datetime.now().strftime('%H:%M:%S')
def pool_check(self):
'''Check pool trades'''
if self.position == 0:
self.pool = pd.DataFrame(columns=[
'date', 'type', 'lots', 'price', 'S/L', 'T/P', 'commission',
'comment', 'profit'
])
def calculate_profit(self, type, price, lots):
'''Calculates profit'''
if type == 'BUY':
profit = (lambda pos: 0
if pos >= 0 else (self.pool[self.pool.type == 'SELL'])[
'price'].iloc[0] - price)(self.position)
else:
profit = (lambda pos: 0 if pos <= 0 else price -
(self.pool[self.pool.type == 'BUY'])['price'].iloc[0])(
self.position)
return profit * self.leverage * lots
def order_values(self, order_id):
price = 0
commission = 0
if len(self.ib.fills()) > 0:
for trade in util.tree(self.ib.fills()):
if ('OrderId' and 'clientId') in trade[1]['Execution']:
if ((nested_lookup('orderId', trade)[0] == order_id) and
(nested_lookup('clientId', trade)[0] == self.client)):
commission = nested_lookup('commission', trade)[0]
price = nested_lookup('price', trade)[0]
return (price, commission)
def order_send(self, type, lots, sl=0, tp=0, comment=''):
market_order = MarketOrder(type, lots)
#initial_margin, maintenance_margin = self.get_margins(market_order)
self.ib.placeOrder(self.contract, market_order)
id = market_order.orderId
self.number += 1
price = 0
while price == 0:
self.ib.sleep(1)
price, commission = self.order_values(id)
profit = self.calculate_profit(type, price, lots)
trade = {
'date': str(self.date) + ' ' + str(self.hour),
'id': id,
'type': type,
'lots': lots,
'price': price,
'S/L': sl,
'T/P': tp,
'commission': commission,
'comment': comment,
'profit': profit
}
self.save_trade(trade)
self.pool = pd.concat(
[self.pool, pd.DataFrame(trade, index=[self.number])], sort=False)
self.history = pd.concat(
[self.history,
pd.DataFrame(trade, index=[self.number])],
sort=False)
mult = (lambda dir: 1 if dir == 'BUY' else -1)(type)
self.position += (mult * lots)
self.pool_check()
if self.verbose:
print('%s %s | %sING %d units at %5.2f in %s' % (str(
self.date), str(self.hour), type, lots, price, self.symbol))
if self.notification:
if self.position != 0:
self.send_message_in(type, price, sl, tp, lots)
else:
self.send_message_out(type, price, lots, profit, commission,
commission)
def bracket_stop_order(self,
type,
lots,
entry_price,
sl=0,
tp=0,
comment=''):
bracket_order = self.ib.bracketStopOrder(type, lots, entry_price, tp,
sl)
#initial_margin, maintenance_margin = self.get_margins(bracket_order[0])
for order in bracket_order:
self.ib.placeOrder(self.contract, order)
id_entry = bracket_order[0].orderId
id_tp = bracket_order[1].orderId
id_sl = bracket_order[2].orderId
trade = {
'date': str(self.date) + ' ' + str(self.hour),
'id': id_entry,
'type': bracket_order[0].action,
'lots': lots,
'price': entry_price,
'S/L': sl,
'T/P': tp,
'commission': 0,
'comment': comment,
'profit': 0
}
self.pending = pd.concat(
[self.pending, pd.DataFrame(trade, index=[id_entry])], sort=False)
trade = {
'date': str(self.date) + ' ' + str(self.hour),
'id': id_tp,
'type': bracket_order[1].action,
'lots': lots,
'price': tp,
'S/L': 0,
'T/P': 0,
'commission': 0,
'comment': comment,
'profit': 0
}
self.pending = pd.concat(
[self.pending, pd.DataFrame(trade, index=[id_entry])], sort=False)
trade = {
'date': str(self.date) + ' ' + str(self.hour),
'id': id_sl,
'type': bracket_order[2].action,
'lots': lots,
'price': sl,
'S/L': 0,
'T/P': 0,
'commission': 0,
'comment': comment,
'profit': 0
}
self.pending = pd.concat(
[self.pending, pd.DataFrame(trade, index=[id_entry])], sort=False)
return (bracket_order[0], bracket_order[1], bracket_order[2])
def pending_check(self, order):
id = order.orderId
if len(self.pending) > 0:
price, commission = self.order_values(id)
if price > 0:
self.number += 1
order_select = self.pending[self.pending.id == id]
profit = self.calculate_profit(order_select.type.iloc[0],
price,
order_select.lots.iloc[0])
trade = {
'date': str(self.date) + ' ' + str(self.hour),
'id': id,
'type': order_select.type.iloc[0],
'lots': order_select.lots.iloc[0],
'price': price,
'S/L': order_select['S/L'].iloc[0],
'T/P': order_select['T/P'].iloc[0],
'commission': commission,
'comment': '',
'profit': profit
}
self.save_trade(trade)
self.pool = pd.concat(
[self.pool,
pd.DataFrame(trade, index=[self.number])],
sort=False)
self.history = pd.concat(
[self.history,
pd.DataFrame(trade, index=[self.number])],
sort=False)
mult = (lambda dir: 1
if dir == 'BUY' else -1)(order_select.type.iloc[0])
self.position += (mult * order_select.lots.iloc[0])
self.pool_check()
if self.verbose:
print('%s %s | %sING %d units at %5.2f in %s' %
(str(self.date), str(
self.hour), order_select.type.iloc[0],
order_select.lots.iloc[0], price, self.symbol))
if self.notification:
if self.position != 0:
self.send_message_in(order_select.type.iloc[0], price,
order_select['S/L'].iloc[0],
order_select['T/P'].iloc[0],
order_select.lots.iloc[0])
else:
self.send_message_out(order_select.type.iloc[0], price,
order_select.lots.iloc[0],
profit, commission, commission)
return True
else:
return False
def get_margins(self, order):
init_margin = float(
self.ib.whatIfOrder(self.contract, order).initMarginChange)
maint_margin = float(
self.ib.whatIfOrder(self.contract, order).maintMarginChange)
return (init_margin, maint_margin)
def send_message_in(self, type, price_in, sl, tp, lots):
msg_in = '%s Opened in %s \nPrice: %5.2f \nS/L: %5.2f \nT/P: %5.2f \nLots: %d \nAt: %s' % (
type, self.symbol, price_in, sl, tp, lots, self.hour)
self.send_telegram_message(msg_in)
def send_message_out(self, type, price_out, lots, profit, comm_in,
comm_out):
msg_out = '%s Closed in %s \nPrice: %5.2f \nProfit(USD): %5.2f \nCommissions(USD): %5.2f \nAt: %s' % \
(type, self.symbol, price_out, profit, (comm_in+comm_out),self.hour)
self.send_telegram_message(msg_out)
def save_trade(self, trade):
if not path.exists('history_trades_%s.csv' % self.symbol):
initial = pd.DataFrame(columns=[
'date', 'id', 'type', 'lots', 'price', 'S/L', 'T/P',
'commission', 'comment', 'profit'
]).set_index('date')
initial.to_csv('history_trades_%s.csv' % self.symbol)
history = pd.read_csv('history_trades_%s.csv' % self.symbol)
trade = pd.DataFrame(trade, index=[0])
history = pd.concat([history, trade], sort=False)
history['net profit'] = history['profit'] - history['commission']
history['accumulated profit'] = history['net profit'].cumsum()
history['max profit'] = history['accumulated profit'].cummax()
history.set_index('date').to_csv('history_trades_%s.csv' % self.symbol)
class IBDataService:
ip = "127.0.0.1"
port = 4002 # 4001 for real trading
def __init__(self):
self.uid = random.randint(1000, 10000)
print(f"init - UID: {str(self.uid)}")
self.ib = IB()
self.connect()
def connect(self, *args):
print(f"connectToIB - UID: {str(self.uid)}")
if self.ib.isConnected() is False:
print("CONNECTING ...")
self.ib.connect("127.0.0.1", 4002, clientId=self.uid)
print("CONNECTED")
def disconnect(self, *args):
print(f"connectToIB - UID: {str(self.uid)}")
if self.ib.isConnected():
print("DISCONNECTING ...")
self.ib.disconnect()
print("DISCONNECTED ...")
def getContractDetail(self, contract):
print(f"getContractDetail - UID: {str(self.uid)}")
data = self.ib.reqContractDetails(contract)
# print(data)
if len(data) > 0:
return data[0]
else:
return None
def getFuturesContractDetail(self, contract):
print(f"getFuturesContractDetail - UID: {str(self.uid)}")
data = self.ib.reqContractDetails(contract)
if len(data) > 0:
return data
else:
return None
def getHistoricalData(self,
contract,
endDate="",
duration="1 Y",
barSize="1 day",
price="MIDPOINT"):
print(f"getHistoricalData - UID: {str(self.uid)}")
data = self.ib.reqHistoricalData(contract, endDate, duration, barSize,
price, 1, 1, False, [])
return data
async def startRealtimeData(self, contract, method):
print(f"startRealtimeData - UID: {str(self.uid)}")
self.ib.reqMktData(contract, "233", False, False)
ticker = self.ib.reqTickByTickData(contract, TickDataType.LAST.value)
ticker.updateEvent += method
print(f"ENDS - startRealtimeData - UID: {str(self.uid)}")
def stopRealtimeData(self, contract):
print(f"stopRealtimeData - UID: {str(self.uid)}")
self.ib.cancelMktData(contract)
self.ib.cancelTickByTickData(contract, TickDataType.LAST.value)
print(f"ENDS - stopRealtimeData - UID: {str(self.uid)}")
conexionBBDD.execute(
"UPDATE CLIENT_ID SET CLIENT_ID = %s WHERE USUARIO = %s",
(clientId, usuario))
return clientId
engine = c.engine
conexionBBDD = engine.connect()
clientID = getClientId()
conexionBBDD.close()
ib = IB()
ib.connect(host="127.0.0.1", port=7496, clientId=clientID)
'''FUTURO 1'''
'''Descargamos todos los datos del futuro continuo'''
details = ib.reqContractDetails(Future(futuro1, exchange1,
includeExpired=True))
'''Cogemos solo los contratos, y filtramos los que tengan fecha superior a hoy'''
contracts = [
d.contract for d in details
if d.contract.lastTradeDateOrContractMonth > fDesde
and d.contract.exchange == exchange1
]
'''Necesitamos hacer esta chapu para poder ordenar y quedarnos con los N primeros'''
'''Creamos una lista de listas, que luego sí podemos ordenar'''
lista1 = []
for contract in contracts:
lista2 = []
lista2.append(contract.conId)
lista2.append(contract.localSymbol)
lista2.append(contract.lastTradeDateOrContractMonth)
logger.debug("Hit take profit")
logger.debug(f"{self.take_profit}")
logger.debug(
"----------------------------------------------")
self.cancel_order(self.stop_loss.order)
if __name__ == "__main__":
import logging
import sys
logger = logging.getLogger(__name__)
logger.setLevel(logging.DEBUG)
logger.addHandler(logging.StreamHandler(sys.stdout))
logger.addHandler(logging.FileHandler("trades.log"))
ib = IB()
ib.connect("127.0.0.1", 4002, clientId=1) # TWS=7496, PAPER=7497, GTW=4001
ib.reqMarketDataType(1)
# this isn't a proper way to roll the f*****g futures
ES = ib.reqContractDetails(Future(symbol="ES",
exchange="GLOBEX"))[0].contract
MES = ib.reqContractDetails(Future(symbol="MES",
exchange="GLOBEX"))[0].contract
ds = DocStrat(ib=ib, es=ES, mes=MES)
logger.debug("Doc Strategy instantiated")
ds.run()
from kafka import KafkaProducer
import json
from time import sleep
def json_serializer(data):
return json.dumps(data).encode("utf-8")
ib = IB()
print(ib.connect('127.0.0.1', 7497, 5))
symbol = 'MNQ'
exchange = 'GLOBEX'
expiration = ib.reqContractDetails(Future(
symbol, exchange))[0].contract.lastTradeDateOrContractMonth
contract = Future(symbol=symbol,
exchange=exchange,
lastTradeDateOrContractMonth=expiration)
sleep(20)
bars = ib.reqRealTimeBars(contract, 5, 'MIDPOINT', False)
print(bars)
producer = KafkaProducer(bootstrap_servers=['localhost:9092'],
value_serializer=json_serializer)
while True:
print(bars[-1])
producer.send('first_topic', bars[-1])
def __call__(self, ib: IB):
log.debug(
f'Candle {self.contract.localSymbol} initializing data stream...')
self.details = ib.reqContractDetails(self.contract)[0]
self.streamer(ib, self.contract)
class ArbitrageOnSymbol():
def __init__(self, args):
super(ArbitrageOnSymbol, self).__init__()
print('ArbitrageOnSymbol__init__: ', args[0], args[1], args[2])
# time.sleep(1)
self.symbol = args[0]
self.exchange = args[1]
self.clientId = args[2]
self.ib_server = args[3]
self.ib_port = args[4]
self.file_path = args[5]
#
self.is_refresh_source = False
self.is_refresh = False
#
self.Storage = self.file_path + '/Storage_' + self.symbol
self.Storage_ = self.file_path + '/Storage__' + self.symbol
#self.data = self.get_data()
#
self.start_time = time.perf_counter()
self.amount_of_arbitrages = 0
self.test_counter = 0
#asyncio.set_event_loop(asyncio.new_event_loop())
loop = asyncio.get_event_loop_policy().new_event_loop()
asyncio.set_event_loop(loop)
self.ib_ = IB()
self.data = None
print('End ArbitrageOnSymbol__init__: ', args[0], args[1], args[2])
# pull data and store locally
def fetch_possible_contract(self, right='C'):
print('fetch_possible_contract------ 1')
print(right, ' ', self.symbol)
o = Option(symbol=self.symbol, right=right, exchange=self.exchange)
# print('fetch_possible_contract 1: ', self.symbol, ' ', right)
o_cd = self.ib_.reqContractDetails(o)
# print('fetch_possible_contract 2: ', self.symbol, ' ', right)
cs = [j.contract for j in o_cd]
print('fetch_possible_contract------ 2')
print('Done: ', right, ' ', self.symbol)
print('fetch_possible_contract------ 3')
return cs
def fetch_possible_contracts(self):
# loop = asyncio.get_event_loop()
#loop = asyncio.get_event_loop_policy().new_event_loop()
#asyncio.set_event_loop(loop)
try:
print('fetch_possible_contracts 1')
self.ib_.connect(self.ib_server,
self.ib_port,
clientId=self.clientId)
print('fetch_possible_contracts 2')
print(self.ib_)
#####
print('fetch_possible_contracts 3')
c = self.fetch_possible_contract('C')
p = self.fetch_possible_contract('P')
print('fetch_possible_contracts 4')
possible_contracts = {'C': c, 'P': p}
if os.path.exists(self.Storage):
os.remove(self.Storage)
with open(self.Storage, 'wb') as f:
pickle.dump(possible_contracts, f)
print('fetch_possible_contracts 5')
return possible_contracts
#####
except KeyboardInterrupt:
pass
finally:
print("ib_.disconnect")
# self.ib_.disconnect()
print("Closing Loop")
#loop.close()
# fetching the data
def get_possible_contracts(self):
print('get_possible_contracts 1')
with open(self.Storage, 'rb') as f:
return pickle.load(f)
def convert_data(self):
if os.path.exists(self.Storage_):
os.remove(self.Storage_)
data = {}
data_ = self.get_possible_contracts(
) # for every right (C or P) we have list of contract
print('convert_data - 1')
data['C'] = self.get_data_('C', data_['C'])
data['P'] = self.get_data_('P', data_['P'])
with open(self.Storage_, 'wb') as f:
pickle.dump(data, f)
print('convert_data - 2')
return data
# Create three dictionaries
# cs = strikes for each contract period
# cc_c = contracts for each contract period
# bf = possible butterfly
def get_data_(self, right, data):
print('---------------------')
print('-----get_data_--------', right)
print('---------------------')
cs = {} # strikes for each contract period
cs0 = {} # strikes for each contract period
for i in data:
h = i.lastTradeDateOrContractMonth
if h not in cs:
cs[h] = {
'strikes': {
str(i.strike): {
'event': None,
'bid': 0,
'bidSize': 0,
'ask': 0,
'askSize': 0,
'close': 0,
'price': 0,
'undPrice': 0,
'contract': i
}
},
'strategies': []
}
cs0[h] = [i.strike]
else:
cs[h]['strikes'][str(i.strike)] = {
'event': None,
'bid': 0,
'bidSize': 0,
'ask': 0,
'askSize': 0,
'close': 0,
'price': 0,
'undPrice': 0,
'contract': i
}
cs0[h].append(i.strike)
for h in cs0:
cs0[h] = sorted(cs0[h])
oo = cs0[h]
pp = []
for v in range(1, len(oo)):
pp.append(float(oo[v]) - float(oo[v - 1]))
dd1 = []
for pi in pp:
if pi not in dd1:
dd1.append(pi)
dd1 = sorted(dd1)
df = int(max(oo) / min(dd1))
dd = []
for d1 in dd1:
for f in range(1, df):
dk = d1 * f
if dk not in dd:
dd.append(dk)
for d in dd:
for v in range(1, len(oo)):
if ((oo[v] + d) in oo) and ((oo[v] - d) in oo):
k = ((oo[v] - d), oo[v], (oo[v] + d))
cs[h]['strategies'].append(k)
print('End ---------------------')
print('-----get_data_--------', right)
print('End ---------------------')
return cs
# end fetching the data
# run the algo trading
def run(self):
print("run 1: Process for {}".format(self.symbol))
self.data = self.get_data()
print("run 2: Process for {}".format(self.symbol))
#loop = asyncio.get_event_loop()
#loop = asyncio.get_event_loop_policy().new_event_loop()
#asyncio.set_event_loop(loop)
loop = asyncio.get_event_loop()
print(loop)
print("run 3: Process for {}".format(self.symbol))
while True:
print("run 1 While Loop", ' ', self.symbol)
try:
print("run 2 While Loop", ' ', self.symbol)
self.ib_.connect(self.ib_server,
self.ib_port,
clientId=self.clientId)
print("run 3 While Loop", ' ', self.symbol)
print(self.ib_)
#####
# kk = '20190802'
# self.objects_.append(ArbitrageOnContract('C', kk, self.data['C'][kk], loop, self))
#####
loop.create_task(self.main())
loop.run_forever()
except KeyboardInterrupt:
pass
finally:
print("finally Closing Loop", ' ', self.symbol)
self.ib_.disconnect()
loop.close()
async def main(self):
print('main 1 ', self.symbol)
for contracts_right in self.data:
# print('main ', contracts_right)
for contract_date in self.data[contracts_right]:
await asyncio.sleep(0)
contracts_data = self.data[contracts_right][contract_date]
print(contract_date)
s = asyncio.ensure_future(
self.running(contracts_right, contract_date,
contracts_data, self.exchange))
def get_data(self):
with open(self.Storage_, 'rb') as f:
return pickle.load(f)
async def running(self, contracts_right, contract_date, contracts_data,
exchange):
# print(self.symbol, ': ', contracts_right, ' - running - ', contract_date, '\n',contracts_data,'\n',exchange)
# await asyncio.sleep(1)
start_inner_time = time.perf_counter()
price_tasks = []
for s in contracts_data['strikes']:
contracts_data['strikes'][s]['event'] = asyncio.Event()
contracts_data['strikes'][s]['price'] = 0
c = contracts_data['strikes'][s]['contract']
o_price_fut = asyncio.ensure_future(self.ib_.reqTickersAsync(c))
price_task = asyncio.ensure_future(
self.add_success_callback(o_price_fut, self.put_price_in_array,
contracts_data))
price_tasks.append(price_task)
self.get_legs_arrived_tasks(contracts_right, contract_date,
contracts_data, exchange)
results = await asyncio.gather(*price_tasks)
end_time = time.perf_counter()
#print('End of running ', contracts_right, ' ', contract_date, ' Time of running: ',
# end_time-start_inner_time, ' ', ' Total time:', end_time-self.start_time, 'Prices:\n', results)
await self.running(contracts_right, contract_date, contracts_data,
exchange)
async def add_success_callback(self, fut, callback, *args, **kwargs):
result = await fut
result = callback(result, *args, **kwargs)
return result
async def get_legs_arrived_task(self, strategy, contracts_right,
contract_date, contracts_data, exchange):
await contracts_data['strikes'][str(strategy[0])]['event'].wait()
await contracts_data['strikes'][str(strategy[1])]['event'].wait()
await contracts_data['strikes'][str(strategy[2])]['event'].wait()
await self.calculate_butterfly(strategy, contracts_right,
contract_date, contracts_data, exchange)
return strategy
def get_legs_arrived_tasks(self, contracts_right, contract_date,
contracts_data, exchange):
legs_arrived_tasks = []
# print(contracts_data)
# await asyncio.sleep(1)
for strategy in contracts_data['strategies']:
task = asyncio.ensure_future(
self.get_legs_arrived_task(strategy, contracts_right,
contract_date, contracts_data,
exchange))
legs_arrived_tasks.append(task)
return legs_arrived_tasks
# From here need to fix
def put_price_in_array(self, ticker, contracts_data):
try:
t = ticker[0]
#print('t0----')
#print(t)
#print('--0000---')
#print(t.bidGreeks)
#print('---11111---')
#print(t.bidGreeks.undPrice)
#print('t2222----')
p = (t.ask + t.bid) / 2
contracts_data['strikes'][str(t.contract.strike)]['bid'] = t.bid
contracts_data['strikes'][str(
t.contract.strike)]['bidSize'] = t.bidSize
contracts_data['strikes'][str(t.contract.strike)]['ask'] = t.ask
contracts_data['strikes'][str(
t.contract.strike)]['askSize'] = t.askSize
contracts_data['strikes'][str(
t.contract.strike)]['close'] = t.close
contracts_data['strikes'][str(t.contract.strike)]['price'] = p
# print(contracts_data['strikes'][str(t.contract.strike)])
contracts_data['strikes'][str(
t.contract.strike)]['undPrice'] = t.bidGreeks.undPrice
contracts_data['strikes'][str(t.contract.strike)]['event'].set()
return p
except Exception as e:
print('=======ERRORR==============="')
print(e)
print('=======End ERRORR==============="')
# need to improve.
async def calculate_butterfly(self, strategy, contracts_right,
contract_date, contracts_data, exchange):
l = contracts_data['strikes'][str(strategy[0])]['ask']
m = contracts_data['strikes'][str(strategy[1])]['bid']
r = contracts_data['strikes'][str(strategy[2])]['ask']
u0 = contracts_data['strikes'][str(strategy[0])]['undPrice']
u1 = contracts_data['strikes'][str(strategy[1])]['undPrice']
u2 = contracts_data['strikes'][str(strategy[2])]['undPrice']
# print('u0: ', u0, 'u1: ', u1,'u2: ', u2)
strategy_price = 999
if l > -1 and m > -1 and r > -1:
strategy_price = (l + r) - (2 * m)
#if strategy_price < 100:
# await self.place_arbitrage(strategy, strategy_price, contracts_data, exchange)
# self.amount_of_arbitrages += 1
if strategy_price < 0.09:
await self.log_to_db(strategy, contracts_right, contract_date,
contracts_data, strategy_price)
return strategy_price
# need to fix
async def place_arbitrage(self, strategy, strategy_price, contracts_data,
exchange):
for s in contracts_data['strikes']:
c = contracts_data['strikes'][s]['contract']
if c.strike == strategy[0]:
lc = c
elif c.strike == strategy[1]:
mc = c
elif c.strike == strategy[2]:
rc = c
# x = [lc, mc, rc]
# x1 = self.ib_.qualifyContracts(x)
#self.ib_.qualifyContracts(mc)
#self.ib_.qualifyContracts(rc)
combo_legs = [
ComboLeg(conId=lc.conId, ratio=1, action='BUY', exchange=exchange),
ComboLeg(conId=mc.conId, ratio=2, action='SELL',
exchange=exchange),
ComboLeg(conId=rc.conId, ratio=1, action='BUY', exchange=exchange),
]
c = Contract(symbol=self.parent.symbol,
secType='BAG',
exchange=exchange,
currency='USD',
comboLegs=combo_legs)
o = MarketOrder(action='BUY', totalQuantity=1000)
# lo = LimitOrder(action='BUY', totalQuantity=1, lmtPrice=strategy_price)
if self.test_counter < 3:
# t = self.ib_.placeOrder(contract=c, order=o)
print('------100')
print('place_arbitrage: order issued ', strategy, strategy_price)
print(c)
print('------100')
# print(t)
self.test_counter += 1
async def log_to_db(self, strategy, contracts_right, contract_date,
contracts_data, strategy_price):
# print('log_to_db: ', contracts_right, contract_date, ' ', strategy, ' ', strategy_price)
lstrike = round(float(strategy[0]), 2)
lb = round(contracts_data['strikes'][str(strategy[0])]['bid'], 2)
lbs = contracts_data['strikes'][str(strategy[0])]['bidSize']
la = round(contracts_data['strikes'][str(strategy[0])]['ask'], 2)
las = contracts_data['strikes'][str(strategy[0])]['askSize']
lc = round(contracts_data['strikes'][str(strategy[0])]['close'], 2)
lp = round(contracts_data['strikes'][str(strategy[0])]['price'], 2)
lu = round(contracts_data['strikes'][str(strategy[0])]['undPrice'], 2)
rstrike = float(strategy[2])
rb = round(contracts_data['strikes'][str(strategy[2])]['bid'], 2)
rbs = contracts_data['strikes'][str(strategy[2])]['bidSize']
ra = round(contracts_data['strikes'][str(strategy[2])]['ask'], 2)
ras = contracts_data['strikes'][str(strategy[2])]['askSize']
rc = round(contracts_data['strikes'][str(strategy[2])]['close'], 2)
rp = round(contracts_data['strikes'][str(strategy[2])]['price'], 2)
ru = round(contracts_data['strikes'][str(strategy[2])]['undPrice'], 2)
mstrike = float(strategy[1])
mb = round(contracts_data['strikes'][str(strategy[1])]['bid'], 2)
mbs = contracts_data['strikes'][str(strategy[1])]['bidSize']
ma = round(contracts_data['strikes'][str(strategy[1])]['ask'], 2)
mas = contracts_data['strikes'][str(strategy[1])]['askSize']
mc = round(contracts_data['strikes'][str(strategy[1])]['close'], 2)
mp = round(contracts_data['strikes'][str(strategy[1])]['price'], 2)
mu = round(contracts_data['strikes'][str(strategy[1])]['undPrice'], 2)
#print('==========================================')
#print('lb: ', lb, ' lbs: ', lbs, ' la: ', la, ' las: ', las, ' lc: ', lc , ' lp: ', lp , ' lu: ', lu)
#print('rb: ', rb, ' rbs: ', rbs, ' ra: ', ra, ' ras: ', ras, ' rc: ', rc , ' rp: ', rp , ' ru: ', ru)
#print('mb: ', mb, ' mbs: ', mbs, ' ma: ', ma, ' mas: ', mas, ' mc: ', mc , ' mp: ', mp , ' mu: ', mu)
#print('-----------------+++++++++++++++++++++++++++++----------------------------------')
try:
PlacedOrders.objects.create(Right=contracts_right,
Ticker=self.symbol,
ContractDate=contract_date,
LeftStrike=lstrike,
LeftOrderAskPrice=la,
LeftOrderBidPrice=lb,
LeftOrderAveragePrice=lp,
LeftOrderClose=lc,
LeftOrderBidSize=lbs,
LeftOrderAskSize=las,
LeftActualPrice=0,
LeftActualUndPrice=lu,
MidStrike=mstrike,
MidOrderAskPrice=ma,
MidOrderBidPrice=mb,
MidOrderAveragePrice=mp,
MidOrderClose=mc,
MidOrderBidSize=mbs,
MidOrderAskSize=mas,
MidActualPrice=0,
MidActualUndPrice=mu,
RightStrike=rstrike,
RightOrderAskPrice=ra,
RightOrderBidPrice=rb,
RightOrderAveragePrice=rp,
RightOrderClose=rc,
RightOrderBidSize=rbs,
RightOrderAskSize=ras,
RightActualPrice=0,
RightActualUndPrice=ru,
StrategyPrice=strategy_price)
except Exception as e:
print("======ERROR-DB---------")
print(e)
print("======End ERROR-DB---------")
class request(IB):
def __init__(self, symbol, temp, client):
self.symbol = symbol
self.temp = temp
instruments = pd.read_csv('instruments.csv').set_index('symbol')
self.params = instruments.loc[self.symbol]
self.market = str(self.params.market)
self.exchange = str(self.params.exchange)
self.tick_size = float(self.params.tick_size)
self.digits = int(self.params.digits)
self.leverage = int(self.params.leverage)
self.client = client
self.current_date()
self._sundays_activation()
self.ib = IB()
print(self.ib.connect('127.0.0.1', 7497, self.client))
self.connected = self.ib.isConnected() #######
self.get_contract()
self.interrumption = False
#self.data = self.download_data(tempo=temp, duration='1 D')
#self.ib.reqMktData(self.contract, '', False, False); self.ticker = self.ib.ticker(self.contract) #########
#self.ticker = self.ib.reqTickByTickData(self.contract, 'Last', 0)
self.bars = self.ib.reqRealTimeBars(self.contract, 5, 'MIDPOINT',
False)
self.operable = True
def operable_schedule(self):
if self.weekday == 4 and pd.to_datetime(
self.hour).time() > pd.to_datetime('18:00:00').time():
print('%s %s | Today is Friday and Market has Closed!' %
(self.date, self.hour))
self.operable = False
elif self.weekday == 5:
print('%s %s | Today is Saturday and market is not Opened' %
(self.date, self.hour))
self.operable = False
else:
self.operable = True
def current_date(self):
self.date = datetime.now().strftime('%Y-%m-%d')
self.weekday = datetime.now().weekday()
self.hour = datetime.now().strftime('%H:%M:%S')
def _sundays_activation(self):
hour = '18:00:05'
if self.weekday == 6:
if pd.to_datetime(self.hour).time() < pd.to_datetime(hour).time():
print('Today is Sunday. Bot activation is at 18:00:00')
while True:
self.current_date()
if pd.to_datetime(
self.hour).time() >= pd.to_datetime(hour).time():
print('Activation Done')
self.send_telegram_message(
'%s %s | Bot Activation Done' %
(self.date, self.hour))
break
def continuous_check_message(self, message):
if datetime.now().minute == 0 and datetime.now().second == 0:
self.send_telegram_message(message, type='info')
def reconnection(self):
if self.hour == '23:44:30' or self.hour == '16:59:30':
self.interrumption = True
self.ib.disconnect()
self.connected = self.ib.isConnected()
print('%s %s | Ib disconnection' % (self.date, self.hour))
print('Connected: %s' % self.connected)
if self.hour == '23:46:00' or self.hour == '18:00:05':
self.interrumption = False
print('%s %s | Reconnecting...' % (self.date, self.hour))
while not self.connected:
try:
self.ib.connect('127.0.0.1', 7497, self.client)
self.connected = self.ib.isConnected()
if self.connected:
print('%s %s | Connection reestablished!' %
(self.date, self.hour))
print('Requesting Market Data...')
self.bars = self.ib.reqRealTimeBars(
self.contract, 5, 'MIDPOINT', False)
print('Last Close of %s: %.2f' %
(self.symbol, self.bars[-1].close))
print('%s Data has been Updated!' % self.symbol)
except:
print(
'%s %s | Connection Failed! Trying to reconnect in 10 seconds...'
% (self.date, self.hour))
self.ib.sleep(10)
print('%s %s | %s Data has been Updated!' %
(self.date, self.hour, self.symbol))
def _local_symbol_selection(self):
'''Selects local symbol according to symbol and current date'''
current_date = datetime.now().date()
# csv file selection according to symbol
if self.symbol in ['ES', 'RTY', 'NQ', 'MES', 'MNQ', 'M2K']:
contract_dates = pd.read_csv(
'D:/Archivos/futuro/Algorithmics/Codes/My_Bots/Hermes/contract_dates/indexes_globex.txt',
parse_dates=True)
elif self.symbol in ['YM', 'MYM', 'DAX']:
contract_dates = pd.read_csv(
'D:/Archivos/futuro/Algorithmics/Codes/My_Bots/Hermes/contract_dates/indexes_ecbot_dtb.txt',
parse_dates=True)
elif self.symbol in ['QO', 'MGC']:
contract_dates = pd.read_csv(
'D:/Archivos/futuro/Algorithmics/Codes/My_Bots/Hermes/contract_dates/QO_MGC.txt',
parse_dates=True)
elif self.symbol in ['CL', 'QM']:
contract_dates = pd.read_csv(
'D:/Archivos/futuro/Algorithmics/Codes/My_Bots/Hermes/contract_dates/CL_QM.txt',
parse_dates=True)
else:
contract_dates = pd.read_csv(
'D:/Archivos/futuro/Algorithmics/Codes/My_Bots/Hermes/contract_dates/%s.txt'
% symbol,
parse_dates=True)
# Current contract selection according to current date
for i in range(len(contract_dates)):
initial_date = pd.to_datetime(
contract_dates.iloc[i].initial_date).date()
final_date = pd.to_datetime(
contract_dates.iloc[i].final_date).date()
if initial_date <= current_date <= final_date:
current_contract = contract_dates.iloc[i].contract
break
# local symbol selection
local = current_contract
if self.symbol in [
'ES', 'RTY', 'NQ', 'MES', 'MNQ', 'M2K', 'QO', 'CL', 'MGC', 'QM'
]:
local = '%s%s' % (self.symbol, current_contract)
if self.symbol in ['YM', 'ZS']:
local = '%s %s' % (self.symbol, current_contract)
if self.symbol == 'MYM':
local = '%s %s' % (self.symbol, current_contract)
if self.symbol == 'DAX': local = 'FDAX %s' % current_contract
return local
def get_contract(self):
if self.market == 'futures':
local = self._local_symbol_selection()
self.contract = Future(symbol=self.symbol,
exchange=self.exchange,
localSymbol=local)
print(
self.ib.reqContractDetails(
self.contract)[0].contract.lastTradeDateOrContractMonth)
'''expiration = self.ib.reqContractDetails(Future(self.symbol,self.exchange))[0].contract.lastTradeDateOrContractMonth
self.contract = Future(symbol=self.symbol, exchange=self.exchange, lastTradeDateOrContractMonth=expiration)'''
elif self.market == 'forex':
self.contract = Forex(self.symbol)
elif self.market == 'stocks':
self.contract = Stock(symbol=self.symbol,
exchange=self.exchange,
currency='USD')
def download_data(self, tempo, duration):
pr = (lambda market: 'MIDPOINT'
if market == 'forex' else 'TRADES')(self.market)
historical = self.ib.reqHistoricalData(self.contract,
endDateTime='',
durationStr=duration,
barSizeSetting=tempo,
whatToShow=pr,
useRTH=False,
keepUpToDate=False)
return historical
def send_telegram_message(self, message, type='trades'):
bot_token = '1204313430:AAGonra1LaFhyI1gCVOHsz8yAohJUeFgplo'
bot_chatID = '-499850995' if type == 'trades' else '-252750334'
url = 'https://api.telegram.org/bot%s/sendMessage?chat_id=%s&text=%s' % (
bot_token, bot_chatID, message)
requests.get(url)
from ib_insync import IB, Stock, Option
import datetime
from typing import List
import pandas as pd
import pytz
"""
A sale's also a buy. How the f**k do I distinguish that shit?
Focus only on opts transacted at the ask. Probably Δ hedged by the writer. What about Γ? EOD?
"""
ib = IB()
ib.connect("127.0.0.1", 4002, clientId=2) # TWS=7496, GTW=4001, # PAPER=7497
cs = ib.reqContractDetails(Stock(symbol="SPY", exchange="ARCA"))
x = cs[0].contract
# 1) prendi tutti gli strikes e tutte le exp
chains = ib.reqSecDefOptParams(
underlyingSymbol=x.symbol,
futFopExchange="",
underlyingSecType=x.secType,
underlyingConId=x.conId,
)
chain = next(c for c in chains if c.tradingClass == "SPY" and c.exchange == "SMART")
[ticker] = ib.reqTickers(x)
xValue = ticker.marketPrice()
