def check_sentiment(client):
''' Check SPY and VXX to determine sentiment '''
# Create a contract for the SPY ETF
spy_con = Contract()
spy_con.symbol = 'SPY'
spy_con.secType = 'STK'
spy_con.exchange = 'SMART'
spy_con.currency = 'USD'
# Access SPY data
now = datetime.now().strftime('%Y%m%d, %H:%M:%S')
client.reqHistoricalData(2, spy_con, now, '1 d', '1 day', 'MIDPOINT',
False, 1, False, [])
# Create a contract for the VXX ETN
vxx_con = Contract()
vxx_con.symbol = 'VXX'
vxx_con.secType = 'STK'
vxx_con.exchange = 'SMART'
vxx_con.currency = 'USD'
# Access VXX data
client.reqHistoricalData(3, vxx_con, now, '1 d', '1 day', 'MIDPOINT',
False, 1, False, [])
time.sleep(3)
# Determine market sentiment
return client.sentiment
def read_option_chain(client, ticker):
# Define a contract for the underlying stock
contract = Contract()
contract.symbol = ticker
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
client.reqContractDetails(0, contract)
time.sleep(2)
# Get the current price of the stock
client.reqTickByTickData(1, contract, "MidPoint", 1, True)
time.sleep(4)
# Request strike prices and expirations
if client.conid:
client.reqSecDefOptParams(2, ticker, '', 'STK', client.conid)
time.sleep(2)
else:
print('Failed to obtain contract identifier.')
exit()
# Create contract for stock option
req_id = 3
if client.strikes:
for strike in client.strikes:
client.chain[strike] = {}
for right in ['C', 'P']:
# Add to the option chain
client.chain[strike][right] = {}
# Define the option contract
contract.secType = 'OPT'
contract.right = right
contract.strike = strike
contract.exchange = client.exchange
contract.lastTradeDateOrContractMonth = client.expiration
# Request option data
client.reqMktData(req_id, contract, '100', False, False, [])
req_id += 1
time.sleep(1)
else:
print('Failed to access strike prices')
exit()
time.sleep(5)
# Remove empty elements
for strike in client.chain:
if client.chain[strike]['C'] == {} or client.chain[strike]['P'] == {}:
client.chain.pop(strike)
return client.chain, client.atm_price
def main():
# Create the client and connect to TWS
client = ReadTicker('127.0.0.1', 7497, 7)
time.sleep(3) #Sleep interval to allow time for connection to server
# Get expiration dates for contracts
for symbol in client.symbols:
# Define the contract
contract = Contract()
contract.symbol = symbol
contract.secType = 'STK'
contract.exchange = 'NSE'
contract.conId = client.symbols[symbol]
print('Contract ID for symbol {} is: {}'.format(symbol, client.symbols[symbol])) #take conId from IB website or contractDetails callback
contract.currency = "INR"
# Initialize the candle data dictionary
for v in ['Date','Open', 'High', 'Low', 'Close', 'Volume']:
client.candle_dict[v] = []
# Request OHLCV data
now = datetime.now().strftime("%Y%m%d %H:%M:%S")
client.reqHistoricalData(4, contract, now, '2 D', '5 mins', 'TRADES', False, 1, False, [])
time.sleep(3) # Allow enough time for data to be returned.
df = pd.DataFrame(client.candle_dict, columns=['Date', 'Open', 'High', 'Low', 'Close', 'Volume'])
df['Date'] = pd.to_datetime(df['Date']) # Convert to pandas DateTime format
# print(df.tail())
# print(df.columns)
df.to_csv(symbol + '.csv', encoding='utf-8', index=False)
client.candle_dict.clear()
# Disconnect from TWS
client.disconnect()
def main():
# Create the client and connect to TWS
client = MarketReader('127.0.0.1', 7497, 0)
# Request the current time
con = Contract()
con.symbol = 'IBM'
con.secType = 'STK'
con.exchange = 'SMART'
con.currency = 'USD'
# Request ten ticks containing midpoint data
client.reqTickByTickData(0, con, 'MidPoint', 10, True)
# Request market data
client.reqMktData(1, con, '', False, False, [])
# Request current bars
client.reqRealTimeBars(2, con, 5, 'MIDPOINT', True, [])
# Request historical bars
now = datetime.now().strftime("%Y%m%d, %H:%M:%S")
client.reqHistoricalData(3, con, now, '2 w', '1 day', 'MIDPOINT', False, 1,
False, [])
# Request fundamental data
client.reqFundamentalData(4, con, 'ReportSnapshot', [])
# Sleep while the requests are processed
time.sleep(5)
# Disconnect from TWS
client.disconnect()
def get_contract_details(client):
''' Define the contract of intrest'''
# pdb.set_trace()
contract = Contract()
contract.symbol = 'NIFTY50'
contract.secType = "CONTFUT"
contract.exchange = 'NSE'
contract.primaryExchange = 'NSE'
contract.currency = "INR"
contract.includeExpired = True
# Get complete details about the contract from IB's database
client.contractDetailsEnd_available.clear(
) # internal flag is set to False
client.reqContractDetails(1, contract)
client.contractDetailsEnd_available.wait(
) # block thread until internal flag is set to True
if client.local_symbol:
print('Local Symbol : {}'.format(client.local_symbol))
# Set additional contract data
contract.localSymbol = client.local_symbol
contract.multiplier = client.multiplier
else:
print('Could not access contract data From reqContractDetails')
exit_program(client)
return contract
def create_stock(symbol,
security_type='STK',
exchange='SMART',
currency='JPY'):
contract = Contract()
contract.symbol = symbol
contract.secType = security_type
contract.exchange = exchange
contract.currency = currency
return contract
def main():
# Create the client and connect to TWS
client = ReadFutures('127.0.0.1', 7497, 0)
# Get expiration dates for contracts
for symbol in client.symbols:
# Define contract of interest
con = Contract()
con.symbol = symbol
con.secType = "CONTFUT"
con.exchange = client.symbols[symbol]
con.currency = "USD"
con.includeExpired = True
client.reqContractDetails(0, con)
time.sleep(3)
# Request historical data for each contract
if client.local_symbol:
# Initialize price dict
for v in ['CLOSE', 'LOW', 'HIGH', 'VOL']:
client.price_dict[v] = []
# Set additional contract data
con.localSymbol = client.local_symbol
con.multiplier = client.multiplier
# Request historical data
end_date = datetime.today().date() - timedelta(days=1)
client.reqHistoricalData(1, con,
end_date.strftime("%Y%m%d %H:%M:%S"),
'1 Y', '1 day', 'TRADES', 1, 1, False, [])
time.sleep(3)
# Write data to a CSV file
if client.price_dict['CLOSE']:
df = pd.DataFrame(data=client.price_dict)
df.to_csv(symbol + '.csv', encoding='utf-8', index=False)
client.price_dict.clear()
else:
print('Could not access contract data')
exit()
# Disconnect from TWS
client.disconnect()
def main():
# Create the client and connect to TWS
client = SubmitOrder('127.0.0.1', 7497, 0)
# Define a contract for Apple stock
contract = Contract()
contract.symbol = 'AAPL'
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
# Define the limit order
order = Order()
order.action = 'BUY'
order.totalQuantity = 200
order.orderType = 'LMT'
order.lmtPrice = 150
order.transmit = False
# Obtain a valid ID for the order
client.reqIds(1)
time.sleep(2)
# Place the order
if client.order_id:
client.placeOrder(client.order_id, contract, order)
time.sleep(5)
else:
print('Order ID not received. Ending application.')
sys.exit()
# Obtain information about open positions
client.reqPositions()
time.sleep(2)
# Obtain information about account
client.reqAccountSummary(0, 'All', 'AccountType,AvailableFunds')
time.sleep(2)
# Disconnect from TWS
client.disconnect()
def main():
app = TestApp()
app.connect("127.0.0.1", 7497,
2) # socket port is set in TWS or IB Gateway settings
time.sleep(1) # short sleep to allow connection
contract = Contract()
contract.symbol = instrument
contract.secType = securitytype
contract.exchange = exchange
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "201903"
app.reqHistoricalData(1, contract, "", length, barSize, "TRADES", 1, 1,
False, [])
print(instrument)
app.run()
wb.save('RandomRawData.xlsx')
def main():
# Create the client and connect to TWS
client = Bollinger('127.0.0.1', 7497, 0)
# Define a contract for IBM stock
contract = Contract()
contract.symbol = "IBM"
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
# Request six months of historical data
currentTime = datetime.today().strftime("%Y%m%d %H:%M:%S")
client.reqHistoricalData(0, contract, currentTime, '6 M', '1 day', 'MIDPOINT', 1, 2, False, [])
# Sleep while the request is processed
time.sleep(5)
# Disconnect from TWS
client.disconnect()
def main():
# Create the client and connect to TWS
client = ContractReader('127.0.0.1', 7497, 0)
time.sleep(0.5)
# Request descriptions of contracts related to cheesecake
client.reqMatchingSymbols(0, 'Cheesecake')
time.sleep(3)
# Request details for the stock
contract = Contract()
contract.symbol = client.symbol
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
client.reqContractDetails(1, contract)
# Sleep while the request is processed
time.sleep(3)
client.disconnect()
def big_fundamental(self):
contract = Contract()
contract.symbol = "IBKR"
contract.secType = "STK"
contract.currency = "USD"
#In the API side, NASDAQ is always defined as ISLAND in the exchange field
contract.exchange = "ISLAND"
fun_storage=self.wrapper.init_fun()
self.reqFundamentalData(8001, contract, "RESC", [])
MAX_WAIT_SECONDS = 10
try:
current_fun = fun_storage.get(timeout=MAX_WAIT_SECONDS)
except queue.Empty:
print("Exceeded maximum wait for wrapper to respond")
current_fun = None
while self.wrapper.is_error():
print(self.get_error())
def main():
# Create the client and connect to TWS
client = WriteFuturesToCSV('127.0.0.1', 7497, 0)
client.nextValidId_available.wait(
) # block thread until internal flag is set to True
print('\n Good to Go Baba. We are Connected to TWS')
print(' The Order Id is: {}'.format(client.orderId))
print(' The Account Details are: {}\n'.format(client.accountsList))
# Get expiration dates for contracts
for count, symbol in enumerate(client.symbols):
# Define contract of interest
contract = Contract()
contract.symbol = symbol
contract.secType = "CONTFUT"
contract.exchange = client.symbols[symbol]
contract.primaryExchange = client.symbols[symbol]
contract.currency = "INR"
contract.includeExpired = True
client.contractDetailsEnd_available.clear(
) #internal flag is set to False
client.reqContractDetails(count, contract)
client.contractDetailsEnd_available.wait(
) # block thread until internal flag is set to True
# Request historical data for each contract
if client.local_symbol:
print('Local Symbol : {}'.format(client.local_symbol))
print('Symbol : {}'.format(symbol))
# Set additional contract data
contract.localSymbol = client.local_symbol
contract.multiplier = client.multiplier
# Initialize the deque
client.date_dq.clear()
client.open_dq.clear()
client.high_dq.clear()
client.low_dq.clear()
client.close_dq.clear()
client.volume_dq.clear()
client.historicalDataEnd_available.clear(
) #internal flag is set to False
# Request historical data
query_time = (datetime.today().date() -
timedelta(days=0)).strftime("%Y%m%d %H:%M:%S")
client.reqHistoricalData(count, contract, query_time, '2 Y',
'1 day', 'TRADES', 1, 1, False, [])
client.historicalDataEnd_available.wait(
) # block thread until internal flag is set to True
# Create List
date_list = list(client.date_dq)
open_list = list(client.open_dq)
high_list = list(client.high_dq)
low_list = list(client.low_dq)
close_list = list(client.close_dq)
volume_list = list(client.volume_dq)
combined_list = [
date_list, open_list, high_list, low_list, close_list,
volume_list
]
# Write data to a CSV file
df = pd.DataFrame(combined_list).transpose()
df.columns = ['Date', 'Open', 'High', 'Low', 'Close', 'Volume']
df['Date'] = pd.to_datetime(
df['Date']) # Convert to pandas DateTime format
df = df[df.Volume !=
0] # Drop all entries for which volume traded = 0
df.to_csv(client.local_symbol + '.csv',
encoding='utf-8',
index=False)
combined_list = [] # Empty the List
else:
print('Could not access contract data')
sys.exit()
# Disconnect from TWS. But first cancel open Subscriptions
client.cancelHistoricalData(count) # provide ID of original request
client.disconnect()
def place_order_with_stop(client, action, quantity, stopLoss):
''' Place the Order with IB '''
# Define the futures Contract prior to placing order
contract = Contract()
contract.localSymbol = client.local_symbol
contract.secType = 'FUT'
contract.exchange = 'NSE'
contract.currency = 'INR'
contract.primaryExchange = "NSE"
# Request from TWS, the next valid ID for the order.
client.nextValidId_available.clear() # internal flag is set to False
client.reqIds(-1) # The parameter is always ignored.
client.nextValidId_available.wait(
) # block thread until internal flag is set to True
# Place the order
if client.orderId:
# for Market Orders use execDetails callback instead of orderStatus
# execDetails callback event is trigerred ONLY if the order placed is Executed
client.execDetails_available.clear() # internal flag is set to False
if hasattr(client, "orderStatus_queue"
): # Clear the existing messages in the Q , if any
with client.orderStatus_queue.mutex:
client.orderStatus_queue.queue.clear()
bracket = NiftyORB.OrderWithStop(client.orderId, action, quantity,
stopLoss)
for o in bracket:
client.orders_list.append(o.orderId)
client.placeOrder(o.orderId, contract, o)
try:
client.execDetails_available.wait(timeout=5)
except:
print(
' *** An Exception Occured in client.execDetails_available.wait(timeout=5) in place_order_with_stop *** '
)
else: # if try condition is successful with no execption, this 'else' follows
if client.order_executed == True:
print(" *** \nOrder is Successfully Executed ***\n")
else:
print(' *** \nOrder NOT Executed ***\n')
# Handle the q from orderStatus callback
# https://stackoverflow.com/questions/6517953/clear-all-items-from-the-queue
if hasattr(client, "orderStatus_queue"):
while not client.orderStatus_queue.empty(
): # If the queue is not empty
try:
order_status = client.orderStatus_queue.get(False)
print(
'Status of Order: {}, Filled Positions: {}, Remaining Positions: {}, OrderId: {}, permId: {}'
.format(order_status['status'],
order_status['filled'],
order_status['remaining'],
order_status['orderId'],
order_status['permId']))
if client.orderId == order_status[
'orderId']: # for the latest orderId
if (order_status['status'] == 'Submitted') or (
order_status['status'] == 'Filled'
): # if for even 1 message, the status is filled or submitted
client.order_submitted = True
except queue.Empty:
continue
client.orderStatus_queue.task_done(
) # task_done() is used to inform task completion
# del client.orderStatus_queue # Delete the queue
else:
print('Order ID not received. Terminating Application')
client.disconnect()
sys.exit()
if (client.order_executed == True) or (client.order_submitted == True):
order_placed = True # set flag to True
else:
order_placed = False
client.order_submitted = False # reset the flag to False for future use
client.order_executed = False # reset the flag to False for future use
return order_placed
@iswrapper
def error(self, req_id, code, msg):
''' Called if an error occurs '''
print('Error Request Id: {}, Error Code: {}, Error Message: {}'.format(req_id, code, msg))
print ("Main Program Starts Here. Going to Connect to TWS")
# Create the client and connect to TWS
client = TestApp('127.0.0.1', 7497, 4)
client.nextValidId_available.wait() # block thread until internal flag is set to True
# Define the futures Contract prior to placing order
contract = Contract()
contract.symbol = 'TCS'
contract.secType = 'STK'
contract.exchange = 'NSE'
contract.currency = 'INR'
contract.primaryExchange = "NSE"
# Define the Order
order = Order()
order.action = 'BUY'
order.totalQuantity = 4
order.orderType = 'MKT'
# Request from TWS, the next valid ID for the order.
client.nextValidId_available.clear() # internal flag is set to False
client.reqIds(-1) # The parameter is always ignored.
client.nextValidId_available.wait() # block thread until internal flag is set to True
# Place the order
def close_open_position(client, action: str, quantity: int):
quantity = int(quantity)
print('Entered Close Position')
# Define the futures Contract prior to placing order
contract = Contract()
contract.localSymbol = client.local_symbol
contract.secType = 'FUT'
contract.exchange = 'NSE'
contract.currency = 'INR'
contract.primaryExchange = "NSE"
# Define the Limit Order for BUY/SELL
order = Order()
order.action = action
order.totalQuantity = quantity
order.orderType = 'MKT'
# Request from TWS, the next valid ID for the order.
client.nextValidId_available.clear() # internal flag is set to False
client.reqIds(-1) # The parameter is always ignored.
client.nextValidId_available.wait(
) # block thread until internal flag is set to True
# Place the order
if client.orderId:
# for Market Orders use execDetails callback instead of orderStatus
# execDetails callback event is trigerred ONLY if the order placed is Executed
client.execDetails_available.clear() # internal flag is set to False
if hasattr(client, "orderStatus_queue"
): # Clear the existing messages in the Q , if any
with client.orderStatus_queue.mutex:
client.orderStatus_queue.queue.clear()
# Place the order
client.placeOrder(client.orderId, contract, order)
try:
client.execDetails_available.wait(timeout=5)
except:
print(
' *** An Exception Occured in client.execDetails_available.wait(timeout=5) in close_open_position *** '
)
else: # if try condition is successful with no execption, this 'else' follows
if client.order_executed == True:
print(" *** \nOrder is Successfully Executed ***\n")
else:
print(' *** \nOrder NOT Executed ***\n')
# Handle the q from orderStatus callback
if hasattr(client, "orderStatus_queue"):
while not client.orderStatus_queue.empty(
): # If the queue is not empty
try:
order_status = client.orderStatus_queue.get(False)
print(
'Status of Order: {}, Filled Positions: {}, Remaining Positions: {}, OrderId: {}, permId: {}'
.format(order_status['status'],
order_status['filled'],
order_status['remaining'],
order_status['orderId'],
order_status['permId']))
if client.orderId == order_status[
'orderId']: # for the latest orderId
if (order_status['status'] == 'Submitted') or (
order_status['status'] == 'Filled'
): # if for even 1 message, the status is filled or submitted
client.order_submitted = True
except queue.Empty:
continue
client.orderStatus_queue.task_done(
) # task_done() is used to inform task completion
del client.orderStatus_queue # Delete the queue
else:
print('Order ID not received. Terminating Application')
client.disconnect()
sys.exit()
if (client.order_executed == True) or (client.order_submitted == True):
position_closed = True # set flag to True
else:
position_closed = False
client.order_submitted = False # reset the flag to False for future use
client.order_executed = False # reset the flag to False for future use
return position_closed
def main():
# Create the client and connect to TWS
client = AdvOrder('127.0.0.1', 7497, 0)
time.sleep(0.5)
# Define the contract
con = Contract()
con.symbol = 'IBM'
con.secType = 'STK'
con.currency = 'USD'
con.exchange = 'SMART'
# Get unique ID for contract
client.reqContractDetails(0, con)
time.sleep(3)
# Create a volume condition
vol_condition = Create(OrderCondition.Volume)
vol_condition.conId = client.con_id
vol_condition.exchange = client.exch
vol_condition.isMore = True
vol_condition.volume = 20000
# Obtain an ID for the main order
client.reqIds(1000)
time.sleep(2)
# Create the bracket order
main_order = Order()
main_order.orderId = client.order_id
main_order.action = 'BUY'
main_order.orderType = 'MKT'
main_order.totalQuantity = 100
main_order.transmit = False
main_order.conditions.append(vol_condition)
# Set the algorithm for the order
main_order.algoStrategy = 'Adaptive'
main_order.algoParams = []
main_order.algoParams.append(TagValue('adaptivePriority', 'Patient'))
# First child order - limit order
first_child = Order()
first_child.orderId = client.order_id + 1
first_child.action = 'SELL'
first_child.orderType = 'LMT'
first_child.totalQuantity = 100
first_child.lmtPrice = 170
first_child.parentId = client.order_id
first_child.transmit = False
# Stop order child
second_child = Order()
second_child.orderId = client.order_id + 2
second_child.action = 'SELL'
second_child.orderType = 'STP'
second_child.totalQuantity = 100
second_child.auxPrice = 120
second_child.parentId = client.order_id
second_child.transmit = False
# Submit each order
client.placeOrder(client.order_id, con, main_order)
client.placeOrder(client.order_id + 1, con, first_child)
client.placeOrder(client.order_id + 2, con, second_child)
# Sleep while the request is processed
time.sleep(5)
client.disconnect()