def make_combo_Switch(underlying: Contract, call: Contract, put: Contract):
underlyingleg = ComboLeg()
underlyingleg.conId = underlying.conId
underlyingleg.ratio = 100
underlyingleg.action = 'BUY'
underlyingleg.exchange = 'SMART'
Pleg = ComboLeg()
Pleg.ratio = 1
Pleg.action = 'BUY'
Pleg.exchange = 'SMART'
Pleg.conId = put.conId
Cleg = ComboLeg()
Cleg.ratio = 1
Cleg.action = 'SELL'
Cleg.exchange = 'SMART'
Cleg.conId = call.conId
contract = Contract()
contract.symbol = underlying.symbol
contract.secType = 'BAG'
contract.currency = 'USD'
contract.exchange = 'SMART'
contract.comboLegs = []
contract.comboLegs.append(underlyingleg)
contract.comboLegs.append(Pleg)
contract.comboLegs.append(Cleg)
return contract
def combo_generator_Switch(symbol: str, abovedays=7, lessdays =120):
specpath = r'E:\newdata\IB data\Option Specs'
file = specpath + os.sep + symbol + '-specs.json'
jf = open(file, 'r')
jdict = json.load(jf)
jf.close()
underlyingfile = r'E:\newdata\IB data\Underlying_Contract_Details.csv'
underlying = pd.read_csv(underlyingfile)
syms = list(underlying['symbol'])
idx = syms.index(symbol)
last = underlying['Last'][idx]
underlyingleg = ComboLeg()
underlyingleg.conId = underlying['conID'][idx]
underlyingleg.ratio = 100
underlyingleg.action = 'BUY'
underlyingleg.exchange = 'SMART'
Pleg = ComboLeg()
Pleg.ratio = 1
Pleg.action = 'BUY'
Pleg.exchange = 'SMART'
Cleg = ComboLeg()
Cleg.ratio = 1
Cleg.action = 'SELL'
Cleg.exchange = 'SMART'
contract = Contract()
contract.symbol = symbol
contract.secType = 'BAG'
contract.currency = 'USD'
contract.exchange = 'SMART'
Combos = []
for mi, di in jdict.items():
jm = IBdate_to_Date(mi)
today = date.today()
if abovedays < (jm - today).days <= lessdays:
stricks = list(di['C'].keys())
stricks_1 = [float(i) for i in stricks]
print(symbol)
ps = pick_stricks_2(last, stricks_1, 2)
for si in ps:
Pleg.conId = di['P'][str(si)]['conID']
Cleg.conId = di['C'][str(si)]['conID']
contract.comboLegs = []
contract.comboLegs.append(underlyingleg)
contract.comboLegs.append(Pleg)
contract.comboLegs.append(Cleg)
Combos.append([deepcopy(contract), si])
return Combos
def from_string(cls, contract_str: str) -> "IBContract":
""" Create IBContract object from the corresponding string. """
params, combo_legs = contract_str.split("combo:")
ib_contract = Contract()
[ib_contract.conId, ib_contract.symbol, ib_contract.secType, ib_contract.lastTradeDateOrContractMonth,
ib_contract.strike, ib_contract.right, ib_contract.multiplier, ib_contract.exchange,
ib_contract.primaryExchange, ib_contract.currency, ib_contract.localSymbol, ib_contract.tradingClass,
ib_contract.includeExpired, ib_contract.secIdType, ib_contract.secId] = params.split(",")
ib_contract.conId = int(ib_contract.conId)
ib_contract.strike = float(ib_contract.strike)
ib_contract.includeExpired = bool(ib_contract.includeExpired == "True")
combo_legs = combo_legs.split(";")
combo_legs = [c for c in combo_legs if len(c) > 0]
if len(combo_legs) > 0:
if len(combo_legs[-1].split(",")) == 3:
delta_neutral_contract = combo_legs[-1].split(",")
combo_legs = combo_legs[:-1]
ib_contract.deltaNeutralContract = DeltaNeutralContract()
ib_contract.deltaNeutralContract.conId = int(delta_neutral_contract[0])
ib_contract.deltaNeutralContract.delta = float(delta_neutral_contract[1])
ib_contract.deltaNeutralContract.price = float(delta_neutral_contract[2])
ib_contract.comboLegs = [] if len(combo_legs) > 0 else None
if ib_contract.comboLegs is not None:
for params in combo_legs:
params = params.split(",")
combo_leg = ComboLeg()
combo_leg.conId = int(params[0])
combo_leg.ratio = int(params[1])
combo_leg.action = params[2]
combo_leg.exchange = params[3]
combo_leg.openClose = int(params[4])
combo_leg.shortSaleSlot = int(params[5])
combo_leg.designatedLocation = params[6]
combo_leg.exemptCode = int(params[7])
ib_contract.comboLegs.append(combo_leg)
return cls.from_ib_contract(ib_contract)
def make_combo_Box(call_H: Contract, put_H: Contract, call_L: Contract, put_L: Contract):
Pleg_H = ComboLeg()
Pleg_H.ratio = 1
Pleg_H.action = 'SELL'
Pleg_H.exchange = 'SMART'
Pleg_H.conId = put_H.conId
Cleg_H = ComboLeg()
Cleg_H.ratio = 1
Cleg_H.action = 'BUY'
Cleg_H.exchange = 'SMART'
Cleg_H.conId = call_H.conId
Pleg_L = ComboLeg()
Pleg_L.ratio = 1
Pleg_L.action = 'BUY'
Pleg_L.exchange = 'SMART'
Pleg_L.conId = put_L.conId
Cleg_L = ComboLeg()
Cleg_L.ratio = 1
Cleg_L.action = 'SELL'
Cleg_L.exchange = 'SMART'
Cleg_L.conId = call_L.conId
contract = Contract()
contract.symbol = call_H.symbol
contract.secType = 'BAG'
contract.currency = 'USD'
contract.exchange = 'SMART'
contract.comboLegs = []
contract.comboLegs.append(Cleg_H)
contract.comboLegs.append(Pleg_H)
contract.comboLegs.append(Cleg_L)
contract.comboLegs.append(Pleg_L)
return contract
def InterCmdtyFuturesContract():
contract = Contract()
contract.symbol = "CL.BZ" # symbol is 'local symbol' of intercommodity spread.
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "NYMEX"
leg1 = ComboLeg()
leg1.conId = 47207310 # CL Dec'16 @NYMEX
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "NYMEX"
leg2 = ComboLeg()
leg2.conId = 47195961 # BZ Dec'16 @NYMEX
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "NYMEX"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
return contract
def SmartFutureComboContract():
contract = Contract()
contract.symbol = "WTI" # WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI") or currency ("USD")
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "SMART"
leg1 = ComboLeg()
leg1.conId = 55928698 # WTI future June 2017
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "IPE"
leg2 = ComboLeg()
leg2.conId = 55850663 # COIL future June 2017
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "IPE"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
return contract
def FutureComboContract():
contract = Contract()
contract.symbol = "VIX"
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "CFE"
leg1 = ComboLeg()
leg1.conId = 256038899 # VIX FUT 201708
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "CFE"
leg2 = ComboLeg()
leg2.conId = 260564703 # VIX FUT 201709
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "CFE"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
return contract
def StockComboContract():
contract = Contract()
contract.symbol = "IBKR,MCD"
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "SMART"
leg1 = ComboLeg()
leg1.conId = 43645865 # IBKR STK
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "SMART"
leg2 = ComboLeg()
leg2.conId = 9408 # MCD STK
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "SMART"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
return contract
def OptionComboContract():
contract = Contract()
contract.symbol = "DBK"
contract.secType = "BAG"
contract.currency = "EUR"
contract.exchange = "DTB"
leg1 = ComboLeg()
leg1.conId = 197397509 # DBK JUN 15 2018 C
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "DTB"
leg2 = ComboLeg()
leg2.conId = 197397584 # DBK JUN 15 2018 P
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "DTB"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
return contract
def createSpreadContract(ticker1, ticker2, conids):
contract = Contract()
contract.symbol = 'ANZ,WBC'
contract.secType = "BAG"
contract.currency = "AUD"
contract.exchange = "SMART"
leg1 = ComboLeg()
leg1.conId = conids[ticker1]
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "SMART"
leg2 = ComboLeg()
leg2.conId = conids[ticker2]
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "SMART"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
return contract
def buy6030(self, sym, direction="Bull", exp="", budget=500):
if direction == "Bull":
right = "Put"
else:
right = "Call"
if exp == "":
d = datetime.date.today()
d += datetime.timedelta(10)
while d.weekday() != 4:
d += datetime.timedelta(1)
exp = d.strftime("%Y%m%d")
contract1 = IBcontract()
contract1.secType = "STK"
contract1.symbol = sym
contract1.exchange = "ISLAND"
contract2 = IBcontract()
contract2.secType = "OPT"
contract2.symbol = sym
contract2.exchange = "SMART"
contract2.lastTradeDateOrContractMonth = exp
contract2.right = right
contract2.multiplier = 100
self.reqMktData(1032, contract1, "", False, False, [])
contract1.exchange = "SMART"
self.reqMktData(1033, contract1, "", False, False, [])
d = self.reqContractDetails(1202, contract2)
time.sleep(1)
#print(d)
print("=" * 40)
print()
print("{} Price Details:".format(sym))
lastPrice = None
try:
for k in list(self._my_price_details[1032].queue):
t = dict(k)
if t['tickType'] == 4:
lastPrice = t['price']
if t['tickType'] == 9 and lastPrice == None:
lastPrice = t['price']
print(t)
except:
try:
for k in list(self._my_price_details[1033].queue):
t = dict(k)
if t['tickType'] == 4:
lastPrice = t['price']
if t['tickType'] == 9 and lastPrice == None:
lastPrice = t['price']
print(t)
except:
print("No stock prices available for {} at this time.".format(
sym))
return
if lastPrice == None:
print("No stock prices available for {} at this time.".format(sym))
return
# print()
# print("{0} Last Price: ${1:4.2f}".format(sym, lastPrice))
# print()
rID = 1100
df = DataFrame()
print("Contract Details:")
try:
cDetails = self._my_contract_details[1202].queue
except:
print("Contract details for {} are not available at this time.".
format(sym))
return
for k in list(cDetails):
t = list(str(k).split(','))
# print(t)
try:
if lastPrice * 1.10 > float(t[4]) > lastPrice * 0.90:
df[rID] = t
contract3 = IBcontract()
contract3.secType = "OPT"
contract3.symbol = sym
contract3.exchange = "CBOE2"
contract3.lastTradeDateOrContractMonth = exp
contract3.strike = float(t[4])
contract3.right = right
contract3.multiplier = 100
self.reqMarketDataType(2)
self.reqMktData(rID, contract3, "", False, False, [])
rID = rID + 1
except:
pass
if rID == 1100:
print(
"No option prices available for {} at this time.".format(sym))
return
df = df.transpose()
# print(df)
# print("Getting option details for {0:2d} strikes:".format(len(df)))
# print()
time.sleep(1)
df['undPrice'] = [""] * len(df)
df['optPrice'] = [""] * len(df)
df['delta'] = [""] * len(df)
df['strike'] = [""] * len(df)
df['delta60'] = [""] * len(df)
for s in df.index:
#self.cancelMktData(s)
try:
for k in list(self._my_option_data[s].queue):
t = dict(k)
#print(s,t)
if t['delta']:
try:
df.loc[s, 'conId'] = int(df.loc[s, 0])
df.loc[s, 'strike'] = float(df.loc[s, 4])
df.loc[s, 'undPrice'] = t['undPrice']
df.loc[s, 'optPrice'] = t['optPrice']
df.loc[s, 'delta'] = abs(t['delta'])
df.loc[s, 'delta60'] = abs(abs(t['delta']) - 0.60)
except:
pass
except:
print("No option prices available for {} at this time.".format(
sym))
return
# print(df.loc[:,['conId',3,'strike','undPrice','delta','delta60']].sort_values(['strike']))
# print()
d60 = df.loc[df['delta60'] == df['delta60'].min()].index.min()
# print("Sell a {} with the {:7.2f} strike".format(right,df.strike[d60]))
t30 = (df.delta[d60] - 0.3)
p = df.loc[df.delta > t30].delta.min()
d30plus = df.loc[df.delta == p].index.min()
m = df.loc[df.delta < t30].delta.max()
d30min = df.loc[df.delta == m].index.min()
if abs(df.delta[d30plus] - t30) > abs(df.delta[d30min] - t30):
d30 = d30min
else:
d30 = d30plus
# Order variables
#####
cdelta = df.delta[d60] - df.delta[d30]
lim = abs(df.strike[d60] - df.strike[d30]) * 0.35
try:
cOptPrice = df.optPrice[d60] - df.optPrice[d30]
if abs(cOptPrice) < abs(lim * 0.95):
print("Spread Combo price for {} is too low.".format(sym))
return True
quantity = int(budget / 100 / cOptPrice)
if quantity == 0:
print("Spread Combo for {} is above the budget of ${}".format(
sym, budget))
return True
except:
quantity = 1
takeProfitLimitPrice = lim * 0.
stopLossPrice = lim * 1.50
action = "SELL"
#parentOrderId = 101
# print("Buy a {} with the {:7.2f} strike ".format(right,df.strike[d30]))
# print("Combo delta is {:5.3f}".format(cdelta))
# print("Combo limit price is ${:7.2f}".format(lim))
# print("Combo Expiry is {}".format(exp))
# print()
print(
"{} - Price: ${:7.2f} - Sell a {} {:7.2f}/{:7.2f} {} Spread - Limit price: ${:5.2f} - Combo delta: {:5.3f}"
.format(sym, lastPrice, exp, df.strike[d60], df.strike[d30], right,
lim, cdelta))
#
# Send order for the Spread above
####
contract3 = IBcontract()
contract3.secType = "BAG"
contract3.symbol = sym
contract3.exchange = "SMART"
contract3.currency = "USD"
leg1 = IBcomboLeg()
leg1.conId = int(df.conId[d60]) # Sell the delta 60 option
leg1.ratio = 1
leg1.action = "SELL" if action == "BUY" else "BUY"
leg1.exchange = "SMART"
leg2 = IBcomboLeg()
leg2.conId = int(
df.conId[d30]) # Buy the delta 30 option as protection
leg2.ratio = 1
leg2.action = "BUY" if action == "BUY" else "SELL"
leg2.exchange = "SMART"
contract3.comboLegs = []
contract3.comboLegs.append(leg1)
contract3.comboLegs.append(leg2)
order3 = Order()
order3.action = action
order3.orderType = "LMT"
order3.totalQuantity = quantity
order3.lmtPrice = lim
order3.tif = 'DAY'
order3.transmit = False
parentOrderId = self.place_new_IB_order(contract3,
order3,
orderid=None)
takeProfit = Order()
takeProfit.action = "SELL" if action == "BUY" else "BUY"
takeProfit.orderType = "LMT"
takeProfit.totalQuantity = quantity
takeProfit.lmtPrice = takeProfitLimitPrice
takeProfit.parentId = parentOrderId
takeProfit.tif = 'GTC'
takeProfit.transmit = False
self.place_new_IB_order(contract3, takeProfit, orderid=None)
stopLoss = Order()
stopLoss.action = "SELL" if action == "BUY" else "BUY"
stopLoss.orderType = "STP"
# Stop trigger price
stopLoss.auxPrice = stopLossPrice
stopLoss.totalQuantity = quantity
stopLoss.parentId = parentOrderId
stopLoss.tif = 'GTC'
# In this case, the low side order will be the last child being sent. Therefore, it needs to set this attribute to True
# to activate all its predecessors
stopLoss.transmit = True
self.place_new_IB_order(contract3, stopLoss, orderid=None)
time.sleep(1)
return True
def _constructContract(instrument):
'''Construct an IB contract and order from an Order object'''
contract = Contract()
if instrument.type == InstrumentType.EQUITY:
contract.symbol = instrument.name
contract.secType = "STK"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
elif instrument.type == InstrumentType.BOND:
# enter CUSIP as symbol
contract.symbol = instrument.name # cusip e.g. 912828C57
contract.secType = "BOND"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.OPTION:
# contract.symbol = "GOOG"
contract.secType = "OPT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
# contract.lastTradeDateOrContractMonth = "20170120"
# contract.strike = 615
# contract.right = "C"
# contract.multiplier = "100"
contract.localSymbol = instrument.name # e.g. "P BMW JUL 20 4650"
# can swap name for the above
# commented out stuff
elif instrument.type == InstrumentType.FUTURE:
# contract.symbol = "ES";
contract.secType = "FUT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
# contract.lastTradeDateOrContractMonth = "201803";
# contract.Multiplier = "5";
contract.localSymbol = instrument.name # e.g. "ESU6"
# swap for commented
elif instrument.type == InstrumentType.PAIR:
contract.symbol = instrument.leg1 # "EUR"
contract.secType = "CASH"
contract.currency = instrument.leg2 # "GBP"
contract.exchange = instrument.brokerExchange or "IDEALPRO"
elif instrument.type == InstrumentType.FUTURESOPTION:
# contract.symbol = instrument.symbol
contract.secType = "FOP"
contract.exchange = instrument.brokerExchange
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
# contract.lastTradeDateOrContractMonth = instrument.contractDate.strftime('%Y%m%d')
# contract.strike = instrument.strike
# contract.right = instrument.callOrPut
# contract.multiplier = instrument.multiplier or "100"
contract.localSymbol = instrument.name # e.g. "ESU6"
elif instrument.type == InstrumentType.MUTUALFUND:
contract.symbol = instrument.name # "VINIX"
contract.secType = "FUND"
contract.exchange = instrument.brokerExchange or "FUNDSERV"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
elif instrument.type == InstrumentType.COMMODITIES:
contract.symbol = instrument.name # "XAUUSD"
contract.secType = "CMDTY"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
elif instrument.type == InstrumentType.SPREAD:
if instrument.leg1 and \
instrument.leg1.type == InstrumentType.FUTURE and \
instrument.leg1.underlying and \
instrument.leg1.underlying.type == InstrumentType.COMMODITIES and \
instrument.leg2 and \
instrument.leg2.type == InstrumentType.FUTURE and \
instrument.leg2.underlying and \
instrument.leg2.underlying.type == InstrumentType.COMMODITIES and \
instrument.leg1 != instrument.leg2:
# Intercommodity futures use A.B
contract.symbol = '{}.{}'.format(instrument.leg1.underlying.name,
instrument.leg2.underlying.name)
elif instrument.leg1 and instrument.leg1.underlying and \
instrument.leg2 and instrument.leg2.underlying and \
(instrument.leg1.underlying == instrument.leg2.underlying):
# most other spreads just use the underlying
contract.symbol = instrument.leg1.underlying.name
elif instrument.leg1 and instrument.leg2 and \
(instrument.leg1.type == InstrumentType.EQUITY and
instrument.leg2.type == InstrumentType.EQUITY):
# Stock spreads use A,B
contract.symbol = '{},{}'.format(instrument.leg1.name,
instrument.leg2.name)
else:
contract.symbol = instrument.name
contract.secType = "BAG"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
leg1 = ComboLeg()
leg1.conId = instrument.brokerId
leg1.ratio = 1 # TODO
leg1.action = instrument.leg1_side
leg1.exchange = instrument.brokerExchange or "SMART"
leg2 = ComboLeg()
leg2.conId = instrument.brokerId # MCD STK
leg2.ratio = 1 # TODO
leg2.action = instrument.leg2_side
leg2.exchange = instrument.brokerExchange or "SMART"
contract.comboLegs = [leg1, leg2]
elif instrument.type == InstrumentType.CURRENCY:
raise NotImplementedError()
elif instrument.type == InstrumentType.INDEX:
raise NotImplementedError()
else:
raise NotImplementedError()
return contract
def processOpenOrder(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
order = Order()
order.orderId = decode(int, fields)
contract = Contract()
contract.conId = decode(int, fields) # ver 17 field
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
if version >= 32:
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields) # ver 2 field
if version >= 32:
contract.tradingClass = decode(str, fields)
# read order fields
order.action = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
order.totalQuantity = decode(float, fields)
else:
order.totalQuantity = decode(int, fields)
order.orderType = decode(str, fields)
if version < 29:
order.lmtPrice = decode(float, fields)
else:
order.lmtPrice = decode(float, fields, SHOW_UNSET)
if version < 30:
order.auxPrice = decode(float, fields)
else:
order.auxPrice = decode(float, fields, SHOW_UNSET)
order.tif = decode(str, fields)
order.ocaGroup = decode(str, fields)
order.account = decode(str, fields)
order.openClose = decode(str, fields)
order.origin = decode(int, fields)
order.orderRef = decode(str, fields)
order.clientId = decode(int, fields) # ver 3 field
order.permId = decode(int, fields) # ver 4 field
order.outsideRth = decode(bool, fields) # ver 18 field
order.hidden = decode(bool, fields) # ver 4 field
order.discretionaryAmt = decode(float, fields) # ver 4 field
order.goodAfterTime = decode(str, fields) # ver 5 field
order.sharesAllocation = decode(str, fields) # deprecated ver 6 field
order.faGroup = decode(str, fields) # ver 7 field
order.faMethod = decode(str, fields) # ver 7 field
order.faPercentage = decode(str, fields) # ver 7 field
order.faProfile = decode(str, fields) # ver 7 field
if self.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT:
order.modelCode = decode(str, fields)
order.goodTillDate = decode(str, fields) # ver 8 field
order.rule80A = decode(str, fields) # ver 9 field
order.percentOffset = decode(float, fields, SHOW_UNSET) # ver 9 field
order.settlingFirm = decode(str, fields) # ver 9 field
order.shortSaleSlot = decode(int, fields) # ver 9 field
order.designatedLocation = decode(str, fields) # ver 9 field
if self.serverVersion == MIN_SERVER_VER_SSHORTX_OLD:
exemptCode = decode(int, fields)
elif version >= 23:
order.exemptCode = decode(int, fields)
order.auctionStrategy = decode(int, fields) # ver 9 field
order.startingPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRefPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.delta = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeLower = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeUpper = decode(float, fields, SHOW_UNSET) # ver 9 field
order.displaySize = decode(int, fields) # ver 9 field
#if( version < 18) {
# # will never happen
# /* order.rthOnly = */ readBoolFromInt()
#}
order.blockOrder = decode(bool, fields) # ver 9 field
order.sweepToFill = decode(bool, fields) # ver 9 field
order.allOrNone = decode(bool, fields) # ver 9 field
order.minQty = decode(int, fields, SHOW_UNSET) # ver 9 field
order.ocaType = decode(int, fields) # ver 9 field
order.eTradeOnly = decode(bool, fields) # ver 9 field
order.firmQuoteOnly = decode(bool, fields) # ver 9 field
order.nbboPriceCap = decode(float, fields, SHOW_UNSET) # ver 9 field
order.parentId = decode(int, fields) # ver 10 field
order.triggerMethod = decode(int, fields) # ver 10 field
order.volatility = decode(float, fields, SHOW_UNSET) # ver 11 field
order.volatilityType = decode(int, fields) # ver 11 field
order.deltaNeutralOrderType = decode(str, fields) # ver 11 field (had a hack for ver 11)
order.deltaNeutralAuxPrice = decode(float, fields, SHOW_UNSET) # ver 12 field
if version >= 27 and order.deltaNeutralOrderType:
order.deltaNeutralConId = decode(int, fields)
order.deltaNeutralSettlingFirm = decode(str, fields)
order.deltaNeutralClearingAccount = decode(str, fields)
order.deltaNeutralClearingIntent = decode(str, fields)
if version >= 31 and order.deltaNeutralOrderType:
order.deltaNeutralOpenClose = decode(str, fields)
order.deltaNeutralShortSale = decode(bool, fields)
order.deltaNeutralShortSaleSlot = decode(int, fields)
order.deltaNeutralDesignatedLocation = decode(str, fields)
order.continuousUpdate = decode(bool, fields) # ver 11 field
# will never happen
#if( self.serverVersion == 26) {
# order.stockRangeLower = readDouble()
# order.stockRangeUpper = readDouble()
#}
order.referencePriceType = decode(int, fields) # ver 11 field
order.trailStopPrice = decode(float, fields, SHOW_UNSET) # ver 13 field
if version >= 30:
order.trailingPercent = decode(float, fields, SHOW_UNSET)
order.basisPoints = decode(float, fields, SHOW_UNSET) # ver 14 field
order.basisPointsType = decode(int, fields, SHOW_UNSET) # ver 14 field
contract.comboLegsDescrip = decode(str, fields) # ver 14 field
if version >= 29:
contract.comboLegsCount = decode(int, fields)
if contract.comboLegsCount > 0:
contract.comboLegs = []
for idxLeg in range(contract.comboLegsCount):
comboLeg = ComboLeg()
comboLeg.conId = decode(int, fields)
comboLeg.ratio = decode(int, fields)
comboLeg.action = decode(str, fields)
comboLeg.exchange = decode(str, fields)
comboLeg.openClose = decode(int, fields)
comboLeg.shortSaleSlot = decode(int, fields)
comboLeg.designatedLocation = decode(str, fields)
comboLeg.exemptCode = decode(int, fields)
contract.comboLegs.append(comboLeg)
order.orderComboLegsCount = decode(int, fields)
if order.orderComboLegsCount > 0:
order.orderComboLegs = []
for idxOrdLeg in range(order.orderComboLegsCount):
orderComboLeg = OrderComboLeg()
orderComboLeg.price = decode(float, fields, SHOW_UNSET)
order.orderComboLegs.append(orderComboLeg)
if version >= 26:
order.smartComboRoutingParamsCount = decode(int, fields)
if order.smartComboRoutingParamsCount > 0:
order.smartComboRoutingParams = []
for idxPrm in range(order.smartComboRoutingParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.smartComboRoutingParams.append(tagValue)
if version >= 20:
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET)
order.scaleSubsLevelSize = decode(int, fields, SHOW_UNSET)
else:
# ver 15 fields
order.notSuppScaleNumComponents = decode(int, fields, SHOW_UNSET)
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET) # scaleComponectSize
order.scalePriceIncrement = decode(float, fields, SHOW_UNSET) # ver 15 field
if version >= 28 and order.scalePriceIncrement != UNSET_DOUBLE \
and order.scalePriceIncrement > 0.0:
order.scalePriceAdjustValue = decode(float, fields, SHOW_UNSET)
order.scalePriceAdjustInterval = decode(int, fields, SHOW_UNSET)
order.scaleProfitOffset = decode(float, fields, SHOW_UNSET)
order.scaleAutoReset = decode(bool, fields)
order.scaleInitPosition = decode(int, fields, SHOW_UNSET)
order.scaleInitFillQty = decode(int, fields, SHOW_UNSET)
order.scaleRandomPercent = decode(bool, fields)
if version >= 24:
order.hedgeType = decode(str, fields)
if order.hedgeType:
order.hedgeParam = decode(str, fields)
if version >= 25:
order.optOutSmartRouting = decode(bool, fields)
order.clearingAccount = decode(str, fields) # ver 19 field
order.clearingIntent = decode(str, fields) # ver 19 field
if version >= 22:
order.notHeld = decode(bool, fields)
if version >= 20:
contract.underCompPresent = decode(bool, fields)
if contract.underCompPresent:
contract.underComp = UnderComp()
contract.underComp.conId = decode(int, fields)
contract.underComp.delta = decode(float, fields)
contract.underComp.price = decode(float, fields)
if version >= 21:
order.algoStrategy = decode(str, fields)
if order.algoStrategy:
order.algoParamsCount = decode(int, fields)
if order.algoParamsCount > 0:
order.algoParams = []
for idxAlgoPrm in range(order.algoParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.algoParams.append(tagValue)
if version >= 33:
order.solicited = decode(bool, fields)
orderState = OrderState()
order.whatIf = decode(bool, fields) # ver 16 field
orderState.status = decode(str, fields) # ver 16 field
orderState.initMargin = decode(str, fields) # ver 16 field
orderState.maintMargin = decode(str, fields) # ver 16 field
orderState.equityWithLoan = decode(str, fields) # ver 16 field
orderState.commission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.minCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.maxCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.commissionCurrency = decode(str, fields) # ver 16 field
orderState.warningText = decode(str, fields) # ver 16 field
if version >= 34:
order.randomizeSize = decode(bool, fields)
order.randomizePrice = decode(bool, fields)
if self.serverVersion >= MIN_SERVER_VER_PEGGED_TO_BENCHMARK:
if order.orderType == "PEG BENCH":
order.referenceContractId = decode(int, fields)
order.isPeggedChangeAmountDecrease = decode(bool, fields)
order.peggedChangeAmount = decode(float, fields)
order.referenceChangeAmount = decode(float, fields)
order.referenceExchangeId = decode(str, fields)
order.conditionsSize = decode(int, fields)
if order.conditionsSize > 0:
order.conditions = []
for idxCond in range(order.conditionsSize):
order.conditionType = decode(int, fields)
condition = order_condition.Create(order.conditionType)
condition.decode(fields)
order.conditions.append(condition)
order.conditionsIgnoreRth = decode(bool, fields)
order.conditionsCancelOrder = decode(bool, fields)
order.adjustedOrderType = decode(str, fields)
order.triggerPrice = decode(float, fields)
order.trailStopPrice = decode(float, fields)
order.lmtPriceOffset = decode(float, fields)
order.adjustedStopPrice = decode(float, fields)
order.adjustedStopLimitPrice = decode(float, fields)
order.adjustedTrailingAmount = decode(float, fields)
order.adjustableTrailingUnit = decode(int, fields)
if self.serverVersion >= MIN_SERVER_VER_SOFT_DOLLAR_TIER:
name = decode(str, fields)
value = decode(str, fields)
displayName = decode(str, fields)
order.softDollarTier = SoftDollarTier(name, value, displayName)
self.wrapper.openOrder(order.orderId, contract, order, orderState)
def _constructContractAndOrder(aat_order):
'''Construct an IB contract and order from an Order object'''
contract = Contract()
instrument = aat_order.instrument
if instrument.type == InstrumentType.EQUITY:
contract.symbol = instrument.name
contract.secType = "STK"
contract.currency = instrument.currency.name or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
elif instrument.type == InstrumentType.BOND:
# enter CUSIP as symbol
contract.symbol = instrument.name # cusip e.g. 912828C57
contract.secType = "BOND"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.OPTION:
# contract.symbol = "GOOG"
contract.secType = "OPT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
# contract.lastTradeDateOrContractMonth = "20170120"
# contract.strike = 615
# contract.right = "C"
# contract.multiplier = "100"
contract.localSymbol = instrument.name # e.g. "P BMW JUL 20 4650"
# can swap name for the above
# commented out stuff
elif instrument.type == InstrumentType.FUTURE:
# contract.symbol = "ES";
contract.secType = "FUT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
# contract.lastTradeDateOrContractMonth = "201803";
# contract.Multiplier = "5";
contract.localSymbol = instrument.name # e.g. "ESU6"
# swap for commented
elif instrument.type == InstrumentType.PAIR:
contract.symbol = instrument.leg1 # "EUR"
contract.secType = "CASH"
contract.currency = instrument.leg2 # "GBP"
contract.exchange = instrument.brokerExchange or "IDEALPRO"
elif instrument.type == InstrumentType.FUTURESOPTION:
contract.symbol = "ES"
contract.secType = "FOP"
contract.exchange = instrument.brokerExchange
contract.currency = instrument.currency.name or "USD"
contract.lastTradeDateOrContractMonth = "20180316"
contract.strike = 2800
contract.right = "C"
contract.multiplier = "50"
elif instrument.type == InstrumentType.MUTUALFUND:
contract.symbol = instrument.name # "VINIX"
contract.secType = "FUND"
contract.exchange = instrument.brokerExchange or "FUNDSERV"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.COMMODITIES:
contract.symbol = instrument.name # "XAUUSD"
contract.secType = "CMDTY"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.SPREAD:
contract.symbol = instrument.name
contract.secType = "BAG"
contract.currency = instrument.currency.name or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
leg1 = ComboLeg()
leg1.conId = 43645865 # IBKR STK # TODO
leg1.ratio = 1 # TODO
leg1.action = instrument.leg1_side
leg1.exchange = instrument.brokerExchange or "SMART"
leg2 = ComboLeg()
leg2.conId = 9408 # MCD STK # TODO
leg2.ratio = 1 # TODO
leg2.action = instrument.leg2_side
leg2.exchange = instrument.brokerExchange or "SMART"
contract.comboLegs = [leg1, leg2]
elif instrument.type == InstrumentType.CURRENCY:
raise NotImplementedError()
elif instrument.type == InstrumentType.INDEX:
raise NotImplementedError()
else:
raise NotImplementedError()
order = Order()
order.action = aat_order.side.value
if aat_order.order_type == OrderType.MARKET:
order.orderType = "MKT"
order.totalQuantity = aat_order.volume
elif aat_order.order_type == OrderType.LIMIT:
order.orderType = "LMT"
order.totalQuantity = aat_order.volume
order.lmtPrice = aat_order.price
elif aat_order.order_type == OrderType.STOP:
if aat_order.stop_target.order_type == OrderType.MARKET:
order.orderType = "STP"
order.auxPrice = aat_order.price
order.totalQuantity = aat_order.stop_target.volume
elif aat_order.stop_target.order_type == OrderType.LIMIT:
order.orderType = "STP LMT"
order.totalQuantity = aat_order.stop_target.volume
order.lmtPrice = aat_order.stop_target.price
order.auxPrice = aat_order.price
else:
raise NotImplementedError()
else:
raise NotImplementedError()
return contract, order
