def start_tickers():
symTickerIddict = {}
contractdict = {}
reqID = 1
symid = 1
for sym in symbol_list2:
print sym, symid
fname1 = DataDown + today + '.' + sym + '.RTticks.csv'
## backup the tick files before restarting
backupTickfiles(fname1)
## flush the tickfile
rpu_rp.WriteArrayToCsvfile(fname1, [])
### restart ticker
##build the cntract dict but probably not use
contract = ibutiles.create_ticksym(symid, sym)
contractdict.update({sym: contract})
symTickerIddict.update({str(symid): sym})
print symTickerIddict
ticktype = ticktypedict[sym]
## restart the ticker
tws_conn.reqRealTimeBars(reqID, contract, '', ticktype, 0)
symid += 1
reqID += 1
sleep(1)
def get_vola():
reqID = 111
contract = ibutiles.create_ticksym(99, 'SPY')
genericTicks = ''
snapshot = True
###### sym = 'SPY'
###### contract = contractdict[sym]
tws_conn.reqMktData(reqID, contract, genericTicks, snapshot)
#########################################
symid = 0
for sym in symbol_list_opts:
print sym
underlying = symdict[sym]
if underlying == 'SPY':
underPricenew = TicksUtile.recenttick(underlying, 'dload')
optionpricenew = TicksUtile.recenttick(sym, 'dload')
optionprice = 5.00
underPrice = 200.0
print underPricenew, optionpricenew
print typedict[sym]
ATMstrike = round(underPrice, -2)
print 'atm', ATMstrike
if typedict[sym] == 'OPT':
symid += 1
contract = contractdict[sym]
tws_conn.calculateImpliedVolatility(reqID, contract,
optionprice, underPrice)
reqID += 1
sleep(1)
tws_conn.cancelCalculateImpliedVolatility(reqID)
def get_vola():
reqID =111
contract = ibutiles.create_ticksym(99,'SPY')
genericTicks =''
snapshot = True
###### sym = 'SPY'
###### contract = contractdict[sym]
tws_conn.reqMktData(reqID,contract,genericTicks,snapshot)
#########################################
symid = 0
for sym in symbol_list_opts:
print sym
underlying = symdict[sym]
if underlying == 'SPY':
underPricenew = TicksUtile.recenttick(underlying,'dload')
optionpricenew = TicksUtile.recenttick(sym,'dload')
optionprice = 5.00
underPrice = 200.0
print underPricenew, optionpricenew
print typedict[sym]
ATMstrike = round(underPrice,-2)
print 'atm', ATMstrike
if typedict[sym] == 'OPT':
symid+=1
contract = contractdict[sym]
tws_conn.calculateImpliedVolatility(reqID,contract,optionprice,underPrice)
reqID +=1
sleep(1)
tws_conn.cancelCalculateImpliedVolatility(reqID)
def start_tickers():
symTickerIddict ={}
contractdict ={}
reqID=1
symid =1
for sym in symbol_list2:
print sym, symid
fname1 = DataDown + today + '.' + sym +'.RTticks.csv'
## backup the tick files before restarting
backupTickfiles(fname1)
## flush the tickfile
rpu_rp.WriteArrayToCsvfile(fname1,[])
### restart ticker
##build the cntract dict but probably not use
contract = ibutiles.create_ticksym(symid,sym)
contractdict.update({sym : contract})
symTickerIddict.update({str(symid) : sym})
print symTickerIddict
ticktype = ticktypedict[sym]
## restart the ticker
tws_conn.reqRealTimeBars(reqID,contract,'',ticktype,0)
symid+=1
reqID +=1
sleep(1)
def build_c_dbase(slist):
symid = 1
symTickerIddict ={}
contractdict ={}
for sym in slist:
contract = ibutiles.create_ticksym(symid,sym)
contractdict.update({sym : contract})
symTickerIddict.update({str(symid) : sym})
symid +=1
print symTickerIddict
return contractdict
def build_c_dbase(slist):
symid = 1
symTickerIddict = {}
contractdict = {}
for sym in slist:
contract = ibutiles.create_ticksym(symid, sym)
contractdict.update({sym: contract})
symTickerIddict.update({str(symid): sym})
symid += 1
print symTickerIddict
return contractdict
def send_prof_orders():
## enter proforders if any
profsneeded = rpu_rp.CsvToLines(filledNoProfFile)
profsplaced = []
profitticks = 3
stopticks = 14
profmult = 1
## print profsneeded
## print 'those were all the profs needed'
for entryorder in profsneeded:
## print entryorder, 'entryorder'
flipsign = int(1)
tside = 'BUY'
if entryorder[1] == 'BUY':
tside = 'SELL'
flipsign = int(-1)
tsize = int(entryorder[2])
sym = entryorder[3]
profitticks = int(profticksdict[sym])
print 'original signal order = ', entryorder
orderprice = float(entryorder[4])
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
addamt = onetick * int(entrywiderdict[sym])
tranflag = False
profprice = orderprice - (profmult * profitticks * onetick *
flipsign) - (flipsign * addamt)
stopprice = orderprice + (stopticks * onetick * flipsign) + (flipsign *
addamt)
## print profprice,stopprice
profitorder = ibutiles.create_order('LMT', tsize, tside, profprice,
tranflag, profprice, profprice,
'profit')
stoporder = ibutiles.create_order('STP', tsize, tside, stopprice,
tranflag, stopprice, stopprice,
'stop')
order_id = get_orderid()
symcontract = ibutiles.create_ticksym(
23, sym) ## might need to vary this number at some point
tws_conn.placeOrder(order_id, symcontract, profitorder)
tws_conn.placeOrder(order_id + 1, symcontract, stoporder)
print 'placed a profit and stop order here '
print sym, tside, str(tsize), str(profprice), 'PROFITORDER', order_id
profsplaced.append(entryorder)
sleep(2)
rpu_rp.WriteArrayToCsvfileAppend(filledNProfSentFile, profsplaced)
rpu_rp.WriteArrayToCsvfile(filledNoProfFile, [])
def send_prof_orders():
## enter proforders if any
profsneeded = rpu_rp.CsvToLines(filledNoProfFile)
profsplaced = []
profitticks = 3
stopticks = 14
profmult = 1
## print profsneeded
## print 'those were all the profs needed'
for entryorder in profsneeded:
## print entryorder, 'entryorder'
flipsign = int(1)
tside = 'BUY'
if entryorder[1] == 'BUY':
tside = 'SELL'
flipsign = int(-1)
tsize = int(entryorder[2])
sym = entryorder[3]
profitticks = int(profticksdict[sym])
print 'original signal order = ', entryorder
orderprice = float(entryorder[4])
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
addamt = onetick * int(entrywiderdict[sym])
tranflag = False
profprice = orderprice - (profmult * profitticks * onetick *flipsign) - (flipsign *addamt)
stopprice = orderprice + (stopticks * onetick *flipsign) + (flipsign *addamt)
## print profprice,stopprice
profitorder = ibutiles.create_order('LMT', tsize, tside, profprice,tranflag,profprice,profprice,'profit')
stoporder = ibutiles.create_order('STP', tsize, tside, stopprice,tranflag,stopprice,stopprice,'stop')
order_id = get_orderid()
symcontract = ibutiles.create_ticksym(23,sym) ## might need to vary this number at some point
tws_conn.placeOrder(order_id, symcontract, profitorder)
tws_conn.placeOrder(order_id+1, symcontract, stoporder)
print 'placed a profit and stop order here '
print sym, tside, str(tsize), str(profprice),'PROFITORDER',order_id
profsplaced.append(entryorder)
sleep(2)
rpu_rp.WriteArrayToCsvfileAppend(filledNProfSentFile,profsplaced)
rpu_rp.WriteArrayToCsvfile(filledNoProfFile,[])
global symbol_list
today = rpu_rp.todaysdateunix()
from datetime import datetime
libbars = EXE + 'library.bars.csv'
libsyms = EXE + 'library.syms.csv'
symdict = rpu_rp.create_dict(libsyms,0,1)
symbol_list = symdict.keys()
########################################
symTickerIddict ={}
contractdict ={}
symid=0
##flush files here is bad if building on hist....
for sym in symbol_list:
symid+=1
## sleep(1)
contract = ibutiles.create_ticksym(symid,sym)
contractdict.update({sym : contract})
symTickerIddict.update({str(symid) : sym})
## rpu_rp.WriteArrayToCsvfile(DataDown +today+'.'+sym+ '.rthbars.csv',[])
rpu_rp.WriteArrayToCsvfile(TMP +'replys.RTticks',[])
#################
rpu_rp.WriteArrayToCsvfile(DataDown +today+'.'+ '.RTticks.csv',[]) ### flush
onerow =[]
def RTBar_reply_handler(msg):
if msg.typeName == 'realtimeBar':
reqid=(((str(msg)).split()[1]).split('=')[1]).replace(',','')
sym=symTickerIddict[reqid]
## print str(msg)
## print 'is a bar..', sym
onerow = (str(msg)).split(',')
rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.RTticks.csv',[onerow])
tfactor = float(0.5)
else:
tfactor = float(1.0)
tsize = int(int(tsizedict[sym]) * tfactor)
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
roundfactor = int(roundfactordict[sym])
addamt = onetick * int(entrywiderdict[sym])
## create contract here
symib = symdict[sym]
ibsecType = typedict[sym] #'CASH'
ibexchange = exchdict[sym] #'IDEALPRO'
cashcurr = currdict[sym] #'USD'
expiry = expiredict[sym] #'ignore'
symcontract = ibutiles.create_ticksym(14,symib, ibsecType, ibexchange, cashcurr,expiry)
######## poll for a recent price
tws_conn.reqMktData(14,symcontract,'BID',True) ## use this to get a valid price
sleep(1)
for l in rpu_rp.CsvToLines('pricenow'):
if roundfactor == 0:
tickrounder = 0.25
pricenow = round(float(l[0]) / tickrounder) * tickrounder
pass
else:
tickrounder = roundfactor
pricenow = round(float(l[0]),roundfactor)
print pricenow
price = round(float((sig[3]))/float(decimalboost),roundfactor)
sigprice = price
onetick = float(1/decimalboost)
def create_contract_dictionary(ordid,sym):
contract = ibutiles.create_ticksym(ordid,sym)
contractdict.update({sym : contract})
symTickerIddict.update({ordid : sym})
def dload_list(symbol_list,durmode):
barlistall = bardict.keys()
barlist =[]
for b in barlistall:
if modedict[b] != 'special' :
barlist.append(b)
##########################
def backupTickfiles(fname1):
fname2 = fname1.replace('.csv','bu.csv')
f1 = rpu_rp.CsvToLines(fname1)
f2 = rpu_rp.CsvToLines(fname2)
for line in f1:
f2.append(line)
rpu_rp.WriteArrayToCsvfile(fname2,f2)
rpu_rp.WriteArrayToCsvfile(fname1,[])
#############
def error_handler(msg):
if 'historicalData' in str(msg):
print 'error probably pacing hist data'
pass
elif 'connection is OK' in str(msg):
pass
else:
print "Server Error: %s" % msg
#############
def historical_data_handler(msg):
global newDataList
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
if ('finished' in str(msg.date)) == False: ### keep building the list
## print (int(msg.date))
fstring = "%Y-%m-%d %H:%M:%S"
dateold = localtime(int(msg.date))
tdate = strftime(fstring, dateold)
if bar == '1 day':
tdate = (str((int(msg.date))))[0:4] + '-' + str((int(msg.date)))[4:6]+ '-' + str((int(msg.date)))[6:8] + ' 23:59:58'
## print tdate
## print msg.date
dataStr = '%s, %s, %s, %s, %s, %s, %s' % (sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname,'') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname,a)
newDataList = []
##########
def reply_handler(msg):
if msg.typeName == 'historicalData':
pass
else:
print "Server Response: %s, %s" % (msg.typeName, msg)
####################
tws_conn = Connection.create(port=7496, clientId=109)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
trans_id = 0
if durmode == 'd':
barlist = ['1day']
if durmode == '5secs':
barlist =['5secs']
for sym in symbol_list:
for bar in barlist:
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_ticksym(trans_id,sym)
ticktype = ticktypedict[sym]
print bar, sym, duration,ticktype, barspaced
tws_conn.reqHistoricalData(trans_id, contract, '', duration, barspaced, ticktype, 0, 2)
trans_id = trans_id + 1
sleep(3)
###############
print 'disconnecting from ib..'
tws_conn.disconnect()
for sym in symbol_list:
for dura in barlist:
throw_out_lastbar(sym,dura,today)
################################
##rpu_rp.WriteStringsToFile(TMP +'Entry.orders.Sent.csv','')
sizemult = 2
print 'starting prof sender...'
##############################
libsyms = EXE + 'library.syms.csv'
symdict = rpu_rp.create_dict(libsyms,0,1)
symbol_list = symdict.keys()
######################
##print
symcontrdict = {}
counter = 0
for sym in symbol_list:
counter +=1
symcontract = ibutiles.create_ticksym(counter,sym)
sleep (1)
dict2 = {sym : symcontract}
symcontrdict.update(dict2)
print 'adding to dict', sym
#################
print 'done with dict'
##########################3
while loop < loopmax:
scan_for_fills()
siglistfile = sigarea + today +'.recentsigsexec.csv'
if os.path.isfile(siglistfile):
recentsigs = rpu_rp.CsvToLines(siglistfile)
## print recentsigs
sigfileage = check_for_CP_change(siglistfile)
# (The clientId is chosen by us and we will need
# separate IDs for both the execution connection and
# market data connection)
tws_conn = Connection.create(port=7496, clientId=100)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
################
timelimit = 2
timer = 1
while timer < timelimit:
print 'running next loop'
# Create an order ID which is 'global' for this session. This
# will need incrementing once new orders are submitted.
order_id = timer
symcontract = ibutiles.create_ticksym(14,'EUR', 'CASH', 'IDEALPRO', 'USD','ignoreexp')
sym_order = ibutiles.create_order('LMT', 100000, 'SELL', 1.1498)
tws_conn.reqMktData(14,symcontract,'BID',True)
# Use the connection to the send the order to IB
tws_conn.placeOrder(order_id, symcontract, sym_order)
sleep(5)
tws_conn.cancelOrder(order_id)
timer += 1
sleep(5)
# Disconnect from TWS
print 'disconnecting..loop is done..'
tws_conn.disconnect()
##reqGlobalCancel()
if dur == '30 secs':
tfactor = float(0.5)
else:
tfactor = float(1.0)
tsize = int(int(tsizedict[sym]) * tfactor)
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
roundfactor = int(roundfactordict[sym])
addamt = onetick * int(entrywiderdict[sym])
onetick = float(1/decimalboost)
tickrounder = roundfactor
if roundfactor == 0:
tickrounder = 0.25
## create contract here
symib = symdict[sym]
symcontract = ibutiles.create_ticksym(14,sym)
######## poll for a recent price
tws_conn.reqMktData(14,symcontract,'BID',True) ## use this to get a valid price
rpu_rp.WriteArrayToCsvfile('pricenow',[])
for l in rpu_rp.CsvToLines('pricenow'):
pricebid = float(l[0])
##################
if sigid == prevsigid:
tranflag = False
#########################
order_id = get_orderid()
prevsigid = sigid
print sigprice, decimalboost, 'is sigprice'
pricebid = float(sigprice)/float(decimalboost)
if tickrounder == 0:
pricenow = round(pricebid,roundfactor)
tdate = (str((int(msg.date))))[0:4] + '-' + str((int(msg.date)))[4:6]+ '-' + str((int(msg.date)))[6:8] + ' 23:59:58'
## print tdate
## print msg.date
dataStr = '%s, %s, %s, %s, %s, %s, %s' % (sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname,'') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname,a)
newDataList = []
####################################
tws_conn = Connection.create(port=7496, clientId=109)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
for sym in symbol_list:
for bar in barlist:
duration = bardict[bar]
print bar, sym
contract = ibutiles.create_ticksym(trans_id,sym)
tws_conn.reqHistoricalData(trans_id, contract, '', duration, bar, 'MIDPOINT', 0, 2)
trans_id = trans_id + 1
sleep(4)
###############
print 'disconnecting from ib..'
tws_conn.disconnect()
def dload_list(symbol_list, durmode):
barlistall = bardict.keys()
barlist = []
for b in barlistall:
if modedict[b] != 'special':
barlist.append(b)
##########################
def backupTickfiles(fname1):
fname2 = fname1.replace('.csv', 'bu.csv')
f1 = rpu_rp.CsvToLines(fname1)
f2 = rpu_rp.CsvToLines(fname2)
for line in f1:
f2.append(line)
rpu_rp.WriteArrayToCsvfile(fname2, f2)
rpu_rp.WriteArrayToCsvfile(fname1, [])
#############
def error_handler(msg):
if 'historicalData' in str(msg):
print 'error probably pacing hist data'
pass
elif 'connection is OK' in str(msg):
pass
else:
print "Server Error: %s" % msg
#############
def historical_data_handler(msg):
global newDataList
fname = DataDown + today + '.' + sym + '.' + bar.replace(
' ', '') + '.ddload.csv'
if ('finished' in str(msg.date)) == False: ### keep building the list
## print (int(msg.date))
fstring = "%Y-%m-%d %H:%M:%S"
dateold = localtime(int(msg.date))
tdate = strftime(fstring, dateold)
if bar == '1 day':
tdate = (str((int(msg.date))))[0:4] + '-' + str(
(int(msg.date)))[4:6] + '-' + str(
(int(msg.date)))[6:8] + ' 23:59:58'
## print tdate
## print msg.date
dataStr = '%s, %s, %s, %s, %s, %s, %s' % (
sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname, '') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname, a)
newDataList = []
##########
def reply_handler(msg):
if msg.typeName == 'historicalData':
pass
else:
print "Server Response: %s, %s" % (msg.typeName, msg)
####################
tws_conn = Connection.create(port=7496, clientId=109)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
trans_id = 0
if durmode == 'd':
barlist = ['1day']
if durmode == '5secs':
barlist = ['5secs']
for sym in symbol_list:
for bar in barlist:
fname = DataDown + today + '.' + sym + '.' + bar.replace(
' ', '') + '.ddload.csv'
backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_ticksym(trans_id, sym)
ticktype = ticktypedict[sym]
print bar, sym, duration, ticktype, barspaced
tws_conn.reqHistoricalData(trans_id, contract, '', duration,
barspaced, ticktype, 0, 2)
trans_id = trans_id + 1
sleep(3)
###############
print 'disconnecting from ib..'
tws_conn.disconnect()
for sym in symbol_list:
for dura in barlist:
throw_out_lastbar(sym, dura, today)
rpu_rp.WriteStringsToFileAppend(fname, a)
newDataList = []
####################################
tws_conn = Connection.create(port=7496, clientId=109)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
for sym in symbol_list:
symib = symdict[sym] #'CASH'
ibsecType = typedict[sym] #'CASH'
ibexchange = exchdict[sym] #'IDEALPRO'
cashcurr = currdict[sym] #'USD'
expiry = expiredict[sym] #'ignore'
for bar in barlist:
duration = bardict[bar]
print bar, sym, symib, ibsecType, ibexchange, cashcurr, expiry, duration
contract = ibutiles.create_ticksym(trans_id, symib, ibsecType,
ibexchange, cashcurr, expiry)
tws_conn.reqHistoricalData(trans_id, contract, '', duration, bar,
'BID_ASK', 0, 2)
trans_id = trans_id + 1
sleep(5)
###############
print 'disconnecting from ib..'
tws_conn.disconnect()
################################
##rpu_rp.WriteStringsToFile(TMP +'Entry.orders.Sent.csv','')
sizemult = 2
print 'starting prof sender...'
##############################
libsyms = EXE + 'library.syms.csv'
symdict = rpu_rp.create_dict(libsyms, 0, 1)
symbol_list = symdict.keys()
######################
##print
symcontrdict = {}
counter = 0
for sym in symbol_list:
counter += 1
symcontract = ibutiles.create_ticksym(counter, sym)
sleep(1)
dict2 = {sym: symcontract}
symcontrdict.update(dict2)
print 'adding to dict', sym
#################
print 'done with dict'
##########################3
while loop < loopmax:
scan_for_fills()
siglistfile = sigarea + today + '.recentsigsexec.csv'
if os.path.isfile(siglistfile):
recentsigs = rpu_rp.CsvToLines(siglistfile)
## print recentsigs
sigfileage = check_for_CP_change(siglistfile)
def scan_for_fills():
entrysSentFile = TMP + 'Entry.orders.Sent.csv'
filledNoProfFile = TMP + 'Entry.orders.FilledNoProf.csv'
filledNProfSentFile = TMP + 'Entry.orders.FilledNProfSent.csv'
ProfSentFile = TMP + 'Profit.orders.Sent.csv'
openarray = []
fillNoProf = []
filledNProfSent = []
replys = rpu_rp.CsvToLines( TMP + 'entryreplys') ## this reads the replies from the sigcreate login
for l in rpu_rp.CsvToLines(entrysSentFile):
if len(l) > 0:
print l
status ='open'
listordid = l[0]
#poll for status
tws_conn.orderStatus(listordid)
sleep(3) ### give it time to read list
## filledstring = 'orderStatus orderId='+listordid +', ' status=Filled'
for rep in replys:
## CAPTURE FILL PRICE HERE AND USE INSTEAD OF ENTRYPRICE IN FILE
if len(rep) > 1 and rep[1] == ' status=Filled' and rep[0] == '<orderStatus orderId='+listordid:
print 'found a fill in entry orders', listordid
## status='filled'
if len(rep) > 1 and rep[1] == ' status=Cancelled' and rep[0] == '<orderStatus orderId='+listordid:
## print 'found a fill in entry orders', listordid
status='cxld'
if status == 'filled':
fillNoProf.append(l)
pass
elif status == 'cxld':
## print 'was cxld, deleting from list',l
pass
else:
openarray.append(l)
## print 'is open still',l
rpu_rp.WriteArrayToCsvfile(entrysSentFile,openarray)
rpu_rp.WriteArrayToCsvfile(filledNoProfFile,fillNoProf)
## enter proforders if any
profsneeded = rpu_rp.CsvToLines(filledNoProfFile)
profsplaced = []
profitticks = 3
stopticks = 14
profmult = 1
for entryorder in profsneeded:
print profsneeded
print 'those were all the profs needed'
flipsign = int(1)
tside = 'BUY'
if entryorder[1] == 'BUY':
tside = 'SELL'
flipsign = int(-1)
tsize = int(entryorder[2])
sym = entryorder[3]
profitticks = int(profticksdict[sym])
print 'original signal order = ', entryorder
orderprice = float(entryorder[4])
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
addamt = onetick * int(entrywiderdict[sym])
tranflag = False
profprice = orderprice - (profmult * profitticks * onetick *flipsign) - (flipsign *addamt)
stopprice = orderprice + (stopticks * onetick *flipsign) + (flipsign *addamt)
## print profprice,stopprice
profitorder = ibutiles.create_order('LMT', tsize, tside, profprice,tranflag,profprice,profprice,'profit')
stoporder = ibutiles.create_order('STP', tsize, tside, stopprice,tranflag,stopprice,stopprice,'stop')
order_id = get_orderid()
symcontract = ibutiles.create_ticksym(23,sym) ## might need to vary this number at some point
tws_conn.placeOrder(order_id, symcontract, profitorder)
tws_conn.placeOrder(order_id+1, symcontract, stoporder)
print 'placed a profit and stop order here '
print sym, tside, str(tsize), str(profprice),'PROFITORDER'
profsplaced.append(entryorder)
sleep(4)
rpu_rp.WriteArrayToCsvfileAppend(filledNProfSentFile,profsplaced)
rpu_rp.WriteArrayToCsvfile(filledNoProfFile,[])
def scan_for_fills():
entrysSentFile = TMP + 'Entry.orders.Sent.csv'
filledNoProfFile = TMP + 'Entry.orders.FilledNoProf.csv'
filledNProfSentFile = TMP + 'Entry.orders.FilledNProfSent.csv'
ProfSentFile = TMP + 'Profit.orders.Sent.csv'
openarray = []
fillNoProf = []
filledNProfSent = []
replys = rpu_rp.CsvToLines(
TMP +
'entryreplys') ## this reads the replies from the sigcreate login
for l in rpu_rp.CsvToLines(entrysSentFile):
if len(l) > 0:
print l
status = 'open'
listordid = l[0]
#poll for status
tws_conn.orderStatus(listordid)
sleep(3) ### give it time to read list
## filledstring = 'orderStatus orderId='+listordid +', ' status=Filled'
for rep in replys:
## CAPTURE FILL PRICE HERE AND USE INSTEAD OF ENTRYPRICE IN FILE
if len(rep) > 1 and rep[1] == ' status=Filled' and rep[
0] == '<orderStatus orderId=' + listordid:
print 'found a fill in entry orders', listordid
## status='filled'
if len(rep) > 1 and rep[1] == ' status=Cancelled' and rep[
0] == '<orderStatus orderId=' + listordid:
## print 'found a fill in entry orders', listordid
status = 'cxld'
if status == 'filled':
fillNoProf.append(l)
pass
elif status == 'cxld':
## print 'was cxld, deleting from list',l
pass
else:
openarray.append(l)
## print 'is open still',l
rpu_rp.WriteArrayToCsvfile(entrysSentFile, openarray)
rpu_rp.WriteArrayToCsvfile(filledNoProfFile, fillNoProf)
## enter proforders if any
profsneeded = rpu_rp.CsvToLines(filledNoProfFile)
profsplaced = []
profitticks = 3
stopticks = 14
profmult = 1
for entryorder in profsneeded:
print profsneeded
print 'those were all the profs needed'
flipsign = int(1)
tside = 'BUY'
if entryorder[1] == 'BUY':
tside = 'SELL'
flipsign = int(-1)
tsize = int(entryorder[2])
sym = entryorder[3]
profitticks = int(profticksdict[sym])
print 'original signal order = ', entryorder
orderprice = float(entryorder[4])
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
addamt = onetick * int(entrywiderdict[sym])
tranflag = False
profprice = orderprice - (profmult * profitticks * onetick *
flipsign) - (flipsign * addamt)
stopprice = orderprice + (stopticks * onetick * flipsign) + (flipsign *
addamt)
## print profprice,stopprice
profitorder = ibutiles.create_order('LMT', tsize, tside, profprice,
tranflag, profprice, profprice,
'profit')
stoporder = ibutiles.create_order('STP', tsize, tside, stopprice,
tranflag, stopprice, stopprice,
'stop')
order_id = get_orderid()
symcontract = ibutiles.create_ticksym(
23, sym) ## might need to vary this number at some point
tws_conn.placeOrder(order_id, symcontract, profitorder)
tws_conn.placeOrder(order_id + 1, symcontract, stoporder)
print 'placed a profit and stop order here '
print sym, tside, str(tsize), str(profprice), 'PROFITORDER'
profsplaced.append(entryorder)
sleep(4)
rpu_rp.WriteArrayToCsvfileAppend(filledNProfSentFile, profsplaced)
rpu_rp.WriteArrayToCsvfile(filledNoProfFile, [])
sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname, '') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname, a)
newDataList = []
####################################
tws_conn = Connection.create(port=7496, clientId=109)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
for sym in symbol_list:
for bar in barlist:
duration = bardict[bar]
print bar, sym
contract = ibutiles.create_ticksym(trans_id, sym)
tws_conn.reqHistoricalData(trans_id, contract, '', duration, bar,
'MIDPOINT', 0, 2)
trans_id = trans_id + 1
sleep(4)
###############
print 'disconnecting from ib..'
tws_conn.disconnect()
##########################
symTickerIddict = {}
contractdict = {}
reqID = 1
symid = 1
for sym in symbol_list:
print sym, symid
fname1 = DataDown + today + '.' + sym + '.RTticks.csv'
## backup the tick files before restarting
backupTickfiles(fname1)
## flush the tickfile
rpu_rp.WriteArrayToCsvfile(fname1, [])
### restart ticker
##build the cntract dict but probably not use
contract = ibutiles.create_ticksym(symid, sym)
contractdict.update({sym: contract})
symTickerIddict.update({str(symid): sym})
print symTickerIddict
ticktype = ticktypedict[sym]
## restart the ticker
tws_conn.reqRealTimeBars(reqID, contract, '', ticktype, 0)
symid += 1
reqID += 1
sleep(1)
########################
def get_vola():
reqID = 33
##contract = ibutiles.create_ticksym(99,sym)
tfactor = float(0.5)
tsize = int(max(1,(int(tsizedict[sym]) * tfactor)))
## print 'tsize',tsize
onetick = float(tickdict[sym])
roundfactor = int(roundfactordict[sym])
addamt = onetick * int(entrywiderdict[sym])
onetick = float(1/decimalboost)
tickrounder = roundfactor
if roundfactor == 0:
tickrounder = 0.25
## create contract here
techline = symlinedict[sym]
## calculate roundie
roundieline = round(float(priceinsignal),roundfactor-2)
## print 'WARNING ... line at: >> ',techline,'roundie = ',roundieline
symcontract = ibutiles.create_ticksym(14,sym)
######## poll for a recent price
rpu_rp.WriteStringsToFile('pricenow','')
######## tws_conn.reqMktData(14,symcontract,'BID',True)
sleep(1)
for l in rpu_rp.CsvToLines('pricenow'):
pricebid = float(l[0])
sleep(1) ## allows oderide to write to window remove later
order_id = get_orderid()
if tickrounder != 0:
pricenow = round(float(ask),roundfactor)
########################################################
sigprice = round(float(priceinsignal)/float(decimalboost),roundfactor)
########################
flipsign = int(-1)
if tside == 'SELL':
# (The clientId is chosen by us and we will need
# separate IDs for both the execution connection and
# market data connection)
tws_conn = Connection.create(port=7496, clientId=100)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
################
timelimit = 2
timer = 1
while timer < timelimit:
print 'running next loop'
# Create an order ID which is 'global' for this session. This
# will need incrementing once new orders are submitted.
order_id = timer
symcontract = ibutiles.create_ticksym(14,'EUR', 'CASH', 'IDEALPRO', 'USD','ignoreexp')
sym_order = ibutiles.create_order('LMT', 100000, 'SELL', 1.1498)
tws_conn.reqMktData(14,symcontract,'BID',True)
# Use the connection to the send the order to IB
tws_conn.placeOrder(order_id, symcontract, sym_order)
sleep(5)
tws_conn.cancelOrder(order_id)
timer += 1
sleep(5)
# Disconnect from TWS
print 'disconnecting..loop is done..'
tws_conn.disconnect()
##reqGlobalCancel()
