def _get_spread_ib_futures_contract(
self,
futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData,
contract_date: contractDate,
trade_list_for_multiple_legs: tradeQuantity = None,
) -> ibcontractWithLegs:
"""
Return a complete and unique IB contract that matches contract_object_with_ib_data
This is expensive so not called directly, only by ib_futures_contract which does caching
:param contract_object_with_ib_data: contract, containing instrument metadata suitable for IB
:return: a single ib contract object
"""
if trade_list_for_multiple_legs is None:
raise Exception("Multiple leg order must have trade list")
# Convert to IB world
ibcontract = ib_futures_instrument(futures_instrument_with_ib_data)
ibcontract.secType = "BAG"
list_of_contract_dates = contract_date.list_of_single_contract_dates
resolved_legs = [
self._get_vanilla_ib_futures_contract(
futures_instrument_with_ib_data, contract_date)
for contract_date in list_of_contract_dates
]
ibcontract_with_legs = _add_legs_to_ib_contract(
ibcontract=ibcontract,
resolved_legs=resolved_legs,
trade_list_for_multiple_legs=trade_list_for_multiple_legs)
return ibcontract_with_legs
def _get_vanilla_ib_futures_contract(
self,
futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData,
contract_date):
"""
Return a complete and unique IB contract that matches contract_object_with_ib_data
This is expensive so not called directly, only by ib_futures_contract which does caching
:param contract_object_with_ib_data: contract, containing instrument metadata suitable for IB
:return: a single ib contract object
"""
# The contract date might be 'yyyymm' or 'yyyymmdd'
ibcontract = ib_futures_instrument(futures_instrument_with_ib_data)
contract_day_passed = contract_date.is_day_defined()
if contract_day_passed:
# Already have the expiry
pass
else:
# Don't have the expiry so lose the days at the end so it's just
# 'YYYYMM'
contract_date = str(contract_date.date_str)[:6]
ibcontract.lastTradeDateOrContractMonth = contract_date
# We allow multiple contracts in case we have 'yyyymm' and not
# specified expiry date for VIX
ibcontract_list = self.ib_get_contract_chain(ibcontract)
if len(ibcontract_list) == 0:
# No contracts found
return missing_contract
if len(ibcontract_list) == 1:
# OK no hassle, only one contract no confusion
resolved_contract = ibcontract_list[0]
else:
# It might be a contract with weekly expiries (probably VIX)
# We need to find the right one
try:
resolved_contract = resolve_multiple_expiries(
ibcontract_list, futures_instrument_with_ib_data)
except Exception as exception:
self.log.warn(
"%s could not resolve contracts: %s" %
(str(futures_instrument_with_ib_data), exception.args[0]))
return missing_contract
return resolved_contract
def _get_spread_ib_futures_contract(
self,
futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData,
contract_date,
trade_list_for_multiple_legs=[-1, 1],
):
"""
Return a complete and unique IB contract that matches contract_object_with_ib_data
This is expensive so not called directly, only by ib_futures_contract which does caching
:param contract_object_with_ib_data: contract, containing instrument metadata suitable for IB
:return: a single ib contract object
"""
# Convert to IB world
ibcontract = ib_futures_instrument(futures_instrument_with_ib_data)
ibcontract.secType = "BAG"
list_of_contract_dates = contract_date.list_of_single_contract_dates
resolved_legs = [
self._get_vanilla_ib_futures_contract(
futures_instrument_with_ib_data, contract_date)
for contract_date in list_of_contract_dates
]
ratio_list = list_of_ints_with_highest_common_factor_positive_first(
trade_list_for_multiple_legs)
def _get_ib_combo_leg(ratio, resolved_leg):
leg = ComboLeg()
leg.conId = int(resolved_leg.conId)
leg.exchange = str(resolved_leg.exchange)
action, size = resolveBS(ratio)
leg.ratio = int(size)
leg.action = str(action)
return leg
ibcontract.comboLegs = [
_get_ib_combo_leg(ratio, resolved_leg)
for ratio, resolved_leg in zip(ratio_list, resolved_legs)
]
return ibcontract, resolved_legs
def get_ib_contract_with_specific_expiry(futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData,
contract_date: contractDate) ->Contract:
ibcontract = ib_futures_instrument(futures_instrument_with_ib_data)
contract_date_string = str(contract_date.date_str)
contract_day_was_passed = contract_date.is_day_defined()
if contract_day_was_passed:
# Already have the expiry
pass
else:
# Don't have the expiry so lose the days at the end so it's just
# 'YYYYMM'
contract_date_string = contract_date_string[:6]
ibcontract.lastTradeDateOrContractMonth = contract_date_string
return ibcontract
def broker_get_futures_contract_list(
self, futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData,
allow_expired: bool = False) -> list:
## Returns list of contract date strings YYYYMMDD
specific_log = self.log.setup(
instrument_code=futures_instrument_with_ib_data.instrument_code
)
ibcontract_pattern = ib_futures_instrument(
futures_instrument_with_ib_data)
contract_list = self.ib_get_contract_chain(ibcontract_pattern,
allow_expired=allow_expired)
# if no contracts found will be empty
# Extract expiry date strings from these
contract_dates = [
ibcontract.lastTradeDateOrContractMonth for ibcontract in contract_list]
return contract_dates
def broker_get_futures_contract_list(
self,
futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData
):
specific_log = self.log.setup(
instrument_code=futures_instrument_with_ib_data.instrument_code)
ibcontract_pattern = ib_futures_instrument(
futures_instrument_with_ib_data)
contract_list = self.ib_get_contract_chain(ibcontract_pattern,
log=specific_log)
# if no contracts found will be empty
# Extract expiry date strings from these
contract_dates = [
ibcontract.lastTradeDateOrContractMonth
for ibcontract in contract_list
]
return contract_dates