def makeComboLeg(conId, action):
newComboLeg = ComboLeg()
newComboLeg.m_conId = conId
newComboLeg.m_ratio = 1
newComboLeg.m_action = action
newComboLeg.m_exchange = 'SMART'
newComboLeg.m_openClose = '0'
return newComboLeg
def test_008a(connection, options):
c = Contract()
c.m_exchange = 'IDEALPRO'
c.m_symbol = 'MO'
c.m_localSymbol = 'MO1C'
c.m_secType = 'BAG'
c.m_expiry = '200806'
leg1 = ComboLeg()
leg1.m_conId = 123
leg1.m_ratio = 1
leg1.m_exchange = 'ONE'
leg1.m_action = 'SELL'
leg2 = ComboLeg()
leg2.m_conId = 125
leg2.m_ratio = 100
leg2.m_exchange = 'NYSE'
leg2.m_action = 'BUY'
c.m_comboLegs = [leg1, leg2]
connection.reqMktData(1, c, generic_tick_keys, False)
def test_008a(connection, options):
c = Contract()
c.m_exchange = 'IDEALPRO'
c.m_symbol = 'MO'
c.m_localSymbol = 'MO1C'
c.m_secType = 'BAG'
c.m_expiry = '200806'
leg1 = ComboLeg()
leg1.m_conId = 123
leg1.m_ratio = 1
leg1.m_exchange = 'ONE'
leg1.m_action = 'SELL'
leg2 = ComboLeg()
leg2.m_conId = 125
leg2.m_ratio = 100
leg2.m_exchange = 'NYSE'
leg2.m_action = 'BUY'
c.m_comboLegs = [leg1, leg2]
connection.reqMktData(1, c, generic_tick_keys, False)
def new_option_combo_contract(symbol,
id_to_sell,
id_to_buy,
exchange='SMART',
currency='USD'):
''' Make a new stock spread contract, e.g. a long/short pair. The buy:sell ratio is 1 contract:1 contract
The function is implemented according to http://interactivebrokers.github.io/tws-api/spread_contracts.html#bag_fut&gsc.tab=0
:param symbol: not used in this function.
:param id_to_sell: a int number of stock contract ID (leg) to sell
:param id_to_buy: a int number of stock contract ID (leg) to buy
:param exchange: the exchange of contracts; string
:param currency: the currency of the future contract
:return: a new combo contract (stock spread)
'''
contract = Contract()
contract.m_symbol = currency
contract.m_secType = 'BAG'
contract.m_currency = currency
contract.m_exchange = 'SMART'
leg_to_sell = ComboLeg()
leg_to_sell.m_conId = id_to_sell # e.g. MCD stock's contract ID
leg_to_sell.m_ratio = 1
leg_to_sell.m_action = "SELL"
leg_to_sell.m_exchange = exchange
leg_to_sell.m_openClose = 0
leg_to_buy = ComboLeg()
leg_to_buy.m_conId = id_to_buy # e.g. IBKR stock's contract ID
leg_to_buy.m_ratio = 1
leg_to_buy.m_action = "BUY"
leg_to_buy.m_exchange = exchange
leg_to_buy.m_openClose = 0
contract.m_comboLegs.append(leg_to_buy)
contract.m_comboLegs.append(leg_to_sell)
return contract
def new_future_spread_contract(symbol,
id_to_buy,
id_to_sell,
exchange,
currency='USD'):
''' Make a new future spread contract, e.g. calendar spread. The buy:sell ratio is 1 contract:1 contract
The function is implemented according to http://interactivebrokers.github.io/tws-api/spread_contracts.html#bag_fut&gsc.tab=0
:param symbol: symbol of a future contract; e.g. 'VIX'
:param id_to_sell: a int number of contract ID (leg) to sell
:param id_to_buy: a int number of contract ID (leg) to buy
:param exchange: the exchange of contracts; string
:param currency: the currency of the future contract
:return: a new combo contract (future spread)
'''
contract = Contract()
contract.m_symbol = symbol # NOTE: do not set it to 'USD' for future spread as for option combo orders
contract.m_secType = 'BAG'
contract.m_currency = currency
contract.m_exchange = 'SMART' # set exchange to 'SMART' in the main order
leg_to_sell = ComboLeg()
leg_to_sell.m_conId = id_to_sell
leg_to_sell.m_ratio = 1
leg_to_sell.m_action = "SELL"
leg_to_sell.m_exchange = exchange
leg_to_buy = ComboLeg()
leg_to_buy.m_conId = id_to_buy
leg_to_buy.m_ratio = 1
leg_to_buy.m_action = "BUY"
leg_to_buy.m_exchange = exchange
contract.m_comboLegs.append(leg_to_buy)
contract.m_comboLegs.append(leg_to_sell)
return contract
def place_order(order_list):
""" Auto-detects which args should be assigned to a new Contract or Order, then use to place order.
Makes use of globals to set initial values, but allows args to override (ie clientId)
To modify and order, the following parameters are needed (IB won't complain if some of these are missing, but the
order update won't succeed):
* orderId
* exchange
* totalQuantity
* secType
* action
* orderType AND related paramters (ie TRAIL needs trailingPercent)
* symbol
* currency
* exchange
When an object in `order_list` has secType = 'BAG', it implies an Options combo order will be placed, requiring
comboLegs: a JSON list of details required for this function to fetch the conId to then build the ComboLeg.
"""
log.debug('Starting place_order with args_list: {}'.format(order_list))
client = connection.get_client()
if client is None:
connection.close_client(client)
return g.error_resp[-2]
elif client.isConnected() is False:
return g.error_resp[-1]
# To allow for bracketed orders (or processing a string of orders in a single request), we expect args to be a list
if not isinstance(order_list, list):
order_list = [order_list]
parentId = None
order_ids = set()
dont_wait_order_ids = set(
) # Some orders aren't worth waiting for responses on
for args in order_list:
# If an orderId was provided, we'll be updating an existing order, so only send attributes which are updatable:
# totalQuantity, orderType, symbol, secType, action
# TODO consider casting unicode to utf-8 here. Otherwise we get error(id=1, errorCode=512, errorMsg=Order Sending Error - char format require string of length 1)
# log.debug('Processing args from order_list: {}'.format(args))
orderId = args.get('orderId', None)
if orderId is None:
orderId = g.orderId
g.orderId += 1
order_ids.add(orderId)
if 'goodAfterTime' in args:
dont_wait_order_ids.add(orderId)
contract = Contract()
order = Order()
# Populate contract with appropriate args
for attr in dir(contract):
if attr[:2] == 'm_' and attr[2:] in args:
setattr(contract, attr, args[attr[2:]])
# Populate order with appropriate
order.m_clientId = client.clientId
for attr in dir(order):
if attr[:2] == 'm_' and attr[2:] in args:
setattr(order, attr, args[attr[2:]])
# Option Combo Orders need the comboLegs details turned into actual ComboLeg objects
comboLegs = args.get('comboLegs', None)
if comboLegs:
# We need to build ComboLegs by first fetching the conId from the contract details
all_legs = []
req_ids = []
# Clear out our global ContractDetails so our handler can repopulate them
g.contract_resp['contractDetails'] = dict()
g.contract_resp['contractDetailsEnd'] = False
# Request new ContractDetails so we can get the conIds needed for our legs
for idx, leg in enumerate(comboLegs):
# Each leg is a dict of details needed to make a ComboLeg object
leg_contract = Contract()
# Populate leg_contract with appropriate args
for attr in dir(leg_contract):
if attr[:2] == 'm_' and attr[2:] in leg:
setattr(leg_contract, attr, leg[attr[2:]])
# Fetch conId for leg_contract
client.reqContractDetails(idx, leg_contract)
req_ids.append(idx)
# We've now requested ContractDetails for all legs. Wait to get their async responses.
timeout = g.timeout
while g.contract_resp[
'contractDetailsEnd'] is False and client.isConnected(
) is True and timeout > 0:
time.sleep(0.25)
timeout -= 1
# Create our ComboLegs for our order
for idx, leg in enumerate(comboLegs):
combo_leg = ComboLeg()
# Populate combo_leg with appropriate args
for attr in dir(combo_leg):
if attr[:2] == 'm_' and attr[2:] in leg:
setattr(combo_leg, attr, leg[attr[2:]])
combo_leg.m_conId = g.contract_resp['contractDetails'][idx][
'm_summary'].m_conId
all_legs.append(combo_leg)
contract.m_comboLegs = all_legs
# If this is a bracketed order, we'll need to add in the parentId for children orders
if parentId:
order.m_parentId = parentId
log.debug(
'Placing order # {} on client # {} (connected={}): {}'.format(
orderId, client.clientId, client.isConnected(), args))
client.placeOrder(orderId, contract, order)
# Assume our 1st order in the list is the parent. Use this for remaining bracket orders and also error handling
if not parentId:
parentId = orderId
log.debug('Setting child order parentId={}'.format(parentId))
log.debug('Ignoring responses for these orderIds: {}'.format(
dont_wait_order_ids))
order_ids = order_ids - dont_wait_order_ids
# Don't look for order status or errors until we actually transmit the last order, but then look for status for
# all order_ids
timeout = g.timeout
resp = wait_for_responses(order_ids, client, timeout)
connection.close_client(client)
return resp
contractIds = []
for requestId, contract in enumerate(contracts):
print(("Requesting ", contract.m_symbol))
tws.reqContractDetails(requestId, contract)
sleep(1) # wait for data to come in
# safety check that request ids match
assert handler.reqId == requestId, "Request and data do not match"
contractIds.append(handler.conId)
# ------------create contract legs
# for simplicity, I just set each leg to buy 1 share
legs = []
for conId in contractIds:
leg = ComboLeg()
leg.m_conId = conId
leg.m_ratio = 1
leg.m_action = "BUY"
leg.m_exchange = "SMART"
legs.append(leg)
# -------- create a contract with required legs
contract = Contract()
contract.m_symbol = "USD"
contract.m_secType = "BAG"
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_comboLegs = legs
def processMsg(self, msgId):
""" generated source for method processMsg """
if msgId == -1:
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
canAutoExecute = 0
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price,
canAutoExecute)
if version >= 2:
# not a tick
sizeTickType = -1
if tickType == 1:
# BID
sizeTickType = 0
# BID_SIZE
elif tickType == 2:
# ASK
sizeTickType = 3
# ASK_SIZE
elif tickType == 4:
# LAST
sizeTickType = 5
# LAST_SIZE
if sizeTickType != -1:
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
size = self.readInt()
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.POSITION:
version = self.readInt()
account = self.readStr()
contract = Contract()
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 2:
contract.m_tradingClass = self.readStr()
pos = self.readInt()
avgCost = 0
if version >= 3:
avgCost = self.readDouble()
self.eWrapper().position(account, contract, pos, avgCost)
elif msgId == self.POSITION_END:
version = self.readInt()
self.eWrapper().positionEnd()
elif msgId == self.ACCOUNT_SUMMARY:
version = self.readInt()
reqId = self.readInt()
account = self.readStr()
tag = self.readStr()
value = self.readStr()
currency = self.readStr()
self.eWrapper().accountSummary(reqId, account, tag, value,
currency)
elif msgId == self.ACCOUNT_SUMMARY_END:
version = self.readInt()
reqId = self.readInt()
self.eWrapper().accountSummaryEnd(reqId)
elif msgId == self.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0: # -1 is the "not yet computed" indicator
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1: # -2 is the "not yet computed" indicator
delta = Double.MAX_VALUE
optPrice = Double.MAX_VALUE
pvDividend = Double.MAX_VALUE
gamma = Double.MAX_VALUE
vega = Double.MAX_VALUE
theta = Double.MAX_VALUE
undPrice = Double.MAX_VALUE
if version >= 6 or (tickType == TickType.MODEL_OPTION):
# introduced in version == 5
optPrice = self.readDouble()
if optPrice < 0: # -1 is the "not yet computed" indicator
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0: # -1 is the "not yet computed" indicator
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1: # -2 is the "not yet computed" indicator
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1: # -2 is the "not yet computed" indicator
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1: # -2 is the "not yet computed" indicator
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0: # -1 is the "not yet computed" indicator
undPrice = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType,
impliedVol, delta, optPrice,
pvDividend, gamma, vega,
theta, undPrice)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints,
formattedBasisPoints, impliedFuturesPrice,
holdDays, futureExpiry, dividendImpact,
dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
parentId = 0
if version >= 3:
parentId = self.readInt()
lastFillPrice = 0
if version >= 4:
lastFillPrice = self.readDouble()
clientId = 0
if version >= 5:
clientId = self.readInt()
whyHeld = None
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining,
avgFillPrice, permId, parentId,
lastFillPrice, clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 8:
contract.m_tradingClass = self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
accountName = None
if version >= 4:
accountName = self.readStr()
if version == 6 and self.m_parent.serverVersion() == 39:
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice,
marketValue, averageCost,
unrealizedPNL, realizedPNL,
accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
# read version
version = self.readInt()
# read order id
order = Order()
order.m_orderId = self.readInt()
# read contract fields
contract = Contract()
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 32:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 32:
contract.m_tradingClass = self.readStr()
# read order fields
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
if version < 29:
order.m_lmtPrice = self.readDouble()
else:
order.m_lmtPrice = self.readDoubleMax()
if version < 30:
order.m_auxPrice = self.readDouble()
else:
order.m_auxPrice = self.readDoubleMax()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
# will never happen
# order.m_ignoreRth =
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = self.readInt() == 1
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
# skip deprecated sharesAllocation field
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDoubleMax()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if self.m_parent.serverVersion() == 51:
self.readInt() # exemptCode
elif version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDoubleMax()
order.m_stockRefPrice = self.readDoubleMax()
order.m_delta = self.readDoubleMax()
order.m_stockRangeLower = self.readDoubleMax()
order.m_stockRangeUpper = self.readDoubleMax()
order.m_displaySize = self.readInt()
if version < 18:
# will never happen
# order.m_rthOnly =
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readIntMax()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDoubleMax()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDoubleMax()
order.m_volatilityType = self.readInt()
if version == 11:
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = ("NONE" if
(receivedInt
== 0) else "MKT")
else:
# version 12 and up
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDoubleMax()
if version >= 27 and not Util.StringIsEmpty(
order.m_deltaNeutralOrderType):
order.m_deltaNeutralConId = self.readInt()
order.m_deltaNeutralSettlingFirm = self.readStr()
order.m_deltaNeutralClearingAccount = self.readStr()
order.m_deltaNeutralClearingIntent = self.readStr()
if version >= 31 and not Util.StringIsEmpty(
order.m_deltaNeutralOrderType):
order.m_deltaNeutralOpenClose = self.readStr()
order.m_deltaNeutralShortSale = self.readBoolFromInt()
order.m_deltaNeutralShortSaleSlot = self.readInt()
order.m_deltaNeutralDesignatedLocation = self.readStr()
order.m_continuousUpdate = self.readInt()
if self.m_parent.serverVersion() == 26:
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDoubleMax()
if version >= 30:
order.m_trailingPercent = self.readDoubleMax()
if version >= 14:
order.m_basisPoints = self.readDoubleMax()
order.m_basisPointsType = self.readIntMax()
contract.m_comboLegsDescrip = self.readStr()
if version >= 29:
comboLegsCount = self.readInt()
if comboLegsCount > 0:
contract.m_comboLegs = []
i = 0
while i < comboLegsCount:
comboLeg = ComboLeg()
comboLeg.m_conId = self.readInt()
comboLeg.m_ratio = self.readInt()
comboLeg.m_action = self.readStr()
comboLeg.m_exchange = self.readStr()
comboLeg.m_openClose = self.readInt()
comboLeg.m_shortSaleSlot = self.readInt()
comboLeg.m_designatedLocation = self.readStr()
comboLeg.m_exemptCode = self.readInt()
contract.m_comboLegs.append(comboLeg)
i += 1
orderComboLegsCount = self.readInt()
if orderComboLegsCount > 0:
order.m_orderComboLegs = []
i = 0
while i < orderComboLegsCount:
price = self.readDoubleMax()
orderComboLeg = OrderComboLeg(price)
order.m_orderComboLegs.append(orderComboLeg)
i += 1
if version >= 26:
smartComboRoutingParamsCount = self.readInt()
if smartComboRoutingParamsCount > 0:
order.m_smartComboRoutingParams = []
i = 0
while i < smartComboRoutingParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_smartComboRoutingParams.append(tagValue)
i += 1
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
# int notSuppScaleNumComponents =
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
order.m_scalePriceAdjustValue = self.readDoubleMax()
order.m_scalePriceAdjustInterval = self.readIntMax()
order.m_scaleProfitOffset = self.readDoubleMax()
order.m_scaleAutoReset = self.readBoolFromInt()
order.m_scaleInitPosition = self.readIntMax()
order.m_scaleInitFillQty = self.readIntMax()
order.m_scaleRandomPercent = self.readBoolFromInt()
if version >= 24:
order.m_hedgeType = self.readStr()
if not Util.StringIsEmpty(order.m_hedgeType):
order.m_hedgeParam = self.readStr()
if version >= 25:
order.m_optOutSmartRouting = self.readBoolFromInt()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 22:
order.m_notHeld = self.readBoolFromInt()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
if version >= 21:
order.m_algoStrategy = self.readStr()
if not Util.StringIsEmpty(order.m_algoStrategy):
algoParamsCount = self.readInt()
if algoParamsCount > 0:
order.m_algoParams = []
i = 0
while i < algoParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_algoParams.append(tagValue)
i += 1
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order,
orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance,
benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
if version >= 4:
contract.m_underConId = self.readInt()
if version >= 5:
contract.m_longName = self.readStr()
contract.m_summary.m_primaryExch = self.readStr()
if version >= 6:
contract.m_contractMonth = self.readStr()
contract.m_industry = self.readStr()
contract.m_category = self.readStr()
contract.m_subcategory = self.readStr()
contract.m_timeZoneId = self.readStr()
contract.m_tradingHours = self.readStr()
contract.m_liquidHours = self.readStr()
if version >= 8:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 7:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
if version >= 4:
contract.m_longName = self.readStr()
if version >= 6:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 5:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
reqId = -1
if version >= 7:
reqId = self.readInt()
orderId = self.readInt()
contract = Contract()
# read contract fields
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 9:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 10:
contract.m_tradingClass = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
if version >= 8:
exec_.m_orderRef = self.readStr()
if version >= 9:
exec_.m_evRule = self.readStr()
exec_.m_evMultiplier = self.readDouble()
self.eWrapper().execDetails(reqId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side,
price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker,
operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType,
newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
version = self.readInt()
reqId = self.readInt()
startDateStr = ""
endDateStr = ""
completedIndicator = "finished"
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(
reqId, date, open, high, low, close, volume, barCount, WAP,
Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
# send end of dataset marker
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1,
-1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
version = self.readInt()
xml = self.readStr()
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
# int version =
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
# int version =
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close,
volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
# int version =
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
# int version =
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
# int version =
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
# int version =
self.readInt()
reqId = self.readInt()
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
self.eWrapper().deltaNeutralValidation(reqId, underComp)
elif msgId == self.TICK_SNAPSHOT_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
elif msgId == self.MARKET_DATA_TYPE:
# int version =
self.readInt()
reqId = self.readInt()
marketDataType = self.readInt()
self.eWrapper().marketDataType(reqId, marketDataType)
elif msgId == self.COMMISSION_REPORT:
# int version =
self.readInt()
commissionReport = CommissionReport()
commissionReport.m_execId = self.readStr()
commissionReport.m_commission = self.readDouble()
commissionReport.m_currency = self.readStr()
commissionReport.m_realizedPNL = self.readDouble()
commissionReport.m_yield = self.readDouble()
commissionReport.m_yieldRedemptionDate = self.readInt()
self.eWrapper().commissionReport(commissionReport)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID,
EClientErrors.UNKNOWN_ID.code(),
EClientErrors.UNKNOWN_ID.msg())
return False
return True
contractIds = []
for requestId, contract in enumerate(contracts):
print('Requesting ', contract.m_symbol)
tws.reqContractDetails(requestId,contract)
sleep(1) # wait for data to come in
# safety check that request ids match
assert handler.reqId == requestId, 'Request and data do not match'
contractIds.append(handler.conId)
# ------------create contract legs
# for simplicity, I just set each leg to buy 1 share
legs = []
for conId in contractIds:
leg = ComboLeg()
leg.m_conId = conId
leg.m_ratio = 1
leg.m_action = "BUY"
leg.m_exchange = "SMART"
legs.append(leg)
#-------- create a contract with required legs
contract = Contract()
contract.m_symbol = "USD"
contract.m_secType = "BAG"
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_comboLegs = legs
def processMsg(self, msgId):
""" generated source for method processMsg """
if msgId == -1:
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
canAutoExecute = 0
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price, canAutoExecute)
if version >= 2:
# not a tick
sizeTickType = -1
if tickType == 1:
# BID
sizeTickType = 0
# BID_SIZE
elif tickType == 2:
# ASK
sizeTickType = 3
# ASK_SIZE
elif tickType == 4:
# LAST
sizeTickType = 5
# LAST_SIZE
if sizeTickType != -1:
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
size = self.readInt()
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.POSITION:
version = self.readInt()
account = self.readStr()
contract = Contract()
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 2:
contract.m_tradingClass = self.readStr()
pos = self.readInt()
avgCost = 0
if version >= 3:
avgCost = self.readDouble()
self.eWrapper().position(account, contract, pos, avgCost)
elif msgId == self.POSITION_END:
version = self.readInt()
self.eWrapper().positionEnd()
elif msgId == self.ACCOUNT_SUMMARY:
version = self.readInt()
reqId = self.readInt()
account = self.readStr()
tag = self.readStr()
value = self.readStr()
currency = self.readStr()
self.eWrapper().accountSummary(reqId, account, tag, value, currency)
elif msgId == self.ACCOUNT_SUMMARY_END:
version = self.readInt()
reqId = self.readInt()
self.eWrapper().accountSummaryEnd(reqId)
elif msgId == self.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0: # -1 is the "not yet computed" indicator
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1: # -2 is the "not yet computed" indicator
delta = Double.MAX_VALUE
optPrice = Double.MAX_VALUE
pvDividend = Double.MAX_VALUE
gamma = Double.MAX_VALUE
vega = Double.MAX_VALUE
theta = Double.MAX_VALUE
undPrice = Double.MAX_VALUE
if version >= 6 or (tickType == TickType.MODEL_OPTION):
# introduced in version == 5
optPrice = self.readDouble()
if optPrice < 0: # -1 is the "not yet computed" indicator
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0: # -1 is the "not yet computed" indicator
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1: # -2 is the "not yet computed" indicator
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1: # -2 is the "not yet computed" indicator
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1: # -2 is the "not yet computed" indicator
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0: # -1 is the "not yet computed" indicator
undPrice = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma,
vega, theta, undPrice)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuturesPrice,
holdDays, futureExpiry, dividendImpact, dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
parentId = 0
if version >= 3:
parentId = self.readInt()
lastFillPrice = 0
if version >= 4:
lastFillPrice = self.readDouble()
clientId = 0
if version >= 5:
clientId = self.readInt()
whyHeld = None
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice,
clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 8:
contract.m_tradingClass = self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
accountName = None
if version >= 4:
accountName = self.readStr()
if version == 6 and self.m_parent.serverVersion() == 39:
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL,
realizedPNL, accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
# read version
version = self.readInt()
# read order id
order = Order()
order.m_orderId = self.readInt()
# read contract fields
contract = Contract()
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 32:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 32:
contract.m_tradingClass = self.readStr()
# read order fields
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
if version < 29:
order.m_lmtPrice = self.readDouble()
else:
order.m_lmtPrice = self.readDoubleMax()
if version < 30:
order.m_auxPrice = self.readDouble()
else:
order.m_auxPrice = self.readDoubleMax()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
# will never happen
# order.m_ignoreRth =
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = self.readInt() == 1
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
# skip deprecated sharesAllocation field
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDoubleMax()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if self.m_parent.serverVersion() == 51:
self.readInt() # exemptCode
elif version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDoubleMax()
order.m_stockRefPrice = self.readDoubleMax()
order.m_delta = self.readDoubleMax()
order.m_stockRangeLower = self.readDoubleMax()
order.m_stockRangeUpper = self.readDoubleMax()
order.m_displaySize = self.readInt()
if version < 18:
# will never happen
# order.m_rthOnly =
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readIntMax()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDoubleMax()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDoubleMax()
order.m_volatilityType = self.readInt()
if version == 11:
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = ("NONE" if (receivedInt == 0) else "MKT")
else:
# version 12 and up
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDoubleMax()
if version >= 27 and not Util.StringIsEmpty(order.m_deltaNeutralOrderType):
order.m_deltaNeutralConId = self.readInt()
order.m_deltaNeutralSettlingFirm = self.readStr()
order.m_deltaNeutralClearingAccount = self.readStr()
order.m_deltaNeutralClearingIntent = self.readStr()
if version >= 31 and not Util.StringIsEmpty(order.m_deltaNeutralOrderType):
order.m_deltaNeutralOpenClose = self.readStr()
order.m_deltaNeutralShortSale = self.readBoolFromInt()
order.m_deltaNeutralShortSaleSlot = self.readInt()
order.m_deltaNeutralDesignatedLocation = self.readStr()
order.m_continuousUpdate = self.readInt()
if self.m_parent.serverVersion() == 26:
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDoubleMax()
if version >= 30:
order.m_trailingPercent = self.readDoubleMax()
if version >= 14:
order.m_basisPoints = self.readDoubleMax()
order.m_basisPointsType = self.readIntMax()
contract.m_comboLegsDescrip = self.readStr()
if version >= 29:
comboLegsCount = self.readInt()
if comboLegsCount > 0:
contract.m_comboLegs = []
i = 0
while i < comboLegsCount:
comboLeg = ComboLeg()
comboLeg.m_conId = self.readInt()
comboLeg.m_ratio = self.readInt()
comboLeg.m_action = self.readStr()
comboLeg.m_exchange = self.readStr()
comboLeg.m_openClose = self.readInt()
comboLeg.m_shortSaleSlot = self.readInt()
comboLeg.m_designatedLocation = self.readStr()
comboLeg.m_exemptCode = self.readInt()
contract.m_comboLegs.append(comboLeg)
i += 1
orderComboLegsCount = self.readInt()
if orderComboLegsCount > 0:
order.m_orderComboLegs = []
i = 0
while i < orderComboLegsCount:
price = self.readDoubleMax()
orderComboLeg = OrderComboLeg(price)
order.m_orderComboLegs.append(orderComboLeg)
i += 1
if version >= 26:
smartComboRoutingParamsCount = self.readInt()
if smartComboRoutingParamsCount > 0:
order.m_smartComboRoutingParams = []
i = 0
while i < smartComboRoutingParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_smartComboRoutingParams.append(tagValue)
i += 1
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
# int notSuppScaleNumComponents =
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
order.m_scalePriceAdjustValue = self.readDoubleMax()
order.m_scalePriceAdjustInterval = self.readIntMax()
order.m_scaleProfitOffset = self.readDoubleMax()
order.m_scaleAutoReset = self.readBoolFromInt()
order.m_scaleInitPosition = self.readIntMax()
order.m_scaleInitFillQty = self.readIntMax()
order.m_scaleRandomPercent = self.readBoolFromInt()
if version >= 24:
order.m_hedgeType = self.readStr()
if not Util.StringIsEmpty(order.m_hedgeType):
order.m_hedgeParam = self.readStr()
if version >= 25:
order.m_optOutSmartRouting = self.readBoolFromInt()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 22:
order.m_notHeld = self.readBoolFromInt()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
if version >= 21:
order.m_algoStrategy = self.readStr()
if not Util.StringIsEmpty(order.m_algoStrategy):
algoParamsCount = self.readInt()
if algoParamsCount > 0:
order.m_algoParams = []
i = 0
while i < algoParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_algoParams.append(tagValue)
i += 1
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order, orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance, benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
if version >= 4:
contract.m_underConId = self.readInt()
if version >= 5:
contract.m_longName = self.readStr()
contract.m_summary.m_primaryExch = self.readStr()
if version >= 6:
contract.m_contractMonth = self.readStr()
contract.m_industry = self.readStr()
contract.m_category = self.readStr()
contract.m_subcategory = self.readStr()
contract.m_timeZoneId = self.readStr()
contract.m_tradingHours = self.readStr()
contract.m_liquidHours = self.readStr()
if version >= 8:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 7:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
if version >= 4:
contract.m_longName = self.readStr()
if version >= 6:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 5:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
reqId = -1
if version >= 7:
reqId = self.readInt()
orderId = self.readInt()
contract = Contract()
# read contract fields
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 9:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 10:
contract.m_tradingClass = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
if version >= 8:
exec_.m_orderRef = self.readStr()
if version >= 9:
exec_.m_evRule = self.readStr()
exec_.m_evMultiplier = self.readDouble()
self.eWrapper().execDetails(reqId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side, price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker, operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType, newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
version = self.readInt()
reqId = self.readInt()
startDateStr = ""
endDateStr = ""
completedIndicator = "finished"
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(reqId, date, open, high, low, close, volume, barCount, WAP,
Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
# send end of dataset marker
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
version = self.readInt()
xml = self.readStr()
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
# int version =
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
# int version =
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close, volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
# int version =
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
# int version =
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
# int version =
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
# int version =
self.readInt()
reqId = self.readInt()
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
self.eWrapper().deltaNeutralValidation(reqId, underComp)
elif msgId == self.TICK_SNAPSHOT_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
elif msgId == self.MARKET_DATA_TYPE:
# int version =
self.readInt()
reqId = self.readInt()
marketDataType = self.readInt()
self.eWrapper().marketDataType(reqId, marketDataType)
elif msgId == self.COMMISSION_REPORT:
# int version =
self.readInt()
commissionReport = CommissionReport()
commissionReport.m_execId = self.readStr()
commissionReport.m_commission = self.readDouble()
commissionReport.m_currency = self.readStr()
commissionReport.m_realizedPNL = self.readDouble()
commissionReport.m_yield = self.readDouble()
commissionReport.m_yieldRedemptionDate = self.readInt()
self.eWrapper().commissionReport(commissionReport)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(),
EClientErrors.UNKNOWN_ID.msg())
return False
return True