def exec_filter(client_id):
contract = make_contract('NVDA')
filt = ExecutionFilter()
filt.m_clientId = client_id
filt.m_symbol = contract.m_symbol
filt.m_secType = contract.m_secType
filt.m_exchange = contract.m_exchange
return filt
def exec_filter(client_id):
contract = make_contract('NVDA')
filt = ExecutionFilter()
filt.m_clientId = client_id
filt.m_symbol = contract.m_symbol
filt.m_secType = contract.m_secType
filt.m_exchange = contract.m_exchange
return filt
def exec_filter(self, client_id, accountName, contract):
filt = ExecutionFilter()
filt.m_clientId = client_id
filt.m_acctCode = accountName
#filt.m_time = "20160122-00:00:00"
filt.m_symbol = contract.m_symbol
filt.m_secType = contract.m_secType
filt.m_exchange = contract.m_exchange
return filt
def exec_filter(self, client_id, accountName, contract):
filt = ExecutionFilter()
filt.m_clientId = client_id
filt.m_acctCode = accountName
#filt.m_time = "20160122-00:00:00"
filt.m_symbol = contract.m_symbol
filt.m_secType = contract.m_secType
filt.m_exchange = contract.m_exchange
return filt
def testExecutions():
print 'testing executions'
f = ExecutionFilter()
#f.m_clientId = 101
f.m_time = '20110901-00:00:00'
f.m_symbol = 'SPY'
f.m_secType = 'STK'
f.m_exchange = 'SMART'
#f.m_side = 'BUY'
con.reqExecutions(f)
sleep(2)
def get_transactions(self, event, orders):
import time
time.sleep(1)
efilter = ExecutionFilter()
efilter.m_symbol = event.sid
for order in orders:
# Todo: I need to refactor how executions are summoned, this is currently a huge bottleneck
# cycle through all executions matching the event sid
for execution in self.executions(efilter):
prior_execution = None
# further filter out any executions not matching the order.id
if execution.m_orderRef == order.id:
# prevent processing of duplicate executions
if execution != prior_execution:
order_status_vals = (0, 0)
# cycle through the order status messages to get transaction details
for status in self.order_status(execution.m_orderId):
# filter out duplicate transaction messages
if (status['remaining'],
status['filled']) != order_status_vals:
# get execution date
date = dt.datetime.strptime(
execution.m_time,
'%Y%m%d %H:%M:%S').replace(tzinfo=pytz.utc)
amount = status['filled'] - order_status_vals[1]
txn = {
'sid': event.sid,
'amount': int(amount),
'dt': date,
'price': status['lastFillPrice'],
'order_id': order.id
}
transaction = Transaction(**txn)
order_status_vals = (status['remaining'],
status['filled'])
#TODO: pretty sure there is still transactions are being duplicated still
if order.status == ORDER_STATUS.OPEN:
yield order, transaction
prior_execution = execution
def testExecutions():
print 'testing executions'
f = ExecutionFilter()
#f.m_clientId = 101
f.m_time = '20110901-00:00:00'
f.m_symbol = 'SPY'
f.m_secType = 'STK'
f.m_exchange = 'SMART'
#f.m_side = 'BUY'
con.reqExecutions(f)
sleep(2)
def get_transactions(self, event, orders):
import time
time.sleep(1)
efilter = ExecutionFilter()
efilter.m_symbol = event.sid
for order in orders:
# Todo: I need to refactor how executions are summoned, this is currently a huge bottleneck
# cycle through all executions matching the event sid
for execution in self.executions(efilter):
prior_execution = None
# further filter out any executions not matching the order.id
if execution.m_orderRef == order.id:
# prevent processing of duplicate executions
if execution != prior_execution:
order_status_vals = (0, 0)
# cycle through the order status messages to get transaction details
for status in self.order_status(execution.m_orderId):
# filter out duplicate transaction messages
if (status["remaining"], status["filled"]) != order_status_vals:
# get execution date
date = dt.datetime.strptime(execution.m_time, "%Y%m%d %H:%M:%S").replace(
tzinfo=pytz.utc
)
amount = status["filled"] - order_status_vals[1]
txn = {
"sid": event.sid,
"amount": int(amount),
"dt": date,
"price": status["lastFillPrice"],
"order_id": order.id,
}
transaction = Transaction(**txn)
order_status_vals = (status["remaining"], status["filled"])
# TODO: pretty sure there is still transactions are being duplicated still
if order.status == ORDER_STATUS.OPEN:
yield order, transaction
prior_execution = execution