def mk_message_read(the_type, *raw):
mock_protocol = mock.MagicMock(version=110)
msg = IncomingMessage(["2", "10"] + list(raw), mock_protocol)
result = msg.read(the_type)
assert msg.is_eof
return result
def deserialize(self, message: protocol.IncomingMessage):
self.time = message.read(int)
self.open = message.read(float)
self.high = message.read(float)
self.low = message.read(float)
self.close = message.read(float)
self.volume = message.read(int)
self.average = message.read(float)
if message.message_type == protocol.Incoming.HISTORICAL_DATA:
self.has_gaps = message.read(
str, max_version=protocol.ProtocolVersion.SYNT_REALTIME_BARS)
self.count = message.read(int)
def deserialize(self, message: protocol.IncomingMessage):
self.execution_id = message.read(str)
self.commission = message.read(float)
self.currency = message.read(str)
self.realized_pnl = message.read(float)
self.income = message.read(float)
self.yield_redemption_date = message.read(float)
def deserialize(self,
message: protocol.IncomingMessage,
*,
deserializing_historic=False):
self.time = message.read(int)
self.open = message.read(float)
self.high = message.read(float)
self.low = message.read(float)
self.close = message.read(float)
self.volume = message.read(int)
self.average = message.read(float)
if deserializing_historic:
self.has_gaps = message.read(
str, max_version=protocol.ProtocolVersion.SYNT_REALTIME_BARS)
self.count = message.read(int)
def _handle_tick_by_tick(self, request_id: RequestId, tick_type: int,
time: int, message: IncomingMessage):
entry = self.__instruments.get(request_id)
if not entry:
return
instrument = entry[1]
if tick_type in (1, 2):
price = message.read(float)
size = message.read(int)
attributes = message.read(int)
past_limit = bool(attributes & 0x01)
unreported = bool(attributes & 0x02)
exchange = message.read(str)
special_conditions = message.read(str)
tick = LastTick(time, price, size, past_limit, unreported,
exchange, special_conditions)
if tick_type == 1:
instrument.on_tick_by_tick_last(tick)
else:
instrument.on_tick_by_tick_all(tick)
elif tick_type == 3:
bid_price = message.read(float)
ask_price = message.read(float)
bid_size = message.read(int)
ask_size = message.read(int)
attributes = message.read(int)
bid_past_low = bool(attributes & 0x01)
ask_past_high = bool(attributes & 0x02)
bidask_tick = BidAskTick(time, bid_price, ask_price, bid_size,
ask_size, bid_past_low, ask_past_high)
instrument.on_tick_by_tick_bidask(bidask_tick)
else:
assert tick_type == 4
mid_point = message.read(float)
instrument.on_tick_by_tick_midpoint(MidpointTick(time, mid_point))
def _handle_symbol_samples(self, request_id: RequestId, num_contracts: int, message: IncomingMessage):
result = []
for _ in range(num_contracts):
contract = Instrument(self)
contract.contract_id = message.read(int)
contract.symbol = message.read(str)
contract.security_type = SecurityType(message.read(str))
contract.primary_exchange = message.read(str)
contract.currency = message.read(str)
message.read(typing.List[str]) # derivative_security_types
result.append(contract)
self.resolve_future(request_id, result)
def test_message_versioned():
msg = IncomingMessage(["2", 2, "test"],
protocol_version=ProtocolVersion(112))
msg.reset()
assert msg.read(str) == "test"
msg.reset()
assert msg.read(str, min_message_version=2) == "test"
msg.reset()
assert msg.read(str, min_message_version=3) is None
msg.reset()
assert msg.read(str, max_message_version=3) == "test"
msg.reset()
assert msg.read(str, max_message_version=2) is None
msg.reset()
assert msg.read(str, min_version=ProtocolVersion(112)) == "test"
msg.reset()
assert msg.read(str, min_version=ProtocolVersion(113)) is None
msg.reset()
assert msg.read(str, max_version=ProtocolVersion(113)) == "test"
msg.reset()
assert msg.read(str, max_version=ProtocolVersion(112)) is None
def _handle_contract_data(self, request_id: RequestId,
message: IncomingMessage):
# fast forward to instrument id position, so that we avoid making new contracts when existing ones can be
# reused. This is required for proper event routing elsewhere
instrument = self._pending_instrument_updates.get(request_id)
if not instrument:
message.idx += 10
instrument = Instrument.get_instance_from(message)
self._pending_instrument_updates[request_id] = instrument
message.idx -= 10
instrument.symbol = message.read(str)
instrument.security_type = message.read(SecurityType)
instrument.last_trade_date = message.read(datetime.datetime)
instrument.strike = message.read(float)
instrument.right = message.read(str)
instrument.exchange = message.read(str)
instrument.currency = message.read(str)
instrument.local_symbol = message.read(str)
instrument.market_name = message.read(str)
instrument.trading_class = message.read(str)
instrument.contract_id = message.read(int)
instrument.minimum_tick = message.read(float)
instrument.market_data_size_multiplier = message.read(
str, min_version=ProtocolVersion.MD_SIZE_MULTIPLIER)
instrument.multiplier = message.read(str)
instrument.order_types = message.read(str).split(',')
instrument.valid_exchanges = message.read(str).split(',')
instrument.price_magnifier = message.read(int)
instrument.underlying_contract_id = message.read(int)
instrument.long_name = message.read(str)
instrument.primary_exchange = message.read(str)
instrument.contract_month = message.read(str)
instrument.industry = message.read(str)
instrument.category = message.read(str)
instrument.subcategory = message.read(str)
instrument.time_zone = message.read(str)
instrument.trading_hours = message.read(str)
instrument.liquid_hours = message.read(str)
instrument.ev_rule = message.read(str)
instrument.ev_multiplier = message.read(str)
instrument.security_ids = message.read(
typing.Dict[SecurityIdentifierType, str])
instrument.aggregated_group = message.read(
str, min_version=ProtocolVersion.AGG_GROUP)
instrument.underlying_symbol = message.read(
str, min_version=ProtocolVersion.UNDERLYING_INFO)
instrument.underlying_security_type = message.read(
SecurityType, min_version=ProtocolVersion.UNDERLYING_INFO)
instrument.market_rule_ids = message.read(
str, min_version=ProtocolVersion.MARKET_RULES)
instrument.real_expiration_date = message.read(
datetime.datetime,
min_version=ProtocolVersion.REAL_EXPIRATION_DATE)
self.resolve_future(request_id, instrument)
def deserialize(self, message: protocol.IncomingMessage):
self.contract_id = message.read(int)
self.delta = message.read(float)
self.price = message.read(float)
def deserialize(self, message: protocol.IncomingMessage):
# This is the most common (but not the only) way to serialize instruments.
self.contract_id = message.read(int)
self.symbol = message.read(str)
self.security_type = message.read(str)
self.last_trade_date = self.contract_month = message.read(str)
self.strike = message.read(float)
self.right = message.read(str)
self.multiplier = message.read(int)
self.exchange = message.read(str)
if message.message_type not in (Incoming.OPEN_ORDER,
Incoming.CONTRACT_DATA,
Incoming.EXECUTION_DATA):
self.primary_exchange = message.read(str)
self.currency = message.read(str)
self.local_symbol = message.read(str)
self.trading_class = message.read(str)
def _handle_execution_data(self, request_id: RequestId, order_id: int, message: IncomingMessage):
if message.message_version <= 10:
raise UnsupportedFeature("execution details before version v10")
execution = Execution(self, message.read(Instrument))
execution.order_id = order_id
execution.execution_id = message.read()
execution.time = message.read(datetime.datetime)
execution.account_number = message.read()
execution.exchange = message.read()
execution.side = message.read()
execution.share = message.read(float)
execution.price = message.read(float)
execution.perm_id = message.read(int)
execution.client_id = message.read(int)
execution.liquidation = message.read(int)
execution.cumulative_quantity = message.read(float)
execution.average_price = message.read(float)
execution.order_ref = message.read()
execution.ev_rule = message.read()
execution.ev_multiplier = message.read(float)
execution.model_code = message.read(min_version=ProtocolVersion.MODELS_SUPPORT)
execution.last_liquidity = message.read(int, min_version=ProtocolVersion.LAST_LIQUIDITY)
execs = self.__pending_execs.get(request_id)
if execs is not None:
execs.append(execution)
self.on_execution(execution)
execution.instrument.on_execution(execution)
if execution.order:
execution.order.on_execution(execution)
def _handle_open_order(
self, order_id: int, instrument: Instrument, action: Action,
total_quantity: float, order_type: OrderType, limit_price: float,
aux_price: float, time_in_force: TimeInForce, oca_group: str,
account: str, open_close: str, origin: OrderOrigin, order_ref: str,
client_id: int, perm_id: int, outside_regular_trading_hours: bool,
hidden: bool, discretionary_amount: float, good_after_time: str,
_deprecated_shares_allocation: str, fa_group: str, fa_method: str,
fa_percentage: str, fa_profile: str, message: IncomingMessage):
order = self.__orders.get(order_id)
if not order:
order = self.__orders[order_id] = Order(self)
order.order_id = order_id
order.order_id = order_id
order.perm_id = perm_id
order.instrument = instrument
order.action = action
order.total_quantity = total_quantity
order.order_type = order_type
order.limit_price = limit_price
order.aux_price = aux_price
order.time_in_force = time_in_force
order.oca_group = oca_group
order.account = account
order.open_close = open_close
order.origin = origin
order.order_ref = order_ref
order.client_id = client_id
order.outside_regular_trading_hours = outside_regular_trading_hours
order.hidden = hidden
order.discretionary_amount = discretionary_amount
order.good_after_time = good_after_time
order.fa_group = fa_group
order.fa_method = fa_method
order.fa_percentage = fa_percentage
order.fa_profile = fa_profile
order.model_code = message.read(
min_version=ProtocolVersion.MODELS_SUPPORT)
order.good_till_date = message.read(datetime.datetime)
order.rule80a = message.read()
order.percent_offset = message.read(float)
order.settling_firm = message.read()
order.short_sale_slot = message.read(int)
order.designated_location = message.read()
order.exempt_code = message.read(int)
order.auction_strategy = message.read()
order.starting_price = message.read(float)
order.stock_ref_price = message.read(float)
order.delta = message.read(float)
order.stock_range_lower = message.read(float)
order.stock_range_upper = message.read(float)
order.display_size = message.read(float)
order.block_order = message.read(bool)
order.sweep_to_fill = message.read(bool)
order.all_or_none = message.read(bool)
order.min_quantity = message.read(float)
order.oca_type = message.read(int)
order.etrade_only = message.read(bool)
order.firm_quote_only = message.read(bool)
order.nbbo_price_cap = message.read(float)
order.parent_id = message.read(int)
order.trigger_method = message.read(int)
order.volatility = message.read(float)
order.volatility_type = message.read(int)
order.delta_neutral_order_type = message.read()
order.delta_neutral_aux_price = message.read(float)
if order.delta_neutral_order_type: # pragma: no cover (I don't have actual examples of these)
order.delta_neutral_contract_id = message.read(int)
order.delta_neutral_settling_firm = message.read()
order.delta_neutral_clearing_account = message.read()
order.delta_neutral_clearing_intent = message.read()
order.delta_neutral_open_close = message.read()
order.delta_neutral_short_sale = message.read(bool)
order.delta_neutral_short_sale_slot = message.read(int)
order.delta_neutral_designated_location = message.read()
order.continuous_update = message.read(bool)
order.reference_price_type = message.read(int)
order.trail_stop_price = message.read(float)
order.trailing_percent = message.read(float)
order.basis_points = message.read(float)
order.basis_points_type = message.read(int)
order.combo_legs_description = message.read(str)
if message.read(int): # pragma: no cover (Not implemented)
raise UnsupportedFeature("combo legs")
if message.read(int): # pragma: no cover (Not implemented)
raise UnsupportedFeature("order combo legs")
order.smart_combo_routing_params = message.read(typing.Dict[str, str])
order.scale_init_level_size = message.read(int)
order.scale_subs_level_size = message.read(int)
order.scale_price_increment = message.read(float)
if order.scale_price_increment: # pragma: no cover (I don't have actual examples of these)
order.scale_price_adjust_value = message.read(
float, min_message_version=28)
order.scale_price_adjust_interval = message.read(
int, min_message_version=28)
order.scale_profit_offset = message.read(float,
min_message_version=28)
order.scale_auto_reset = message.read(bool, min_message_version=28)
order.scale_init_position = message.read(int,
min_message_version=28)
order.scale_init_fill_quantity = message.read(
int, min_message_version=28)
order.scale_random_percent = message.read(float,
min_message_version=28)
order.hedge_type = message.read(str, min_message_version=24)
if order.hedge_type: # pragma: no cover (I don't have actual examples of these)
order.hedge_param = message.read(str)
order.opt_out_smart_routing = message.read(bool,
min_message_version=25)
order.clearing_account = message.read(str)
order.clearing_intent = message.read(str)
order.not_held = message.read(bool, min_message_version=22)
if message.read(
bool, min_message_version=20
): # pragma: no cover (I don't have actual examples of these)
order.instrument.underlying_component = message.read(
UnderlyingComponent)
order.algo_strategy = message.read(str, min_message_version=21)
if order.algo_strategy: # pragma: no cover (I don't have actual examples of these)
order.algo_parameters = message.read(dict)
order.solicited = message.read(bool, min_message_version=33)
order.what_if = message.read(bool)
order.status = message.read()
order.inital_margin = message.read()
order.maintenance_margin = message.read()
order.equity_with_loan = message.read()
order.commission = message.read(float)
order.min_commission = message.read(float)
order.max_commission = message.read(float)
order.commission_currency = message.read()
order.warning_text = message.read()
order.randomize_size = message.read(bool, min_message_version=34)
order.randomize_price = message.read(bool, min_message_version=34)
if order.order_type == "PEG BENCH": # pragma: no cover (I don't have actual examples of these)
order.reference_contract_id = message.read(
int, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.is_pegged_change_amount_decrease = message.read(
bool, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.pegged_change_amount = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.reference_change_amount = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.reference_exchange_id = message.read(
min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
if message.read(int, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK
): # pragma: no cover (not implemented)
raise UnsupportedFeature("order conditions")
order.adjusted_order_type = message.read(
min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.trigger_price = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.trail_stop_price = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.limit_price_offset = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.adjusted_stop_price = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.adjusted_stop_limit_price = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.adjusted_trailing_amount = message.read(
float, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.adjustable_trailing_unit = message.read(
int, min_version=ProtocolVersion.PEGGED_TO_BENCHMARK)
order.soft_dollar_tier_name = message.read(
min_version=ProtocolVersion.SOFT_DOLLAR_TIER)
order.soft_dollar_tier_value = message.read(
min_version=ProtocolVersion.SOFT_DOLLAR_TIER)
order.soft_dollar_tier_display_name = message.read(
min_version=ProtocolVersion.SOFT_DOLLAR_TIER)
order.cash_quantity = message.read(
float, min_version=ProtocolVersion.CASH_QTY)
submitted_fut = self.__submitted_future.pop(order_id, None)
if submitted_fut:
submitted_fut.set_result(order)
order.updated(None)
def deserialize(self, message: IncomingMessage):
self.vals = message.read(int), message.read(str)
def mk_message_read(the_type, *raw):
msg = IncomingMessage(["2", "10"] + list(raw),
protocol_version=ProtocolVersion.MIN_CLIENT)
result = msg.read(the_type)
assert msg.is_eof
return result
def _handle_contract_data(self, request_id: RequestId, message: IncomingMessage):
contract = self._pending_contract_updates.get(request_id)
if not contract:
contract = self._pending_contract_updates[request_id] = Instrument(self)
contract.symbol = message.read(str)
contract.security_type = message.read(SecurityType)
contract.last_trade_date = message.read(str)
contract.strike = message.read(float)
contract.right = message.read(str)
contract.exchange = message.read(str)
contract.currency = message.read(str)
contract.local_symbol = message.read(str)
contract.market_name = message.read(str)
contract.trading_class = message.read(str)
contract.contract_id = message.read(int)
contract.minimum_tick = message.read(float)
contract.market_data_size_multiplier = message.read(str, min_version=ProtocolVersion.MD_SIZE_MULTIPLIER)
contract.multiplier = message.read(str)
contract.order_types = message.read(str).split(',')
contract.valid_exchanges = message.read(str).split(',')
contract.price_magnifier = message.read(int)
contract.underlying_contract_id = message.read(int)
contract.long_name = message.read(str)
contract.primary_exchange = message.read(str)
contract.contract_month = message.read(str)
contract.industry = message.read(str)
contract.category = message.read(str)
contract.subcategory = message.read(str)
contract.time_zone = message.read(str)
contract.trading_hours = message.read(str)
contract.liquid_hours = message.read(str)
contract.ev_rule = message.read(str)
contract.ev_multiplier = message.read(str)
contract.security_ids = message.read(typing.Dict[SecurityIdentifierType, str])
contract.aggregated_group = message.read(str, min_version=ProtocolVersion.AGG_GROUP)
contract.underlying_symbol = message.read(str, min_version=ProtocolVersion.UNDERLYING_INFO)
contract.underlying_security_type = message.read(SecurityType, min_version=ProtocolVersion.UNDERLYING_INFO)
contract.market_rule_ids = message.read(str, min_version=ProtocolVersion.MARKET_RULES)
contract.real_expiration_date = message.read(str, min_version=ProtocolVersion.REAL_EXPIRATION_DATE)
def _handle_position_data(self, account_id: str, message: IncomingMessage):
instrument = Instrument.get_instance_from(message)
instrument.contract_id = message.read(int)
instrument.symbol = message.read(str)
instrument.security_type = message.read(str)
instrument.last_trade_date = instrument.contract_month = message.read(
datetime.date)
instrument.strike = message.read(float)
instrument.right = message.read(str)
instrument.multiplier = message.read(int)
instrument.exchange = message.read(str)
instrument.currency = message.read(str)
instrument.local_symbol = message.read(str)
if message.message_version >= 2:
instrument.trading_class = message.read(str)
try:
account = self.accounts[account_id]
except KeyError:
account = self.accounts[account_id] = Account(account_id)
size = account.positions[instrument] = message.read(float)
if message.message_version >= 3:
average_cost = account.avg_position_cost[
instrument] = message.read(float)
else:
average_cost = None
self.on_position(PositionEvent(account, instrument, size,
average_cost))