def _getContract(self, ibContract):
"""
Create contract that corresponds to the given ibapi contract.
"""
contract = Contract.create(**ibContract.__dict__)
if ibContract.comboLegs:
contract.comboLegs = [
ComboLeg(**leg.__dict__) for leg in ibContract.comboLegs
]
return contract
def open_strategy(self, strategy: Strategy) -> None:
"""Place a new strategy at the market
"""
ownership = "BUY" if strategy.ownership == OwnershipType.Buyer else "SELL"
reverse_ownership = "BUY" if ownership == "SELL" else "SELL"
contract = Contract()
contract.symbol = strategy.code
contract.secType = "BAG"
contract.exchange = "SMART"
contract.currency = strategy.currency.value
order_comboLegs = []
tp_sl_comboLegs = []
for leg in strategy.legs.values():
leg_order = ComboLeg()
leg_order.conId = leg.option.contract.conId
leg_order.ratio = leg.ratio
leg_order.action = "BUY" if leg.ownership == OwnershipType.Buyer else "SELL"
# contract.comboLegs.append(leg_order)
order_comboLegs.append(leg_order)
for leg in strategy.legs.values():
leg_tp_sl = ComboLeg()
leg_tp_sl.conId = leg.option.contract.conId
leg_tp_sl.ratio = leg.ratio
leg_tp_sl.action = (
"SELL" if leg.ownership == OwnershipType.Buyer else "BUY"
) # reverse
# contract.comboLegs.append(leg_order)
tp_sl_comboLegs.append(leg_tp_sl)
contract.comboLegs = order_comboLegs
order = LimitOrder(
action="BUY"
if strategy.ownership == OwnershipType.Buyer else "SELL",
totalQuantity=strategy.quantity,
lmtPrice=strategy.entry_price,
orderRef=strategy.strategy_id,
orderId=self._broker.client.getReqId(),
tif="GTC",
transmit=True,
) # Must be False
print("ORDER SENDED")
self._broker.placeOrder(contract, order)
# contract.comboLegs = tp_sl_comboLegs
# print('take_profit_order', strategy.take_profit_price)
take_profit = LimitOrder(
action="SELL"
if strategy.ownership == OwnershipType.Buyer else "BUY", # reverse
totalQuantity=strategy.quantity,
lmtPrice=strategy.take_profit_price,
# lmtPrice = -0.1,
orderRef=strategy.strategy_id + "_TP",
orderId=self._broker.client.getReqId(),
tif="GTC",
transmit=True,
parentId=order.orderId,
)
self._broker.placeOrder(contract, take_profit)