def orderStatus(
self, orderId, status, filled, remaining, avgFillPrice,
permId, parentId, lastFillPrice, clientId, whyHeld,
mktCapPrice=0.0, lastLiquidity=0):
key = self.orderKey(clientId, orderId, permId)
trade = self.trades.get(key)
if trade:
oldStatus = trade.orderStatus.status
new = dict(
status=status, filled=filled,
remaining=remaining, avgFillPrice=avgFillPrice,
permId=permId, parentId=parentId,
lastFillPrice=lastFillPrice, clientId=clientId,
whyHeld=whyHeld, mktCapPrice=mktCapPrice,
lastLiquidity=lastLiquidity)
curr = trade.orderStatus.dict()
isChanged = curr != {**curr, **new}
if isChanged:
trade.orderStatus.update(**new)
msg = ''
elif (status == 'Submitted' and trade.log and
trade.log[-1].message == 'Modify'):
# order modifications are acknowledged
msg = 'Modified'
else:
msg = None
if msg is not None:
logEntry = TradeLogEntry(self.lastTime, status, msg)
trade.log.append(logEntry)
self._logger.info(f'orderStatus: {trade}')
self._ib.orderStatusEvent.emit(trade)
trade.statusEvent.emit(trade)
if status != oldStatus:
if status == OrderStatus.Filled:
trade.filledEvent.emit(trade)
elif status == OrderStatus.Cancelled:
trade.cancelledEvent.emit(trade)
else:
self._logger.error(
'orderStatus: No order found for '
'orderId %s and clientId %s', orderId, clientId)
def error(self, reqId, errorCode, errorString):
# https://interactivebrokers.github.io/tws-api/message_codes.html
warningCodes = {165, 202, 399, 434, 10167}
isWarning = errorCode in warningCodes or 2100 <= errorCode < 2200
msg = (
f'{"Warning" if isWarning else "Error"} '
f'{errorCode}, reqId {reqId}: {errorString}')
contract = self._reqId2Contract.get(reqId)
if contract:
msg += f', contract: {contract}'
if isWarning:
self._logger.info(msg)
else:
self._logger.error(msg)
if reqId in self._futures:
# the request failed
self._endReq(reqId)
elif (self.clientId, reqId) in self.trades:
# something is wrong with the order, cancel it
trade = self.trades[(self.clientId, reqId)]
if not trade.isDone():
status = trade.orderStatus.status = OrderStatus.Cancelled
logEntry = TradeLogEntry(self.lastTime, status, msg)
trade.log.append(logEntry)
self._logger.warning(f'Canceled order: {trade}')
self.ib.orderStatusEvent.emit(trade)
trade.cancelledEvent.emit(trade)
elif errorCode == 317:
# Market depth data has been RESET
ticker = self.reqId2Ticker.get(reqId)
if ticker:
for side, l in ((0, ticker.domAsks), (1, ticker.domBids)):
for position in reversed(l):
level = l.pop(position)
tick = MktDepthData(
self.lastTime, position, '', 2,
side, level.price, 0)
ticker.domTicks.append(tick)
self.ib.errorEvent.emit(reqId, errorCode, errorString, contract)
def execDetails(
self, reqId: int, contract: Contract, execution: Execution):
"""
This wrapper handles both live fills and responses to
reqExecutions.
"""
self._logger.info(f'execDetails {execution}')
if execution.orderId == UNSET_INTEGER:
# bug in TWS: executions of manual orders have unset value
execution.orderId = 0
trade = self.permId2Trade.get(execution.permId)
if not trade:
key = self.orderKey(
execution.clientId, execution.orderId, execution.permId)
trade = self.trades.get(key)
if trade and contract == trade.contract:
contract = trade.contract
else:
contract = Contract.create(**dataclassAsDict(contract))
execId = execution.execId
isLive = reqId not in self._futures
time = self.lastTime if isLive else execution.time
fill = Fill(contract, execution, CommissionReport(), time)
if execId not in self.fills:
# first time we see this execution so add it
self.fills[execId] = fill
if trade:
trade.fills.append(fill)
logEntry = TradeLogEntry(
time,
trade.orderStatus.status,
f'Fill {execution.shares}@{execution.price}')
trade.log.append(logEntry)
if isLive:
self._logger.info(f'execDetails: {fill}')
self.ib.execDetailsEvent.emit(trade, fill)
trade.fillEvent(trade, fill)
if not isLive:
self._results[reqId].append(fill)
def execDetails(self, reqId, contract, execution):
"""
This wrapper handles both live fills and responses to reqExecutions.
"""
if execution.orderId == 2147483647:
# bug in TWS: executions of manual orders have orderId=2**31 - 1
execution.orderId = 0
key = self.orderKey(
execution.clientId, execution.orderId, execution.permId)
trade = self.trades.get(key)
if trade and contract.conId == trade.contract.conId:
contract = trade.contract
else:
contract = self._getContract(contract)
execId = execution.execId
execution = Execution(**execution.__dict__)
execution.time = util.parseIBDatetime(execution.time). \
astimezone(datetime.timezone.utc)
isLive = reqId not in self._futures
time = self.lastTime if isLive else execution.time
fill = Fill(contract, execution, CommissionReport(), time)
if execId not in self.fills:
# first time we see this execution so add it
self.fills[execId] = fill
if trade:
trade.fills.append(fill)
logEntry = TradeLogEntry(
self.lastTime,
trade.orderStatus.status,
f'Fill {execution.shares}@{execution.price}')
trade.log.append(logEntry)
if isLive:
self._logger.info(f'execDetails: {fill}')
self._ib.execDetailsEvent.emit(trade, fill)
trade.fillEvent(trade, fill)
if not isLive:
self._results[reqId].append(fill)
def error(self, reqId: int, errorCode: int, errorString: str):
# https://interactivebrokers.github.io/tws-api/message_codes.html
warningCodes = {165, 202, 399, 404, 434, 492, 10167}
isWarning = errorCode in warningCodes or 2100 <= errorCode < 2200
msg = (
f'{"Warning" if isWarning else "Error"} '
f'{errorCode}, reqId {reqId}: {errorString}')
contract = self._reqId2Contract.get(reqId)
if contract:
msg += f', contract: {contract}'
if isWarning:
self._logger.info(msg)
else:
self._logger.error(msg)
if reqId in self._futures:
# the request failed
if self.ib.RaiseRequestErrors:
error = RequestError(reqId, errorCode, errorString)
self._endReq(reqId, error, success=False)
else:
self._endReq(reqId)
elif (self.clientId, reqId) in self.trades:
# something is wrong with the order, cancel it
trade = self.trades[(self.clientId, reqId)]
if not trade.isDone():
status = trade.orderStatus.status = OrderStatus.Cancelled
logEntry = TradeLogEntry(self.lastTime, status, msg)
trade.log.append(logEntry)
self._logger.warning(f'Canceled order: {trade}')
self.ib.orderStatusEvent.emit(trade)
trade.statusEvent.emit(trade)
trade.cancelledEvent.emit(trade)
if errorCode == 165:
# for scan data subscription there are no longer matching results
dataList = self.reqId2Subscriber.get(reqId)
if dataList:
dataList.clear()
dataList.updateEvent.emit(dataList)
elif errorCode == 317:
# Market depth data has been RESET
ticker = self.reqId2Ticker.get(reqId)
if ticker:
# clear all DOM levels
ticker.domTicks += [MktDepthData(
self.lastTime, 0, '', 2, 0, level.price, 0)
for level in ticker.domAsks]
ticker.domTicks += [MktDepthData(
self.lastTime, 0, '', 2, 1, level.price, 0)
for level in ticker.domBids]
ticker.domAsks.clear()
ticker.domBids.clear()
self.pendingTickers.add(ticker)
elif errorCode == 10225:
# Bust event occurred, current subscription is deactivated.
# Please resubscribe real-time bars immediately
bars = self.reqId2Subscriber.get(reqId)
if isinstance(bars, RealTimeBarList):
self.ib.client.cancelRealTimeBars(reqId)
self.ib.client.reqRealTimeBars(
reqId, bars.contract, bars.barSize, bars.whatToShow,
bars.useRTH, bars.realTimeBarsOptions)
elif isinstance(bars, BarDataList):
self.ib.client.cancelHistoricalData(reqId)
self.ib.client.reqHistoricalData(
reqId, bars.contract, bars.endDateTime,
bars.durationStr, bars.barSizeSetting, bars.whatToShow,
bars.useRTH, bars.formatDate, bars.keepUpToDate,
bars.chartOptions)
self.ib.errorEvent.emit(reqId, errorCode, errorString, contract)