def __init__(self, wrapper):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
self._market_data_q_dict = {}
def __init__(self):
EWrapper.__init__(self)
EClient.__init__(self, wrapper=self)
def __init__(self,wrapper):
EClient.__init__(self,wrapper) #matches the init of EClient
def __init__(self):
EWrapper.__init__(self)
EClient.__init__(self, wrapper=self)
# self.account = 'DU110641'
self.positions = []
self.account_info = []
def __init__(self):
EClient.__init__(
self, self) #Esto inicia conexion con los servidores de TWS IB
def __init__(self):
EClient.__init__(self, self)
self.data = []
self.requestCounter = 0
self.doneRetrievingHistoricalData = True
def __init__(self):
wrapper.EWrapper.__init__(self)
EClient.__init__(self, wrapper=self)
self.reqIsFinished = True
self.started = False
self.nextValidOrderId = 0
def __init__(self, sqlLink, priceTableNameIndex, sizeTableNameIndex):
EClient.__init__(self, self)
self.file = ""
self.sqlLink = sqlLink
self.priceTableNameIndex = priceTableNameIndex
self.sizeTableNameIndex = sizeTableNameIndex
def __init__(self):
EClient.__init__(self, self)
self.me_dict = {}
self.contract_details = {
} #Contract details will be stored here using reqId as a dictionary key
def __init__(self):
EClient.__init__(self, self)
self.reqId = None
self.price = None
def __init__(self, port, client_id):
wrapper.EWrapper.__init__(self)
EClient.__init__(self, wrapper=self)
self.client_id = client_id
self.port = port
def __init__(self, client_id, args, start_order_id=None):
EClient.__init__(self, self)
self.client_id = client_id
self.args = args
self.start_order_id = start_order_id
self.logger = logging.getLogger(__name__)
self.debug_mode = False
if args.debug:
self.debug_mode = True
self.logger.info(
f'Starting with args -'
f' symbol: {self.args.symbol},'
f' order_type: {self.args.order_type},'
f' quote_type: {self.args.quote_type},'
f' order_size: {self.args.order_size},'
f' bar_period: {self.args.bar_period}')
self.logfile_candles = 'logs/log_candles.csv'
logfile_candles_rows = ('time', 'symbol', 'open', 'high', 'low', 'close', 'ha_open', 'ha_close', 'ha_high', 'ha_low', 'ha_color')
self.logfile_orders = 'logs/log_orders.csv'
logfile_orders_rows = ('time', 'order_id', 'symbol', 'side', 'order_type', 'size', 'price')
if not os.path.isdir('logs/'):
os.makedirs('logs')
if not os.path.exists(self.logfile_candles):
self._write_csv_row((logfile_candles_rows,), self.logfile_candles, newfile=True)
else:
self._write_csv_row((('', '', '', '', '', '', '', '', '', '', ''),), self.logfile_candles)
if not os.path.exists(self.logfile_orders):
self._write_csv_row((logfile_orders_rows,), self.logfile_orders, newfile=True)
else:
self._write_csv_row((('', '', '', '', '', '', ''),), self.logfile_orders,)
self.candle_calc_use_prev_ha = True
self.RT_BAR_PERIOD = MarketDataApp.RT_BAR_PERIOD
self.RT_BAR_DATA_TYPE = 'MIDPOINT' # MIDPOINT/TRADES/BID/ASK
self.HISTORICAL_BAR_DATA_TYPE = 'MIDPOINT' # MIDPOINT/TRADES/BID/ASK
self.period = args.bar_period
self.order_type = args.order_type
self.order_size = args.order_size
df_cols = {
'time': [],
'open': [],
'high': [],
'low': [],
'close': [],
'ha_open': [],
'ha_close': [],
'ha_high': [],
'ha_low': [],
'ha_color': [],
}
self.candles = pd.DataFrame(df_cols)
self.cache = []
self._tohlc = tuple() # Real-time 5s update data from IB
self.first_order = True # Set to False after first order
#
self.best_bid = None
self.best_ask = None
self.last = None # Last trade price, as received from RealTimeBars
self.cancel_enable = False
self.contract = self._create_contract_obj()
self.contract_details = None
#
if not hasattr(self, 'mktData_reqId'):
# First time init of object
self.mktData_reqId = random.randint(0, 999)
if not hasattr(self, 'rtBars_reqId'):
# First time init of object
while True:
self.rtBars_reqId = random.randint(0, 999)
if not self.rtBars_reqId == self.mktData_reqId:
break
if not hasattr(self, 'historicalData_reqId'):
# First time init of object
while True:
self.historicalData_reqId = random.randint(0, 999)
if not self.historicalData_reqId in (self.mktData_reqId, self.mktData_reqId):
break
if not self.debug_mode:
# Connect to server and start feeds
self._connect()
self._cancel_orders()
self._subscribe_mktData()
self._subscribe_rtBars()
else:
# Run test setup here
self._connect()
self._test_setup()
if not hasattr(self, 'order_id'):
# Allow for obj to re __init__() and not reset self.order_id
if self.start_order_id is not None:
self.order_id = self.start_order_id
else:
self._update_order_id()
#self.order_id = 0 # Placeholder. Will get updated prior to any order, via _place_order()
else:
pass
def __init__(self):
EClient.__init__(self, self)
self.bars = pd.DataFrame()
def __init__(
self,
contract: IBContract,
invest: float,
s_window: int,
l_window: int,
update_interval: int = 15,
band_offset: float = 0.1,
) -> None:
assert (isinstance(contract, IBContract))
assert (0 < invest if isinstance(invest, float) else False)
assert (0 < s_window if isinstance(s_window, int) else False)
assert (0 < l_window if isinstance(l_window, int) else False)
assert (s_window < l_window)
assert (15 <= update_interval
if isinstance(update_interval, int) else False)
assert (0 < band_offset if isinstance(band_offset, float) else False)
EClient.__init__(self, self)
self.connect('127.0.0.1', 7497, 0)
self.contract = contract
self.invest = invest
self.s_window, self.l_window = s_window, l_window
self.s_alpha, self.l_alpha = 2 / (s_window + 1), 2 / (l_window + 1)
self.update_interval = update_interval
self.band_offset = band_offset
self.odir = Path('sg3tws_out')
self.rid = itertools.count()
self.oid = itertools.count(start=1)
# init market data subscription
self.data = {
'DELAYED_ASK': 0,
'DELAYED_BID': 0,
'DELAYED_ASK_SIZE': 0,
'DELAYED_BID_SIZE': 0,
'DELAYED_VOLUME': 0,
'DELAYED_LAST': 0,
'DELAYED_LAST_SIZE': 0,
'DELAYED_HIGH': 0,
'DELAYED_LOW': 0,
'DELAYED_CLOSE': 0,
'DELAYED_OPEN': 0
}
self.df_data = pd.DataFrame(columns=list(self.data.keys()))
self.df_data.index.name = 'time'
self.data_file = self.odir.join('data.csv')
self.df_data.to_csv(self.data_file)
self.reqMarketDataType(3)
self.reqMktData(next(self.rid), self.contract, '', False, False, [])
# init account data subscription
self.account = {'TotalCashValue': 0., 'GrossPositionValue': 0.}
self.df_account = pd.DataFrame(columns=list(self.account.keys()))
self.df_account.index.name = 'time'
self.account_file = self.odir.join('account.csv')
self.df_account.to_csv(self.account_file)
self.reqAccountSummary(next(self.rid), 'All',
', '.join(self.account.keys()))
# init trades log
self.n_order = itertools.count(1)
self.orders = {
'time': datetime.datetime.now(),
'oid': 0,
'shares': 0,
'avg_price': 0.,
'tick_price': 0.,
'commission': 0.,
'total': 0.,
'exchange': ''
}
self.df_orders = pd.DataFrame(columns=list(self.orders.keys()))
self.df_orders.index.name = 'n'
self.orders_file = self.odir.join('orders.csv')
self.df_orders.to_csv(self.orders_file)
# init technical analysis
self.fields = [
'price', 'mal', 'mas', 'mao', 'ub', 'lb', 'cash', 'stock', 'pos',
'total hold', 'total'
]
self.stat = dict(
zip(self.fields, np.zeros_like(self.fields, dtype=np.float)))
self.df_stat = pd.DataFrame(columns=self.fields)
self.df_stat.index.name = 'time'
self.stat_file = self.odir.join('stat.csv')
self.df_stat.to_csv(self.stat_file)
# init plotting
register_matplotlib_converters()
self.fig, self.axes = plt.subplots(nrows=4, sharex='all')
self.fig.set(figwidth=10, figheight=9)
self.axes[0].set_title('SG3TWS {}'.format(self.contract.symbol),
fontsize=18)
self.axes[0].set_ylabel('Price', fontsize=14)
self.axes[1].set_ylabel('Oscillator', fontsize=14)
self.axes[1].axhline(y=0, ls='-', c='k')
self.axes[2].set_ylabel('Position', fontsize=14)
self.axes[3].set_ylabel('Portfolio value', fontsize=14)
self.axes[3].set_xlabel('Time', fontsize=14)
self.lines = {
'price': self.axes[0].plot([], [], label='price')[0],
'mas': self.axes[0].plot([], [], label='mas')[0],
'mal': self.axes[0].plot([], [], label='mal')[0],
'mao': self.axes[1].plot([], [], label='mao')[0],
'ub': self.axes[1].plot([], [], '--k', label='ub')[0],
'lb': self.axes[1].plot([], [], '--k', label='lb')[0],
'pos': self.axes[2].plot([], [], label='position')[0],
'total hold': self.axes[3].plot([], [], label='total hold')[0],
'total': self.axes[3].plot([], [], label='total')[0],
}
for ax in self.axes:
ax.legend()
self.fig.tight_layout()
# initiate TWS-API loop and strategy loop
threading.Thread(target=self.run, args=()).start()
threading.Thread(target=self.exec, args=()).start()
def __init__(self):
EClient.__init__(self, self)
self.lastStamp = datetime.datetime.utcnow()
def __init__(self, pairs):
EClient.__init__(self, self)
self.pairs = pairs
self.data = {}
for cp in pairs:
self.data[cp.pair()] = []
def __init__(self):
EClient.__init__(self, self)
self.bardata = {} #Initialize dictionary to store bar data
self.orderinfo = []
self.connection = None
self.submit_flag = False
def __init__(self, wrapper):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
self._market_data_q_dict = {}
self._commissions = list_of_execInformation()
def __init__(self):
EClient.__init__(self, self)
self.file = ""
def __init__(self):
EClient.__init__(self, self)
self.last_price: typing.Optional[float] = None
self.next_order_id: typing.Optional[int] = None
self.next_order: typing.Optional[BracketOrder] = None
def __init__(self):
EClient.__init__(self, self)
self.data = [] #Initialize variable to store candle
def __init__(self, wrapper, reqIDoffset, log=logtoscreen()):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
self.ib_init_request_id_factory(reqIDoffset)
self.log = log
def __init__(self):
EClient.__init__(self, self)
self.started = False
self.globalCancelOnly = False
def __init__(self):
EClient.__init__(self, self)
self.qs = defaultdict(list)
self._my_contract_details = {}
self._my_historic_data_dict = {}
def __init__(self):
EClient.__init__(self, self)
def __init__(self, wrapper):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
def __init__(self, wrapper):
EClient.__init__(self, wrapper)
def __init__(self, wrapper):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
## Dict to hold queue object for requesting amrket data
self._market_data_q_dict = {}
def __init__(self):
EClient.__init__(self, self)
self.positions = {}
self.currentDataReqId = 0
self.dataReqIds = {}
def __init__(self):
EClient.__init__(self, self)
self.data = {}
def __init__(self, callback:Callable[[str, Dict], Any] ):
wrapper.EWrapper.__init__(self)
EClient.__init__(self, wrapper=self)
self.sendMessage = callback
self.EVENT_IS_CONNECTED = threading.Event() # Events for main thread
def __init__(self, wrapper):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
