def send_order(self, req: OrderRequest):
"""
Send a new order.
"""
if not self.status:
return ""
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所：{req.exchange}")
return ""
if req.type not in ORDERTYPE_VT2IB:
self.gateway.write_log(f"不支持的价格类型：{req.type}")
return ""
self.orderid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
ib_order = Order()
ib_order.orderId = self.orderid
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.lmtPrice = req.price
ib_order.totalQuantity = req.volume
self.client.placeOrder(self.orderid, ib_contract, ib_order)
self.client.reqIds(1)
order = req.create_order_data(str(self.orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def subscribe(self, req: SubscribeRequest):
"""
Subscribe tick data update.
"""
if not self.status:
return
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所{req.exchange}")
return
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
# Get contract data from TWS.
self.reqid += 1
self.client.reqContractDetails(self.reqid, ib_contract)
# Subscribe tick data and create tick object buffer.
self.reqid += 1
self.client.reqMktData(self.reqid, ib_contract, "", False, False, [])
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[self.reqid] = tick
self.tick_exchange[self.reqid] = req.exchange
def _fetchFutureMonth(self):
contract = Contract()
'''
contract.secType = "CONTFUT"
#contract.lastTradeDateOrContractMonth="201812" # CONTFUT can be used to get details of contract from which we can get month for order
contract.symbol="SBIN"
contract.exchange="NSE"
'''
contract.secType = "FUT"
contract.lastTradeDateOrContractMonth="201805"
contract.symbol="SBIN"
contract.exchange="NSE"
## resolve the contract
self.ib.reqContractDetails(213, contract)
def newTrade(self, contractSymbol:str, entryPrice:float, stopPrice:float ):
# TEMP
contractSymbol="EURUSD"
contract = Contract()
contract.symbol = "EUR"
contract.secType = "CASH"
contract.currency = "GBP"
contract.exchange = "IDEALPRO"
contract.tickSize = 0.00005
contract.lotSize = 20000
# TEMP
#if( self.trades[contractSymbol] )
'''
contractDetails = s.getContractDetails( contractSymbol )
contract = Contract()
contract.exchange = contractDetails.exchange
contract.secType = contractDetails.secType
contract.symbol = contractSymbol
contract.lastTradeDateOrContractMonth = contractDetails.expiry
contract.tickSize = contractDetails.tickSize # Custom field
contract.lotSize = contractDetails.lotSize # Custom field
'''
diff = abs(entryPrice-stopPrice)
qty = self.capital * s.RiskPerTrade / diff
t = trade.Trade( self.ib, contract )
t.placeNewTrade( qty, entryPrice, stopPrice )
self.trades[contractSymbol] = t
def combo_generator_Box(symbol: str, lessdays =120):
specpath = r'E:\newdata\IB data\Option Specs'
file = specpath + os.sep + symbol + '-specs.json'
jf = open(file, 'r')
jdict = json.load(jf)
jf.close()
underlyingfile = r'E:\newdata\IB data\Underlying_Contract_Details.csv'
underlying = pd.read_csv(underlyingfile)
syms = list(underlying['symbol'])
idx = syms.index(symbol)
last = underlying['Last'][idx]
underlyingleg = ComboLeg()
underlyingleg.conId = underlying['conID'][idx]
underlyingleg.ratio = 100
underlyingleg.action = 'BUY'
underlyingleg.exchange = 'SMART'
Pleg = ComboLeg()
Pleg.ratio = 1
Pleg.action = 'BUY'
Pleg.exchange = 'SMART'
Cleg = ComboLeg()
Cleg.ratio = 1
Cleg.action = 'SELL'
Cleg.exchange = 'SMART'
contract = Contract()
contract.symbol = symbol
contract.secType = 'BAG'
contract.currency = 'USD'
contract.exchange = 'SMART'
Combos = []
for mi, di in jdict.items():
jm = IBdate_to_Date(mi)
today = date.today()
if (jm - today).days <= lessdays:
stricks = list(di['C'].keys())
stricks_1 = [float(i) for i in stricks]
ps = pick_stricks_2(last, stricks_1, 2)
for si in ps:
Pleg.conId = di['P'][str(si)]['conID']
Cleg.conId = di['C'][str(si)]['conID']
contract.comboLegs = []
contract.comboLegs.append(underlyingleg)
contract.comboLegs.append(Pleg)
contract.comboLegs.append(Cleg)
Combos.append([deepcopy(contract), si])
return Combos
def FX_order(symbol):
contract = Contract()
contract.symbol = symbol[:3]
contract.secType = 'CASH'
contract.exchange = 'IDEALPRO'
contract.currency = symbol[3:]
return contract
def nse_contract(symbol):
contract=Contract()
contract.symbol=symbol
contract.secType = "STK"
contract.exchange = "NSE"
contract.currency = "INR"
return contract
def forex_contract3():
forex_contract = Contract()
forex_contract.symbol = 'EUR'
forex_contract.secType = 'CASH'
forex_contract.exchange = 'IDEALPRO'
forex_contract.currency = 'JPY'
return forex_contract
def defineContract(symbol, secType, exchange, currency='USD'):
contract = Contract()
contract.symbol = symbol
contract.secType = secType
contract.exchange = exchange
contract.currency = currency
return contract
def create_contract(stock_symbol, sec_type, currency, exchange):
contract = Contract()
contract.symbol = stock_symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
return contract
def fxPair(pair, sec_type="CASH", exchange="IDEALPRO"):
contract = Contract()
contract.symbol = pair.split("/")[0]
contract.secType = sec_type
contract.currency = pair.split("/")[1]
contract.exchange = exchange
return contract
def createcontractstk(ticker):
cont = Contract()
cont.symbol = ticker
cont.secType = "STK"
cont.currency = "AUD"
cont.exchange = "ASX"
return cont
def createcontract(ticker):
cont = Contract()
cont.symbol = ticker
cont.secType = "CFD"
cont.currency = "AUD"
cont.exchange = "SMART"
return cont
def FX_order(symbol):
contract = Contract()
contract.symbol = 'APXT'
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
def gen_contract(symbol,
sec_type,
exchange,
currency,
other_param_dict: Dict = None):
"""
shortcut for creating a contract
:param other_param_dict:
:param symbol:
:param sec_type:
:param exchange:
:param currency:
:return:
"""
result_contract = Contract()
result_contract.symbol = symbol
result_contract.secType = sec_type
result_contract.exchange = exchange
result_contract.currency = currency
if other_param_dict is None:
param_dict = {}
else:
param_dict = other_param_dict
for k, v in iter(param_dict.items()):
setattr(result_contract, k, v)
return result_contract
def contract_maker(symbol, sec_type="STK", exchange="NSE", currency="INR"):
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.exchange = exchange
contract.currency = currency
return contract
def index_contract():
spx_contract = Contract()
spx_contract.conId = "416904"
spx_contract.symbol = 'SPX'
spx_contract.secType = "IND"
spx_contract.exchange = "CBOE"
return spx_contract
def stock_contract():
amzn_contract = Contract()
amzn_contract.symbol = 'AMZN'
amzn_contract.secType = 'STK'
amzn_contract.exchange = 'SMART'
amzn_contract.currency = 'USD'
return amzn_contract
def createStk(symbol, sec_type="STK", currency="INR", exchange="NSE"):
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
return contract
def ContractMaker(date,
secType='FUT',
currency="USD",
exchane='CFE',
symbol='VXK1',
tradingClass='VX'):
contrac = Contract()
contrac.symbol = symbol
contrac.secType = secType
contrac.currency = currency
contrac.exchange = exchane
contrac.tradingClass = tradingClass
contrac.lastTradeDateOrContractMonth = date
return contrac
def ib_futures_instrument(futures_instrument_object):
"""
Get an IB contract which is NOT specific to a contract date
Used for getting expiry chains
:param futures_instrument_object: instrument with .metadata suitable for IB
:return: IBcontract
"""
meta_data = futures_instrument_object.meta_data
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.symbol = meta_data['symbol']
ibcontract.exchange = meta_data['exchange']
if meta_data['ibMultiplier'] is NOT_REQUIRED:
pass
else:
ibcontract.multiplier = int(meta_data['ibMultiplier'])
if meta_data['currency'] is NOT_REQUIRED:
pass
else:
ibcontract.currency = meta_data['currency']
return ibcontract
def __init__(self, symbol: str, exchange: str, secType: str,
client: RobotClient):
'''
a wrapper/collection to store all Signals related to one Contract
secType is either 'FUT' or 'STK'
'''
if secType not in ['FUT', 'STK']:
raise RuntimeError(
f"secType must be 'FUT' or 'STK', but received: {secType}")
self.client = client
self.signals: Dict[str, Signal] = dict()
self.contract = Contract()
self.contract.symbol = symbol
self.contract.exchange = exchange
self.contract.currency = 'USD'
self.contract.secType = secType
if not self.client.client_connected():
self.client.connect_client()
reqId = self.client.get_new_reqIds()[0]
self.client.contractDetailsObtained[reqId] = False
self.client.client_adapter.reqContractDetails(reqId=reqId,
contract=self.contract)
wait_until(
condition_function=lambda: self.client.contractDetailsObtained[
reqId],
seconds_to_wait=5,
msg=
f"Waited more than 5 secs to get contract details for: {symbol}@{exchange}"
)
self.client.contractDetailsObtained.pop(reqId)
contracts = self.client.resolvedContracts.pop(reqId)
self.client.resolve_request(reqId)
if secType == 'FUT':
date_now = int(ClockController.utcnow().to(
ClockController.time_zone).shift(days=-1).format("YYYYMMDD"))
max_month = 30000000
for contract in contracts:
contract_month = int(contract.lastTradeDateOrContractMonth)
if date_now < contract_month < max_month:
max_month = contract_month
self.contract = contract
else:
self.contract = contracts[0]
self.asset_key = f"{symbol}@{exchange}"
def generate_ib_contract(symbol: str, exchange: Exchange) -> Optional[Contract]:
""""""
try:
fields = symbol.split(JOIN_SYMBOL)
ib_contract = Contract()
ib_contract.exchange = EXCHANGE_VT2IB[exchange]
ib_contract.secType = fields[-1]
ib_contract.currency = fields[-2]
ib_contract.symbol = fields[0]
if ib_contract.secType in ["FUT", "OPT", "FOP"]:
ib_contract.lastTradeDateOrContractMonth = fields[1]
if ib_contract.secType in ["OPT", "FOP"]:
ib_contract.right = fields[2]
ib_contract.strike = float(fields[3])
ib_contract.multiplier = int(fields[4])
except IndexError:
ib_contract = None
return ib_contract
def __init__(self):
self.ids = []
self.lots = 5
self.params = pd.read_csv(r'C:/Users/JD/Google Drive/Quantitative Trading/Trading Params/UsoXle Params.csv', header=0, index_col=0)
xleC, usoC = Contract(), Contract()
xleC.secType, usoC.secType = 'STK', 'STK'
xleC.symbol, usoC.symbol = 'XLE', 'USO'
xleC.currency, usoC.currency = 'USD', 'USD'
xleC.exchange, usoC.exchange = 'ARCA', 'ARCA'
self.contracts = (xleC, usoC)
def start(self):
contract = Contract()
contract.symbol = 'TGP'
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
contract.primaryExchange = "NASDAQ"
self.reqHistoricalData(1, contract, "", "26 W", "1 day", "MIDPOINT", 0,
1, False, [])
def main():
app = TestApp()
app.connect("127.0.0.1", 4002, 0) # 7497 live
# Crete a contract
contract = Contract()
contract.symbol = "AAPL"
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
contract.primaryExchange = "NASDAQ"
def send_order(self, req: OrderRequest):
"""
Send a new order.
"""
if not self.status:
return ""
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所：{req.exchange}")
return ""
if req.type not in ORDERTYPE_VT2IB:
self.gateway.write_log(f"不支持的价格类型：{req.type}")
return ""
self.orderid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
ib_order = Order()
ib_order.orderId = self.orderid
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.totalQuantity = req.volume
if req.type == OrderType.LIMIT:
ib_order.lmtPrice = req.price
elif req.type == OrderType.STOP:
ib_order.auxPrice = req.price
self.client.placeOrder(self.orderid, ib_contract, ib_order)
self.client.reqIds(1)
order = req.create_order_data(str(self.orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def BondWithCusip():
contract = Contract()
# enter CUSIP as symbol
contract.symbol = "912828C57"
contract.secType = "BOND"
contract.exchange = "SMART"
contract.currency = "USD"
return contract
def OptionWithLocalSymbol():
contract = Contract()
# Watch out for the spaces within the local symbol!
contract.localSymbol = "C DBK DEC 20 1600"
contract.secType = "OPT"
contract.exchange = "DTB"
contract.currency = "EUR"
return contract
def USStock():
contract = Contract()
contract.symbol = "IBKR"
contract.secType = "STK"
contract.currency = "USD"
# In the API side, NASDAQ is always defined as ISLAND in the exchange field
contract.exchange = "ISLAND"
return contract
def Commodity(symbol):
contract = Contract()
contract.symbol = symbol
# contract.symbol = symbol[:3]
contract.secType = 'CMDTY'
contract.exchange = 'SMART'
contract.currency = symbol[3:]
return contract
def Stock_contract(symbol, secType='STK', exchange='SMART', currency='USD'):
''' custom function to create stock contract '''
contract = Contract()
contract.symbol = symbol
contract.secType = secType
contract.exchange = exchange
contract.currency = currency
return contract
def make_contract(symbol: str, sec_type: str, currency: str,
exchange: str) -> Contract:
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
return contract
def forex(code):
foreign, local = code[:3], code[3:]
contract = Contract()
contract.currency = local
contract.secType = "CASH"
contract.symbol = foreign
contract.exchange = "IDEALPRO"
return contract
