def _merge_order_book_deltas(all_deltas: List[OrderBookDeltas]):
per_instrument_deltas = defaultdict(list)
level = one(set(deltas.level for deltas in all_deltas))
timestamp_ns = one(set(deltas.timestamp_ns for deltas in all_deltas))
for deltas in all_deltas:
per_instrument_deltas[deltas.instrument_id].extend(deltas.deltas)
return [
OrderBookDeltas(
instrument_id=instrument_id,
deltas=deltas,
level=level,
timestamp_ns=timestamp_ns,
) for instrument_id, deltas in per_instrument_deltas.items()
]
async def load(self, build_options_chain=False, option_kwargs=None, **kwargs):
"""
Search and load the instrument for the given symbol, exchange and (optional) kwargs
Parameters
----------
build_options_chain: bool (default: False)
Search for full option chain
option_kwargs: str (default: False)
JSON string for options filtering, available fields: min_expiry, max_expiry, min_strike, max_strike, kind
kwargs: **kwargs
Optional extra kwargs to search for, examples:
secType, conId, symbol, lastTradeDateOrContractMonth, strike, right, multiplier, exchange,
primaryExchange, currency, localSymbol, tradingClass, includeExpired, secIdType, secId,
comboLegsDescrip, comboLegs, deltaNeutralContract
"""
contract = self._parse_contract(**kwargs)
qualified = await self._client.qualifyContractsAsync(contract)
qualified = one(qualified)
contract_details: List[ContractDetails] = await self.get_contract_details(
qualified, build_options_chain=build_options_chain, option_kwargs=option_kwargs
)
if not contract_details:
raise ValueError(f"No contract details found for the given kwargs ({kwargs})")
for details in contract_details:
instrument: Instrument = parse_instrument(
contract_details=details,
)
self.add(instrument)
self.contract_details[instrument.id] = details
self.contract_id_to_instrument_id[details.contract.conId] = instrument.id
def _merge_order_book_deltas(all_deltas: List[OrderBookDeltas]):
per_instrument_deltas = defaultdict(list)
book_type = one(set(deltas.book_type for deltas in all_deltas))
ts_event = one(set(deltas.ts_event for deltas in all_deltas))
ts_init = one(set(deltas.ts_init for deltas in all_deltas))
for deltas in all_deltas:
per_instrument_deltas[deltas.instrument_id].extend(deltas.deltas)
return [
OrderBookDeltas(
instrument_id=instrument_id,
deltas=deltas,
book_type=book_type,
ts_event=ts_event,
ts_init=ts_init,
) for instrument_id, deltas in per_instrument_deltas.items()
]
async def get_option_chain_details(
self,
underlying: Contract,
min_expiry=None,
max_expiry=None,
min_strike=None,
max_strike=None,
kind=None,
exchange=None,
) -> List[ContractDetails]:
chains = await self._client.reqSecDefOptParamsAsync(
underlying.symbol, "", underlying.secType, underlying.conId
)
chain = one(chains)
strikes = [
strike
for strike in chain.strikes
if (min_strike or -np.inf) <= strike <= (max_strike or np.inf)
]
expirations = sorted(
exp
for exp in chain.expirations
if (pd.Timestamp(min_expiry or pd.Timestamp.min) <= pd.Timestamp(exp))
and (pd.Timestamp(exp) <= pd.Timestamp(max_expiry or pd.Timestamp.max))
)
rights = [kind] if kind is not None else ["P", "C"]
contracts = [
ib_insync.Option(
underlying.symbol,
expiration,
strike,
right,
exchange or "SMART",
)
for right in rights
for expiration in expirations
for strike in strikes
]
qualified = await self._client.qualifyContractsAsync(*contracts)
details = await asyncio.gather(
*[self._client.reqContractDetailsAsync(contract=c) for c in qualified]
)
return [x for d in details for x in d]