def historical_from_ib(directory: str, data_range):
directory = os.path.abspath(directory)
if not os.path.exists(directory):
os.makedirs(directory)
print('Root directory "%s" has been created.' % directory)
else:
print('Root directory "%s" already exists.' % directory)
tws = TwsClient(client_id=CLIENT_ID)
with tws.connect():
hsi = Contract()
hsi.exchange = "HKFE"
hsi.secType = "IND"
hsi.symbol = "HSI"
hsi.currency = "HKD"
hhi = Contract()
hhi.exchange = "HKFE"
hhi.secType = "IND"
hhi.symbol = "HHI.HK"
hhi.currency = "HKD"
for the_date in data_range:
store_file(directory, tws, the_date, hsi)
store_file(directory, tws, the_date, hhi)
def run(self):
# Simple contract for GOOG
contract = Contract()
#contract.conId = 114376112
contract.exchange = "SMART"
contract.symbol = "ATK"
contract.secType = "STK"
#contract.right = "PUT"
contract.currency = "USD"
#contract.secType = 'OPT'
#contract.strike = 24
#contract.expiry = '20121116'
today = datetime.today()
order = Order()
order.orderId = 89
order.clientId = 44
order.action = "BUY"
order.totalQuantity = 1 # may have to calculate a smarter number
order.orderType = "MKT"
order.tif = "DAY"
order.transmit = True
order.sweepToFill = True
order.outsideRth = True
contract.symbol = "alkjdf"
self.callback.askPrice = None
self.tws.reqMktData(2, contract, "", 1)
max_wait = timedelta(seconds=30) + datetime.now()
while self.callback.askPrice is None:
if datetime.now() > max_wait:
print "max wait giving up"
break
print self.callback.askPrice
def createContract(self, ticker, secType):
contract = Contract()
contract.exchange = "SMART" # Default exchange, IB routing algo
contract.symbol = ticker
contract.secType = secType
contract.currency = "USD"
return contract
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
def create_contract(self):
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
return contract
def dbcontract_to_ibcontract(dbcontract):
symbol = str(dbcontract.sym)
localSym = str(dbcontract.local_sym)
if str(dbcontract.secType) == 'CASH':
symbol = str(dbcontract.sym) + str(dbcontract.cur)
if str(dbcontract.secType) == 'FUT':
year = str(dbcontract.contractMonth)[0:4]
mon = str(dbcontract.contractMonth)[4:6]
addSym = ''
print symbol, year, int(mon)
if int(mon) == 1:
addSym = 'F'
print addSym
if int(mon) == 2:
addSym = 'G'
if int(mon) == 3:
addSym = 'H'
if int(mon) == 4:
addSym = 'J'
if int(mon) == 5:
addSym = 'K'
if int(mon) == 6:
addSym = 'M'
if int(mon) == 7:
addSym = 'N'
if int(mon) == 8:
addSym = 'Q'
if int(mon) == 9:
addSym = 'U'
if int(mon) == 10:
addSym = 'V'
if int(mon) == 11:
addSym = 'X'
if int(mon) == 12:
addSym = 'Z'
addSym += year[3:4]
print addSym
localSym += addSym
print 'Found', localSym
contract = Contract()
contract.symbol = str(symbol)
contract.secType = str(dbcontract.secType)
contract.exchange = str(dbcontract.exch)
contract.primaryExchange = str(dbcontract.exch)
contract.currency = str(dbcontract.cur)
contract.expiry = str(dbcontract.expiry)
#contract.strike= # Strike Price
contract.localSymbol = localSym
return contract
def subscribe_to_market_data(self, symbol, exchange, sec_type, currency):
c = Contract()
c.symbol = symbol
c.secType = sec_type
c.exchange = exchange
c.currency = currency
self.reqMktData(self._ewrapper.next_ticker_id, c, "", False, None)
self._ewrapper.ticker_symbol_dict[
self._ewrapper.next_ticker_id] = symbol
self._ewrapper.next_ticker_id += 1
self._ewrapper.symbol_contract_dict[symbol] = c
def getPortfolio(self):
'''
Returns list of triplets of current (contract, position in number of shares/contracts, market value of position)
'''
portfolioList = []
# setup call back variables
self.callback.accountEnd = False
#self.callback.portfolioContract = None
#self.callback.portfolioPosition = None
#self.callback.portfolioSecMarketValue = None
self.tws.reqAccountUpdates(1, self.accountNumber)
while (not self.callback.accountEnd):
self.callback.portfolioContract = None
self.callback.portfolioPosition = None
self.callback.portfolioSecMarketValue = None
max_wait = datetime.timedelta(seconds=60) + datetime.datetime.now()
while (self.callback.portfolioPosition is None
or self.callback.portfolioContract is None
or self.callback.portfolioSecMarketValue is None):
if datetime.datetime.now() > max_wait:
break
if self.callback.portfolioPosition is not None and self.callback.portfolioContract is not None and self.callback.portfolioSecMarketValue is not None:
myContract = Contract()
myContract.exchange = "SMART"
myContract.currency = "USD"
myContract.symbol = self.callback.portfolioContractSymbol
myContract.conId = self.callback.portfolioContractConId
myContract.secType = self.callback.portfolioContractSecType
myContract.strike = self.callback.portfolioContractStrike
myContract.expiry = self.callback.portfolioContractExpiry
myContract.right = self.callback.portfolioContractRight
myPosition = self.callback.portfolioPosition
mySecMarketValue = self.callback.portfolioSecMarketValue
portfolioList.append(
(myContract, myPosition, mySecMarketValue))
self.tws.reqAccountUpdates(0, self.accountNumber)
return portfolioList
def get_cash_contracts():
symList = dict()
systemdata = pd.read_csv('./data/systems/system.csv')
print systemdata.columns
systemdata = systemdata.reset_index()
for i in systemdata.index:
#print 'Read: ',i
system = systemdata.ix[i]
#print system
contract = Contract()
symbol = system['ibsym']
if system['ibtype'] == 'CASH':
symbol = system['ibsym'] + system['ibcur']
if system['ibtype'] != 'BITCOIN':
contract.symbol = system['ibsym']
contract.secType = system['ibtype']
contract.exchange = system['ibexch']
contract.currency = system['ibcur']
if system['ibtype'] == 'FUT':
contract.localSymbol = system['iblocalsym']
symList[symbol] = contract
return symList.values()
"account, are you sure? (Type yes to continue): ")
if prompt.lower() != 'yes':
sys.exit()
# Instantiate our callback object
callback = PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "DELL"
contract.secType = "STK"
contract.currency = "USD"
if orderId is None:
print 'Waiting for valid order id'
sleep(1)
while orderId is None:
print 'Still waiting for valid order id...'
sleep(1)
# Order details
order = Order()
order.action = 'BUY'
print("History %s - Open: %s, High: %s, Low: %s, Close: " +
"%s, Volume: %d") % (date, open, high, low, close, volume)
# Instantiate our callback object
callback = HistoricalDataExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for DELL
dell = Contract()
dell.exchange = "SMART"
dell.symbol = "DELL"
dell.secType = "STK"
dell.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % dell.symbol
# Request some historical data.
tws.reqHistoricalData(
1, #tickerId,
dell, #contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), #endDateTime,
"1 W", #durationStr,
"1 day", #barSizeSetting,
