def list_spread_prices_before_trade(symbol, expiry, query):
"""
List option spread prices before trade
"""
query1 = query.split(",")
client, log_order = init_func()
underl = {}
for idx, x in enumerate(query1):
underl[idx] = RequestOptionData(
symbol,
get_contract_details(symbol)["secType"],
expiry,
float(x[1:]),
x[:1],
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"],
idx,
comboLegs=None)
action1 = {0: "BUY", 1: "SELL"}
list_results = client.getOptionsChain(underl)
legs = []
log_order.info("Number of requests [%d]" % (len(list_results)))
for reqId, request in list_results.items():
log_order.info(
"Requestid [%d]: Option[%s] Results [%d]" %
(reqId, str(request.get_in_data()), len(request.optionsChain)))
for opt1 in request.optionsChain:
leg1 = sy.ComboLeg()
leg1.conId = opt1['conId']
leg1.ratio = get_order_defaults()["ratio"]
leg1.action = action1[reqId]
leg1.exchange = opt1['exchange']
legs.append(leg1)
ibcontract = IBcontract()
ibcontract.comboLegs = sy.ComboLegList(legs)
ibcontract.symbol = symbol
ibcontract.secType = "BAG" # BAG is the security type for COMBO order
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.currency = get_contract_details(symbol)["currency"]
ctrt = {}
ctrt[100] = RequestOptionData(symbol,
get_contract_details(symbol)["secType"],
expiry,
float(x[1:]),
x[:1],
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"],
100,
comboLegs=None,
contract=ibcontract)
ctrt_prc = client.getMktData(ctrt)
log_order.info("[%s]" % (str(ctrt_prc)))
df1 = pd.DataFrame()
#for id, req1 in ctrt_prc.iteritems():
# subset_dic = {k: req1.get_in_data()[k] for k in ('secType','symbol','comboLegsDescrip')}
# subset_dic2 = {k: req1.get_out_data()[id][k] for k in ('bidPrice', 'bidSize', 'askPrice', 'askSize') }
# dict1 = subset_dic.copy()
# dict1.update(subset_dic2)
# temp=pd.DataFrame.from_dict(dict1, orient='index').transpose()
# df1=df1.append(temp)
row1 = 0
for reqId, request in ctrt_prc.items():
row1 += 1
dict1 = request.get_in_data().copy()
if reqId in request.get_out_data():
dict1.update(request.get_out_data()[reqId])
for key in dict1.keys():
df1.loc[row1, key] = dict1[key]
df1 = df1.set_index(['secType', 'symbol', 'comboLegsDescrip'], drop=True)
columns = [
'bidPrice', 'bidSize', 'askPrice', 'askSize', '', 'modelDelta',
'modelImpliedVol', 'lastUndPrice', 'modelGamma', 'closePrice'
]
cols = [val for val in columns if val in df1.columns]
print(df1[cols])
end_func(client=client)
def place_or_modif_spread_order(expiry, symbol, right, strike_l, strike_s,
orderType, quantity, lmtPrice, orderId):
"""
Place new option spread order or modify existing order orderType="LMT"
Put orderId <= 0 if new order
"""
"""
Modification of an open order through the API can be achieved by the same client which placed the original order.
In the case of orders placed manually in TWS, the order can be modified by the client with ID 0.
To modify an order, simply call the IBApi.EClient.placeOrder function again with the same parameters used to place
the original order, except for the changed parameter. This includes the IBApi.Order.OrderId, which must match the
IBApi.Order.OrderId of the original. It is not generally recommended to try to change order parameters other than
the order price and order size. To change other parameters, it might be preferable to cancel the original order
and place a new order.
"""
# http://interactivebrokers.github.io/tws-api/modifying_orders.html#gsc.tab=0
if orderId <= 0:
orderId = None
client, log_order = init_func()
log_order.info("placing order ")
underl = {
1001:
RequestOptionData(symbol,
get_contract_details(symbol)["secType"], expiry,
strike_l, right,
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"], 1001),
1002:
RequestOptionData(symbol,
get_contract_details(symbol)["secType"], expiry,
strike_s, right,
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"], 1002)
}
action1 = {1001: "BUY", 1002: "SELL"}
list_results = client.getOptionsChain(underl)
legs = []
log_order.info("Number of requests [%d]" % (len(list_results)))
for reqId, request in list_results.items():
log_order.info(
"Requestid [%d]: Option[%s] Results [%d]" %
(reqId, str(request.get_in_data()), len(request.optionsChain)))
for opt1 in request.optionsChain:
leg1 = sy.ComboLeg()
leg1.conId = opt1['conId']
leg1.ratio = get_order_defaults()["ratio"]
leg1.action = action1[reqId]
leg1.exchange = opt1['exchange']
legs.append(leg1)
#sy.Contract.comboLegs
ibcontract = IBcontract()
ibcontract.comboLegs = sy.ComboLegList(legs)
ibcontract.symbol = symbol
ibcontract.secType = "BAG" # BAG is the security type for COMBO order
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.currency = get_contract_details(symbol)["currency"]
iborder = IBOrder()
iborder.action = bs_resolve(quantity)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(quantity)
iborder.tif = get_order_defaults()["tif"]
iborder.transmit = get_order_defaults()["transmit"]
order_structure = client.place_new_IB_order(ibcontract,
iborder,
orderid=orderId)
df1 = pd.DataFrame()
for idx, x in order_structure.items():
temp = pd.DataFrame.from_dict(x, orient='index').transpose()
df1 = df1.append(temp)
if not df1.empty:
df1 = df1.set_index(['orderid'], drop=True)
print(df1)
end_func(client=client)
