def createContract(self,
secType,
symbol,
exchange,
expiry=None,
currency=None):
"""
Create new IB Contract
:param secType: Contract sector type: STK, OPT, FUT, IND, FOP, CASH,BAG, NEWS
:param expiry: The expiration date. Use the format YYYYMM.
:param symbol: This is the symbol of the underlying asset.
:param exchange: The order destination, such as Smart.
"""
ibcontract = IBcontract()
ibcontract.secType = secType
if expiry:
ibcontract.expiry = expiry
if currency:
ibcontract.currency = currency
ibcontract.symbol = symbol
ibcontract.exchange = exchange
return ibcontract
def main():
"""
This simple example returns historical data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "202009"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
# ibcontract.secType = "STK"
# ibcontract.exchange = "SMART"
# ibcontract.symbol = "MMM"
# ibcontract.currency = "USD"
end_dt = datetime.datetime(2016, 8, 3)
ans = client.get_IB_historical_data(ibcontract,
durationStr='5 d',
barSizeSetting='5 mins',
end_dt=end_dt)
return ans
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 createContract(self, secType, symbol, exchange, expiry=None, currency=None ):
"""
Create new IB Contract
:param secType: Contract sector type: STK, OPT, FUT, IND, FOP, CASH,BAG, NEWS
:param expiry: The expiration date. Use the format YYYYMM.
:param symbol: This is the symbol of the underlying asset.
:param exchange: The order destination, such as Smart.
"""
ibcontract = IBcontract()
ibcontract.secType = secType
if expiry:
ibcontract.expiry = expiry
if currency:
ibcontract.currency = currency
ibcontract.symbol = symbol
ibcontract.exchange = exchange
return ibcontract
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 place_plain_order(expiry, symbol, right, strike, orderType, quantity,
lmtPrice, orderId):
"""
Place a sinlge option order orderType="LMT"
"""
if orderId <= 0:
orderId = None
client, log_order = init_func()
log_order.info("placing order ")
ibcontract = IBcontract()
ibcontract.secType = get_contract_details(symbol)["secType"]
ibcontract.expiry = expiry
ibcontract.symbol = symbol
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.right = right
ibcontract.strike = strike
ibcontract.multiplier = get_contract_details(symbol)["multiplier"]
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)
def create_contract(security):
if security.split('.')[0]=='FUT':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'FUT'
contract.exchange = 'GLOBEX'
contract.currency = security.split('.')[2]
contract.expiry= security.split('.')[3]
contract.primaryExchange='GLOBEX'
elif security.split('.')[0]=='CASH':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'CASH'
contract.exchange = 'IDEALPRO'
contract.currency = security.split('.')[2]
contract.primaryExchange='IDEALPRO'
elif security.split('.')[0]=='STK':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
contract.primaryExchange='SMART'
return contract
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
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__ == "__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "STK"
ibcontract.expiry = "201809"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
ans = client.get_IB_historical_data(ibcontract)
print(ans)
Note: If you are running this on the 'edemo' account it will probably give
you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is
trading!!!
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201509"
ibcontract.symbol = "GBL"
ibcontract.exchange = "DTB"
# Get contract details
cdetails = client.get_contract_details(ibcontract)
# In particular we want the expiry. You cannot just use
# cdetails['expiry'][:6] to map back to the yyyymm expiry since certain
# contracts expire the month before they should!
print("Expiry is %s" % cdetails['expiry'])
# Place the order, asking IB to tell us what the next order id is
# Note limit price of zero
orderid1 = client.place_new_IB_order(
from sysIB.wrapper_v3 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__=="__main__":
"""
This simple example returns streaming price data
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201612"
ibcontract.symbol="GE"
ibcontract.exchange="GLOBEX"
ans=client.get_IB_market_data(ibcontract)
print "Bid size, Ask size; Bid price; Ask price"
print ans
"""
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201703"
ibcontract.symbol="GBL"
ibcontract.exchange="DTB"
## Get contract details
cdetails=client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Place the order, asking IB to tell us what the next order id is
## Note limit price of zero
orderid1=client.place_new_IB_order(ibcontract, 10, 0.0, "MKT", orderid=None)
"""
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201703"
ibcontract.symbol = "GBL"
ibcontract.exchange = "DTB"
## Get contract details
cdetails = client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Once you have the portfolio positions then you can use these expiries to map back
(account_value, portfolio_data) = client.get_IB_account_data()
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__=="__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201809"
ibcontract.symbol="GE"
ibcontract.exchange="GLOBEX"
ans=client.get_IB_historical_data(ibcontract)
print ans
from swigibpy import Contract as IBcontract
from sysIB.order_creation_wrapper import IBWrapper, IBclient
if __name__ == "__main__":
"""
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "STK"
ibcontract.expiry = "201603"
ibcontract.symbol = "GOOG"
ibcontract.exchange = "SMART"
## Get contract details
cdetails = client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print("Expiry is %s" % cdetails['expiry'])
print(client.get_managed_accounts())
## Place the order, asking IB to tell us what the next order id is
## Note limit price of zero
orderid1 = client.place_new_IB_order(ibcontract, "DU271807", 10, 0.0, "MKT", orderid=None)
print("")
print("Placed market order, orderid is %d" % orderid1)
## And here is a limit order, unlikely ever to be filled
format='%(asctime)s [%(levelname)s] %(message)s',
datefmt='%j-%H:%M:%S')
else:
logging.basicConfig(handlers=[logging.StreamHandler()],
level=logging.INFO,
format='%(asctime)s [%(levelname)s] %(message)s',
datefmt='%j-%H:%M:%S')
logging.debug(args)
if args.sym: contract.symbol = args.sym
if args.exc: contract.exchange = args.exc
if args.st: contract.secType = args.st
if args.cur: contract.currency = args.cur
if args.id: contract.conId = args.id
if args.exp: contract.expiry = args.exp
if args.pex: contract.primaryExchange = args.pex
if args.str: contract.strike = args.str
if args.rt: contract.right = args.rt
if args.mult: contract.multiplier = args.mult
barsize = args.p
datatype = args.t
rth_only = args.rth
pacing = args.pacing
num_requests = args.n
zerobased = args.z
if barsize == "1 day" or barsize == "1W" or barsize == "1M":
dt_format = "%Y%m%d"
else:
from wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__=="__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client=IBclient(callback, port=4002, clientid=999)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201612"
ibcontract.symbol="ES"
ibcontract.exchange="GLOBEX"
ans=client.get_IB_historical_data(ibcontract, durationStr="2 D", barSizeSetting="5 mins")
print ans
from sysIB.wrapper_v3 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__=="__main__":
"""
This simple example returns streaming price data
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201406"
ibcontract.symbol="GBL"
ibcontract.exchange="DTB"
ans=client.get_IB_snapshot_prices(ibcontract)
print "Real time prices over seconds"
print ans
ans=client.get_IB_market_data(ibcontract)
print "Bid size, Ask size; Bid price; Ask price"
print ans
"""
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201509"
ibcontract.symbol="GBL"
ibcontract.exchange="DTB"
## Get contract details
cdetails=client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Place the order, asking IB to tell us what the next order id is
## Note limit price of zero
orderid1=client.place_new_IB_order(ibcontract, 10, 0.0, "MKT", orderid=None)
from sysIB.wrapper_v3 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__ == "__main__":
"""
This simple example returns streaming price data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201812"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
ans = client.get_IB_market_data(ibcontract)
print "Bid size, Ask size; Bid price; Ask price"
print ans
args = parser.parse_args()
if args.v:
logging.basicConfig(handlers=[logging.StreamHandler()], level=logging.DEBUG, format='%(asctime)s [%(levelname)s] %(message)s', datefmt='%j-%H:%M:%S')
else:
logging.basicConfig(handlers=[logging.StreamHandler()], level=logging.INFO, format='%(asctime)s [%(levelname)s] %(message)s', datefmt='%j-%H:%M:%S')
logging.debug(args)
if args.sym: contract.symbol = args.sym
if args.exc: contract.exchange = args.exc
if args.st: contract.secType = args.st
if args.cur: contract.currency = args.cur
if args.id: contract.conId = args.id
if args.exp: contract.expiry = args.exp
if args.pex: contract.primaryExchange = args.pex
if args.str: contract.strike = args.str
if args.rt: contract.right = args.rt
if args.mult: contract.multiplier = args.mult
barsize = args.p
datatype = args.t
rth_only = args.rth
pacing = args.pacing
num_requests = args.n
zerobased = args.z
if barsize == "1 day" or barsize == "1W" or barsize == "1M":
dt_format = "%Y%m%d"
else:
"""
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201406"
ibcontract.symbol = "GBL"
ibcontract.exchange = "DTB"
## Get contract details
cdetails = client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Once you have the portfolio positions then you can use these expiries to map back
positions = client.get_IB_positions()
from sysIB.wrapper_v3 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
import time
if __name__ == "__main__":
"""
This simple example returns streaming price data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201712"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
ans = client.get_IB_market_data(ibcontract)
WAIT_TIME = 5
try:
client.cb.got_sample.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not callback.got_sample.is_set():
print('Failed to get contract within %d seconds' % WAIT_TIME)
print("\nDisconnecting...")
