def req_hist_price(self, security, endtime, goback=None, barSize=None):
"""
Send request to IB server for real time market data
"""
#print 'req_hist_price', security.symbol+security.currency
if goback == None:
if barSize == '1 day':
goback = '1 Y'
elif barSize == '1 min':
goback = '20000 S'
elif barSize == '10 mins':
goback = '1 D'
elif barSize == '1 hour':
goback = '30 D'
elif barSize == '4 hours':
goback = '20 D'
else:
print 'req_hist_price cannot handle', barSize
exit()
# Submit request to IB
if endtime.tzname() == None:
req = datetime.datetime.strftime(
endtime, "%Y%m%d %H:%M:%S") #datatime -> string
else:
endtime = endtime.astimezone(tz=pytz.utc)
req = datetime.datetime.strftime(
endtime, "%Y%m%d %H:%M:%S %Z") #datatime -> string
#print req
if security.secType == 'STK' or security.secType == 'FUT':
self.reqHistoricalData(self.nextHistDataId,
create_contract(security), req, goback,
barSize, 'TRADES', 1, 1)
elif security.secType == 'CASH':
self.reqHistoricalData(self.nextHistDataId,
create_contract(security), req, goback,
barSize, 'BID', 1, 1)
# Record requst info
self.returned_hist[self.nextHistDataId] = HistClass(security, barSize)
self.returned_hist[
self.nextHistDataId].status = 'submitted' # Record status
# Others
time.sleep(0.1)
self.log.info(__name__ + ": " + "requesting hist data for " + security.symbol+'.' \
+ security.currency+'.'\
+ security.secType+'.'\
+ barSize)
self.nextHistDataId += 1
def order_quantopian(self, security, amount, style=MarketOrder()):
print 'place_order'
if amount>0:
action='BUY'
totalQuantity=amount
elif amount<0:
action='SELL'
totalQuantity=-amount
else:
return -1
security_order=create_order(action, totalQuantity, style)
if security_order != None:
cntrct=create_contract(security)
self.placeOrder(self.my_next_valid_id, cntrct, security_order)
print 'Request to',security_order.action,security_order.totalQuantity,'shares', cntrct.symbol+cntrct.currency,'id=',self.my_next_valid_id
self.context.portfolio.openOrderBook[self.my_next_valid_id] = \
OrderClass(orderId=self.my_next_valid_id,
created=datetime.datetime.now(),
stop=style[1],
limit=style[2],
amount=security_order.totalQuantity,
sid=Security(cntrct.symbol+'.'+cntrct.currency),
status='PreSubmitted',
contract=cntrct,
order=security_order,
orderstate=None)
self.my_next_valid_id=self.my_next_valid_id+1
return self.my_next_valid_id-1
else:
print 'order_quantopian wrong serurity instance',security
return -1
def order_quantopian(self, security, amount, style=MarketOrder()):
print 'place_order'
if amount > 0:
action = 'BUY'
totalQuantity = amount
elif amount < 0:
action = 'SELL'
totalQuantity = -amount
else:
return -1
security_order = create_order(action, totalQuantity, style)
if security_order != None:
cntrct = create_contract(security)
self.placeOrder(self.my_next_valid_id, cntrct, security_order)
print 'Request to', security_order.action, security_order.totalQuantity, 'shares', cntrct.symbol + cntrct.currency, 'id=', self.my_next_valid_id
self.context.portfolio.openOrderBook[self.my_next_valid_id] = \
OrderClass(orderId=self.my_next_valid_id,
created=datetime.datetime.now(),
stop=style[1],
limit=style[2],
amount=security_order.totalQuantity,
sid=Security(cntrct.symbol+'.'+cntrct.currency),
status='PreSubmitted',
contract=cntrct,
order=security_order,
orderstate=None)
self.my_next_valid_id = self.my_next_valid_id + 1
return self.my_next_valid_id - 1
else:
print 'order_quantopian wrong serurity instance', security
return -1
def req_hist_price(self, security, endtime, goback=None, barSize=None):
"""
Send request to IB server for real time market data
"""
#print 'req_hist_price', security.symbol+security.currency
if goback==None:
if barSize=='1 day':
goback='1 Y'
elif barSize=='1 min':
goback='20000 S'
elif barSize=='10 mins':
goback='1 D'
elif barSize=='1 hour':
goback='30 D'
elif barSize=='4 hours':
goback='20 D'
else:
print 'req_hist_price cannot handle',barSize
exit()
# Submit request to IB
if endtime.tzname()==None:
req = datetime.datetime.strftime(endtime,"%Y%m%d %H:%M:%S") #datatime -> string
else:
endtime=endtime.astimezone(tz=pytz.utc)
req = datetime.datetime.strftime(endtime,"%Y%m%d %H:%M:%S %Z") #datatime -> string
#print req
if security.secType=='STK' or security.secType=='FUT':
self.reqHistoricalData(self.nextHistDataId, create_contract(security),
req, goback, barSize, 'TRADES', 1, 1)
elif security.secType=='CASH':
self.reqHistoricalData(self.nextHistDataId, create_contract(security),
req, goback, barSize, 'BID', 1, 1)
# Record requst info
self.returned_hist[self.nextHistDataId] = HistClass(security, barSize)
self.returned_hist[self.nextHistDataId].status='submitted'# Record status
# Others
time.sleep(0.1)
self.log.info(__name__ + ": " + "requesting hist data for " + security.symbol+'.' \
+ security.currency+'.'\
+ security.secType+'.'\
+ barSize)
self.nextHistDataId += 1
def req_real_time_price(self):
"""
Send request to IB server for real time market data
"""
for security in self.data:
self.reqMktData(self.nextReqMktDataId, create_contract(security),
'233',False) # Send market data requet to IB server
time.sleep(0.1)
security.req_real_time_price_id = self.nextReqMktDataId
self.nextReqMktDataId += 1 # Prepare for next request
def req_real_time_price(self):
"""
Send request to IB server for real time market data
"""
for security in self.data:
self.reqMktData(self.nextReqMktDataId, create_contract(security),
'233',
False) # Send market data requet to IB server
time.sleep(0.1)
security.req_real_time_price_id = self.nextReqMktDataId
self.nextReqMktDataId += 1 # Prepare for next request
"""
Created on Sat Jan 03 08:35:42 2015
@author: Huapu (Peter) Pan
"""
import datetime
from IBridgePy.IBridgePyBasicLib.IBAccountManager import IBAccountManager, MSG_TABLE
import IBridgePy.IBridgePyBasicLib.quantopian as qtopian
import BasicPyLib.simpleLogger as simpleLogger
if __name__ == "__main__":
port = 7496
clientID = 1
c = IBAccountManager() # create a client object
c.setup(logLevel=simpleLogger.NOTSET)
# additional setup. It's optional.
c.connect(
"", port,
clientID) # you need to connect to the server before you do anything.
c.reqCurrentTime()
symbs = ['IBM', 'BMA']
for ii, s in enumerate(symbs):
c.reqMktData(ii, qtopian.create_contract(qtopian.symbol(s)), '233',
False)
while (True):
if (c.stime is not None and c.stime_previous is None):
c.stime_previous = c.stime
print "current system time: ", c.stime, datetime.datetime.now(
tz=c.USeasternTimeZone)
c.processMessages(
) # put this function into infinit loop. A better way is to put it into a new thread.
# -*- coding: utf-8 -*-
"""
Created on Sat Jan 03 08:35:42 2015
@author: Huapu (Peter) Pan
"""
import datetime
from IBridgePy.IBridgePyBasicLib.IBAccountManager import IBAccountManager, MSG_TABLE
import IBridgePy.IBridgePyBasicLib.quantopian as qtopian
import BasicPyLib.simpleLogger as simpleLogger
if __name__ == "__main__":
port = 7496; clientID = 1
c = IBAccountManager() # create a client object
c.setup(logLevel = simpleLogger.NOTSET); # additional setup. It's optional.
c.connect("", port, clientID) # you need to connect to the server before you do anything.
c.reqCurrentTime()
symbs = ['IBM', 'BMA']
for ii, s in enumerate(symbs):
c.reqMktData(ii, qtopian.create_contract(qtopian.symbol(s)), '233',False)
while (True):
if (c.stime is not None and c.stime_previous is None):
c.stime_previous = c.stime
print "current system time: ", c.stime, datetime.datetime.now(tz = c.USeasternTimeZone)
c.processMessages() # put this function into infinit loop. A better way is to put it into a new thread.
def order_with_SL_TP(self, sec, amount, orderId = None,
stopLossPrice = None, takeProfitPrice = None):
'''
This function make orders. When amount > 0 it is BUY and when amount < 0 it is SELL
'''
# fill order info
if amount > 0:
orderAction = 'BUY'
orderReverseAction = 'SELL'
amount = int(amount)
elif amount < 0:
orderAction = 'SELL'
orderReverseAction = 'BUY'
amount = int(np.abs(amount))
else:
self.log.warning("order amount is 0!")
return
if (stopLossPrice is None):
self.log.warning("can not place an order without stop loss!")
return
# fill contract info
contract = create_contract(sec)
### place order
# market order
marketOrder = IBCpp.Order()
marketOrder.action = orderAction
marketOrder.totalQuantity = amount
marketOrder.orderType = 'MKT'
marketOrder.transmit = False
marketOrder.account = self.accountCode
parentOrderId = self.nextOrderId
self.placeOrder(parentOrderId, contract, marketOrder)
if not (parentOrderId in self.context.portfolio.openOrderBook):
self.context.portfolio.openOrderBook[parentOrderId] = \
OrderClass(orderId = parentOrderId, parentOrderId = None,
created=datetime.datetime.now(),
stop = None,
limit = None,
amount = marketOrder.totalQuantity,
sid = Security(contract.symbol+'.'+contract.currency),
status = 'PreSubmitted',
contract = contract,
order = marketOrder,
orderstate = None)
self.nextOrderId += 1
# stop sell order: stop loss
childOrder = IBCpp.Order()
childOrder.action = orderReverseAction
childOrder.totalQuantity = amount
childOrder.orderType = 'STP'
childOrder.auxPrice = self.roundToMinTick(stopLossPrice)
childOrder.parentId = parentOrderId
if (takeProfitPrice is None):
childOrder.transmit = True # if not limit order transmit STP order
else:
childOrder.transmit = False
childOrder.account = self.accountCode
childOrderId = self.nextOrderId
childOrder.ocaGroup = str(parentOrderId)
self.placeOrder(childOrderId, contract, childOrder)
if not (childOrderId in self.context.portfolio.openOrderBook):
self.context.portfolio.openOrderBook[childOrderId] = \
OrderClass(orderId = childOrderId, parentOrderId = parentOrderId,
created=datetime.datetime.now(),
stop = stopLossPrice,
limit = None,
amount = childOrder.totalQuantity,
sid = Security(contract.symbol+'.'+contract.currency),
status = 'PreSubmitted',
contract = contract,
order = childOrder,
orderstate = None)
self.nextOrderId += 1
# limit sell order: take profit
# Limit order: an order to buy or sell at a specified price or better.
if (takeProfitPrice is not None):
childOrder = IBCpp.Order()
childOrder.action = orderReverseAction
childOrder.totalQuantity = amount
childOrder.orderType = 'LMT'
childOrder.lmtPrice = self.roundToMinTick(takeProfitPrice)
childOrder.parentId = parentOrderId
childOrder.transmit = True
childOrder.account = self.accountCode
childOrderId = self.nextOrderId
childOrder.ocaGroup = str(parentOrderId)
self.placeOrder(childOrderId, contract, childOrder)
if not (childOrderId in self.context.portfolio.openOrderBook):
self.context.portfolio.openOrderBook[childOrder] = \
OrderClass(orderId = childOrderId, parentOrderId = parentOrderId,
created=datetime.datetime.now(),
stop = None,
limit = takeProfitPrice,
amount = childOrder.totalQuantity,
sid = Security(contract.symbol+'.'+contract.currency),
status = 'PreSubmitted',
contract = contract,
order = childOrder,
orderstate = None)
self.nextOrderId += 1
# print order placement time
self.log.info(__name__ + ": " + 'order placed at: ' + str(datetime.datetime.now(self.USeasternTimeZone)))
self.log.info(sec.symbol + ": " + orderAction + " " + str(amount))
return self.nextOrderId
def order_with_SL_TP(self,
sec,
amount,
orderId=None,
stopLossPrice=None,
takeProfitPrice=None):
'''
This function make orders. When amount > 0 it is BUY and when amount < 0 it is SELL
'''
# fill order info
if amount > 0:
orderAction = 'BUY'
orderReverseAction = 'SELL'
amount = int(amount)
elif amount < 0:
orderAction = 'SELL'
orderReverseAction = 'BUY'
amount = int(np.abs(amount))
else:
self.log.warning("order amount is 0!")
return
if (stopLossPrice is None):
self.log.warning("can not place an order without stop loss!")
return
# fill contract info
contract = create_contract(sec)
### place order
# market order
marketOrder = IBCpp.Order()
marketOrder.action = orderAction
marketOrder.totalQuantity = amount
marketOrder.orderType = 'MKT'
marketOrder.transmit = False
marketOrder.account = self.accountCode
parentOrderId = self.nextOrderId
self.placeOrder(parentOrderId, contract, marketOrder)
if not (parentOrderId in self.context.portfolio.openOrderBook):
self.context.portfolio.openOrderBook[parentOrderId] = \
OrderClass(orderId = parentOrderId, parentOrderId = None,
created=datetime.datetime.now(),
stop = None,
limit = None,
amount = marketOrder.totalQuantity,
sid = Security(contract.symbol+'.'+contract.currency),
status = 'PreSubmitted',
contract = contract,
order = marketOrder,
orderstate = None)
self.nextOrderId += 1
# stop sell order: stop loss
childOrder = IBCpp.Order()
childOrder.action = orderReverseAction
childOrder.totalQuantity = amount
childOrder.orderType = 'STP'
childOrder.auxPrice = self.roundToMinTick(stopLossPrice)
childOrder.parentId = parentOrderId
if (takeProfitPrice is None):
childOrder.transmit = True # if not limit order transmit STP order
else:
childOrder.transmit = False
childOrder.account = self.accountCode
childOrderId = self.nextOrderId
childOrder.ocaGroup = str(parentOrderId)
self.placeOrder(childOrderId, contract, childOrder)
if not (childOrderId in self.context.portfolio.openOrderBook):
self.context.portfolio.openOrderBook[childOrderId] = \
OrderClass(orderId = childOrderId, parentOrderId = parentOrderId,
created=datetime.datetime.now(),
stop = stopLossPrice,
limit = None,
amount = childOrder.totalQuantity,
sid = Security(contract.symbol+'.'+contract.currency),
status = 'PreSubmitted',
contract = contract,
order = childOrder,
orderstate = None)
self.nextOrderId += 1
# limit sell order: take profit
# Limit order: an order to buy or sell at a specified price or better.
if (takeProfitPrice is not None):
childOrder = IBCpp.Order()
childOrder.action = orderReverseAction
childOrder.totalQuantity = amount
childOrder.orderType = 'LMT'
childOrder.lmtPrice = self.roundToMinTick(takeProfitPrice)
childOrder.parentId = parentOrderId
childOrder.transmit = True
childOrder.account = self.accountCode
childOrderId = self.nextOrderId
childOrder.ocaGroup = str(parentOrderId)
self.placeOrder(childOrderId, contract, childOrder)
if not (childOrderId in self.context.portfolio.openOrderBook):
self.context.portfolio.openOrderBook[childOrder] = \
OrderClass(orderId = childOrderId, parentOrderId = parentOrderId,
created=datetime.datetime.now(),
stop = None,
limit = takeProfitPrice,
amount = childOrder.totalQuantity,
sid = Security(contract.symbol+'.'+contract.currency),
status = 'PreSubmitted',
contract = contract,
order = childOrder,
orderstate = None)
self.nextOrderId += 1
# print order placement time
self.log.info(__name__ + ": " + 'order placed at: ' +
str(datetime.datetime.now(self.USeasternTimeZone)))
self.log.info(sec.symbol + ": " + orderAction + " " + str(amount))
return self.nextOrderId
