コード例 #1
0
ファイル: simulator.py プロジェクト: alexcwyu/python-trading
 def __process_event(self, event):
     logger.debug("[%s] %s" % (self.__class__.__name__, event))
     if event.inst_id in self.ord_req_map:
         for cl_ord_map in self.ord_req_map[event.inst_id].values():
             for new_ord_req in cl_ord_map.values():
                 fill_info = self.fill_strategy.process_w_market_data(new_ord_req, event, False)
                 executed = self.execute(new_ord_req, fill_info)
コード例 #2
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def updateMktDepthL2(self, id, position, marketMaker, operation, side, price, size):
     """
     TickerId id, int position, IBString marketMaker, int operation, int side, double price,
     int size
     """
     logger.debug("updateMktDepthL2, id=%s position=%s marketMaker=%s operation=%s side=%s price=%s size=%s", id,
                  position, marketMaker, operation, side, price, size)
コード例 #3
0
    def on_trade(self, trade):
        logger.debug("[%s] %s" % (self.__class__.__name__, trade))
        self.__trade_dict[trade.inst_id] = trade
        self.get_series(trade.series_id()).add({"timestamp": trade.timestamp, "price": trade.price, "size": trade.size})

        if self._is_realtime_persist():
            self.store.save_trade(trade)
コード例 #4
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, gamma, vega, theta, undPrice):
     """
     TickerId tickerId, TickType tickType, double impliedVol, double delta, double optPrice,
     double pvDividend, double gamma, double vega, double theta, double undPrice
     """
     logger.debug(
         "tickOptionComputation, tickerId=%s tickType=%s simpliedVol=%s delta=%s optPrice=%s, gamma=%s, vega=%s, theta=%s, undPrice=%s",
         tickerId, tickType, impliedVol, delta, optPrice, gamma, vega, theta, undPrice)
コード例 #5
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr):
     """
     int reqId, int rank, ContractDetails contractDetails, IBString const & distance,
     IBString const & benchmark, IBString const & projection, IBString const & legsStr
     """
     logger.debug(
         "scannerData, reqId=%s, rank=%s, contractDetails=%s, distance=%s, benchmark=%s, projection=%s, legsStr=%s",
         reqId, rank, contractDetails, distance, benchmark, projection, legsStr)
コード例 #6
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def realtimeBar(self, reqId, time, open, high, low, close, volume, wap, count):
     """
     TickerId reqId, long time, double open, double high, double low, double close, long volume,
     double wap, int count
     """
     logger.debug("realtimeBar, reqId=%s time=%s open=%s high=%s low=%s close=%s volume=%s wap=%s count=%s", reqId,
                  time, open, high,
                  low, close, volume,
                  wap, count)
コード例 #7
0
ファイル: simulator.py プロジェクト: alexcwyu/python-trading
    def on_new_ord_req(self, new_ord_req):
        logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))

        self.clordid_ordid_map
        self.__add_order(new_ord_req)
        self.__send_exec_report(new_ord_req, 0, 0, OrdStatus.SUBMITTED)

        fill_info = self.fill_strategy.process_new_order(new_ord_req)
        executed = self.execute(new_ord_req, fill_info)
コード例 #8
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def updateMktDepthL2(self, id, position, marketMaker, operation, side,
                      price, size):
     """
     TickerId id, int position, IBString marketMaker, int operation, int side, double price,
     int size
     """
     logger.debug(
         "updateMktDepthL2, id=%s position=%s marketMaker=%s operation=%s side=%s price=%s size=%s",
         id, position, marketMaker, operation, side, price, size)
コード例 #9
0
ファイル: simulator.py プロジェクト: jjchan121/python-trading
    def on_new_ord_req(self, new_ord_req):
        logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))

        self.clordid_ordid_map
        self.__add_order(new_ord_req)
        self.__send_exec_report(new_ord_req, 0, 0, OrdStatus.SUBMITTED)

        fill_info = self.fill_strategy.process_new_order(new_ord_req)
        executed = self.execute(new_ord_req, fill_info)
コード例 #10
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
                 parentId, lastFilledPrice, clientId, whyHeld):
     """
     OrderId orderId, IBString const & status, int filled, int remaining, double avgFillPrice,
     int permId, int parentId, double lastFillPrice, int clientId, IBString const & whyHeld
     """
     logger.debug(
         "orderStatus, id=%s, status=%s, filled=%s, remaining=%s, avgFillPrice=%s, permId=%s, parentId=%s, lastFilledPrice=%s, clientId=%s, whyHeld=%s",
         id, status, filled, remaining, avgFillPrice, permId,
         parentId, lastFilledPrice, clientId, whyHeld)
コード例 #11
0
    def on_quote(self, quote):
        logger.debug("[%s] %s" % (self.__class__.__name__, quote))
        self.__quote_dict[quote.inst_id] = quote

        self.get_series(quote.series_id()).add(
            {"timestamp": quote.timestamp, "bid": quote.bid, "ask": quote.ask, "bid_size": quote.bid_size,
             "ask_size": quote.ask_size})

        if self._is_realtime_persist():
            self.store.save_quote(quote)
コード例 #12
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL,
                     accountName):
     """
     Contract contract, int position, double marketPrice, double marketValue, double averageCost,
     double unrealizedPNL, double realizedPNL, IBString const & accountName
     """
     logger.debug(
         "updatePortfolio, contract=%s position=%s marketPrice=%s marketValue=%s averageCost=%s, unrealizedPNL=%s, realizedPNL=%s, accountName=%s",
         contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL,
         accountName)
コード例 #13
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def scannerData(self, reqId, rank, contractDetails, distance, benchmark,
                 projection, legsStr):
     """
     int reqId, int rank, ContractDetails contractDetails, IBString const & distance,
     IBString const & benchmark, IBString const & projection, IBString const & legsStr
     """
     logger.debug(
         "scannerData, reqId=%s, rank=%s, contractDetails=%s, distance=%s, benchmark=%s, projection=%s, legsStr=%s",
         reqId, rank, contractDetails, distance, benchmark, projection,
         legsStr)
コード例 #14
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def historicalData(self, reqId, date, open, high, low, close, volume,
                    barCount, WAP, hasGaps):
     """
     TickerId reqId, IBString const & date, double open, double high, double low, double close,
     int volume, int barCount, double WAP, int hasGaps)
     """
     logger.debug(
         "historicalData, reqId=%s date=%s open=%s high=%s low=%s close=%s volume=%s barCount=%s WAP=%s hasGaps=%s",
         reqId, date, open, high, low, close, volume, barCount, WAP,
         hasGaps)
コード例 #15
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
                 parentId, lastFilledPrice, clientId, whyHeld):
     """
     OrderId orderId, IBString const & status, int filled, int remaining, double avgFillPrice,
     int permId, int parentId, double lastFillPrice, int clientId, IBString const & whyHeld
     """
     logger.debug(
         "orderStatus, id=%s, status=%s, filled=%s, remaining=%s, avgFillPrice=%s, permId=%s, parentId=%s, lastFilledPrice=%s, clientId=%s, whyHeld=%s",
         id, status, filled, remaining, avgFillPrice, permId, parentId,
         lastFilledPrice, clientId, whyHeld)
コード例 #16
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def tickOptionComputation(self, tickerId, tickType, impliedVol, delta,
                           optPrice, gamma, vega, theta, undPrice):
     """
     TickerId tickerId, TickType tickType, double impliedVol, double delta, double optPrice,
     double pvDividend, double gamma, double vega, double theta, double undPrice
     """
     logger.debug(
         "tickOptionComputation, tickerId=%s tickType=%s simpliedVol=%s delta=%s optPrice=%s, gamma=%s, vega=%s, theta=%s, undPrice=%s",
         tickerId, tickType, impliedVol, delta, optPrice, gamma, vega,
         theta, undPrice)
コード例 #17
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def updatePortfolio(self, contract, position, marketPrice, marketValue,
                     averageCost, unrealizedPNL, realizedPNL, accountName):
     """
     Contract contract, int position, double marketPrice, double marketValue, double averageCost,
     double unrealizedPNL, double realizedPNL, IBString const & accountName
     """
     logger.debug(
         "updatePortfolio, contract=%s position=%s marketPrice=%s marketValue=%s averageCost=%s, unrealizedPNL=%s, realizedPNL=%s, accountName=%s",
         contract, position, marketPrice, marketValue, averageCost,
         unrealizedPNL, realizedPNL, accountName)
コード例 #18
0
ファイル: ib_broker.py プロジェクト: vjaeng/python-trading
    def on_new_ord_req(self, new_ord_req):
        logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))

        ord_id = self.get_next_order_id()
        self.ord_req_reg.add_ord_req(ord_id, new_ord_req)

        ib_order = self.model_factory.create_ib_order(new_ord_req)
        contract = self.model_factory.create_ib_contract(new_ord_req.inst_id)

        self.tws.placeOrder(ord_id, contract, ib_order)
コード例 #19
0
ファイル: ib_broker.py プロジェクト: vjaeng/python-trading
    def on_ord_cancel_req(self, ord_cancel_req):
        logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))

        ord_id = self.ord_req_reg.get_ord_id(cl_id=ord_cancel_req.cl_id, cl_ord_id=ord_cancel_req.cl_ord_id)

        if ord_id:
            self.tws.cancelOrder(ord_id)
        else:
            logger.error(
                "cannot find old order, cl_id = %s, cl_ord_id = %s" % (ord_cancel_req.cl_id, ord_cancel_req.cl_ord_id))
コード例 #20
0
    def on_bar(self, bar):
        logger.debug("[%s] %s" % (self.__class__.__name__, bar))
        self.__bar_dict[bar.inst_id] = bar

        self.get_series(bar.series_id()).add(
            {"timestamp": bar.timestamp, "open": bar.open, "high": bar.high, "low": bar.low, "close": bar.close,
             "vol": bar.vol})

        if self._is_realtime_persist():
            self.store.save_bar(bar)
コード例 #21
0
 def process_row(self, index, row):
     logger.debug("[%s] process_row with index %s, symbol %s" % (self.__class__.__name__, index, row['Symbol']))
     inst = self.ref_data_mgr.get_inst(symbol=row['Symbol'])
     return Bar(inst_id=inst.inst_id,
                timestamp=DateUtils.datetime_to_unixtimemillis(index),
                open=row['Open'],
                high=row['High'],
                low=row['Low'],
                close=row['Close'],
                vol=row['Volume'],
                size=row['BarSize'])
コード例 #22
0
ファイル: __init__.py プロジェクト: vjaeng/python-trading
    def on_update(self, data):
        logger.debug("[%s] on_update %s" % (self.__class__.__name__, data))
        if data['timestamp'] != self.__curr_timestamp:
            self.__curr_timestamp = data['timestamp']
            self._flush_and_create()

        data_name = data['name']
        if data_name in self.input_names:
            j = self.input_names_pos[data_name]
            self.cache[data_name] = self.inputs[j].get_by_idx(
                keys=self.input_keys, idx=slice(-self.length, None, None))
コード例 #23
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureExpiry,
             dividendImpact, dividendsToExpiry):
     """
     EWrapper self, TickerId tickerId, TickType tickType, double basisPoints, IBString const & formattedBasisPoints,
     double totalDividends, int holdDays, IBString const & futureExpiry,
     double dividendImpact, double dividendsToExpiry
     """
     logger.debug(
         "tickEFP, tickerId=%s tickType=%s basisPoints=%s formattedBasisPoints=%s totalDividends=%s, holdDays=%s, futureExpiry=%s, dividendImpact=%s, dividendsToExpiry=%s",
         tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureExpiry,
         dividendImpact, dividendsToExpiry)
コード例 #24
0
    def on_trade(self, trade):
        logger.debug("[%s] %s" % (self.__class__.__name__, trade))
        self.__trade_dict[trade.inst_id] = trade
        self.get_series(trade.series_id()).add({
            "timestamp": trade.timestamp,
            "price": trade.price,
            "size": trade.size
        })

        if self._is_realtime_persist():
            self.store.save_trade(trade)
コード例 #25
0
ファイル: ib_socket.py プロジェクト: alexcwyu/python-trading
 def historicalData(self, reqId, date, open, high,
                    low, close, volume,
                    barCount, WAP, hasGaps):
     """
     TickerId reqId, IBString const & date, double open, double high, double low, double close,
     int volume, int barCount, double WAP, int hasGaps)
     """
     logger.debug(
         "historicalData, reqId=%s date=%s open=%s high=%s low=%s close=%s volume=%s barCount=%s WAP=%s hasGaps=%s",
         reqId, date, open, high,
         low, close, volume,
         barCount, WAP, hasGaps)
コード例 #26
0
ファイル: __init__.py プロジェクト: jjchan121/python-trading
    def on_update(self, data):
        logger.debug("[%s] on_update %s" % (self.__class__.__name__, data))
        if data['timestamp'] != self.__curr_timestamp:
            self.__curr_timestamp = data['timestamp']
            self._flush_and_create()

        data_name = data['name']
        if data_name in self.input_names:
            j = self.input_names_pos[data_name]
            self.cache[data_name] = self.inputs[j].get_by_idx(
                keys=self.input_keys,
                idx=slice(-self.length, None, None))
コード例 #27
0
 def process_row(self, index, row):
     logger.debug("[%s] process_row with index %s, symbol %s" %
                  (self.__class__.__name__, index, row['Symbol']))
     inst = self.ref_data_mgr.get_inst(symbol=row['Symbol'])
     return Bar(inst_id=inst.inst_id,
                timestamp=DateUtils.datetime_to_unixtimemillis(index),
                open=row['Open'],
                high=row['High'],
                low=row['Low'],
                close=row['Close'],
                vol=row['Volume'],
                size=row['BarSize'])
コード例 #28
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints,
             totalDividends, holdDays, futureExpiry, dividendImpact,
             dividendsToExpiry):
     """
     EWrapper self, TickerId tickerId, TickType tickType, double basisPoints, IBString const & formattedBasisPoints,
     double totalDividends, int holdDays, IBString const & futureExpiry,
     double dividendImpact, double dividendsToExpiry
     """
     logger.debug(
         "tickEFP, tickerId=%s tickType=%s basisPoints=%s formattedBasisPoints=%s totalDividends=%s, holdDays=%s, futureExpiry=%s, dividendImpact=%s, dividendsToExpiry=%s",
         tickerId, tickType, basisPoints, formattedBasisPoints,
         totalDividends, holdDays, futureExpiry, dividendImpact,
         dividendsToExpiry)
コード例 #29
0
    def send_order(self, new_ord_req):
        logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))

        if new_ord_req.cl_id in self.ord_reqs and new_ord_req.cl_ord_id in self.ord_reqs[new_ord_req.cl_id]:
            raise RuntimeError("ord_reqs[%s][%s] already exist" % (new_ord_req.cl_id, new_ord_req.cl_ord_id))

        self._add_order_req(new_ord_req)

        order = self.app_context.order_mgr.send_order(new_ord_req)

        self._add_order(order)
        self.get_position(order.inst_id).add_order(order)
        return order
コード例 #30
0
    def on_quote(self, quote):
        logger.debug("[%s] %s" % (self.__class__.__name__, quote))
        self.__quote_dict[quote.inst_id] = quote

        self.get_series(quote.series_id()).add({
            "timestamp": quote.timestamp,
            "bid": quote.bid,
            "ask": quote.ask,
            "bid_size": quote.bid_size,
            "ask_size": quote.ask_size
        })

        if self._is_realtime_persist():
            self.store.save_quote(quote)
コード例 #31
0
    def on_exec_report(self, exec_report):
        logger.debug("[%s] %s" % (self.__class__.__name__, exec_report))

        if exec_report.cl_id not in self.ord_reqs and exec_report.cl_ord_id not in self.ord_reqs[exec_report.cl_id]:
            raise Exception("Order not found, ord_reqs[%s][%s]" % (exec_report.cl_id, exec_report.cl_ord_id))

        new_ord_req = self.ord_reqs[exec_report.cl_id][exec_report.cl_ord_id]
        direction = 1 if new_ord_req.action == OrdAction.BUY else -1
        if exec_report.last_qty > 0:
            inst = self.app_context.ref_data_mgr.get_inst(exec_report.inst_id)
            multiplier = inst.factor if inst.type in [InstType.Future, InstType.Option] else 1
            self.cash -= (direction * multiplier* exec_report.last_qty * exec_report.last_price + exec_report.commission)
            self.add_position(exec_report.inst_id, exec_report.cl_id, exec_report.cl_ord_id,
                              direction * exec_report.last_qty)
            self.update_position_price(exec_report.timestamp, exec_report.inst_id, multiplier*exec_report.last_price)
コード例 #32
0
    def on_bar(self, bar):
        logger.debug("[%s] %s" % (self.__class__.__name__, bar))
        self.__bar_dict[bar.inst_id] = bar

        self.get_series(bar.series_id()).add({
            "timestamp": bar.timestamp,
            "open": bar.open,
            "high": bar.high,
            "low": bar.low,
            "close": bar.close,
            "vol": bar.vol
        })

        if self._is_realtime_persist():
            self.store.save_bar(bar)
コード例 #33
0
ファイル: ib_broker.py プロジェクト: vjaeng/python-trading
    def on_ord_replace_req(self, ord_replace_req):
        logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))

        existing_ord_req = self.ord_req_reg.get_ord_req(cl_id=ord_replace_req.cl_id,
                                                        cl_ord_id=ord_replace_req.cl_ord_id)
        if existing_ord_req:

            ord_id = self.ord_req_reg.get_ord_id(cl_id=ord_replace_req.cl_id, cl_ord_id=ord_replace_req.cl_ord_id)

            updated_ord_req = existing_ord_req.update_ord_request(ord_replace_req)

            self.ord_req_reg.add_ord_req(ord_id, updated_ord_req)

            ib_order = self.model_factory.create_ib_order(updated_ord_req)
            contract = self.model_factory.create_ib_contract(updated_ord_req.inst_id)
            self.tws.placeOrder(ord_id, contract, ib_order)
        else:
            logger.error("cannot find old order, cl_ord_id = %s" % ord_replace_req.cl_ord_id)
コード例 #34
0
ファイル: ib_broker.py プロジェクト: vjaeng/python-trading
    def contractDetails(self, reqId, contractDetails):
        """
        int reqId, ContractDetails contractDetails
        """
        cd = contractDetails
        sd = contractDetails.summary
        logger.debug("contractDetails, reqId=%s, conId=%s, symbol=%s, secType=%s, exchange=%s, " +
                     "primaryExchange=%s, expiry=%s, strike=%s, right=%s, " +
                     "multiplier=%s, currency=%s, localSymbol=%s, secIdType=%s, " +
                     "secId=%s, includeExpired=%s, comboLegsDescrip=%s, comboLegs=%s, " +
                     "underComp=%s, " +
                     "marketName=%s, tradingClass=%s, minTick=%s, orderTypes=%s, " +
                     "validExchanges=%s, priceMagnifier=%s, underConId=%s, longName=%s, " +
                     "longName=%s, contractMonth=%s, industry=%s, category=%s, " +
                     "timeZoneId=%s, tradingHours=%s, liquidHours=%s, evRule=%s, " +
                     "evMultiplier=%s, secIdList=%s, cusip=%s, ratings=%s, " +
                     "descAppend=%s, bondType=%s, couponType=%s, callable=%s, " +
                     "putable=%s, coupon=%s, convertible=%s, issueDate=%s, " +
                     "nextOptionDate=%s, nextOptionType=%s, nextOptionPartial=%s, notes=%s"
                     , reqId,
                     sd.conId, sd.symbol, sd.secType, sd.exchange,
                     sd.primaryExchange, sd.expiry, sd.strike, sd.right,
                     sd.multiplier, sd.currency, sd.localSymbol, sd.secIdType,
                     sd.secId, sd.includeExpired, sd.comboLegsDescrip, sd.comboLegs,
                     sd.underComp,
                     cd.marketName, cd.tradingClass, cd.minTick, cd.orderTypes,
                     cd.validExchanges, cd.priceMagnifier, cd.underConId, cd.longName,
                     cd.longName, cd.contractMonth, cd.industry, cd.category,
                     cd.timeZoneId, cd.tradingHours, cd.liquidHours, cd.evRule,
                     cd.evMultiplier, cd.secIdList, cd.cusip, cd.ratings,
                     cd.descAppend, cd.bondType, cd.couponType, cd.callable,
                     cd.putable, cd.coupon, cd.convertible, cd.issueDate,
                     cd.nextOptionDate, cd.nextOptionType, cd.nextOptionPartial, cd.notes)

        self.ref_data_mgr.create_inst(name=cd.longName, type=sd.secType, symbol=sd.symbol, exch_id=sd.exchange,
                                      ccy_id=sd.currency,
                                      # alt_symbol = {Broker.IB: sd.symbol},
                                      # alt_exch_id = {Broker.IB: sd.exchange},
                                      sector=cd.industry, industry=cd.category)

        logger.info("saved")
コード例 #35
0
 def on_new_ord_req(self, new_ord_req):
     logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
     self.send_order(new_ord_req)
コード例 #36
0
 def on_market_depth(self, market_depth):
     logger.debug("[%s] %s" % (self.__class__.__name__, market_depth))
コード例 #37
0
 def on_trade(self, trade):
     logger.debug("[%s] %s" % (self.__class__.__name__, trade))
     self.update_time(trade.timestamp)
コード例 #38
0
 def on_quote(self, quote):
     logger.debug("[%s] %s" % (self.__class__.__name__, quote))
     self.update_time(quote.timestamp)
コード例 #39
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def tickGeneric(self, tickerId, tickType, value):
     """
     TickerId tickerId, TickType tickType, double value
     """
     logger.debug("tickGeneric, tickerId=%s tickType=%s value=%s", tickerId,
                  tickType, value)
コード例 #40
0
 def on_ord_upd(self, ord_upd):
     logger.debug("[%s] %s" % (self.__class__.__name__, ord_upd))
コード例 #41
0
 def on_ord_upd(self, ord_upd):
     if ord_upd.portf_id == self.portf_id:
         logger.debug("[%s] %s" % (self.__class__.__name__, ord_upd))
コード例 #42
0
 def replace_order(self, ord_replace_req):
     logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))
     order = self.app_context.order_mgr.replace_order(ord_replace_req)
     return order
コード例 #43
0
 def cancel_order(self, ord_cancel_req):
     logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))
     order = self.app_context.order_mgr.cancel_order(ord_cancel_req)
     return order
コード例 #44
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def nextValidId(self, orderId):
     """
     OrderId orderId
     """
     logger.debug("nextValidId, orderId=%s", orderId)
コード例 #45
0
 def on_ord_replace_req(self, ord_replace_req):
     logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))
     self.replace_order(ord_replace_req)
コード例 #46
0
 def on_acc_upd(self, acc_upd):
     logger.debug("[%s] %s" % (self.__class__.__name__, acc_upd))
コード例 #47
0
 def on_ord_cancel_req(self, ord_cancel_req):
     logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))
     self.cancel_order(ord_cancel_req)
コード例 #48
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def tickString(self, tickerId, tickType, value):
     """
     TickerId tickerId, TickType tickType, IBString const & value
     """
     logger.debug("tickString, tickerId=%s tickType=%s value=%s", tickerId,
                  tickType, value)
コード例 #49
0
 def on_exec_report(self, exec_report):
     logger.debug("[%s] %s" % (self.__class__.__name__, exec_report))
コード例 #50
0
 def on_bar(self, bar):
     logger.debug("[%s] %s" % (self.__class__.__name__, bar))
     self.update_time(bar.timestamp)
コード例 #51
0
 def on_portf_upd(self, portf_upd):
     logger.debug("[%s] %s" % (self.__class__.__name__, portf_upd))
コード例 #52
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def tickSize(self, tickerId, field, size):
     logger.debug("tickSize, tickerId=%s field=%s size=%s", tickerId, field,
                  size)
コード例 #53
0
    def on_bar(self, bar):
        reval_date = DateUtils.unixtimemillis_to_datetime(bar.timestamp)
        futures_expiry_dict = VIXFuture.future_expirydays_calculator(reval_date, self.instruments)

        active_futures = {k: v for k, v in futures_expiry_dict.iteritems()
                                if v > self.exp_date_lb and v < self.exp_date_ub}

        active_futures_sorted = OrderedDict(sorted(active_futures.items(), key=lambda y: y[1]))

        if bar.inst_id in active_futures_sorted:
            logger.debug("id is in active futures" % bar.inst_id)
            roll = VIXFuture.daily_roll(bar.adj_close, self.vix_index.now("value"), active_futures_sorted[bar.inst_id])
            logger.debug("roll = %s" % roll)
            if not self.portfolio.has_position(self.stg_id, bar.inst_id):
                threshold = self.get_stg_config_value("short_entry_threshold", 0.02)
                if roll > threshold:
                    logger.debug("Roll > threshold %s" % threshold)
                    logger.debug("Now send a short order")
                    self.market_order(inst_id=bar.inst_id, action=OrdAction.SELL, qty=self.qty)

            else:
                threshold = self.get_stg_config_value("short_exit_threshold", -0.01)
                if roll < threshold:
                    logger.debug("Roll < threshold %s" % threshold)
                    logger.debug("Now exit")
                    self.market_order(inst_id=bar.inst_id, action=OrdAction.BUY, qty=self.qty)
コード例 #54
0
ファイル: ib_socket.py プロジェクト: vjaeng/python-trading
 def receiveFA(self, pFaDataType, cxml):
     """
     faDataType pFaDataType, IBString const & cxml
     """
     logger.debug("receiveFA, pFaDataType=%s, cxml=%s", pFaDataType, cxml)