def HotUSStkByVolume():
# Hot US stocks by volume
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "HOT_BY_VOLUME"
return scanSub
def TopPercentGainersIbis():
# Top % gainers at IBIS
scanSub = ScannerSubscription()
scanSub.instrument = "STOCK.EU"
scanSub.locationCode = "STK.EU.IBIS"
scanSub.scanCode = "TOP_PERC_GAIN"
return scanSub
def MostActiveFutSoffex():
# Most active futures at SOFFEX
scanSub = ScannerSubscription()
scanSub.instrument = "FUT.EU"
scanSub.locationCode = "FUT.EU.SOFFEX"
scanSub.scanCode = "MOST_ACTIVE"
return scanSub
def main():
# Create the client and connect to TWS
client = StockScanner('127.0.0.1', 7497, 7)
time.sleep(3)
# Create the object ScannerSubscription
scanSub = ScannerSubscription() # Defines a market scanner request
scanSub.instrument = 'STOCK.HK'
scanSub.locationCode = 'STK.HK.NSE'
# scanSub.scanCode = 'ALL_SYMBOLS_ASC'
scanSub.scanCode = 'TOP_TRADE_COUNT'
# Set additional filter criteria
tagvalues = []
tagvalues.append(TagValue('hasOptionsIs', 'true'))
tagvalues.append(TagValue("usdPriceAbove", "0"))
tagvalues.append(TagValue("usdPriceBelow", "2"))
print(tagvalues)
# Request the scanner subscription
client.reqScannerSubscription(7, scanSub, [], tagvalues)
# Disconnect from TWS
time.sleep(5)
client.disconnect()
def HighOptVolumePCRatioUSIndexes():
# High option volume P/C ratio US indexes
scanSub = ScannerSubscription()
scanSub.instrument = "IND.US"
scanSub.locationCode = "IND.US"
scanSub.scanCode = "HIGH_OPT_VOLUME_PUT_CALL_RATIO"
return scanSub
def ComplexOrdersAndTrades():
#! [combolatesttrade]
# High option volume P/C ratio US indexes
scanSub = ScannerSubscription()
scanSub.instrument = "NATCOMB"
scanSub.locationCode = "NATCOMB.OPT.US"
scanSub.scanCode = "COMBO_LATEST_TRADE"
#! [combolatesttrade]
return scanSub
def TopPercentLoserUsEquity1():
# top percent losers of stocks with Market Cap < 1B and
# average volume greater than 100K
#! [toppercentloserusequity]
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "TOP_PERC_LOSER"
return scanSub
def LowPriceEarningsRatio():
scanSub = ScannerSubscription()
# low price to earnings ratio stocks
#! [lowpriceearningsratio]
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "LOW_PE_RATIO"
#! [lowpriceearningsratio]
return scanSub
def nextValidId(self, orderId: int):
scanSub = ScannerSubscription()
scanSub.instrument = 'STK'
scanSub.locationCode = 'STK.US'
scanSub.scanCode = 'HIGH_OPT_IMP_VOLAT'
scanSub.abovePrice = 100
scanSub.numberOfRows = 1000
scanSub.scannerSettingPairs = 'Annual, true'
self.reqScannerSubscription(1, scanSub, [], [])
def main():
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "TOP_PERC_GAIN"
scanSub.marketCapAbove = 8000000000
app = TestApp(scanSub)
app.connect("127.0.0.1", 7497, 1)
app.run()
def assemble_stock_list(client, sentiment):
''' Use scanner to obtain stock list '''
# Define scanner subscription
ss = ScannerSubscription()
ss.instrument = 'STK'
ss.locationCode = 'STK.US.MAJOR'
ss.abovePrice = 10.0
ss.belowPrice = client.funds / 200.0
ss.aboveVolume = 20000
ss.numberOfRows = 5
# Set scan code according to sentiment
if sentiment == Sentiment.BULLISH:
ss.scanCode = 'HIGH_VS_13W_HL'
else:
ss.scanCode = 'LOW_VS_13W_HL'
# Request securities
client.reqScannerSubscription(4, ss, [], [])
time.sleep(3)
def hot_us_stk(abovePrice, belowPrice, locationCode, scanCode):
#! [hotusvolume]
#Hot US stocks by volume
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = locationCode
#scanSub.locationCode = "STK.NASDAQ"
#scanSub.scanCode = "HOT_BY_VOLUME"
scanSub.scanCode = scanCode
#scanSub.scanCode = "MOST_ACTIVE"
scanSub.belowPrice = str(belowPrice)
scanSub.abovePrice = str(abovePrice)
return scanSub
def HottestPennyStocks():
"""
Subscribe to US stocks 1 < price < 10 and vol > 1M.
Scan code = TOP_PERC_GAIN
"""
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US"
scanSub.scanCode = "TOP_PERC_GAIN"
scanSub.abovePrice = 2
scanSub.belowPrice = 50
scanSub.aboveVolume = 1000000
return scanSub
def scan(self, req_id: int, exchange_abbrev: str):
"""Performs a market scan of contracts through the IB API"""
# Creates the scanner object to be used in reqScannerSubscription()
scanner = ScannerSubscription()
scanner.instrument = 'STK'
scanner.locationCode = 'STK.' + exchange_abbrev
scanner.stockTypeFilter = 'CORP'
scanner.scanCode = "MOST_ACTIVE_AVG_USD"
scanner.abovePrice = 10.0
scanner.belowPrice = 20.0
# Third argument of reqScannerSubscription() should always be an empty list. It is used internally by IB API.
# Fourth argument is an optional list of filters as TagValue objects.
self.reqScannerSubscription(req_id, scanner, [], [])
def main():
# Create the client and connect to TWS
client = StockScanner('127.0.0.1', 7497, 0)
time.sleep(0.5)
# Create the ScannerSubscription object
ss = ScannerSubscription()
ss.instrument = 'STK'
ss.locationCode = 'STK.US.MAJOR'
ss.scanCode = 'HOT_BY_VOLUME'
# Set additional filter criteria
tagvalues = []
tagvalues.append(TagValue('avgVolumeAbove', '500000'))
tagvalues.append(TagValue('marketCapAbove1e6', '10'))
# Requet the scanner subscription
client.reqScannerSubscription(0, ss, [], tagvalues)
# Sleep while the request is processed
time.sleep(5)
client.disconnect()
def main():
cmdLineParser = argparse.ArgumentParser("api tests")
#cmdLineParser.add_option("-c", action="store_true", dest="use_cache", default = False, help = "use the cache")
#cmdLineParser.add_option("-f", action="store", type="string", dest="file", default="", help="the input file")
cmdLineParser.add_argument("-p",
"--port",
action="store",
type=int,
dest="port",
default=4005,
help="The TCP port to use")
args = cmdLineParser.parse_args()
print("Using args", args)
import logging
logging.debug("Using args %s", args)
#print(args)
logging.debug("now is %s", datetime.datetime.now())
logging.getLogger().setLevel(logging.ERROR)
#enable logging when member vars are assigned
import utils
from order import Order
Order.__setattr__ = utils.setattr_log
from contract import Contract, DeltaNeutralContract
Contract.__setattr__ = utils.setattr_log
DeltaNeutralContract.__setattr__ = utils.setattr_log
from tag_value import TagValue
TagValue.__setattr__ = utils.setattr_log
TimeCondition.__setattr__ = utils.setattr_log
ExecutionCondition.__setattr__ = utils.setattr_log
MarginCondition.__setattr__ = utils.setattr_log
PriceCondition.__setattr__ = utils.setattr_log
PercentChangeCondition.__setattr__ = utils.setattr_log
VolumeCondition.__setattr__ = utils.setattr_log
#from inspect import signature as sig
#import code; code.interact(local=dict(globals(), **locals()))
#sys.exit(1)
app = TestApp()
app.connect("127.0.0.1", args.port, 0)
app.reqCurrentTime()
app.reqManagedAccts()
app.reqAccountSummary(reqId=2, groupName="All", tags="NetLiquidation")
app.reqAllOpenOrders()
contract = Contract()
contract.symbol = "AMD"
contract.secType = "STK"
contract.currency = "USD"
contract.exchange = "SMART"
#app.reqMarketDataType(1)
#app.reqMktData(1001, contract, "", snapshot=True)
#app.cancelMktData(1001)
#app.reqExecutions(2001, ExecutionFilter())
#app.reqContractDetails(3001, contract)
#app.reqPositions()
#app.reqIds(2)
#app.reqMktDepth(4001, contract, 5, "")
#app.cancelMktDepth(4001)
#app.reqNewsBulletins(allMsgs=True)
#app.cancelNewsBulletins()
#app.requestFA(FaDataTypeEnum.GROUPS)
#app.reqHistoricalData(5001, contract, "20161215 16:00:00", "2 D",
# "1 hour", "TRADES", 0, 1, [])
#app.cancelHistoricalData(5001)
#app.reqFundamentalData(6001, contract, "ReportSnapshot")
#app.cancelFundamentalData(6001)
#app.queryDisplayGroups(7001)
#app.subscribeToGroupEvents(7002, 1)
#app.unsubscribeFromGroupEvents(7002)
#app.reqScannerParameters()
ss = ScannerSubscription()
ss.instrument = "STK"
ss.locationCode = "STK.US"
ss.scanCode = "TOP_PERC_LOSE"
#app.reqScannerSubscription(8001, ss, [])
#app.cancelScannerSubscription(8001)
#app.reqRealTimeBars(9001, contract, 5, "TRADES", 0, [])
#app.cancelRealTimeBars(9001)
#app.reqSecDefOptParams(10001, "AMD", "", "STK", 4391)
#app.reqSoftDollarTiers(11001)
#app.reqFamilyCodes()
#app.reqMatchingSymbols(12001, "AMD")
contract = Contract()
contract.symbol = "AMD"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20170120"
contract.strike = 10
contract.right = "C"
contract.multiplier = "100"
#Often, contracts will also require a trading class to rule out ambiguities
contract.tradingClass = "AMD"
#app.calculateImpliedVolatility(13001, contract, 1.3, 10.85)
#app.calculateOptionPrice(13002, contract, 0.65, 10.85)
app.run()
def LowPriceTangibleBookRatio():
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "LOW_PRICE_2_TAN_BOOK_RATIO"
return scanSub
def LowReturnOnEquity():
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "LOW_RETURN_ON_EQUITY"
def HighReturnOnEquity():
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "HIGH_RETURN_ON_EQUITY"
return scanSub
try:
app = TradingApp()
app.connect("127.0.0.1", 4001, clientId=2)
# starting a separate daemon thread to execute the websocket connection
con_thread = threading.Thread(target=websocket_con, daemon=True)
con_thread.start()
time.sleep(
1) # some latency added to ensure that the connection is established
except Exception as ex:
logger.error("Error connecting gateway %s", ex)
########### Connect to TWS End ##############
scanSub = ScannerSubscription()
scanSub.instrument = "STOCK.HK"
scanSub.locationCode = "STK.HK.NSE"
scanSub.scanCode = "TOP_PERC_GAIN"
newdata = app.reqScannerSubscription(7001, scanSub, [], [])
#app.reqScannerParameters()
########### Get available cash balance #########
app.reqAccountSummary(9002, "All", "$LEDGER")
time.sleep(3)
########### Get available cash balance end #########
########### Prepare Historical Data Start ##############
tickers = [] #["AXISBANK","RELIANCE", "HDFC","ICICIBANK","MARUTI","BAJFINANC"]
queryTime = (datetime.datetime.today() -
datetime.timedelta(days=1)).strftime("%Y%m%d %H:%M:%S")
for ticker in tickers: