def request_market_data(self, requested_data, ticker):
next_req_id = self.get_next_req_id()
self.calling_info[next_req_id] = core.Struct(
ticker=ticker,
requested_data=requested_data,
method='request_market_data')
self.reqMktData(next_req_id, util.get_contract(ticker), "", True,
False, [])
def request_market_data(self, req_id, ticker):
if self.live_mode:
self.reqMktData(req_id, util.get_contract(ticker), "", False, False, [])
else:
with open(self.input_file, "r") as f:
data = json.load(f)
for time, price in data:
self.current_tick_time[ticker] = time
self.current_tick_price[ticker] = price
self.tickPrice(self.current_req_id, 4, price, {})
def request_historical_data(self, requested_data, ticker):
# Remember queries in this session
requested_data_key = f"{requested_data},{ticker}"
if requested_data_key in self.session_requested_data:
gcnv.messages.append(f"{requested_data_key} already requested")
return
else:
self.session_requested_data.add(requested_data_key)
if requested_data == "iv":
what_to_show = "OPTION_IMPLIED_VOLATILITY"
elif requested_data == "hv":
what_to_show = "HISTORICAL_VOLATILITY"
elif requested_data == "stock":
what_to_show = "ASK"
else:
raise RuntimeError("Unknown requested_data parameter")
# Adjusting max duration_string query variable
duration_string = "2 Y"
if util.contract_type(ticker) == "FUT":
duration_string = "3 M"
last = gcnv.data_handler.get_max_stored_date(requested_data, ticker)
if last is not None:
delta = datetime.today() - last
if delta.days <= 0:
return
elif delta.days >= 365:
gcnv.data_handler.delete_ticker(ticker)
else:
duration_string = f"{delta.days + 1} D"
logging.info(
f"Last historical query duration string: {duration_string}")
# Class level mappings
next_req_id = self.get_next_req_id()
self.calling_info[next_req_id] = core.Struct(
ticker=ticker, requested_data=requested_data)
# Query
self.reqHistoricalData(next_req_id, util.get_contract(ticker), '',
duration_string, "1 day", what_to_show, 1, 1,
False, [])
def place_order(self, monitor, action, quantity, price=None, order_id=None, test=False):
with self.place_order_lock:
order = Order()
if price == None:
order.orderType = "MKT"
else:
order.orderType = "LMT"
order.lmtPrice = price
order.totalQuantity = quantity
order.action = action # "BUY"|"SELL"
if order_id is None:
order_id = self.get_next_order_id()
assert monitor not in self.order_id_to_monitor_map.values()
self.order_id_to_monitor_map[order_id] = monitor
if not self.live_mode or test:
self.orderStatus(order_id, "Submitted", 1, self.remaining.get(monitor, 0), 0, 0, 0, 0, 0, "")
self.transmit_order(monitor, order)
else:
self.placeOrder(order_id, util.get_contract(monitor.ticker), order)
def request_historical_data(self, ticker):
# Remember queries in this session
if ticker in self.session_requested_data:
logging.info(f"{ticker} already requested")
return
else:
self.session_requested_data.add(ticker)
# Setting query variables
duration_string = "1800 S"
bar_size = "1 secs" # "1 secs" # "1 min" # "1 hour"
what_to_show = "MIDPOINT"
# Class level mappings
next_req_id = self.get_next_req_id()
self.req_id_to_stock_ticker_map[next_req_id] = ticker
# Query
self.reqHistoricalData(next_req_id, util.get_contract(ticker), '',
duration_string, bar_size, what_to_show, 1, 2,
[])
print("Requesting historical data")