def ib_get_recent_bid_ask_tick_data(
self,
contract_object_with_ib_data: futuresContract,
tick_count=200,
) -> list:
"""
:param contract_object_with_ib_data:
:return:
"""
specific_log = self.log.setup(
instrument_code=contract_object_with_ib_data.instrument_code,
contract_date=contract_object_with_ib_data.date_str,
)
if contract_object_with_ib_data.is_spread_contract():
error_msg = "Can't get historical data for combo"
specific_log.critical(error_msg)
raise Exception(error_msg)
ibcontract = self.ib_futures_contract(contract_object_with_ib_data)
if ibcontract is missing_contract:
specific_log.warn(
"Can't find matching IB contract for %s"
% str(contract_object_with_ib_data)
)
return missing_contract
recent_ib_time = self.ib.reqCurrentTime() - datetime.timedelta(seconds=60)
tick_data = self.ib.reqHistoricalTicks(
ibcontract, recent_ib_time, "", tick_count, "BID_ASK", useRth=False
)
return tick_data
def _get_ib_futures_contract_from_broker(
self,
contract_object_with_ib_data: futuresContract,
trade_list_for_multiple_legs: tradeQuantity = None
) -> ibcontractWithLegs:
"""
Return a complete and unique IB contract that matches futures_contract_object
This is expensive so not called directly, only by ib_futures_contract which does caching
:param contract_object_with_ib_data: contract, containing instrument metadata suitable for IB
:return: a single ib contract object
"""
# Convert to IB world
futures_instrument_with_ib_data = contract_object_with_ib_data.instrument
contract_date = contract_object_with_ib_data.contract_date
if contract_object_with_ib_data.is_spread_contract():
ibcontract_with_legs = self._get_spread_ib_futures_contract(
futures_instrument_with_ib_data,
contract_date,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
else:
ibcontract_with_legs = self._get_vanilla_ib_futures_contract_with_legs(
futures_instrument_with_ib_data=futures_instrument_with_ib_data,
contract_date=contract_date)
return ibcontract_with_legs
def broker_get_single_contract_expiry_date(
self,
futures_contract_with_ib_data: futuresContract,
allow_expired: bool = False,
) -> str:
"""
Return the exact expiry date for a given contract
:param futures_contract_with_ib_data: contract where instrument has ib metadata
:return: YYYYMMDD str
"""
specific_log = futures_contract_with_ib_data.specific_log(self.log)
if futures_contract_with_ib_data.is_spread_contract():
specific_log.warn("Can only find expiry for single leg contract!")
return missing_contract
ibcontract = self.ib_futures_contract(
futures_contract_with_ib_data,
allow_expired=allow_expired,
always_return_single_leg=True,
)
if ibcontract is missing_contract:
specific_log.warn("Contract is missing can't get expiry")
return missing_contract
expiry_date = ibcontract.lastTradeDateOrContractMonth
return expiry_date
def _get_actual_expiry_date_given_single_contract_with_ib_metadata(
self,
futures_contract_with_ib_data: futuresContract) -> expiryDate:
log = futures_contract_with_ib_data.specific_log(self.log)
if futures_contract_with_ib_data.is_spread_contract():
log.warn("Can't find expiry for multiple leg contract here")
return missing_contract
expiry_date = self.ib_client.broker_get_single_contract_expiry_date(
futures_contract_with_ib_data)
if expiry_date is missing_contract:
return missing_contract
else:
expiry_date = expiryDate.from_str(expiry_date)
return expiry_date
def get_actual_expiry_date_for_single_contract(self, futures_contract: futuresContract) -> expiryDate:
"""
Get the actual expiry date of a contract from IB
:param futures_contract: type futuresContract
:return: YYYYMMDD or None
"""
log = futures_contract.specific_log(self.log)
if futures_contract.is_spread_contract():
log.warn("Can't find expiry for multiple leg contract here")
return missing_contract
contract_object_with_ib_data = self.get_contract_object_with_IB_data(futures_contract)
expiry_date = contract_object_with_ib_data.expiry_date
return expiry_date
def _get_contract_cache_key(
self,
contract_object_to_use: futuresContract,
trade_list_for_multiple_legs: tradeQuantity = None) -> str:
if not contract_object_to_use.is_spread_contract():
trade_list_suffix = ""
else:
# WANT TO TREAT EG -2,2 AND -4,4 AS THE SAME BUT DIFFERENT FROM
# -2,1 OR -1,2,-1...
trade_list_suffix = str(
list_of_ints_with_highest_common_factor_positive_first(
trade_list_for_multiple_legs))
key = contract_object_to_use.key + trade_list_suffix
return key
