def makeComboLeg(conId, action):
newComboLeg = ComboLeg()
newComboLeg.m_conId = conId
newComboLeg.m_ratio = 1
newComboLeg.m_action = action
newComboLeg.m_exchange = 'SMART'
newComboLeg.m_openClose = '0'
return newComboLeg
def test_008a(connection, options):
c = Contract()
c.m_exchange = 'IDEALPRO'
c.m_symbol = 'MO'
c.m_localSymbol = 'MO1C'
c.m_secType = 'BAG'
c.m_expiry = '200806'
leg1 = ComboLeg()
leg1.m_conId = 123
leg1.m_ratio = 1
leg1.m_exchange = 'ONE'
leg1.m_action = 'SELL'
leg2 = ComboLeg()
leg2.m_conId = 125
leg2.m_ratio = 100
leg2.m_exchange = 'NYSE'
leg2.m_action = 'BUY'
c.m_comboLegs = [leg1, leg2]
connection.reqMktData(1, c, generic_tick_keys, False)
def test_008a(connection, options):
c = Contract()
c.m_exchange = 'IDEALPRO'
c.m_symbol = 'MO'
c.m_localSymbol = 'MO1C'
c.m_secType = 'BAG'
c.m_expiry = '200806'
leg1 = ComboLeg()
leg1.m_conId = 123
leg1.m_ratio = 1
leg1.m_exchange = 'ONE'
leg1.m_action = 'SELL'
leg2 = ComboLeg()
leg2.m_conId = 125
leg2.m_ratio = 100
leg2.m_exchange = 'NYSE'
leg2.m_action = 'BUY'
c.m_comboLegs = [leg1, leg2]
connection.reqMktData(1, c, generic_tick_keys, False)
def new_option_combo_contract(symbol,
id_to_sell,
id_to_buy,
exchange='SMART',
currency='USD'):
''' Make a new stock spread contract, e.g. a long/short pair. The buy:sell ratio is 1 contract:1 contract
The function is implemented according to http://interactivebrokers.github.io/tws-api/spread_contracts.html#bag_fut&gsc.tab=0
:param symbol: not used in this function.
:param id_to_sell: a int number of stock contract ID (leg) to sell
:param id_to_buy: a int number of stock contract ID (leg) to buy
:param exchange: the exchange of contracts; string
:param currency: the currency of the future contract
:return: a new combo contract (stock spread)
'''
contract = Contract()
contract.m_symbol = currency
contract.m_secType = 'BAG'
contract.m_currency = currency
contract.m_exchange = 'SMART'
leg_to_sell = ComboLeg()
leg_to_sell.m_conId = id_to_sell # e.g. MCD stock's contract ID
leg_to_sell.m_ratio = 1
leg_to_sell.m_action = "SELL"
leg_to_sell.m_exchange = exchange
leg_to_sell.m_openClose = 0
leg_to_buy = ComboLeg()
leg_to_buy.m_conId = id_to_buy # e.g. IBKR stock's contract ID
leg_to_buy.m_ratio = 1
leg_to_buy.m_action = "BUY"
leg_to_buy.m_exchange = exchange
leg_to_buy.m_openClose = 0
contract.m_comboLegs.append(leg_to_buy)
contract.m_comboLegs.append(leg_to_sell)
return contract
def new_future_spread_contract(symbol,
id_to_buy,
id_to_sell,
exchange,
currency='USD'):
''' Make a new future spread contract, e.g. calendar spread. The buy:sell ratio is 1 contract:1 contract
The function is implemented according to http://interactivebrokers.github.io/tws-api/spread_contracts.html#bag_fut&gsc.tab=0
:param symbol: symbol of a future contract; e.g. 'VIX'
:param id_to_sell: a int number of contract ID (leg) to sell
:param id_to_buy: a int number of contract ID (leg) to buy
:param exchange: the exchange of contracts; string
:param currency: the currency of the future contract
:return: a new combo contract (future spread)
'''
contract = Contract()
contract.m_symbol = symbol # NOTE: do not set it to 'USD' for future spread as for option combo orders
contract.m_secType = 'BAG'
contract.m_currency = currency
contract.m_exchange = 'SMART' # set exchange to 'SMART' in the main order
leg_to_sell = ComboLeg()
leg_to_sell.m_conId = id_to_sell
leg_to_sell.m_ratio = 1
leg_to_sell.m_action = "SELL"
leg_to_sell.m_exchange = exchange
leg_to_buy = ComboLeg()
leg_to_buy.m_conId = id_to_buy
leg_to_buy.m_ratio = 1
leg_to_buy.m_action = "BUY"
leg_to_buy.m_exchange = exchange
contract.m_comboLegs.append(leg_to_buy)
contract.m_comboLegs.append(leg_to_sell)
return contract
tws.reqContractDetails(requestId, contract)
sleep(1) # wait for data to come in
# safety check that request ids match
assert handler.reqId == requestId, "Request and data do not match"
contractIds.append(handler.conId)
# ------------create contract legs
# for simplicity, I just set each leg to buy 1 share
legs = []
for conId in contractIds:
leg = ComboLeg()
leg.m_conId = conId
leg.m_ratio = 1
leg.m_action = "BUY"
leg.m_exchange = "SMART"
legs.append(leg)
# -------- create a contract with required legs
contract = Contract()
contract.m_symbol = "USD"
contract.m_secType = "BAG"
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_comboLegs = legs
# ----- create and place order
print("Placing order")
order = createOrder(orderId, shares=1) # create order
def processMsg(self, msgId):
""" generated source for method processMsg """
if msgId == -1:
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
canAutoExecute = 0
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price,
canAutoExecute)
if version >= 2:
# not a tick
sizeTickType = -1
if tickType == 1:
# BID
sizeTickType = 0
# BID_SIZE
elif tickType == 2:
# ASK
sizeTickType = 3
# ASK_SIZE
elif tickType == 4:
# LAST
sizeTickType = 5
# LAST_SIZE
if sizeTickType != -1:
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
size = self.readInt()
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.POSITION:
version = self.readInt()
account = self.readStr()
contract = Contract()
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 2:
contract.m_tradingClass = self.readStr()
pos = self.readInt()
avgCost = 0
if version >= 3:
avgCost = self.readDouble()
self.eWrapper().position(account, contract, pos, avgCost)
elif msgId == self.POSITION_END:
version = self.readInt()
self.eWrapper().positionEnd()
elif msgId == self.ACCOUNT_SUMMARY:
version = self.readInt()
reqId = self.readInt()
account = self.readStr()
tag = self.readStr()
value = self.readStr()
currency = self.readStr()
self.eWrapper().accountSummary(reqId, account, tag, value,
currency)
elif msgId == self.ACCOUNT_SUMMARY_END:
version = self.readInt()
reqId = self.readInt()
self.eWrapper().accountSummaryEnd(reqId)
elif msgId == self.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0: # -1 is the "not yet computed" indicator
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1: # -2 is the "not yet computed" indicator
delta = Double.MAX_VALUE
optPrice = Double.MAX_VALUE
pvDividend = Double.MAX_VALUE
gamma = Double.MAX_VALUE
vega = Double.MAX_VALUE
theta = Double.MAX_VALUE
undPrice = Double.MAX_VALUE
if version >= 6 or (tickType == TickType.MODEL_OPTION):
# introduced in version == 5
optPrice = self.readDouble()
if optPrice < 0: # -1 is the "not yet computed" indicator
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0: # -1 is the "not yet computed" indicator
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1: # -2 is the "not yet computed" indicator
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1: # -2 is the "not yet computed" indicator
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1: # -2 is the "not yet computed" indicator
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0: # -1 is the "not yet computed" indicator
undPrice = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType,
impliedVol, delta, optPrice,
pvDividend, gamma, vega,
theta, undPrice)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints,
formattedBasisPoints, impliedFuturesPrice,
holdDays, futureExpiry, dividendImpact,
dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
parentId = 0
if version >= 3:
parentId = self.readInt()
lastFillPrice = 0
if version >= 4:
lastFillPrice = self.readDouble()
clientId = 0
if version >= 5:
clientId = self.readInt()
whyHeld = None
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining,
avgFillPrice, permId, parentId,
lastFillPrice, clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 8:
contract.m_tradingClass = self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
accountName = None
if version >= 4:
accountName = self.readStr()
if version == 6 and self.m_parent.serverVersion() == 39:
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice,
marketValue, averageCost,
unrealizedPNL, realizedPNL,
accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
# read version
version = self.readInt()
# read order id
order = Order()
order.m_orderId = self.readInt()
# read contract fields
contract = Contract()
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 32:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 32:
contract.m_tradingClass = self.readStr()
# read order fields
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
if version < 29:
order.m_lmtPrice = self.readDouble()
else:
order.m_lmtPrice = self.readDoubleMax()
if version < 30:
order.m_auxPrice = self.readDouble()
else:
order.m_auxPrice = self.readDoubleMax()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
# will never happen
# order.m_ignoreRth =
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = self.readInt() == 1
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
# skip deprecated sharesAllocation field
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDoubleMax()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if self.m_parent.serverVersion() == 51:
self.readInt() # exemptCode
elif version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDoubleMax()
order.m_stockRefPrice = self.readDoubleMax()
order.m_delta = self.readDoubleMax()
order.m_stockRangeLower = self.readDoubleMax()
order.m_stockRangeUpper = self.readDoubleMax()
order.m_displaySize = self.readInt()
if version < 18:
# will never happen
# order.m_rthOnly =
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readIntMax()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDoubleMax()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDoubleMax()
order.m_volatilityType = self.readInt()
if version == 11:
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = ("NONE" if
(receivedInt
== 0) else "MKT")
else:
# version 12 and up
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDoubleMax()
if version >= 27 and not Util.StringIsEmpty(
order.m_deltaNeutralOrderType):
order.m_deltaNeutralConId = self.readInt()
order.m_deltaNeutralSettlingFirm = self.readStr()
order.m_deltaNeutralClearingAccount = self.readStr()
order.m_deltaNeutralClearingIntent = self.readStr()
if version >= 31 and not Util.StringIsEmpty(
order.m_deltaNeutralOrderType):
order.m_deltaNeutralOpenClose = self.readStr()
order.m_deltaNeutralShortSale = self.readBoolFromInt()
order.m_deltaNeutralShortSaleSlot = self.readInt()
order.m_deltaNeutralDesignatedLocation = self.readStr()
order.m_continuousUpdate = self.readInt()
if self.m_parent.serverVersion() == 26:
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDoubleMax()
if version >= 30:
order.m_trailingPercent = self.readDoubleMax()
if version >= 14:
order.m_basisPoints = self.readDoubleMax()
order.m_basisPointsType = self.readIntMax()
contract.m_comboLegsDescrip = self.readStr()
if version >= 29:
comboLegsCount = self.readInt()
if comboLegsCount > 0:
contract.m_comboLegs = []
i = 0
while i < comboLegsCount:
comboLeg = ComboLeg()
comboLeg.m_conId = self.readInt()
comboLeg.m_ratio = self.readInt()
comboLeg.m_action = self.readStr()
comboLeg.m_exchange = self.readStr()
comboLeg.m_openClose = self.readInt()
comboLeg.m_shortSaleSlot = self.readInt()
comboLeg.m_designatedLocation = self.readStr()
comboLeg.m_exemptCode = self.readInt()
contract.m_comboLegs.append(comboLeg)
i += 1
orderComboLegsCount = self.readInt()
if orderComboLegsCount > 0:
order.m_orderComboLegs = []
i = 0
while i < orderComboLegsCount:
price = self.readDoubleMax()
orderComboLeg = OrderComboLeg(price)
order.m_orderComboLegs.append(orderComboLeg)
i += 1
if version >= 26:
smartComboRoutingParamsCount = self.readInt()
if smartComboRoutingParamsCount > 0:
order.m_smartComboRoutingParams = []
i = 0
while i < smartComboRoutingParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_smartComboRoutingParams.append(tagValue)
i += 1
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
# int notSuppScaleNumComponents =
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
order.m_scalePriceAdjustValue = self.readDoubleMax()
order.m_scalePriceAdjustInterval = self.readIntMax()
order.m_scaleProfitOffset = self.readDoubleMax()
order.m_scaleAutoReset = self.readBoolFromInt()
order.m_scaleInitPosition = self.readIntMax()
order.m_scaleInitFillQty = self.readIntMax()
order.m_scaleRandomPercent = self.readBoolFromInt()
if version >= 24:
order.m_hedgeType = self.readStr()
if not Util.StringIsEmpty(order.m_hedgeType):
order.m_hedgeParam = self.readStr()
if version >= 25:
order.m_optOutSmartRouting = self.readBoolFromInt()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 22:
order.m_notHeld = self.readBoolFromInt()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
if version >= 21:
order.m_algoStrategy = self.readStr()
if not Util.StringIsEmpty(order.m_algoStrategy):
algoParamsCount = self.readInt()
if algoParamsCount > 0:
order.m_algoParams = []
i = 0
while i < algoParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_algoParams.append(tagValue)
i += 1
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order,
orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance,
benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
if version >= 4:
contract.m_underConId = self.readInt()
if version >= 5:
contract.m_longName = self.readStr()
contract.m_summary.m_primaryExch = self.readStr()
if version >= 6:
contract.m_contractMonth = self.readStr()
contract.m_industry = self.readStr()
contract.m_category = self.readStr()
contract.m_subcategory = self.readStr()
contract.m_timeZoneId = self.readStr()
contract.m_tradingHours = self.readStr()
contract.m_liquidHours = self.readStr()
if version >= 8:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 7:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
if version >= 4:
contract.m_longName = self.readStr()
if version >= 6:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 5:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
reqId = -1
if version >= 7:
reqId = self.readInt()
orderId = self.readInt()
contract = Contract()
# read contract fields
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 9:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 10:
contract.m_tradingClass = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
if version >= 8:
exec_.m_orderRef = self.readStr()
if version >= 9:
exec_.m_evRule = self.readStr()
exec_.m_evMultiplier = self.readDouble()
self.eWrapper().execDetails(reqId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side,
price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker,
operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType,
newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
version = self.readInt()
reqId = self.readInt()
startDateStr = ""
endDateStr = ""
completedIndicator = "finished"
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(
reqId, date, open, high, low, close, volume, barCount, WAP,
Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
# send end of dataset marker
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1,
-1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
version = self.readInt()
xml = self.readStr()
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
# int version =
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
# int version =
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close,
volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
# int version =
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
# int version =
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
# int version =
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
# int version =
self.readInt()
reqId = self.readInt()
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
self.eWrapper().deltaNeutralValidation(reqId, underComp)
elif msgId == self.TICK_SNAPSHOT_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
elif msgId == self.MARKET_DATA_TYPE:
# int version =
self.readInt()
reqId = self.readInt()
marketDataType = self.readInt()
self.eWrapper().marketDataType(reqId, marketDataType)
elif msgId == self.COMMISSION_REPORT:
# int version =
self.readInt()
commissionReport = CommissionReport()
commissionReport.m_execId = self.readStr()
commissionReport.m_commission = self.readDouble()
commissionReport.m_currency = self.readStr()
commissionReport.m_realizedPNL = self.readDouble()
commissionReport.m_yield = self.readDouble()
commissionReport.m_yieldRedemptionDate = self.readInt()
self.eWrapper().commissionReport(commissionReport)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID,
EClientErrors.UNKNOWN_ID.code(),
EClientErrors.UNKNOWN_ID.msg())
return False
return True
tws.reqContractDetails(requestId,contract)
sleep(1) # wait for data to come in
# safety check that request ids match
assert handler.reqId == requestId, 'Request and data do not match'
contractIds.append(handler.conId)
# ------------create contract legs
# for simplicity, I just set each leg to buy 1 share
legs = []
for conId in contractIds:
leg = ComboLeg()
leg.m_conId = conId
leg.m_ratio = 1
leg.m_action = "BUY"
leg.m_exchange = "SMART"
legs.append(leg)
#-------- create a contract with required legs
contract = Contract()
contract.m_symbol = "USD"
contract.m_secType = "BAG"
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_comboLegs = legs
#----- create and place order
print('Placing order')
order = createOrder(orderId,shares=1) # create order
def processMsg(self, msgId):
""" generated source for method processMsg """
if msgId == -1:
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
canAutoExecute = 0
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price, canAutoExecute)
if version >= 2:
# not a tick
sizeTickType = -1
if tickType == 1:
# BID
sizeTickType = 0
# BID_SIZE
elif tickType == 2:
# ASK
sizeTickType = 3
# ASK_SIZE
elif tickType == 4:
# LAST
sizeTickType = 5
# LAST_SIZE
if sizeTickType != -1:
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
size = self.readInt()
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.POSITION:
version = self.readInt()
account = self.readStr()
contract = Contract()
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 2:
contract.m_tradingClass = self.readStr()
pos = self.readInt()
avgCost = 0
if version >= 3:
avgCost = self.readDouble()
self.eWrapper().position(account, contract, pos, avgCost)
elif msgId == self.POSITION_END:
version = self.readInt()
self.eWrapper().positionEnd()
elif msgId == self.ACCOUNT_SUMMARY:
version = self.readInt()
reqId = self.readInt()
account = self.readStr()
tag = self.readStr()
value = self.readStr()
currency = self.readStr()
self.eWrapper().accountSummary(reqId, account, tag, value, currency)
elif msgId == self.ACCOUNT_SUMMARY_END:
version = self.readInt()
reqId = self.readInt()
self.eWrapper().accountSummaryEnd(reqId)
elif msgId == self.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0: # -1 is the "not yet computed" indicator
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1: # -2 is the "not yet computed" indicator
delta = Double.MAX_VALUE
optPrice = Double.MAX_VALUE
pvDividend = Double.MAX_VALUE
gamma = Double.MAX_VALUE
vega = Double.MAX_VALUE
theta = Double.MAX_VALUE
undPrice = Double.MAX_VALUE
if version >= 6 or (tickType == TickType.MODEL_OPTION):
# introduced in version == 5
optPrice = self.readDouble()
if optPrice < 0: # -1 is the "not yet computed" indicator
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0: # -1 is the "not yet computed" indicator
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1: # -2 is the "not yet computed" indicator
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1: # -2 is the "not yet computed" indicator
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1: # -2 is the "not yet computed" indicator
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0: # -1 is the "not yet computed" indicator
undPrice = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma,
vega, theta, undPrice)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuturesPrice,
holdDays, futureExpiry, dividendImpact, dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
parentId = 0
if version >= 3:
parentId = self.readInt()
lastFillPrice = 0
if version >= 4:
lastFillPrice = self.readDouble()
clientId = 0
if version >= 5:
clientId = self.readInt()
whyHeld = None
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice,
clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 8:
contract.m_tradingClass = self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
accountName = None
if version >= 4:
accountName = self.readStr()
if version == 6 and self.m_parent.serverVersion() == 39:
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL,
realizedPNL, accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
# read version
version = self.readInt()
# read order id
order = Order()
order.m_orderId = self.readInt()
# read contract fields
contract = Contract()
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 32:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
if version >= 32:
contract.m_tradingClass = self.readStr()
# read order fields
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
if version < 29:
order.m_lmtPrice = self.readDouble()
else:
order.m_lmtPrice = self.readDoubleMax()
if version < 30:
order.m_auxPrice = self.readDouble()
else:
order.m_auxPrice = self.readDoubleMax()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
# will never happen
# order.m_ignoreRth =
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = self.readInt() == 1
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
# skip deprecated sharesAllocation field
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDoubleMax()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if self.m_parent.serverVersion() == 51:
self.readInt() # exemptCode
elif version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDoubleMax()
order.m_stockRefPrice = self.readDoubleMax()
order.m_delta = self.readDoubleMax()
order.m_stockRangeLower = self.readDoubleMax()
order.m_stockRangeUpper = self.readDoubleMax()
order.m_displaySize = self.readInt()
if version < 18:
# will never happen
# order.m_rthOnly =
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readIntMax()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDoubleMax()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDoubleMax()
order.m_volatilityType = self.readInt()
if version == 11:
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = ("NONE" if (receivedInt == 0) else "MKT")
else:
# version 12 and up
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDoubleMax()
if version >= 27 and not Util.StringIsEmpty(order.m_deltaNeutralOrderType):
order.m_deltaNeutralConId = self.readInt()
order.m_deltaNeutralSettlingFirm = self.readStr()
order.m_deltaNeutralClearingAccount = self.readStr()
order.m_deltaNeutralClearingIntent = self.readStr()
if version >= 31 and not Util.StringIsEmpty(order.m_deltaNeutralOrderType):
order.m_deltaNeutralOpenClose = self.readStr()
order.m_deltaNeutralShortSale = self.readBoolFromInt()
order.m_deltaNeutralShortSaleSlot = self.readInt()
order.m_deltaNeutralDesignatedLocation = self.readStr()
order.m_continuousUpdate = self.readInt()
if self.m_parent.serverVersion() == 26:
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDoubleMax()
if version >= 30:
order.m_trailingPercent = self.readDoubleMax()
if version >= 14:
order.m_basisPoints = self.readDoubleMax()
order.m_basisPointsType = self.readIntMax()
contract.m_comboLegsDescrip = self.readStr()
if version >= 29:
comboLegsCount = self.readInt()
if comboLegsCount > 0:
contract.m_comboLegs = []
i = 0
while i < comboLegsCount:
comboLeg = ComboLeg()
comboLeg.m_conId = self.readInt()
comboLeg.m_ratio = self.readInt()
comboLeg.m_action = self.readStr()
comboLeg.m_exchange = self.readStr()
comboLeg.m_openClose = self.readInt()
comboLeg.m_shortSaleSlot = self.readInt()
comboLeg.m_designatedLocation = self.readStr()
comboLeg.m_exemptCode = self.readInt()
contract.m_comboLegs.append(comboLeg)
i += 1
orderComboLegsCount = self.readInt()
if orderComboLegsCount > 0:
order.m_orderComboLegs = []
i = 0
while i < orderComboLegsCount:
price = self.readDoubleMax()
orderComboLeg = OrderComboLeg(price)
order.m_orderComboLegs.append(orderComboLeg)
i += 1
if version >= 26:
smartComboRoutingParamsCount = self.readInt()
if smartComboRoutingParamsCount > 0:
order.m_smartComboRoutingParams = []
i = 0
while i < smartComboRoutingParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_smartComboRoutingParams.append(tagValue)
i += 1
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
# int notSuppScaleNumComponents =
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
order.m_scalePriceAdjustValue = self.readDoubleMax()
order.m_scalePriceAdjustInterval = self.readIntMax()
order.m_scaleProfitOffset = self.readDoubleMax()
order.m_scaleAutoReset = self.readBoolFromInt()
order.m_scaleInitPosition = self.readIntMax()
order.m_scaleInitFillQty = self.readIntMax()
order.m_scaleRandomPercent = self.readBoolFromInt()
if version >= 24:
order.m_hedgeType = self.readStr()
if not Util.StringIsEmpty(order.m_hedgeType):
order.m_hedgeParam = self.readStr()
if version >= 25:
order.m_optOutSmartRouting = self.readBoolFromInt()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 22:
order.m_notHeld = self.readBoolFromInt()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
if version >= 21:
order.m_algoStrategy = self.readStr()
if not Util.StringIsEmpty(order.m_algoStrategy):
algoParamsCount = self.readInt()
if algoParamsCount > 0:
order.m_algoParams = []
i = 0
while i < algoParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_algoParams.append(tagValue)
i += 1
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order, orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance, benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
if version >= 4:
contract.m_underConId = self.readInt()
if version >= 5:
contract.m_longName = self.readStr()
contract.m_summary.m_primaryExch = self.readStr()
if version >= 6:
contract.m_contractMonth = self.readStr()
contract.m_industry = self.readStr()
contract.m_category = self.readStr()
contract.m_subcategory = self.readStr()
contract.m_timeZoneId = self.readStr()
contract.m_tradingHours = self.readStr()
contract.m_liquidHours = self.readStr()
if version >= 8:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 7:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_summary.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
if version >= 4:
contract.m_longName = self.readStr()
if version >= 6:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 5:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
reqId = -1
if version >= 7:
reqId = self.readInt()
orderId = self.readInt()
contract = Contract()
# read contract fields
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 9:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
if version >= 10:
contract.m_tradingClass = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
if version >= 8:
exec_.m_orderRef = self.readStr()
if version >= 9:
exec_.m_evRule = self.readStr()
exec_.m_evMultiplier = self.readDouble()
self.eWrapper().execDetails(reqId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side, price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker, operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType, newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
version = self.readInt()
reqId = self.readInt()
startDateStr = ""
endDateStr = ""
completedIndicator = "finished"
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(reqId, date, open, high, low, close, volume, barCount, WAP,
Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
# send end of dataset marker
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
version = self.readInt()
xml = self.readStr()
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
# int version =
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
# int version =
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close, volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
# int version =
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
# int version =
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
# int version =
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
# int version =
self.readInt()
reqId = self.readInt()
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
self.eWrapper().deltaNeutralValidation(reqId, underComp)
elif msgId == self.TICK_SNAPSHOT_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
elif msgId == self.MARKET_DATA_TYPE:
# int version =
self.readInt()
reqId = self.readInt()
marketDataType = self.readInt()
self.eWrapper().marketDataType(reqId, marketDataType)
elif msgId == self.COMMISSION_REPORT:
# int version =
self.readInt()
commissionReport = CommissionReport()
commissionReport.m_execId = self.readStr()
commissionReport.m_commission = self.readDouble()
commissionReport.m_currency = self.readStr()
commissionReport.m_realizedPNL = self.readDouble()
commissionReport.m_yield = self.readDouble()
commissionReport.m_yieldRedemptionDate = self.readInt()
self.eWrapper().commissionReport(commissionReport)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(),
EClientErrors.UNKNOWN_ID.msg())
return False
return True