def test_ibgw_restart(ib_docker):
subprocess.check_output(
['docker', 'container', 'stop', ib_docker]).decode().strip()
subprocess.check_output(
['docker', 'container', 'start', ib_docker]).decode().strip()
ib = IB()
wait = 60
while not ib.isConnected():
try:
IB.sleep(1)
ib.connect('localhost', 4002, clientId=999)
except:
pass
wait -= 1
if wait <= 0:
break
contract = Forex('EURUSD')
bars = ib.reqHistoricalData(
contract, endDateTime='', durationStr='30 D',
barSizeSetting='1 hour', whatToShow='MIDPOINT', useRTH=True)
# convert to pandas dataframe:
df = util.df(bars)
print(df)
def test_ibgw_port(host):
account = os.environ['IB_ACCOUNT']
password = os.environ['IB_PASSWORD']
trade_mode = os.environ['TRADE_MODE']
# build local ./Dockerfile
subprocess.check_call(['docker', 'build', '-t', IMAGE_NAME, '.'])
# run a container
docker_id = subprocess.check_output(
['docker', 'run',
'--env', 'IB_ACCOUNT={}'.format(account),
'--env', 'IB_PASSWORD={}'.format(password),
'--env', 'TRADE_MODE={}'.format(trade_mode),
'-p', '4002:4002',
'-d', IMAGE_NAME,
"tail", "-f", "/dev/null"]).decode().strip()
time.sleep(60)
ib = IB()
ib.connect('localhost', 4002, clientId=1)
contract = Forex('EURUSD')
bars = ib.reqHistoricalData(
contract, endDateTime='', durationStr='30 D',
barSizeSetting='1 hour', whatToShow='MIDPOINT', useRTH=True)
# convert to pandas dataframe:
df = util.df(bars)
print(df)
# at the end of the test suite, destroy the container
subprocess.check_call(['docker', 'rm', '-f', docker_id])
def get_contract(self):
if self.market == 'futures':
expiration = self.ib.reqContractDetails(Future(self.symbol,self.exchange))[0].contract.lastTradeDateOrContractMonth
self.contract = Future(symbol=self.symbol, exchange=self.exchange, lastTradeDateOrContractMonth=expiration)
elif self.market == 'forex':
self.contract = Forex(self.symbol)
elif self.market == 'stocks':
self.contract = Stock(symbol=self.symbol, exchange=self.exchange, currency='USD')
def main(ib):
from ib_insync import Stock, Forex, Index
win_historical_ticks = sg.Window('IBKR Historical Ticks', layout)
#win_historical_ticks.Element('_TickCount_').Update('0')
# Event Loop to process "events" and get the "values" of the inputs
while True: # Event Loop
event, values = win_historical_ticks.Read()
if event == '_CloseWindow_':
#? commenting out "disconnect()" because any calling procedure would not want a child to disconnect it
#ib.disconnect()
logging.info("Close hit")
win_historical_ticks.close()
break
if event == 'Qualify':
# Update the "output" element to be the value of "input" element
win_historical_ticks.Element('_OUTPUT_').Update(values['_Symbol_'])
if values['_SecType_'] == 'STK':
contract = Stock(values['_Symbol_'], values['_Exchange_'],values['_Currency_'])
if values['_SecType_'] == 'CASH':
contract = Forex(values['_Symbol_'])
if values['_SecType_'] == 'IND':
contract = Index(values['_Symbol_'], values['_Exchange_'],values['_Currency_'])
qual = ib.qualifyContracts(contract)
logging.info(str(qual))
if event == 'Fetch':
#NOTE add validations here
if values['_targetFolder_'] != '':
dtmStartTime = datetime.strptime(str(values['_StartDate_']), '%Y-%m-%d %H:%M:%S')
dtmStartTime = dtmStartTime.replace(hour=0, minute=1)
dtmEndTime = datetime.strptime(str(values['_EndDate_']), '%Y-%m-%d %H:%M:%S')
dtmEndTime = dtmEndTime.replace(hour=23, minute=59)
intTicks = int(values['_tickCount_'])
# whatToShow (str) – One of ‘Bid_Ask’, ‘Midpoint’ or ‘Trades’.
strWhatToShow = str(values['_whatToShow_'])
# useRTH – If True then only show data from within Regular Trading Hours, if False then show all data.
boolUseRTH = bool(values['_useRTH_'])
# ignoreSize (bool) – Ignore bid/ask ticks that only update the size.
boolIgnoreSize = bool(values['_ignoreSize_'])
#sg.popup(str([dtmStartTime, " - ", dtmEndTime, " - ", intTicks, " - ", strWhatToShow, " - ", boolUseRTH, " - ", boolIgnoreSize]))
if dtmEndTime > dtmStartTime:
listTicks = loop_reqHistoricalTicks(ib, contract, dtmStartTime, dtmEndTime, intTicks, strWhatToShow, boolUseRTH, boolIgnoreSize)
#convert listTicks to a CSV and save
dfTicks = pd.DataFrame(listTicks)
dfTicks = dfTicks.rename(columns={'tickAttribLast':'symbol', 'specialConditions':'currency'})
dfTicks['symbol'] = contract.symbol
dfTicks['exchange'] = contract.exchange
dfTicks['currency'] = contract.currency
dfTicks['time'] = dfTicks['time'].apply(utc2local)
dfTicks['dataType'] = 'Ticks_' + str(values['_whatToShow_']) +('_RTH' if boolUseRTH else '_RHT+AMO')
#For Linux uncomment below
#dfTicks.to_csv(values['_targetFolder_'] +'/'+ contract.symbol +'_'+ str(dtmStartTime) +'_'+ str(dtmEndTime)+'.csv', index=False)
#For Windows uncomment below
dfTicks.to_csv(str_default_path +'//'+ contract.symbol +'_'+ dtmStartTime.strftime("%Y%M%d_%H%M%S") +'_'+ dtmEndTime.strftime("%Y%M%d_%H%M%S") +'.csv', index=False)
def get_contract(self):
if self.market == 'futures':
local = self._local_symbol_selection()
self.contract = Future(symbol=self.symbol,
exchange=self.exchange,
localSymbol=local)
print(
self.ib.reqContractDetails(
self.contract)[0].contract.lastTradeDateOrContractMonth)
'''expiration = self.ib.reqContractDetails(Future(self.symbol,self.exchange))[0].contract.lastTradeDateOrContractMonth
self.contract = Future(symbol=self.symbol, exchange=self.exchange, lastTradeDateOrContractMonth=expiration)'''
elif self.market == 'forex':
self.contract = Forex(self.symbol)
elif self.market == 'stocks':
self.contract = Stock(symbol=self.symbol,
exchange=self.exchange,
currency='USD')
def fnCreateIBSymbol(ticker_tk=None, ticker_at=None):
if not ticker_tk:
ticker_tk = 'SPY'
if not ticker_at:
ticker_at = 'EQT'
symIB = None
if ticker_at == 'EQT':
symIB = [ticker_tk, Stock(ticker_tk, 'SMART', 'USD')]
elif ticker_at == 'FUT':
symIB = [ticker_tk, Future(ticker_tk, 'SMART', 'USD')]
elif ticker_at == 'FX':
symIB = [ticker_tk, Forex(ticker_tk, 'IDEALPRO')]
return symIB
async def generate_market_depth(n_records=50):
ib = get_cached_ib_client(os.environ["TWS_USERNAME"],
os.environ["TWS_PASSWORD"])
[contract] = ib.qualifyContracts(Forex("EURUSD"))
ticker = ib.reqMktDepth(contract=contract)
data = []
def record(x):
data.append(copy.copy(x))
ticker.updateEvent += record
while len(data) < n_records:
await asyncio.sleep(0.1)
with open(STREAMING_PATH / "eurusd_depth.pkl", "wb") as f:
f.write(pickle.dumps(data))
def _get_currencies(self, base_currency):
"""
Gets the FX rates for all involved contracts.
:param base_currency: base currency of IB account in ISO format (str)
"""
currencies = [c.contract.currency for c in self._contracts.values()]
tickers = [
self._ib_gw.reqTickers(Forex(c + base_currency))[0]
for c in currencies
]
fx_rates = [
t.midpoint() if t.midpoint() == t.midpoint() else t.close
for t in tickers
]
self._fx = {
currency: 1 if currency == base_currency else fx_rate
for currency, fx_rate in zip(currencies, fx_rates)
}
def test_ibgw_interactive(ib_docker):
ib = IB()
wait = 120
while not ib.isConnected():
try:
IB.sleep(1)
ib.connect('localhost', 4002, clientId=999)
except:
pass
wait -= 1
if wait <= 0:
break
contract = Forex('EURUSD')
bars = ib.reqHistoricalData(
contract, endDateTime='', durationStr='30 D',
barSizeSetting='1 hour', whatToShow='MIDPOINT', useRTH=True)
# convert to pandas dataframe:
df = util.df(bars)
print(df)
def pull_from_IB(self, start, end, market='EURUSD', freq='1 hour'):
'''
Note, all times should be UTC (aka Zulu, Z, GMT)
:param start: string in datetime format, eg. '2019-07-18 17:15:00'
:param end: same format as start
:param freq: Must be one of: ‘1 secs’, ‘5 secs’, ‘10 secs’ 15 secs’,
‘30 secs’, ‘1 min’, ‘2 mins’, ‘3 mins’, ‘5 mins’, ‘10 mins’,
‘15 mins’, ‘20 mins’, ‘30 mins’, ‘1 hour’, ‘2 hours’,
‘3 hours’, ‘4 hours’, ‘8 hours’, ‘1 day’, ‘1 week’,
‘1 month’ (see IB Docs)
'''
#Parse the requested window so API calls are not as lengthy
time_list = self.parse_datetime(start, end, freq)
df_list = []
contract = Forex(market)
for time_pair in time_list:
'''
useRTH (bool) – If True then only show data from within Regular Trading Hours,
if False then show all data.
formatDate (int) – For an intraday request setting to 2 will cause the returned
date fields to be timezone-aware datetime.datetime with UTC timezone,
instead of local timezone as used by TWS.
'''
bars = self.ib.reqHistoricalData(contract,
endDateTime=time_pair[0],
durationStr=time_pair[1],
barSizeSetting=freq,
whatToShow='MIDPOINT',
useRTH=True)
# convert to pandas dataframe:
df = util.df(bars)
#drop columns ['barCount', 'average']
df_list.append(df[['date', 'open', 'high', 'low', 'close']].copy())
return df_list
from ib_insync import IB, util, Forex
if __name__ == "__main__":
ib = IB()
ib.connect('localhost', 4001, clientId=1)
contract = Forex('EURUSD')
bars = ib.reqHistoricalData(contract,
endDateTime='',
durationStr='30 D',
barSizeSetting='1 hour',
whatToShow='MIDPOINT',
useRTH=True)
# convert to pandas dataframe:
df = util.df(bars)
print(df)
def main():
# query config
config = db.collection('config').document('paper' if TRADING_MODE == 'local' else TRADING_MODE).get().to_dict()
# activity log for Firestore
activity_log = {
'agent': (re.match('([\\w-]+)-([0-9]+|manual-[0-9a-z]+)-[0-9a-z]+$', HOSTNAME)).group(1) if HOSTNAME is not None else 'localhost',
'environment': {'DRY_RUN': DRY_RUN, 'ORDER_PROPERTIES': ORDER_PROPERTIES, 'STRATEGIES': STRATEGIES, 'TRADING_MODE': TRADING_MODE},
'config': config,
'exception': None
}
main_e = None
try:
strategies = STRATEGIES.split(',') if STRATEGIES is not None else []
gateway = 'localhost' if TRADING_MODE == 'local' else 'ib-gw-' + TRADING_MODE
order_properties = json.loads(ORDER_PROPERTIES)
logger.info('Running allocator for {}...'.format(strategies))
# get signals for all strategies
signals = {s: get_signal('localhost' if TRADING_MODE == 'local' else s) for s in strategies}
activity_log['signals'] = signals
# scale w/ exposure
scaled_signals = [
{
instr: alloc * config['exposure']['strategies'][strat]
for instr, alloc in sig.items()
} for strat, sig in signals.items()
]
activity_log['scaledSignals'] = scaled_signals
# consolidate strategies
allocation = make_allocation(scaled_signals)
activity_log['allocation'] = allocation
logger.info('Allocation: {}'.format(activity_log['allocation']))
# connect to IB gateway
ib_gw.connect(gateway, 4003, 1)
# get net liquidation value
account_values = get_account_values(config['account'])
base_currency = list(account_values['NetLiquidation'].keys())[0]
net_liquidation = float(account_values['NetLiquidation'][base_currency])
activity_log['netLiquidation'] = net_liquidation
# get positions
positions = {item.contract.conId: item.position for item in ib_gw.positions(config['account'])}
activity_log['positions'] = positions
# get contract details
contract_data = get_contract_data(set(list(allocation.keys()) + list(positions.keys())))
# build contractId->symbol lookup dict
symbol_map = {k: v['contract'].localSymbol for k, v in contract_data.items()}
activity_log['contractIds'] = {v['contract'].localSymbol: k for k, v in contract_data.items()}
# replace dict keys
activity_log['signals'] = {k: {symbol_map[k]: v for k, v in v.items()} for k, v in signals.items()}
activity_log['scaledSignals'] = [{symbol_map[k]: v for k, v in s.items()} for s in scaled_signals]
activity_log['allocation'] = {symbol_map[k]: v for k, v in allocation.items()}
activity_log['positions'] = {symbol_map[k]: v for k, v in positions.items()}
# get relevant currencies and corresponding FX ratese
currencies = {v['contract'].currency for v in contract_data.values()}
fx = {
c: 1 if c == base_currency else get_tickers(Forex(c + base_currency))
for c in currencies
}
activity_log['fx'] = {
v.contract.symbol + v.contract.currency: v.midpoint()
if v.midpoint() == v.midpoint() else v.close
for v in fx.values()
}
# calculate target positions
target_positions = {
k: round(config['exposure']['overall'] * v * net_liquidation
/ (contract_data[k]['ticker'].close
* int(contract_data[k]['contract'].multiplier)
* (fx[contract_data[k]['contract'].currency].midpoint()
if fx[contract_data[k]['contract'].currency].midpoint() == fx[contract_data[k]['contract'].currency].midpoint()
else fx[contract_data[k]['contract'].currency].close)))
for k, v in allocation.items()
}
for k in target_positions.keys():
if k not in positions:
positions[k] = 0
for k in positions.keys():
if k not in target_positions:
target_positions[k] = 0
activity_log['positions'] = {symbol_map[k]: v for k, v in positions.items()}
activity_log['targetPositions'] = {symbol_map[k]: v for k, v in target_positions.items()}
# calculate trade
trades = {k: target_positions[k] - positions[k] for k in target_positions.keys()}
trades = {k: int(v) for k, v in trades.items() if v != 0}
activity_log['trades'] = {symbol_map[k]: v for k, v in trades.items()}
logger.info('Trades: {}'.format(activity_log['trades']))
perm_ids = []
if not DRY_RUN:
# place orders
for k, v in trades.items():
order = ib_gw.placeOrder(contract_data[k]['contract'],
MarketOrder(action='BUY' if v > 0 else 'SELL',
totalQuantity=abs(v)).update(**order_properties))
perm_ids.append(order.order.permId)
ib_gw.sleep(5) # give the IB Gateway a couple of seconds to digest orders and to raise possible errors
activity_log['orders'] = {
t.contract.localSymbol: {
'order': {
k: v
for k, v in t.order.nonDefaults().items()
if isinstance(v, (int, float, str))
},
'orderStatus': {
k: v
for k, v in t.orderStatus.nonDefaults().items()
if isinstance(v, (int, float, str))
},
'isActive': t.isActive()
} for t in ib_gw.trades() if t.order.permId in perm_ids
}
logging.info('Orders placed: {}'.format(activity_log['orders']))
except Exception as e:
logger.error(e)
activity_log['exception'] = str(e)
main_e = e
finally:
ib_gw.disconnect()
try:
activity_log['timestamp'] = datetime.now(timezone.utc)
db.collection('activity').document().set(activity_log)
except Exception as e:
logger.error(e)
logger.info(activity_log)
if main_e is not None:
# raise main exception so that CronJob is restarted
raise main_e
logger.info('Done.')
def ib_spotfx_contract(self, ccy1, ccy2="USD", log=arg_not_supplied):
ibcontract = Forex(ccy1 + ccy2)
ibcontract = self.ib_resolve_unique_contract(ibcontract)
return ibcontract
import os
from ib_insync import Forex
from models.hft_model_1 import HftModel1
if __name__ == '__main__':
TWS_HOST = os.environ.get('TWS_HOST', '127.0.0.1')
TWS_PORT = os.environ.get('TWS_PORT', 7497)
print('Connecting on host:', TWS_HOST, 'port:', TWS_PORT)
model = HftModel1(
host=TWS_HOST,
port=TWS_PORT,
client_id=2,
)
to_trade = [('EURUSD', Forex('EURUSD')), ('USDJPY', Forex('USDJPY'))]
model.run(to_trade=to_trade, trade_qty=100)
def ib_spotfx_contract(self, ccy1, ccy2="USD") -> Forex:
ibcontract = Forex(ccy1 + ccy2)
ibcontract = self.ib_resolve_unique_contract(ibcontract)
return ibcontract
def fnRunIBTrader():
setPandas()
setLogging(LOGGING_DIRECTORY=os.path.join('../logging/',
dt.today().strftime('%Y-%m-%d')),
LOG_FILE_NAME=os.path.basename(__file__),
level=LOG_LEVEL)
logging.info('Running script {}'.format(os.path.basename(__file__)))
logging.info('Process ID: {}'.format(os.getpid()))
curDate = dt.today().strftime('%Y-%m-%d')
try:
TWS_HOST = os.environ.get('TWS_HOST', 'tws')
TWS_PORT = os.environ.get('TWS_PORT', 4003)
logging.info('Connecting on host: {} port: {}'.format(
TWS_HOST, TWS_PORT))
tickerIB = fnCreateIBSymbol(ticker_tk='SPY', ticker_at='EQT')
ib = IB()
# connect
connTrading = fnOdbcConnect(user='******',
password='******',
host='127.0.0.1',
port='3306',
dbName='trading')
while True:
if not ib.isConnected():
try:
id = randint(0, 9999)
ib.connect('tws', 4003, clientId=id, timeout=60)
ib.waitonupdate(timeout=0.1)
ib.sleep(3)
break
except Exception as e:
print(e)
ib.waitonupdate(timeout=0.1)
ib.sleep(3)
continue
else:
contract = Forex('EURUSD')
bars = ib.reqHistoricalData(contract,
endDateTime='',
durationStr='600 S',
barSizeSetting='1 min',
whatToShow='MIDPOINT',
useRTH=False,
keepUpToDate=False)
bars = util.df(bars)
bars['date'] = pd.to_datetime(bars['date']).dt.tz_localize(
'UTC').dt.strftime('%Y-%m-%d %H:%M:%S')
bars = bars[[
'date', 'open', 'high', 'low', 'close', 'volume', 'average'
]]
fnUploadSQL(bars,
connTrading,
'forex_data_EURUSD',
'REPLACE',
None,
unlinkFile=True)
logging.info('----- END PROGRAM -----')
except Exception as e:
logging.error(str(e), exc_info=True)
# CLOSE LOGGING
for handler in logging.root.handlers:
handler.close()
logging.shutdown()
class TestIBInstrumentProvider:
def setup(self):
self.ib = MagicMock()
self.loop = asyncio.get_event_loop()
self.clock = LiveClock()
self.logger = LiveLogger(
loop=self.loop,
clock=self.clock,
level_stdout=LogLevel.DEBUG,
)
self.provider = InteractiveBrokersInstrumentProvider(
client=self.ib,
logger=self.logger,
config=InstrumentProviderConfig())
@staticmethod
def async_return_value(value: object) -> asyncio.Future:
future: asyncio.Future = asyncio.Future()
future.set_result(value)
return future
@pytest.mark.parametrize(
"filters, expected",
[
(
{
"secType": "STK",
"symbol": "AMD",
"exchange": "SMART",
"currency": "USD"
},
Stock("AMD", "SMART", "USD"),
),
(
{
"secType": "STK",
"symbol": "INTC",
"exchange": "SMART",
"primaryExchange": "NASDAQ",
"currency": "USD",
},
Stock("INTC", "SMART", "USD", primaryExchange="NASDAQ"),
),
(
{
"secType": "CASH",
"symbol": "EUR",
"currency": "USD",
"exchange": "IDEALPRO"
},
Forex(symbol="EUR", currency="USD"),
), # EUR/USD,
({
"secType": "CFD",
"symbol": "IBUS30"
}, CFD("IBUS30")),
(
{
"secType": "FUT",
"symbol": "ES",
"exchange": "GLOBEX",
"lastTradeDateOrContractMonth": "20180921",
},
Future("ES", "20180921", "GLOBEX"),
),
(
{
"secType": "OPT",
"symbol": "SPY",
"exchange": "SMART",
"lastTradeDateOrContractMonth": "20170721",
"strike": 240,
"right": "C",
},
Option("SPY", "20170721", 240, "C", "SMART"),
),
(
{
"secType": "BOND",
"secIdType": "ISIN",
"secId": "US03076KAA60"
},
Bond(secIdType="ISIN", secId="US03076KAA60"),
),
(
{
"secType": "CRYPTO",
"symbol": "BTC",
"exchange": "PAXOS",
"currency": "USD"
},
Crypto("BTC", "PAXOS", "USD"),
),
],
)
def test_parse_contract(self, filters, expected):
result = self.provider._parse_contract(**filters)
fields = [
f.name for f in expected.__dataclass_fields__.values()
if getattr(expected, f.name)
]
for f in fields:
assert getattr(result, f) == getattr(expected, f)
@pytest.mark.asyncio
async def test_load_equity_contract_instrument(self, mocker):
# Arrange
instrument_id = InstrumentId.from_str("AAPL.NASDAQ")
contract = IBTestStubs.contract(symbol="AAPL")
contract_details = IBTestStubs.contract_details("AAPL")
mocker.patch.object(
self.provider._client,
"reqContractDetailsAsync",
return_value=self.async_return_value([contract_details]),
)
mocker.patch.object(
self.provider._client,
"qualifyContractsAsync",
return_value=self.async_return_value([contract]),
)
# Act
await self.provider.load(secType="STK",
symbol="AAPL",
exchange="NASDAQ")
equity = self.provider.find(instrument_id)
# Assert
assert InstrumentId(symbol=Symbol("AAPL"),
venue=Venue("NASDAQ")) == equity.id
assert equity.asset_class == AssetClass.EQUITY
assert equity.asset_type == AssetType.SPOT
assert 100 == equity.multiplier
assert Price.from_str("0.01") == equity.price_increment
assert 2, equity.price_precision
@pytest.mark.asyncio
async def test_load_futures_contract_instrument(self, mocker):
# Arrange
instrument_id = InstrumentId.from_str("CLZ2.NYMEX")
contract = IBTestStubs.contract(symbol="CLZ2", exchange="NYMEX")
contract_details = IBTestStubs.contract_details("CLZ2")
mocker.patch.object(
self.provider._client,
"reqContractDetailsAsync",
return_value=self.async_return_value([contract_details]),
)
mocker.patch.object(
self.provider._client,
"qualifyContractsAsync",
return_value=self.async_return_value([contract]),
)
# Act
await self.provider.load(symbol="CLZ2", exchange="NYMEX")
future = self.provider.find(instrument_id)
# Assert
assert future.id == instrument_id
assert future.asset_class == AssetClass.INDEX
assert future.multiplier == 1000
assert future.price_increment == Price.from_str("0.01")
assert future.price_precision == 2
@pytest.mark.asyncio
async def test_load_options_contract_instrument(self, mocker):
# Arrange
instrument_id = InstrumentId.from_str("AAPL211217C00160000.SMART")
contract = IBTestStubs.contract(secType="OPT",
symbol="AAPL211217C00160000",
exchange="NASDAQ")
contract_details = IBTestStubs.contract_details("AAPL211217C00160000")
mocker.patch.object(
self.provider._client,
"reqContractDetailsAsync",
return_value=self.async_return_value([contract_details]),
)
mocker.patch.object(
self.provider._client,
"qualifyContractsAsync",
return_value=self.async_return_value([contract]),
)
# Act
await self.provider.load(secType="OPT",
symbol="AAPL211217C00160000",
exchange="SMART")
option = self.provider.find(instrument_id)
# Assert
assert option.id == instrument_id
assert option.asset_class == AssetClass.EQUITY
assert option.multiplier == 100
assert option.expiry_date == datetime.date(2021, 12, 17)
assert option.strike_price == Price.from_str("160.0")
assert option.kind == OptionKind.CALL
assert option.price_increment == Price.from_str("0.01")
assert option.price_precision == 2
@pytest.mark.asyncio
async def test_load_forex_contract_instrument(self, mocker):
# Arrange
instrument_id = InstrumentId.from_str("EUR/USD.IDEALPRO")
contract = IBTestStubs.contract(secType="CASH",
symbol="EURUSD",
exchange="IDEALPRO")
contract_details = IBTestStubs.contract_details("EURUSD")
mocker.patch.object(
self.provider._client,
"reqContractDetailsAsync",
return_value=self.async_return_value([contract_details]),
)
mocker.patch.object(
self.provider._client,
"qualifyContractsAsync",
return_value=self.async_return_value([contract]),
)
# Act
await self.provider.load(secType="CASH",
symbol="EURUSD",
exchange="IDEALPRO")
fx = self.provider.find(instrument_id)
# Assert
assert fx.id == instrument_id
assert fx.asset_class == AssetClass.FX
assert fx.multiplier == 1
assert fx.price_increment == Price.from_str("0.00005")
assert fx.price_precision == 5
@pytest.mark.asyncio
async def test_contract_id_to_instrument_id(self, mocker):
# Arrange
contract = IBTestStubs.contract(symbol="CLZ2", exchange="NYMEX")
contract_details = IBTestStubs.contract_details("CLZ2")
mocker.patch.object(
self.provider._client,
"qualifyContractsAsync",
return_value=self.async_return_value([contract]),
)
mocker.patch.object(
self.provider._client,
"reqContractDetailsAsync",
return_value=self.async_return_value([contract_details]),
)
# Act
await self.provider.load(symbol="CLZ2", exchange="NYMEX")
# Assert
expected = {138979238: InstrumentId.from_str("CLZ2.NYMEX")}
assert self.provider.contract_id_to_instrument_id == expected
def test_filters(self):
pass
def main(ib):
from ib_insync import Stock, Forex, Index
win_historical = sg.Window('Historical OHLC', layout)
while True: # Event Loop
event, values = win_historical.Read()
if event == 'Exit':
#? commenting out "disconnect()" because any calling procedure would not want a child to disconnect it
#ib.disconnect()
logging.info("exit hit")
win_historical.Close()
break
if event == 'Qualify':
# Update the "output" element to be the value of "input" element
win_historical.Element('_OUTPUT_').Update(values['_Symbol_'])
if values['_SecType_'] == 'STK':
contract = Stock(values['_Symbol_'], values['_Exchange_'],
values['_Currency_'])
if values['_SecType_'] == 'CASH':
contract = Forex(values['_Symbol_'])
if values['_SecType_'] == 'IND':
contract = Index(values['_Symbol_'], values['_Exchange_'],
values['_Currency_'])
qual = ib.qualifyContracts(contract)
logging.info(str(qual))
if event == 'Fetch':
strDuration = str(values['_DurStr1_']) + ' ' + str(
values['_DurStr2_'])
strBarSize = str(values['_BarSize_'])
strWhatToShow = str(values['_WhatToShow_'])
logging.info('strDuration:%s , strBarSize: %s , strWhatToShow: %s',
strDuration, strBarSize, strWhatToShow)
barData = ib.reqHistoricalData(contract, '', strDuration,
strBarSize, strWhatToShow, 1, 1,
False)
listData = [[
item.date.strftime("%Y%m%d, %H:%M:%S"), item.open, item.high,
item.low, item.close, item.volume, item.barCount, item.average
] for item in barData]
dfStockData = pd.DataFrame(listData)
if dfStockData.shape[1] == 8 and dfStockData.shape[0] > 0:
logging.info('dfStockData sample: %s', dfStockData.head(3))
dfStockData.columns = [
'date', 'open', 'high', 'low', 'close', 'volume',
'barCount', 'average'
]
relist = dfStockData.values.tolist()
win_historical.Element('sgtable').Update(values=relist,
num_rows=25,
visible=True)
if event == 'Download':
#check if the DatFrame is minimally populated or not.
#if populated:
if dfStockData.shape[1] == 8 and dfStockData.shape[0] > 0:
file_name = sg.PopupGetFile(
'Please enter filename to save (if file exists, it will be overwritten): ',
save_as=True)
fileTarget = open(file_name, 'w+')
dfStockData.to_csv(fileTarget)
fileTarget.close()
sg.Popup("File saved.")
#if NOT populated
else:
sg.Popup("Please fetch some data before trying to save it.")
def parse_contract(ticker):
"""
Backtrader contract specification (https://www.backtrader.com/docu/live/ib/ib.html):
TICKER # Stock type and SMART exchange
TICKER-STK # Stock and SMART exchange
TICKER-STK-EXCHANGE # Stock
TICKER-STK-EXCHANGE-CURRENCY # Stock
TICKER-CFD # CFD and SMART exchange
TICKER-CFD-EXCHANGE # CFD
TICKER-CDF-EXCHANGE-CURRENCY # Stock
TICKER-IND-EXCHANGE # Index
TICKER-IND-EXCHANGE-CURRENCY # Index
TICKER-YYYYMM-EXCHANGE # Future
TICKER-YYYYMM-EXCHANGE-CURRENCY # Future
TICKER-YYYYMM-EXCHANGE-CURRENCY-MULT # Future
TICKER-FUT-EXCHANGE-CURRENCY-YYYYMM-MULT # Future
TICKER-YYYYMM-EXCHANGE-CURRENCY-STRIKE-RIGHT # FOP
TICKER-YYYYMM-EXCHANGE-CURRENCY-STRIKE-RIGHT-MULT # FOP
TICKER-FOP-EXCHANGE-CURRENCY-YYYYMM-STRIKE-RIGHT # FOP
TICKER-FOP-EXCHANGE-CURRENCY-YYYYMM-STRIKE-RIGHT-MULT # FOP
CUR1.CUR2-CASH-IDEALPRO # Forex
TICKER-YYYYMMDD-EXCHANGE-CURRENCY-STRIKE-RIGHT # OPT
TICKER-YYYYMMDD-EXCHANGE-CURRENCY-STRIKE-RIGHT-MULT # OPT
TICKER-OPT-EXCHANGE-CURRENCY-YYYYMMDD-STRIKE-RIGHT # OPT
TICKER-OPT-EXCHANGE-CURRENCY-YYYYMMDD-STRIKE-RIGHT-MULT # OPT
:return:
"""
contract_type, symbol, exchange, currency, expire, multiplier = \
AsyncIBDataProvider.exctract_symbol(ticker)
if contract_type == 'FX':
return Forex(pair=symbol)
if contract_type == 'IND':
return Index(symbol, exchange, currency)
if contract_type == 'FUT':
return Future(symbol,
expire,
exchange,
currency=currency,
multiplier=multiplier)
else:
return Stock(symbol, exchange, currency)
def currency_exchange(request, currencies='EURUSD'):
# print(currencies)
ss1 = 'ss1'
ss2 = 'ss2'
ss3 = 'ss3'
ss4 = 'ss4'
ss5 = 'ss5'
ss6 = 'ss6'
ss7 = 'ss7'
ss8 = 'ss8'
ss9 = 'ss9'
df = None
is_error = 0
try:
loop = asyncio.get_event_loop_policy().new_event_loop()
asyncio.set_event_loop(loop)
ib_server = 'twoprojectsib1_tws_1'
ib_port = 4003
if settings.DEBUG:
ib_server = '127.0.0.1'
ib_port = 4002
ib_ = IB()
ci = randint(0, 100000)
ib_.connect(ib_server, ib_port, clientId=ci)
# print('ib_')
# print(ib_)
# print('ib_')
ss1 = str(ib_)
except Exception as e:
ss1 = "Error connecting to: " + ib_server + ":" + str(ib_port)
ss2 = e
is_error = 1
try:
c = Forex(currencies)
bars = ib_.reqHistoricalData(c,
endDateTime='',
durationStr='1 D',
barSizeSetting='1 min',
whatToShow='MIDPOINT',
useRTH=True)
# print(bars)
ss3 = 'good 3'
df = util.df(bars)
# print(df[['date', 'open', 'high', 'low', 'close']])
ss4 = 'good 4'
df = df.sort_values(by=['date'], ascending=False)
ss5 = 'good 5'
ib_.disconnect()
del ib_
ss6 = 'good 6'
except Exception as e2:
ss7 = e2
is_error = 1
context = {
'df':
df,
'ss1':
ss1,
'ss2':
ss2,
'ss3':
ss3,
'ss4':
ss4,
'ss5':
ss5,
'ss6':
ss6,
'ss7':
ss7,
'ss8':
ss8,
'ss9':
ss9,
'is_error':
is_error,
'currencies':
currencies,
'title':
'Currency Exchange',
'cur_list': [
'GBPUSD', 'GBPZAR', 'HKDJPY', 'KRWAUD', 'KRWCAD', 'KRWCHF',
'KRWEUR', 'KRWGBP', 'KRWHKD', 'KRWJPY', 'KRWUSD', 'MXNJPY',
'NOKJPY', 'NOKSEK', 'NZDCAD', 'NZDCHF', 'NZDJPY', 'NZDUSD',
'SEKJPY', 'SGDCNH', 'SGDJPY', 'TRYJPY', 'USDCAD', 'USDCHF',
'USDCNH', 'USDCZK', 'USDDKK', 'USDHKD', 'USDHUF', 'USDILS',
'USDJPY', 'USDKRW', 'USDMXN', 'USDNOK', 'USDPLN', 'USDRUB',
'USDSEK', 'USDSGD', 'USDTRY', 'USDZAR', 'ZARJPY', 'EURPLN',
'EURRUB', 'EURSEK', 'EURSGD', 'EURTRY', 'EURUSD', 'EURZAR',
'GBPAUD', 'GBPCAD', 'GBPCHF', 'GBPCNH', 'GBPCZK', 'GBPDKK',
'GBPHKD', 'GBPHUF', 'GBPJPY', 'GBPMXN', 'GBPNOK', 'GBPNZD',
'GBPPLN', 'GBPSEK', 'GBPSGD', 'GBPTRY', 'GBPUSD', 'GBPZAR',
'HKDJPY', 'KRWAUD', 'KRWCAD', 'KRWCHF', 'KRWEUR', 'KRWGBP',
'KRWHKD', 'KRWJPY', 'KRWUSD', 'MXNJPY', 'NOKJPY', 'NOKSEK',
'NZDCAD', 'NZDCHF', 'NZDJPY', 'NZDUSD', 'SEKJPY', 'SGDCNH',
'SGDJPY', 'TRYJPY', 'USDCAD', 'USDCHF', 'USDCNH', 'USDCZK',
'USDDKK', 'USDHKD', 'USDHUF', 'USDILS', 'USDJPY', 'USDKRW',
'USDMXN', 'USDNOK', 'USDPLN', 'USDRUB', 'USDSEK', 'USDSGD',
'USDTRY', 'USDZAR', 'ZARJPY'
]
}
return render(request, 'trades/currency_exchange.html', context)
