def create_ExecutionFilter(self):
filter = ExecutionFilter()
filter.clientId = 999
filter.acctCode = self.account
yesterday = datetime.datetime.now() - datetime.timedelta(1)
filter.time = yesterday.strftime('%Y%m%d-18:00:00')
return filter
def commission_report(acctCode, time):
class TestApp(EWrapper, EClient):
def __init__(self):
EClient.__init__(self, self)
self.executed_orders = pd.DataFrame(columns=[
'ticker', 'time', 'shares', 'action', 'price',
'marketValue', 'RealizedPNL', 'commission'
])
self.val = 0
self.val2 = 0
def error(self, reqId: TickerId, errorCode: int, errorString: str):
if reqId > -1:
print("Error. Id: ", reqId, " Code: ", errorCode, " Msg: ",
errorString)
def execDetails(self, reqId, contract, execution):
super().execDetails(reqId, contract, execution)
self.executed_orders.loc[self.val, [
'ticker', 'time', 'shares', 'action', 'price',
'marketValue'
]] = [
contract.symbol,
pd.to_datetime(execution.time), execution.shares,
execution.side, execution.price,
execution.shares * execution.price
]
self.val = self.val + 1
def commissionReport(self, commissionReport):
super().commissionReport(commissionReport)
self.executed_orders.loc[self.val2,
['RealizedPNL', 'commission']] = [
float(
commissionReport.realizedPNL),
float(commissionReport.commission)
]
self.val2 = self.val2 + 1
def execDetailsEnd(self, reqId):
super().execDetailsEnd(reqId)
self.disconnect()
app = TestApp()
app.connect('127.0.0.1', 7497, 0)
execution_filter = ExecutionFilter()
execution_filter.acctCode = acctCode
execution_filter.time = time
app.reqExecutions(0, execution_filter)
sleep(sleeptime)
df = app.executed_orders
app.run()
sleep(sleeptime)
df.set_index('time', inplace=True)
df.sort_index(inplace=True)
df['RealizedPNL'][df['RealizedPNL'] > 1000000] = 'OPEN'
return df