def make_order2(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
print("In make order2")
print(limit)
if limit == 2:
if action == 'SELL':
print(ProfitPips)
order.m_lmtPrice = truncate(
float(tHigh[0]) +
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
print("In limit order of make order2")
print(order.m_lmtPrice)
print(RiskRewardRatio)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
# elif action == 'SELL':
# #order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
# order.m_lmtPrice = float(truncate(float(tLow[0]),4)) - 0.0005
# print("In Profit Take")
# print(RiskRewardRatio)
order.m_transmit = transmit
elif limit == 1:
# ENTRY A simple stop order
order.m_orderType = 'STP'
print("in limit 1 of makeorder2")
print(action)
if action == 'BUY':
# Rounding is due to FX, we cannot create an order with bad price, and FX book increments at 0.00005 only!
#order.m_lmtPrice = limit - int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(truncate(float(tHigh[0]), 4)) + 0.0005
stopPrice = float(truncate(float(tHigh[0]), 4)) + 0.0005
order.m_auxPrice = stopPrice
order.m_parentId = parentId
order.m_account = masteraccount
elif action == 'SELL':
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(truncate(float(tLow[0]), 4)) - 0.0005
stopPrice = float(truncate(float(tLow[0]), 4)) - 0.0005
order.m_auxPrice = stopPrice
order.m_parentId = parentId
order.m_account = masteraccount
print("in stp order of make order2")
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def make_breakeven(action, qty, limit=None, transmit=True):
logger.debug('In Breakeven function')
order = Order()
order.m_action = action
logger.debug('Action is %s', order.m_action)
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Breakeven Order Function')
order.m_orderType = 'STP'
if action == 'Sell':
order.m_lmtPrice = float(curBreakeven[0])
logger.debug('In Sell section of Breakeven order')
breakevenPrice = float(curBreakeven[0])
logger.debug('break even price is %s', breakevenPrice)
order.m_auxPrice = breakevenPrice
order.m_account = masteraccount
#order.m_parentId = parentId
order.m_transmit = transmit
logger.debug(' Transmit is %s', transmit)
if action == 'Buy':
logger.debug('In Buy section of breakeven order')
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(curBreakeven[0])
logger.debug(' Break even price is %s', order.m_lmtPrice)
breakevenPrice = float(curBreakeven[0])
order.m_auxPrice = breakevenPrice
logger.debug(' Stop price is %s', breakevenPrice)
order.m_account = masteraccount
#order.m_parentId = parentId
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
logger.debug(' Transmit is %s', order.m_transmi)
return order
def make_order_stop(action, qty, limit=None, transmit=True):
order = Order()
order.m_action = action
print(qty)
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
print("In make order_stop")
print(limit)
order.m_orderType = 'STP'
if action == 'Sell':
order.m_lmtPrice = float(stopVal[0])
print(order.m_lmtPrice)
stopPrice = float(stopVal[0])
print(stopPrice)
order.m_auxPrice = stopPrice
order.m_account = masteraccount
#order.m_parentId = parentId
print(transmit)
order.m_transmit = transmit
print("In sell of make order stop")
if action == 'Buy':
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(stopVal[0])
stopPrice = float(stopVal[0])
order.m_auxPrice = stopPrice
order.m_account = masteraccount
#order.m_parentId = parentId
print("in stp order of make order2")
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def make_order_stop(action, qty, limit = None, transmit=True):
logger.debug('In MAKE ORDER STOP function')
order = Order()
order.m_action = action
logger.debug('Order action %s', order.m_action)
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('Limit value is %s', limit)
order.m_orderType = 'STP'
if action == 'Sell':
order.m_lmtPrice = float(stopVal[0])
logger.debug('In Sell action. Limit price is %s', order.m_lmtPrice)
stopPrice = float(stopVal[0])
logger.debug('In Sell action. STOP price is %s', stopPrice)
order.m_auxPrice = stopPrice;
order.m_account = masteraccount
#order.m_parentId = parentId
logger.debug('Transmit is %s', transmit)
order.m_transmit = transmit
if action == 'Buy':
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(stopVal[0])
logger.debug('In Buy action. Limit price is %s', order.m_lmtPrice)
stopPrice = float(stopVal[0])
order.m_auxPrice = stopPrice;
order.m_account = masteraccount
#order.m_parentId = parentId
logger.debug('In Buy action. Stop Price price is %s', stopPrice)
logger.debug('In Buy action. account is %s', order.m_account)
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def make__short__order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Short Order Function')
logger.debug('Limit Value is %s', limit)
if limit == 2: # Profit Target
logger.debug('In Limit is 2 subfunction')
if action == 'BUY':
logger.debug('In Profit Order Subfunction')
#logger.debug('Profit Pips is: %s', ProfitPips)
logger.debug('Limit Price: %s', order.m_lmtPrice)
#logger.debug('Risk Reward Ratio is: %s', RiskRewardRatio)
order.m_lmtPrice = truncate((float(tLow[0]) - 0.0022), 4)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
order.m_transmit = transmit
logger.debug('transmitted order')
elif limit == 1:
logger.debug('In Limit is 1 subfunction')
# ENTRY A simple stop order
order.m_orderType = 'STP'
# if action == 'BUY':
# logger.debug('In Buy subfunction')
# #logger.debug('Profit Pips is: %s', ProfitPips)
# #logger.debug('Risk Reward Ratio is: %s', RiskRewardRatio)
# order.m_lmtPrice = (float(tLow[0]) - 0.0002)
# stopPrice = truncate((float(tLow[0]) - 0.0002),4) #Stop Order -- Entry Price
# logger.debug('STP Price: %s', stopPrice)
#
# order.m_auxPrice = stopPrice
# #order.m_parentId = parentId
# order.m_account = masteraccount
# order.m_transmit = transmit
if action == 'SELL':
logger.debug('In Sell subfunction')
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = (float(tLow[0]) - 0.0002)
logger.debug('Limit Price: %s', order.m_lmtPrice)
stopPrice = truncate((float(tLow[0]) - 0.0002), 4)
logger.debug('Stop Price: %s', stopPrice)
order.m_auxPrice = stopPrice
order.m_parentId = parentId
order.m_account = masteraccount
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
logger.debug('transmitted order')
return order
def make__short__order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Short Order Function')
if limit == 2:
logger.debug('In Limit is 2 section')
if action == 'BUY':
logger.debug('In Buy sections Profit Take')
order.m_lmtPrice = truncate(
float(tLow[0]) -
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
logger.debug('Limit Price is %s', order.m_lmtPrice)
logger.debug('RiskReward Ratio is %s', RiskRewardRatio)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
order.m_transmit = transmit
elif limit == 1:
# ENTRY A simple stop order
logger.debug('In Limit is 1 Function')
order.m_orderType = 'STP'
if action == 'BUY':
logger.debug('In Limit 1. in Buy action')
logger.debug('RiskReward Ratio is %s', RiskRewardRatio)
order.m_lmtPrice = truncate(
float(tLow[0]) -
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
stopPrice = truncate(
float(tLow[0]) -
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
logger.debug('Stop Price is %s', stopPrice)
#order.m_parentId = parentId
order.m_account = masteraccount
order.m_transmit = transmit
if action == 'SELL':
logger.debug('In Limit 1. in Sell action')
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(truncate(float(tLow[0]), 4)) - 0.0005
stopPrice = float(truncate(float(tLow[0]), 4)) - 0.0005
order.m_auxPrice = stopPrice
order.m_parentId = parentId
order.m_account = masteraccount
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def make__short__order(action, qty, limit = None, profit_take=None, training_stop_percent=None, transmit=True, parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
print("In make order")
if limit == 2:
if action == 'BUY':
print(ProfitPips)
order.m_lmtPrice = truncate(float(tLow[0]) - ((float(truncate(float(tHigh[0]),4))- float(truncate(float(tLow[0]),4))) * int(RiskReward[0])),4)
print("In Profit Take")
print(order.m_lmtPrice)
print(RiskRewardRatio)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
# elif action == 'SELL':
# #order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
# order.m_lmtPrice = float(truncate(float(tLow[0]),4)) - 0.0005
# print("In Profit Take")
# print(RiskRewardRatio)
order.m_transmit = transmit
elif limit == 1:
# ENTRY A simple stop order
order.m_orderType = 'STP'
if action == 'BUY':
print(ProfitPips)
print(RiskRewardRatio)
order.m_lmtPrice = truncate(float(tLow[0]) - ((float(truncate(float(tHigh[0]),4))- float(truncate(float(tLow[0]),4))) * int(RiskReward[0])),4)
stopPrice = truncate(float(tLow[0]) - ((float(truncate(float(tHigh[0]),4))- float(truncate(float(tLow[0]),4))) * int(RiskReward[0])),4)
print("In Profit Take")
print(stopPrice)
order.m_auxPrice = stopPrice
#order.m_parentId = parentId
order.m_account = masteraccount
order.m_transmit = transmit
if action == 'SELL':
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(truncate(float(tLow[0]),4)) - 0.0005
stopPrice = float(truncate(float(tLow[0]),4)) - 0.0005
order.m_auxPrice = stopPrice;
order.m_parentId = parentId
order.m_account = masteraccount
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def make_trail(action, qty, limit=None, transmit=True):
logger.debug('In TRAIL STOP function')
order = Order()
order.m_action = action
#order.m_ocaGroup = 1
#order.ocaType = 1
logger.debug('Order action %s', order.m_action)
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('Limit value is %s', limit)
order.m_orderType = 'TRAIL'
order.m_outsideRth = True
order.m_triggerMethod = 4
logger.debug('entryprice is %s', float(EntryPriceVal[0]))
logger.debug('ATRValue is %s', float(ATRValueVal[0]))
logger.debug('StopATRMultiple is %s', StopATRMultipleVal[0])
stopPrice = (float(ATRValueVal[0]) * float(StopATRMultipleVal[0]))
logger.debug('stop price is %s', stopPrice)
stopPrice2 = truncate(stopPrice, 2)
logger.debug('stop price is %s', stopPrice2)
#order.m_lmtPrice = truncate(float(stopPrice2),2)
logger.debug('In SEll action. TRAIL price is %s', order.m_lmtPrice)
order.m_auxPrice = stopPrice2
order.m_account = masteraccount
logger.debug(' AUX Price price is %s', stopPrice2)
logger.debug(' account is %s', order.m_account)
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def make_profit_order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
logger.debug('In Make Profit Order')
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
profitPrice = float(EntryPriceVal[0]) + (float(ATRValueVal[0]) *
float(ProfitATRmultipleVal[0]))
logger.debug('profit price is %s', profitPrice)
profitPrice2 = truncate(profitPrice, 2)
order.m_lmtPrice = truncate((float(profitPrice2)), 2)
logger.debug('Profit Target LMT Order Price is is %s', order.m_lmtPrice)
order.m_orderType = 'LMT'
order.m_triggerMethod = 4
order.m_account = masteraccount
order.m_outsideRth = True
order.m_transmit = transmit
logger.debug('transmitted profit order')
return order
def create_order(self, account, orderType, totalQuantity, action):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
return order
def placeOrder(self,symbol,shares,limit=None,account='U8830832',exchange='SMART', transmit=0):
''' place an order on already subscribed contract '''
if symbol not in self.contracts.keys():
self.log.error("Can't place order, not subscribed to %s" % symbol)
return
action = {-1:'SELL',1:'BUY'}
o= Order()
o.m_orderId = self.getOrderId()
o.m_action = action[cmp(shares,0)]
o.m_totalQuantity = abs(shares)
o.m_account = account
o.m_transmit = transmit
if limit is not None:
o.m_orderType = 'LMT'
o.m_lmtPrice = limit
self.log.debug('Placing %s order for %i %s (id=%i)' % (o.m_action,o.m_totalQuantity,symbol,o.m_orderId))
self.tws.placeOrder(o.m_orderId,self.contracts[symbol],o)
def mkOrder(id,shares, limit=None, account='',transmit=0, tif = 'DAY'):
'''
create order object
Parameters
-----------
orderId : The order Id. You must specify a unique value.
When the order status returns, it will be identified by this tag.
This tag is also used when canceling the order.
shares: number of shares to buy or sell. Negative for sell order.
limit : price limit, None for MKT order
transmit: transmit immideatelly from tws
'''
action = {-1:'SELL',1:'BUY'}
o = Order()
o.m_orderId = id
o.m_account=account
o.m_action = action[cmp(shares,0)]
o.m_totalQuantity = abs(shares)
o.m_transmit = transmit
if limit is not None:
o.m_orderType = 'LMT'
o.m_lmtPrice = limit
else:
o.m_orderType = 'MKT'
return o
def create_order(self, account, orderType, totalQuantity, action):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
return order
def placeOrder(self,
symbol,
shares,
limit=None,
account='U8830832',
exchange='SMART',
transmit=0):
''' place an order on already subscribed contract '''
if symbol not in self.contracts.keys():
self.log.error("Can't place order, not subscribed to %s" % symbol)
return
action = {-1: 'SELL', 1: 'BUY'}
o = Order()
o.m_orderId = self.getOrderId()
o.m_action = action[cmp(shares, 0)]
o.m_totalQuantity = abs(shares)
o.m_account = account
o.m_transmit = transmit
if limit is not None:
o.m_orderType = 'LMT'
o.m_lmtPrice = limit
self.log.debug('Placing %s order for %i %s (id=%i)' %
(o.m_action, o.m_totalQuantity, symbol, o.m_orderId))
self.tws.placeOrder(o.m_orderId, self.contracts[symbol], o)
def make_sell_order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty[0]
logger.debug('qty is %s', qty[0])
logger.debug('qty type is %s', type(qty))
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Sell Order Function')
logger.debug('Limit Value is %s', limit)
# ENTRY A simple stop order
order.m_orderType = 'MKT'
order.m_outsideRth = True
order.m_sweepToFill = 1
logger.debug('In Sell Order Function when Limit is 1')
logger.debug('Action is %s', action)
#order.m_lmtPrice = limit - int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
#order.m_triggerMethod = 4
order.m_parentId = parentId
order.m_account = masteraccount
order.m_transmit = transmit
return order
def makeStkOrder(shares,action,account,ordertype='MKT'):
order = Order()
order.m_minQty = shares
order.m_orderType = ordertype
order.m_totalQuantity = shares
order.m_action = str(action).upper()
order.m_outsideRth = True #allow order to be filled ourside regular trading hours
order.m_account = account
return order
def create_order(self, account, orderType, totalQuantity, action,
lmt_price=None):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
if orderType == "LMT":
order.m_lmtPrice = lmt_price
return order
def create_order(self, order_type, quantity, action):
"""Create an Order object (Market/Limit) to go long/short.
order_type - 'MKT', 'LMT' for Market or Limit orders
quantity - Integral number of assets to order
action - 'BUY' or 'SELL'"""
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_account = self.current_account
return order
def create_order(self, account, orderType, totalQuantity, action, lmt, transmit):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
order.m_lmtPrice = lmt
# order.m_trailStopPrice=stp
order.m_transmit = transmit
return order
def create_order(self, order_type, quantity, action):
"""Create an Order object (Market/Limit) to go long/short.
order_type - 'MKT', 'LMT' for Market or Limit orders
quantity - Integral number of assets to order
action - 'BUY' or 'SELL'"""
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_account = self.current_account
return order
def make_long_order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty[0]
logger.debug('qty is %s', qty[0])
logger.debug('qty type is %s', type(qty))
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Long Order Function')
logger.debug('Limit Value is %s', limit)
# ENTRY A simple stop order
order.m_orderType = 'STP'
logger.debug('In Long Order Function when Limit is 1')
logger.debug('Action is %s', action)
# Rounding is due to FX, we cannot create an order with bad price, and FX book increments at 0.00005 only!
#order.m_lmtPrice = limit - int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
logger.debug('In Buy action')
lmtPrice = float(
truncate((float(gap_close) +
(float(ATRentrymultiple[0]) * float(ATRVal[0]))), 2))
logger.debug('Buy Stop Limit"Limit" Price or better to buy %s', lmtPrice)
float(lmtPrice)
logger.debug('lmt price type is %s', type(lmtPrice))
order.m_lmtPrice = lmtPrice
stopPrice = float(
truncate((float(gap_close) +
(float(ATRentrymultiple[0]) * float(ATRVal[0]))), 2))
logger.debug('Buy Stop Limit"Stop" Price to fire a buy order %s',
stopPrice)
float(stopPrice)
logger.debug('stop price type is %s', type(stopPrice))
order.m_auxPrice = stopPrice
order.m_triggerMethod = 2
order.m_parentId = parentId
order.m_account = masteraccount
logger.debug('Buy Upper Limit Price %s', order.m_lmtPrice)
logger.debug('Buy Upper Limit Type %s', type(order.m_lmtPrice))
logger.debug('Stop Entry Trigger Price %s ', stopPrice)
logger.debug('Stop Entry Trigger Type %s ', type(stopPrice))
logger.debug('Parent ID %s', order.m_parentId)
logger.debug('Account is %s', order.m_account)
order.m_transmit = transmit
return order
def place_order(self, instrument, expiry, quantity, acc=None):
"""
Send API request to place an order on the exchange.
:param instrument: core.instrument.Instrument object
:param expiry: contract label
:param quantity: order size as a signed integer (quantity > 0 means 'BUY'
and quantity < 0 means 'SELL')
:param acc: IB account to place order from, if None - the default account will be used
"""
contract = Contract()
contract.m_symbol = instrument.ib_code
contract.m_secType = 'FUT'
# place_order expects the contract label here, not the actual expiration date
contract.m_expiry = expiry
contract.m_exchange = instrument.exchange
contract.m_currency = instrument.denomination
if hasattr(instrument, 'ib_trading_class'):
contract.m_tradingClass = instrument.ib_trading_class
if hasattr(instrument, 'ib_multiplier'):
contract.m_multiplier = instrument.ib_multiplier
order = Order()
order.m_orderType = 'MKT'
order.m_algoStrategy = 'Adaptive'
order.m_algoParams = [TagValue('adaptivePriority', 'Patient')]
order.m_totalQuantity = int(abs(quantity))
order.m_action = quantity > 0 and 'BUY' or 'SELL'
if acc is not None:
order.m_account = acc.name
self.last_account = acc
logger.warning(
' '.join(['Order:', str(self.order_id), contract.m_symbol, contract.m_expiry, \
order.m_action, str(order.m_totalQuantity)]))
self.connection.placeOrder(self.order_id, contract, order)
self.orders_cache[self.order_id] = {'contract': contract,
'order': order}
# order_id may not update just after the order is submitted so we save the previous one and
# keep requesting until it's updated or we hit the time/iterations limit
prev_id = self.order_id
i = 0
while prev_id >= self.order_id:
sleep(self.api_delay)
i += 1
logger.debug('Requesting next order_id..')
self.connection.reqIds(1)
self.next_id_event.wait(timeout=(self.api_delay * 30))
self.next_id_event.clear()
if i > 60:
logger.warning("Couldn't obtain next valid order id. Next orders may not be"
"submitted correctly!")
return
def newOrder_GUI(action, orderID, quantity,startTime):
global trade_params
newStkOrder = Order()
print orderID, action, trade_params['OrderTIF'],trade_params['OrderType'],quantity,trade_params['Account'],startTime
newStkOrder.m_orderId = orderID
newStkOrder.m_action = action
newStkOrder.m_tif = 'DAY'
newStkOrder.m_transmit = True
newStkOrder.m_orderType = 'MKT'
newStkOrder.m_totalQuantity = quantity
newStkOrder.m_account = 'DU164541'
newStkOrder.m_goodAfterTime = startTime
#newStkOrder.m_goodAfterTime=endTime
return newStkOrder
def create_order(order_type, quantity, action, price=None):
"""Create an Order object (Market/Limit) to go long/short.
order_type - 'MKT', 'LMT' for Market or Limit orders
quantity - Integral number of assets to order
action - 'BUY' or 'SELL'"""
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_account = ConfigMgr.get_ib_config()['account_code']
if order_type == 'LMT':
order.m_lmtPrice = price
elif order_type == 'STP':
order.m_auxPrice = price
return order
def create_order(self, account, orderType, totalQuantity, action, lmt,
transmit, tif, gtd, initsize, subsize, princrement,
pradjval, pradjinterval):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
order.m_lmtPrice = lmt
order.m_transmit = transmit
order.m_tif = tif
order.m_goodTillDate = gtd
order.m_scaleInitLevelSize = initsize
order.m_scaleSubsLevelSize = subsize
order.m_scalePriceIncrement = princrement
order.m_scalePriceAdjustValue = pradjval
order.m_scalePriceAdjustInterval = pradjinterval
# order.m_trailStopPrice=trailStopPrice
# order.m_percentOffset=percentOffset
# order.m_auxPrice=auxPrice
#trailStopPrice,percentOffset,auxPrice
return order
def processMsg(self, msgId):
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:
sizeTickType = -1
if tickType == 1:
sizeTickType = 0
elif tickType == 2:
sizeTickType = 3
elif tickType == 4:
sizeTickType = 5
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.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0:
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1:
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):
optPrice = self.readDouble()
if optPrice < 0:
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0:
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1:
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1:
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1:
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0:
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()
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:
version = self.readInt()
order = Order()
order.m_orderId = self.readInt()
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()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
order.m_lmtPrice = self.readDouble()
order.m_auxPrice = self.readDouble()
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:
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:
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.readDouble()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if (self.m_parent.serverVersion() == 51):
self.readInt()
else:
if version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDouble()
order.m_stockRefPrice = self.readDouble()
order.m_delta = self.readDouble()
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_displaySize = self.readInt()
if version < 18:
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readInt()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDouble()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDouble()
order.m_volatilityType = self.readInt()
if (version == 11):
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = "NONE" if (receivedInt == 0) else "MKT"
else:
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDouble()
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.readDouble()
if version >= 14:
order.m_basisPoints = self.readDouble()
order.m_basisPointsType = self.readInt()
contract.m_comboLegsDescrip = self.readStr()
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
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 = list()
## for-while
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()
## for-while
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_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_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()
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_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()
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()
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()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = 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()
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()
## for-while
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
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:
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
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:
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
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:
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(), EClientErrors.UNKNOWN_ID.msg())
return False
return True
def processMsg(self, msgId):
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:
sizeTickType = -1
if tickType == 1:
sizeTickType = 0
elif tickType == 2:
sizeTickType = 3
elif tickType == 4:
sizeTickType = 5
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.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0:
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1:
delta = Double.MAX_VALUE
modelPrice = float()
pvDividend = float()
if (tickType == TickType.MODEL_OPTION):
modelPrice = self.readDouble()
pvDividend = self.readDouble()
else:
modelPrice = pvDividend = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, modelPrice, pvDividend)
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()
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:
version = self.readInt()
order = Order()
order.m_orderId = self.readInt()
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()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
order.m_lmtPrice = self.readDouble()
order.m_auxPrice = self.readDouble()
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:
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:
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.readDouble()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDouble()
order.m_stockRefPrice = self.readDouble()
order.m_delta = self.readDouble()
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_displaySize = self.readInt()
if version < 18:
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readInt()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDouble()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDouble()
order.m_volatilityType = self.readInt()
if (version == 11):
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = "NONE" if (receivedInt == 0) else "MKT"
else:
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDouble()
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.readDouble()
if version >= 14:
order.m_basisPoints = self.readDouble()
order.m_basisPointsType = self.readInt()
contract.m_comboLegsDescrip = self.readStr()
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
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
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()
## for-while
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_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_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()
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_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()
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
orderId = self.readInt()
contract = Contract()
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()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = 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()
self.eWrapper().execDetails(orderId, 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()
## for-while
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
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:
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
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:
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(), EClientErrors.UNKNOWN_ID.msg())
return False
return True
def make_long_order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Long Order Function')
logger.debug('Limit Value is %s', limit)
if limit == 2: #Profit Target
if action == 'SELL':
#logger.debug('Profit Pips is %s', ProfitPips)
order.m_lmtPrice = truncate((float(tHigh[0]) + 0.0022), 4)
logger.debug('In Profit Target section of make long order')
logger.debug('Profit Target Limit Order Price is is %s',
order.m_lmtPrice)
#logger.debug('Risk Reward Ratio is %s', RiskRewardRatio)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
# elif action == 'SELL':
# #order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
# order.m_lmtPrice = float(truncate(float(tLow[0]),4)) - 0.0005
# print("In Profit Take")
# print(RiskRewardRatio)
order.m_transmit = transmit
elif limit == 1:
# ENTRY A simple stop order
order.m_orderType = 'STP'
logger.debug('In Long Order Function when Limit is 1')
logger.debug('Action is %s', action)
if action == 'BUY':
# Rounding is due to FX, we cannot create an order with bad price, and FX book increments at 0.00005 only!
#order.m_lmtPrice = limit - int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
logger.debug('In Buy action')
lmtPrice = truncate((float(tHigh[0]) + 0.0002), 4)
logger.debug('Buy Entry Price %s', lmtPrice)
order.m_lmtPrice = lmtPrice
stopPrice = truncate((float(tHigh[0]) + 0.0002), 4)
order.m_auxPrice = stopPrice
order.m_parentId = parentId
order.m_account = masteraccount
logger.debug('Buy Entry Price %s', order.m_lmtPrice)
logger.debug('Buy Entry Price Type %s', type(order.m_lmtPrice))
logger.debug('Stop Loss Price %s ', stopPrice)
logger.debug('Stop Loss Type %s ', type(stopPrice))
logger.debug('Parent ID %s', order.m_parentId)
logger.debug('Account is %s', order.m_account)
# elif action == 'SELL':
# #order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
# logger.debug('In Sell action')
# order.m_lmtPrice = truncate((float(tHigh[0]) + 0.0002),4)
# stopPrice = truncate((float(tHigh[0]) + 0.0002),4)
# order.m_auxPrice = stopPrice;
# order.m_parentId = parentId
# order.m_account = masteraccount
# logger.debug('SEll Entry Price %s', order.m_lmtPrice)
# logger.debug('Stop loss buy Price %s ', stopPrice)
# logger.debug('Assigned Stop Price %s ', order.m_auxPrice)
# logger.debug('Parent ID %s', order.m_parentId)
# logger.debug('Account is %s', order.m_account)
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return 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
