def __init__(self, host='localhost', port=4001,
client_id=130, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(seconds=60)):
self.moving_window_period = moving_window_period
# self.chart = Chart()
self.ib_util = IBUtil()
# Store parameters for this model
# self.strategy_params = StrategyParameters(evaluation_time_secs,
# resample_interval_secs)
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.ohlc = None # I need another store for minute data (I think)
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
#addition for hdf store
self.data_path = os.path.normpath("/Users/maxime_back/Documents/avocado/data.csv")
self.ohlc_path = os.path.normpath("/Users/maxime_back/Documents/avocado/ohlc.csv")
self.last_trim = dt.datetime.now()
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
def __init__(self, host='localhost', port=4001,
client_id=101, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(hours=1)):
self.moving_window_period = moving_window_period
self.chart = Chart()
self.ib_util = IBUtil()
# Store parameters for this model
self.strategy_params = StrategyParameters(evaluation_time_secs,
resample_interval_secs)
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
def test():
# Connect to the Trader Workstation (TWS) running on the
# usual port of 7496, with a clientId of 100
# (The clientId is chosen by us and we will need
# separate IDs for both the execution connection and
# market data connection)
tws_conn = Connection.create(port=7496, clientId=100)
tws_conn.connect()
# Assign the error handling function defined above
# to the TWS connection
tws_conn.register(error_handler, 'Error')
# Assign all of the server reply messages to the
# reply_handler function defined above
tws_conn.registerAll(reply_handler)
# Create an order ID which is 'global' for this session. This
# will need incrementing once new orders are submitted.
order_id = 1
# Create a contract in GOOG stock via SMART order routing
goog_contract = create_contract('GOOG', 'STK', 'SMART', 'SMART', 'USD')
# Go long 100 shares of Google
goog_order = create_order('MKT', 1000, 'BUY')
# Use the connection to the send the order to IB
tws_conn.placeOrder(order_id, goog_contract, goog_order)
# Disconnect from TWS
tws_conn.disconnect()
def __init__(self):
tws = Connection.create(port=7496, clientId=101)
tws.connect()
tws.registerAll(self.reply_handler)
tws.register(self.error_handler, message.Error)
tws.register(self.my_hist_data_handler, message.historicalData)
self.tws=tws
self.histdata = list()
def connect(self):
self.update_connection_status("Connecting")
api_hostname = environ["TXTRADER_API_HOST"]
api_port = int(environ["TXTRADER_API_PORT"])
api_client_id = int(environ["TXTRADER_API_CLIENT_ID"])
self.output("Connnecting to TWS API at %s:%d with client id %d" % (api_hostname, api_port, api_client_id))
self.tws_conn = Connection.create(host=api_hostname, port=api_port, clientId=api_client_id)
self.tws_conn.registerAll(self.reply_handler)
self.tws_conn.connect()
def __init__(self, clientId=999):
self.tws_conn = Connection.create(port=7496, clientId=clientId)
self.tws_conn.connect()
self.tws_conn.register(error_handler, 'Error')
self.tws_conn.registerAll(reply_handler)
self.ib_orderid_fname="ib_orderid_fname.p"
if os.path.isfile(self.ib_orderid_fname):
self.order_id = pickle.load(open(self.ib_orderid_fname, 'rb'))
else:
self.order_id = 1
def main():
conn = Connection.create(port=7497, clientId=999)
conn.connect()
oid = 1
cont = make_contract('SPY', 'STK', 'SMART', 'SMART', 'USD')
offer = make_order('BUY', 1, 200)
conn.placeOrder(oid, cont, offer)
conn.disconnect()
def main():
conn = Connection.create(port=7496, clientId=994)
conn.registerAll(print_message_from_ib)
conn.connect()
#In future blog posts, this is where we'll write code that actually does
#something useful, like place orders, get real-time prices, etc.
import time
time.sleep(1) #Simply to give the program time to print messages sent from IB
conn.disconnect()
def main():
global conn
print "HFT model started."
# Use ibConnection() for TWS, or create connection for API Gateway
#conn = ibConnection()
conn = Connection.create(port=4001, clientId=101)
register_data_handlers()
conn.connect()
# Input your stocks of interest
stocks = ("C", "MS")
setup_stocks_data(stocks)
request_streaming_data(conn)
print "Boot strapping..."
start_time = time.time()
boot_strap_long_term(conn)
wait_for_boot_strap_lt_to_complete()
boot_strap_short_term(conn)
wait_for_boot_strap_st_to_complete()
print_elapsed_time(start_time)
strategy_params.set_bootstrap_completed()
print "Calculating strategy parameters..."
start_time = time.time()
calculate_params(stocks_data)
print_elapsed_time(start_time)
print "Bridging historical data..."
start_time = time.time()
bridge_historical_and_present_ticks(stocks_data, ticks_data, datetime.now())
print_elapsed_time(start_time)
print "Trading started."
try:
plot_stocks(strategy_params)
while True:
update_charts()
time.sleep(1)
except Exception, e:
print "Cancelling...",
cancel_market_data_request()
print "Disconnecting..."
conn.disconnect()
time.sleep(1)
print "Disconnected."
def test_make_order():
conn = Connection.create(port=7496, clientId=99)
conn.connect()
conn.register(error_handler, 'Error')
conn.registerAll(reply_handler)
print 'connect'
oid = 7;
contract = make_contract('TSLA', 'STK', 'SMART', 'SMART', 'USD')
offer = make_order('BUY', 100, 200)
print contract
print offer
conn.placeOrder(oid, contract, offer)
def main():
conn = Connection.create(port=7497, clientId=88) #Has to be connected to Global settings of TWS
conn.connect()
oid = main.count #Order number
print (oid)
cont = make_contract('anf', 'STK', 'SMART', 'SMART', 'USD') #Check exch name for stock symbol
offer = make_order('BUY',100,16.30)
conn.placeOrder(oid, cont, offer)
print(oid, str(cont), offer)
conn.disconnect()
def main():
# port.main()
# prices.main()
# connects to TWS-- make sure to include your port and clientID here
conn = Connection.create(port='{YOUR PORT}', clientId='{YOUR CLIENT_ID}')
values = contrarian_plays(to_integer(datetime.date.today()))
send_orders(values[0], values[1], conn)
# for some reason if there is no break between transactions it won't work
time.sleep(5)
portfolio = values[2]
# checks if there are any stocks to be sold
check_sells(conn, portfolio)
conn.disconnect()
def get_data_ib(self, id, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate):
con = Connection.create(port=7496, clientId=1)
con.connect()
con.register(self.watcher, message.historicalData)
# time.sleep(1)
#con.reqMktData(id, self.contract, '', False)
con.reqHistoricalData(id, self.contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate)
time.sleep(1)
con.cancelHistoricalData(id)
time.sleep(1)
con.disconnect()
return self.data
def __init__(self, host='localhost', port=4001,
client_id=101, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(hours=1)):
self.moving_window_period = moving_window_period
self.chart = Chart()
self.ib_util = IBUtil()
self.strategy_params = StrategyParameters(evaluation_time_secs,
resample_interval_secs)
self.stocks_data = {}
self.symbols = None
self.account_code = ""
self.prices = None
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
order.m_action = action
order.m_lmtPrice = price
else:
order = Order()
order.m_orderType = 'MKT'
order.m_totalQuantity = quantity
order.m_action = action
return order
cid = 303
while __name__ == "__main__":
conn = Connection.create(port=7497, clientId=9898)
conn.connect()
oid = cid
cont = make_contract('APLE', 'STK', 'SMART', 'SMART', 'USD')
offer = make_order('BUY', 1, 200)
conn.placeOrder(oid, cont, offer)
offer_2 = make_order('SELL', 1, 200)
conn.placeOrder(oid, cont, offer_2)
cont = make_contract('EUR', 'STK', 'IDEALPRO', 'IDEALPRO', 'USD')
offer = make_order('BUY', 1, 200)
conn.placeOrder(oid, cont, offer)
conn.disconnect()
x = input('enter to resend')
cid += 1
def setup_connection(self):
return Connection.create(port=4001, clientId=101) if self.is_use_gateway else ibConnection()
if msg.typeName == 'realtimeBar':
reqid=(((str(msg)).split()[1]).split('=')[1]).replace(',','')
sym=symTickerIddict[reqid]
onerow = (str(msg)).split(',')
## print onerow
cleanonerow = TicksUtile.clean_RTTick5secBars(onerow,sym)
rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.'+tickfiletag+'.csv',[onerow])
rpu_rp.WriteArrayToCsvfile(DataDown +today+'.'+sym+ '.RTtickslastquotenew.csv',[cleanonerow])
else:
print str(msg)
rpu_rp.WriteStringsToFileAppend(TMP +'replys.'+tickfiletag,str(msg))
#################################
print 'Connecting to Live DATAFEED...please wait'
print 'Collecting 5Second Tick Bars in realtime for the following symbols...'
print symbol_list
tws_conn = Connection.create(port=7496, clientId=164) #need separate IDs for both the execution connection and
tws_conn.connect()
tws_conn.register(ibutiles.error_handler, 'Error')
tws_conn.registerAll(RTBar_reply_handler)
##########################
cycletime = 120 ## will need to be increase for more products because of delay
loopmax = 300000 # = allday
loop = 1
################
reqID=1
symid =0
strike=22
expiry = '22'
for sym in symbol_list:
symid+=1
contract = ibutiles.create_contract(sym,strike,expiry)
def connect_to_tws(self):
self.tws_conn = Connection.create(port=self.port,
clientId=self.client_id)
self.tws_conn.connect()
def connect(port, clientID):
tws_conn = Connection.create(port=port, clientId=client_id)
tws_conn.connect()
return tws_conn
sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname, '') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname, a)
newDataList = []
##########
newDataList = []
print 'connecting hdownload flex'
uniqueclientId = '125'
tws_conn = Connection.create(port=7496, clientId=uniqueclientId)
#need separate IDs for both the execution connection and
tws_conn = Connection.create(port=7496, clientId=125)
tws_conn.connect()
tws_conn.register(Mod_ibutiles.error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
def dload(symlist, barlist, strikelist, expirylist):
print symlist, barlist
global bar, sym
trans_id = 0
strikelist = [1]
expirylist = [1]
def __init__(self, client_id, port=7496):
self.tws_conn = Connection.create(clientId=client_id, port=port)
order = Order()
order.m_orderType = 'MKT'
order.m_totalQuantity = quantity
order.m_action = action
return order
#cid = 303
#Use the time as random cid
cid = int(time.time())
while __name__ == "__main__":
#because of there is no define for clientID in TWS,delete it here.
conn = Connection.create(port=7496, clientId=999)
#conn = Connection.create(port=7496)
#registerAll(watcher) copy from github ...\IbPy\demo\fancy_marketdata
conn.registerAll(watcher)
conn.connect()
oid = cid
#USA Stock Exchange
#cont = make_contract('TSLA', 'STK', 'SMART', 'SMART', 'USD')
#offer = make_order('BUY', 1, 200)
#HK Stock Exchange
cont = make_contract('177', 'STK', 'SEHK', 'SEHK', 'HKD')
offer = make_order('BUY', 2000, 10.00)
cleanonerow = TicksUtile.format_RTTickoneline_to_5secBars(onerow, sym)
rpu_rp.WriteArrayToCsvfileAppend(
DataDown + today + '.' + sym + '.RTticks.csv', [cleanonerow])
rpu_rp.WriteArrayToCsvfile(
DataDown + today + '.' + sym + '.RTtickslastquote.csv',
[cleanonerow])
else:
if 'connection is OK' in str(msg):
pass
else:
print str(msg)
rpu_rp.WriteStringsToFileAppend(replyfname, str(msg))
#################################
tws_conn = Connection.create(port=7496, clientId=179)
tws_conn.connect()
tws_conn.register(ibutiles.error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(reply_handler)
##########################
symTickerIddict = {}
symid = 1
for sym in symbol_list2:
print sym, symid
symTickerIddict.update({str(symid): sym})
symid += 1
def start_tickers():
order.m_orderType = 'MKT'
order.m_totalQuantity = quantity
order.m_action = action
return order
#cid = 303
#Use the time as random cid
cid=int(time.time())
while __name__ == "__main__":
#because of there is no define for clientID in TWS,delete it here.
conn = Connection.create(port=7496, clientId=999)
#conn = Connection.create(port=7496)
#registerAll(watcher) copy from github ...\IbPy\demo\fancy_marketdata
conn.registerAll(watcher)
conn.connect()
oid = cid
#USA Stock Exchange
#cont = make_contract('TSLA', 'STK', 'SMART', 'SMART', 'USD')
#offer = make_order('BUY', 1, 200)
#HK Stock Exchange
cont = make_contract('177', 'STK', 'SEHK', 'SEHK', 'HKD')
offer = make_order('BUY', 2000, 10.00)
:return:
"""
print("Server Error:", msg)
def server_handler(msg):
"""
A function that prints the messages from Interactive Brokers
:param msg: the error message
:return:
"""
print("Server Msg:", msg.typeName, "-", msg)
if __name__ == "__main__":
port = 7497
client_id = 1
tws_conn = None
try:
# create a IB connection instance
tws_conn = Connection.create(port=port, clientId=client_id)
# make a connection
tws_conn.connect()
# register the error handler
tws_conn.register(error_handler, 'Error')
# register the server handler
tws_conn.registerAll(server_handler)
finally:
if tws_conn is not None:
tws_conn.disconnect()
def setup_connection(self):
return Connection.create(port=4001, clientId=101) if self.is_use_gateway else ibConnection()
contract.m_secType = 'STK' # for stock
contract.m_exchange = 'ISLAND'
# contract.m_primaryExch = 'ISLAND' # for NASDAQ
contract.m_currency = 'USD'
# 2. Construct order
order = Order()
if price is None:
order.m_orderType = 'MKT'
else:
order.m_orderType = 'LMT'
order.m_lmPrice = price
order.m_totalQuantity = quantity
order.m_action = action
# 3. Place order
ibConnection.placeOrder(orderId, contract,
order) # smaller ID has Higher priority
# 1. Establish connection
ibConnection = Connection.create(port=7497, clientId=308)
ibConnection.connect()
# 2. Buy
operate(orderId=20, ticker='NVDA', action='SELL', quantity=100)
operate(orderId=21, ticker='TSLA', action='SELL', quantity=100)
# 3. Disconnect
ibConnection.disconnect()
def connect_to_tws(self):
self.tws_conn = Connection.create(port=self.port,
clientId=self.client_id)
self.tws_conn.connect()
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
return order
if __name__ == "__main__":
# Connect to the Trader Workstation (TWS) running on the
# usual port of 7496, with a clientId of 100
# (The clientId is chosen by us and we will need
# separate IDs for both the execution connection and
# market data connection)
tws_conn = Connection.create(port=4002, clientId=1)
tws_conn.connect()
# Assign the error handling function defined above
# to the TWS connection
tws_conn.register(error_handler, 'Error')
# Assign all of the server reply messages to the
# reply_handler function defined above
tws_conn.registerAll(reply_handler)
# Create an order ID which is 'global' for this session. This
# will need incrementing once new orders are submitted.
order_id = 1
# Create a contract in GOOG stock via SMART order routing
def __init__(self, port=7496, clientId=100):
self.reqId = 0
self.conn = Connection.create(port=port, clientId=clientId)
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_account = account
return order
# ib_api_demo.py
if __name__ == "__main__":
# Connect to the Trader Workstation (TWS) running on the
# usual port of 7497, with a clientId of 000
# (The clientId is chosen by us and we will need
# separate IDs for both the execution connection and
# market data connection)
tws_conn = Connection.create(port=7497, clientId=000)
tws_conn.connect()
# Assign the error handling function defined above
# to the TWS connection
tws_conn.register(error_handler, 'Error')
# Assign all of the server reply messages to the
# reply_handler function defined above
tws_conn.registerAll(reply_handler)
# Create an order ID which is 'global' for this session. This
# will need incrementing once new orders are submitted.
order_id = 503 # has to change each time
# Create a contract in GOOG stock via SMART order routing
def dload_list(symbol_list,durmode):
barlistall = bardict.keys()
barlist =[]
for b in barlistall:
if modedict[b] != 'special' :
barlist.append(b)
##########################
def backupTickfiles(fname1):
fname2 = fname1.replace('.csv','bu.csv')
f1 = rpu_rp.CsvToLines(fname1)
f2 = rpu_rp.CsvToLines(fname2)
for line in f1:
f2.append(line)
rpu_rp.WriteArrayToCsvfile(fname2,f2)
rpu_rp.WriteArrayToCsvfile(fname1,[])
#############
def error_handler(msg):
if 'historicalData' in str(msg):
print 'error probably pacing hist data'
pass
elif 'connection is OK' in str(msg):
pass
else:
print "Server Error: %s" % msg
#############
def historical_data_handler(msg):
global newDataList
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
if ('finished' in str(msg.date)) == False: ### keep building the list
## print (int(msg.date))
fstring = "%Y-%m-%d %H:%M:%S"
dateold = localtime(int(msg.date))
tdate = strftime(fstring, dateold)
if bar == '1 day':
tdate = (str((int(msg.date))))[0:4] + '-' + str((int(msg.date)))[4:6]+ '-' + str((int(msg.date)))[6:8] + ' 23:59:58'
## print tdate
## print msg.date
dataStr = '%s, %s, %s, %s, %s, %s, %s' % (sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname,'') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname,a)
newDataList = []
##########
def reply_handler(msg):
if msg.typeName == 'historicalData':
pass
else:
print "Server Response: %s, %s" % (msg.typeName, msg)
####################
tws_conn = Connection.create(port=7496, clientId=109)
tws_conn.connect()
tws_conn.register(error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
trans_id = 0
if durmode == 'd':
barlist = ['1day']
if durmode == '5secs':
barlist =['5secs']
for sym in symbol_list:
for bar in barlist:
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_ticksym(trans_id,sym)
ticktype = ticktypedict[sym]
print bar, sym, duration,ticktype, barspaced
tws_conn.reqHistoricalData(trans_id, contract, '', duration, barspaced, ticktype, 0, 2)
trans_id = trans_id + 1
sleep(3)
###############
print 'disconnecting from ib..'
tws_conn.disconnect()
for sym in symbol_list:
for dura in barlist:
throw_out_lastbar(sym,dura,today)
def get_connection(client_id=1):
conn = Connection.create(host='localhost', port=7496, clientId=client_id)
conn.register(error_handler, 'Error')
conn.connect()
time.sleep(1)
return conn
def create_order(order_type, quantity, action):
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
if __name__ == "__main__":
client_id = 1
order_id = 122
port = 7496
tws_conn = None
try:
# Establish connection to TWS.
tws_conn = Connection.create(port=port,
clientId=client_id)
tws_conn.connect()
# Assign error handling function.
tws_conn.register(error_handler, 'Error')
# Assign server messages handling function.
tws_conn.registerAll(server_handler)
# Create AAPL contract and send order
aapl_contract = create_contract('AAPL',
'STK',
'SMART',
'SMART',
'USD')
def __init__(self, host='localhost', port=4001,
client_id=130, is_use_gateway=False,
moving_window_period=dt.timedelta(seconds=60), test=False):
self.test = test
self.tz = pytz.timezone('Singapore')
self.moving_window_period = moving_window_period
self.ib_util = IBUtil()
self.stocks_data = {} # Dictionary storing StockData objects.REFACTOR
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.ohlc = None # I need another store for minute data (I think)
self.buffer = list()
self.trade_qty = 0
#self.lock = Lock()
self.traffic_light = Event()
self.ohlc_ok = Lock()
self.executor = concurrent.futures.ThreadPoolExecutor(max_workers=10)
self.timekeeper = None
self.parser = None
self.execution = None
self.handler = None
self.data_path = os.path.normpath(os.path.join(os.path.curdir,"data.csv"))
self.ohlc_path = os.path.normpath(os.path.join(os.path.curdir,"ohlc.csv"))
self.last_trim = None
#range/trend flag
self.flag = None
self.event_market_on = Event()
self.ml = MLcall()
self.last_trim = None
self.last_ml_call = None
# self.last_trade = None
# self.last_bid = None
# self.last_ask = None
# self.cur_mean = None
# self.cur_sd = None
# self.cur_zscore = None
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = Connection.create(host=host, port=port, clientId=client_id)
#self.thread = threading.Thread(target=self.spawn())
#self.thread.start()
if not self.test:
self.handler = ExecutionHandler(self.conn)
#
#third handler should register properly si Dieu veut
if self.test:
self.__register_data_handlers(self.null_handler,
self.__event_handler,
self.null_handler)
else:
self.__register_data_handlers(self.handler.on_tick_event,
self.__event_handler,
self.handler._reply_handler)
if self.test:
self.order_template = self.create_contract("CL", "FUT", "NYMEX", "201606", "USD")
else:
self.order_template = self.handler.create_contract("CL", "FUT", "NYMEX", "201606", "USD")#todo duplicate with execution handler
self.signal = None
self.state = None
query = ("UPDATE " + Table + " SET ninetyvol = " + str(ninetyd) +
" where ID =\'" + str(ID1[0]) + "\';")
logger.debug('Query is %s', query)
print(query)
cur.execute(query)
cnx.commit()
Flag = 1
logger.debug('Flag set to %s', Flag)
print(Flag)
return (Flag)
while Flag == 0:
logger.debug('Flag set to %s', Flag)
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
time.sleep(1)
qqq = Contract()
qqq.m_symbol = Table
qqq.m_secType = 'STK'
qqq.m_exchange = 'SMART:ARCA'
qqq.m_currency = 'USD'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'TRADES', 0, 1)
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = sec_type
contract.m_exchange = exch
contract.m_primaryExch = prim_exch
contract.m_currency = curr
return contract
if __name__ == "__main__":
# Connect to the Trader Workstation (TWS) running on the
# usual port of 7496, with a clientId of 100
# (The clientId is chosen by us and we will need
# separate IDs for both the execution connection and
# market data connection)
con = Connection.create(port=7496, clientId=100)
con.connect()
# Assign the error handling function defined above
# to the TWS connection
con.register(error_handler, 'Error')
# Assign all of the server reply messages to the
# reply_handler function defined above
con.registerAll(reply_handler)
# Create an order ID which is 'global' for this session. This
# will need incrementing once new orders are submitted.
order_id = 1
#con.registerAll(watcher)
# 註冊我們對回傳的 historicalData 要採取的 handler
con.register(my_hist_data_handler, message.historicalData)
value = msg.price
quotearray[5] = symTickerIddict[msg.tickerId]
if msg.typeName == 'tickSize':
fnum = msg.field
value =msg.size
quotearray[int(fielddict[str(fnum)])] = value
if msg.typeName == 'tickSnapshotEnd':
sym = quotearray[5]
quotearray[6] = today
quotearray[0] = datetime.now().time().isoformat()
linearray = []
linearray.append(quotearray)
rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.ticksnaps.csv',linearray)
rpu_rp.WriteStringsToFileAppend(TMP +'replys.snapshots',str(msg))
#################################
tws_conn = Connection.create(port=7496, clientId=108) #need separate IDs for both the execution connection and
tws_conn.connect()
tws_conn.register(ibutiles.error_handler, 'Error')
tws_conn.registerAll(local_reply_handler)
##########################
symTickerIddict ={}
def create_contract_dictionary(ordid,sym):
contract = ibutiles.create_ticksym(ordid,sym)
contractdict.update({sym : contract})
symTickerIddict.update({ordid : sym})
## print contractdict
##########################
ordid =0
contractdict ={}
for sym in symbol_list:
ordid+=1
def connect_to_tws(self):
self.tws_conn = Connection.create(port=self.port, clientId=self.client_id)
self.tws_conn.connect()
self.register_callback_functions()
tdate = strftime(fstring, dateold)
if len(msg.date) == 8 :
tdate = (str((int(msg.date))))[0:4] + '-' + str((int(msg.date)))[4:6]+ '-' + str((int(msg.date)))[6:8] + ' 23:59:58'
dataStr = '%s, %s, %s, %s, %s, %s, %s' % (sym, tdate, msg.open, msg.high, msg.low, msg.close, msg.volume)
newDataList = newDataList + [dataStr]
else:
print 'next list'
rpu_rp.WriteStringsToFile(fname,'') #flush the file
for a in newDataList:
if len(a) > 2:
rpu_rp.WriteStringsToFileAppend(fname,a)
newDataList = []
##########
newDataList = []
print 'connecting hdownload flex'
tws_conn = Connection.create(port=7496, clientId=125)
tws_conn.connect()
tws_conn.register(Mod_ibutiles.error_handler, 'Error')
tws_conn.registerAll(reply_handler)
tws_conn.register(historical_data_handler, message.historicalData)
#######################################
def dload(symlist,barlist,strikelist,expirylist):
print symlist,barlist
global bar, sym
trans_id = 0
strikelist = [1]
expirylist = [1]
for sym in symlist:
print sym
for bar in barlist:
for strike in strikelist:
def __init__(self, host='localhost', port=4001,
client_id=130, is_use_gateway=False,
moving_window_period=dt.timedelta(seconds=60), test=False):
logging.basicConfig(format='%(asctime)s %(message)s')
self.test_logger = logging.getLogger('hftModelLogger')
self.test_logger.setLevel(logging.INFO)
self.test = test
self.tz = pytz.timezone('Singapore')
self.moving_window_period = moving_window_period
self.ib_util = IBUtil()
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.ohlc = None # I need another store for minute data (I think)
self.buffer = list()
self.trade_qty = 0
self.traffic_light = Event()
self.ohlc_ok = Lock()
self.executor = concurrent.futures.ThreadPoolExecutor(max_workers=6)
self.timekeeper = None
self.parser = None
self.execution = None
self.strategy = None
self.handler = None
self.data_path = os.path.normpath(os.path.join(os.path.curdir,"data.csv"))
self.ohlc_path = os.path.normpath(os.path.join(os.path.curdir,"ohlc.csv"))
self.flag = None
self.event_market_on = Event()
self.ml = MLcall()
self.last_trim = None
self.last_ml_call = None
self.cur_mean = None
self.cur_sd = None
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = Connection.create(host=host, port=port, clientId=client_id)
if not self.test:
self.handler = ExecutionHandler(self.conn)
#third handler should register properly si Dieu veut
if self.test:
self.__register_data_handlers(self.null_handler,
self.__event_handler,
self.null_handler)
else:
self.__register_data_handlers(self.handler.on_tick_event,
self.__event_handler,
self.handler._reply_handler)
if self.test:
self.order_template = self.create_contract(settings.SYMBOL,
settings.SECURITY,
settings.EXCHANGE,
settings.EXPIRY,
settings.CURRENCY)
else:
self.order_template = self.handler.create_contract(settings.SYMBOL,
settings.SECURITY,
settings.EXCHANGE,
settings.EXPIRY,
settings.CURRENCY)
self.signal = None
self.state = None
