class ReferenceApp:
def __init__(self, host='localhost', port=7496, clientId=0):
self.host = host
self.port = port
self.clientId = clientId
self.wrapper = ReferenceWrapper()
self.connection = EClientSocket(self.wrapper)
@ref
def eConnect(self):
self.connection.eConnect(self.host, self.port, self.clientId)
@ref
def reqAccountUpdates(self):
self.connection.reqAccountUpdates(1, '')
@ref
def reqOpenOrders(self):
self.connection.reqOpenOrders()
@ref
def reqExecutions(self):
filt = ExecutionFilter()
self.connection.reqExecutions(0, filt)
@ref
def reqIds(self):
self.connection.reqIds(10)
@ref
def reqNewsBulletins(self):
self.connection.reqNewsBulletins(1)
@ref
def cancelNewsBulletins(self):
self.connection.cancelNewsBulletins()
@ref
def setServerLogLevel(self):
self.connection.setServerLogLevel(3)
@ref
def reqAutoOpenOrders(self):
self.connection.reqAutoOpenOrders(1)
@ref
def reqAllOpenOrders(self):
self.connection.reqAllOpenOrders()
@ref
def reqManagedAccts(self):
self.connection.reqManagedAccts()
@ref
def requestFA(self):
self.connection.requestFA(1)
@ref
def reqMktData(self):
contract = Contract() #
contract.m_symbol = 'AUD'
contract.m_currency = 'USD'
contract.m_secType = 'CASH'
contract.m_exchange = 'IDEALPRO'
self.connection.reqMktData(1, contract, '', False)
@ref
def reqHistoricalData(self):
contract = Contract()
contract.m_symbol = 'QQQQ'
contract.m_secType = 'STK'
contract.m_exchange = 'SMART'
endtime = strftime('%Y%m%d %H:%M:%S')
self.connection.reqHistoricalData(
tickerId=1,
contract=contract,
endDateTime=endtime,
durationStr='1 D',
barSizeSetting='1 min',
whatToShow='TRADES',
useRTH=0,
formatDate=1)
@ref
def eDisconnect(self):
sleep(5)
self.connection.eDisconnect()
class ReferenceApp:
parameters = None
def __init__(self, host='localhost', port=7496, clientId=0):
self.host = host
self.port = port
self.clientId = clientId
self.parameters = settings.TradeParameters()
self.wrapper = ReferenceWrapper(self.parameters)
self.connection = EClientSocket(self.wrapper)
def eConnect(self):
self.connection.eConnect(self.host, self.port, self.clientId)
def reqAccountUpdates(self):
self.connection.reqAccountUpdates(1, '')
def reqOpenOrders(self):
self.connection.reqOpenOrders()
def reqExecutions(self):
filt = ExecutionFilter()
self.connection.reqExecutions(filt)
def reqIds(self):
self.connection.reqIds(10)
def reqNewsBulletins(self):
self.connection.reqNewsBulletins(1)
def cancelNewsBulletins(self):
self.connection.cancelNewsBulletins()
def setServerLogLevel(self):
self.connection.setServerLogLevel(3)
def reqAutoOpenOrders(self):
self.connection.reqAutoOpenOrders(1)
def reqAllOpenOrders(self):
self.connection.reqAllOpenOrders()
def reqManagedAccts(self):
self.connection.reqManagedAccts()
def requestFA(self):
self.connection.requestFA(1)
def reqMktData(self):
for tick_id, symbol in self.parameters.tickers().iteritems():
contract = app.wrapper.makeContract(symbol)
self.connection.reqMktData(tick_id, contract, [], False)
def reqHistoricalData(self):
contract = Contract()
contract.m_symbol = 'QQQQ'
contract.m_secType = 'STK'
contract.m_exchange = 'SMART'
endtime = strftime('%Y%m%d %H:%M:%S')
self.connection.reqHistoricalData(tickerId=1,
contract=contract,
endDateTime=endtime,
durationStr='1 D',
barSizeSetting='1 min',
whatToShow='TRADES',
useRTH=0,
formatDate=1)
def eDisconnect(self):
sleep(5)
self.connection.eDisconnect()
class IBClient(object):
"""IB Socket client"""
def __init__(self, client_name='IB', host='localhost', port=7496, client_id=0):
"""Constructor"""
self.client_name = client_name
self.host = host # host IP address in a string; e.g. '127.0.0.1', 'localhost'
self.port = port # socket port; TWS default value: 7496; TWS demo account default value: 7497
self.client_id = client_id # socket client id
self.connected = False # status of the socket connection
self.tickerId = 0 # known as ticker ID or request ID
self.ipc_msg_dict = {} # key: ticker ID or request ID; value: request and response objects; response objects ususally carrys data, Events, and Status
self.order_id = 0 # current available order ID
self.order_dict = {} # key: ticker ID or request ID; value: request and response objects; response objects ususally carrys data, Events, and Status
self.context = None # key: ticker ID or request ID; value: request and response objects; response objects ususally carrys data, Events, and Status
self.data = None
self.wrapper = IBMsgWrapper(self) # the instance with IB message callback methods
self.connection = EClientSocket(self.wrapper) # low layer socket client
# TWS's data connection status
self.hmdf_status_dict = {}
for farm in IB_FARM_NAME_LS:
self.hmdf_status_dict[farm] = 'unknown'
# EVENTS
self.conn_down_event = Event() # sock connection event
self.mdf_conn_event = Event() # market data connection event
self.hdf_conn_event = Event() # hist data connection event
self.order_event = Event()
self.account_event = Event()
self.get_order_event = Event()
# LOCKER
self.req_id_locker = threading.Lock()
# CONSTANT VALUES
self.PRICE_DF_HEADER1 = ['time', 'open', 'high', 'low', 'close', 'volume']
self.PRICE_DF_HEADER2 = ['symbol', 'time', 'open', 'high', 'low', 'close', 'volume']
def connect(self):
""" Connect to socket host, e.g. TWS """
self.connection.eConnect(self.host, self.port, self.client_id)
timeout = 5.
count = 0.
while not self.connected and count < timeout:
count += 0.05
sleep(0.05)
if self.connected:
self.order_id = self.connection.reqIds(-1)
if self.context is not None:
# TODO: may need to move this to a thread or at user layer
self.enable_account_info_update()
else:
print('failed to connect.')
return self.connected
def close(self):
""" disconnect from IB host """
self.disconnect()
def disconnect(self):
""" disconnect from IB host """
if self.context is not None:
self.disable_account_info_update()
self.connection.eDisconnect()
self.connected = False
def register_strategy(self, context, data):
""" TBA """
self.context = context
self.data = data
def __get_new_request_id(self):
'''' genew request ID (ticker ID) in a thread safe way '''
self.req_id_locker.acquire()
self.tickerId += 1
__id = self.tickerId
self.req_id_locker.release()
return __id
#
# Tick Data Methods
#
def request_tick_data(self, contract):
""" Subscribe tick data for a specified contract
Args:
contract: a legal IBPY Contract object or a string for U.S. stock only
Returns:
tickerId: the ID of this request. this ID could be used to cancel request later.
tick_data: a reference to the tick data dictionary which will be updated with latest quote.
"""
if isinstance(contract, Contract):
pass
elif isinstance(contract, str):
contract = new_stock_contract(contract)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
__id = self.__get_new_request_id()
request = RequestDetails('reqMktData', 'Snapshot', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# False - indicating request live quotes instead of a snapshot
self.connection.reqMktData(__id, contract, '', False)
return __id, self.ipc_msg_dict[__id][1].tick_data
def get_tick_snapshot(self, contract, max_wait_time=5):
""" Get a snapshot with default tick types and corresponding tick data for a given contract
Note: 1) no generic ticks can be specified.
2) only return data fields which have changed within an 11 second interval.
If it is necessary for an API client to receive a certain data field, it is better
to subscribe to market data until that field has been returned and then cancel the market data request.
Known Issues:
1) When called outside of market hours, get_tick_snapshot request could take more than 10 sec
to reach the end (tickSnapshotEnd)
2) Need to check Issue#1 during market hours
Args:
contract: a legal IBPY Contract object or a string for U.S. stock only
Returns:
a copy of tick data dictionary
Raises:
None
"""
if isinstance(contract, Contract):
pass
elif isinstance(contract, str):
contract = new_stock_contract(contract)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
__id = self.__get_new_request_id()
request = RequestDetails('reqMktData', 'Snapshot', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# send reqMktData req
# True - indicating request live quotes instead of a snapshot
#
# Important:
# When set it to 'True', each regulatory snapshot made will incur a fee of 0.01 USD to the account.
# This applies to both live and paper accounts.
self.connection.reqMktData(__id, contract, '', True)
response.event.wait(max_wait_time)
if response.event.is_set():
# tickPrice() and tickeSize() may write after tickSnapshotEnd() completed.
sleep(0.5)
snapshot = copy(response.tick_data)
# remove the from dict and free the memory
response.event.clear()
self.ipc_msg_dict.pop(__id)
else:
response.event.clear()
self.ipc_msg_dict.pop(__id)
raise RuntimeError('reqMktData (get_tick_snapshot) is timeout. max_wait_time=%d' % (max_wait_time))
return snapshot
def cancel_tick_request(self, tickerId):
""" Cancel tick data request for a given ticker ID (request ID)
Args:
tickerId: the ticker request to cancel
Returns:
None
Raises:
None
"""
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
# TODO: check if tickerID is in the list
self.connection.cancelMktData(tickerId)
self.ipc_msg_dict.pop(tickerId)
return
def request_realtime_price(self, contract, price_type='TRADES'):
""" Get real-time price/volume for a specific contract, e.g. stocks, futures and option contracts.
IB API support only 5 sec duration between two real-time bar (price) records.
Args:
contract: one IB contract instance
price_type: 'TRADES', 'MIDPOINT', 'BID', 'ASK'
Returns:
tickerId: the request ID; it's also the key to get response msg from ipc_msg_dict
realtime_price: a reference to the real-time price (OCHL) list which will be updated
with latest price (OCHL) record.
Raises:
None
"""
if isinstance(contract, Contract):
pass
elif isinstance(contract, str):
contract = new_stock_contract(contract)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if price_type not in ['TRADES', 'MIDPOINT', 'BID', 'ASK']:
raise TypeError("Got incorrect price_type")
__id = self.__get_new_request_id()
request = RequestDetails('reqHistoricalData', price_type, contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# only 5 sec duration supported
# price_type: 'TRADES', 'MIDPOINT', 'BID', 'ASK'
# useRTH - set to True
self.connection.reqRealTimeBars(__id, contract, 5, price_type, True)
return __id, self.ipc_msg_dict[__id][1].rt_price
def cancel_realtime_price(self, req_id):
""" Cancel realtime price/volumne request.
Args:
req_id: the ticker ID (or request ID)
Returns:
None
"""
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
self.connection.cancelRealTimeBars(req_id)
# remove request/response data from ipc_msg_dict
self.ipc_msg_dict.pop(req_id)
return
#
# Historical Data Methods
#
def get_price_history(self, contract, ts_end, duration='1 M', frequency='daily', max_wait_time=30):
""" Get price/volumne history for a specific contract, e.g. stocks, futures and option ocntract.
Args:
contract: one IB contract instance
ts_end: a string in '%Y%m%d' or '%Y%m%d %H:%M:%S' format
duration: string
X S Seconds
X D Day
X W Week
X M Month
X Y Year
frequency: {‘daily’, ‘minute’}, optional; Resolution of the data to be returned.
max_wait_time: int; max num of sec to wait after calling reqHistoricalData
Returns:
pandas Panel/DataFrame/Series – The pricing data that was requested.
Open High Low Close Volume
Date
2017-12-15 6.96 6.96 6.86 6.90 366523000
2017-12-18 6.88 7.02 6.87 6.98 303664000
2017-12-19 7.00 7.02 6.98 7.01 299342000
Raises:
None
"""
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(contract, Contract):
pass
elif isinstance(contract, str):
contract = new_stock_contract(contract)
else:
raise TypeError("contract must be a Contract object or string")
if frequency == 'daily':
bar_size = '1 day'
elif frequency == 'minute':
bar_size = '1 min'
elif frequency == 'second':
bar_size = '1 sec'
elif frequency == '5 seconds':
bar_size = '5 secs'
else:
raise ValueError("get_price_history: incorrect frequency value")
if len(ts_end) == 8 or len(ts_end) == 17:
if len(ts_end) == 8:
ts_end = ts_end + ' 23:59:59'
else:
print('get_price_history: incorrect ts_end format')
return
__id = self.__get_new_request_id()
request = RequestDetails('reqHistoricalData', '', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
self.connection.reqHistoricalData(tickerId=__id, contract=contract, endDateTime=ts_end, durationStr=duration,
barSizeSetting=bar_size, whatToShow='TRADES', useRTH=0, formatDate=1)
df = None
response.event.wait(max_wait_time)
if response.event.is_set():
df = pd.DataFrame(response.price_hist, columns=self.PRICE_DF_HEADER1)
# clean up the time format
date = df['time'][0]
if len(date) == 8:
df['time'] = pd.to_datetime(df['time'], format='%Y%m%d')
elif len(date) == 18:
# len('20161020 23:46:00') --> 2 Spaces!!!!!
# adj_date = datetime.strptime(date, "%Y%m%d %H:%M:%S")
df['time'] = pd.to_datetime(df['time'], format="%Y%m%d %H:%M:%S")
else:
# adj_date = datetime.strptime(date, "%Y%m%d %H:%M:%S")
df['time'] = pd.to_datetime(df['time'], format="%Y%m%d %H:%M:%S")
# TODO: check for timezone
# exchange = request.contract.m_exchange
# server_timezone = pytz.timezone("Asia/Shanghai") # timezone where the server runs
# mkt_timezone = pytz.timezone(IBEXCHANGE.get_timezone(exchange)) # Get Exchange's timezone
# adj_date = server_timezone.localize(adj_date).astimezone(
# mkt_timezone) # covert server time to Exchange's time
# adj_date = adj_date.strftime("%Y%m%d %H:%M:%S") # from datetime to string
df = df.set_index('time')
# remove the from dict and free the memory
response.event.clear()
self.ipc_msg_dict.pop(__id)
else:
self.ipc_msg_dict.pop(__id)
print('reqHistoricalData is timeout.')
raise RuntimeError('reqHistoricalData is timeout.')
return df
def get_stock_price_history(self, security_list, ts_end, duration='1 M', frequency='daily', max_wait_time=30):
"""Get price/volumne history for a list of stocks.
Args:
security_list: a list of security symbols, .e.g. ['IBM', 'DATA']
endDateTime: a string in '%Y%m%d' or '%Y%m%d %H:%M:%S' format
durationStr: see IB API doc.
frequency: {‘daily’, ‘minute’}, optional; Resolution of the data to be returned.
max_wait_time: int; max num of sec to wait after calling reqHistoricalData
Returns:
pandas Panel/DataFrame/Series – The pricing data that was requested.
Raises:
None
"""
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
num_secs = len(security_list)
if num_secs <= 0:
return
if frequency == 'daily':
bar_size = '1 day'
elif frequency == 'minute':
bar_size = '1 min'
elif frequency == 'second':
bar_size = '1 sec'
elif frequency == '5 seconds':
bar_size = '5 secs'
else:
print('get_stock_price_history: incorrect frequency')
return
if len(ts_end) == 8 or len(ts_end) == 17:
if len(ts_end) == 8:
ts_end = ts_end + ' 23:59:59'
else:
print('get_stock_price_history: incorrect ts_end format')
return
# ['Symbol', 'Date', 'Open', 'High', 'Low', 'Close', 'Volume']
df = pd.DataFrame(columns=self.PRICE_DF_HEADER2)
for sec in security_list:
__id = self.__get_new_request_id()
contract = new_stock_contract(sec)
request = RequestDetails('reqHistoricalData', '', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
self.connection.reqHistoricalData(tickerId=__id, contract=contract, endDateTime=ts_end,
durationStr=duration, barSizeSetting=bar_size, whatToShow='TRADES',
useRTH=0, formatDate=1)
response.event.wait(max_wait_time)
if response.event.is_set():
df_tmp = pd.DataFrame(response.price_hist, columns=self.PRICE_DF_HEADER1)
# clean up the time format
date = df_tmp['time'][0]
if len(date) == 8:
df_tmp['time'] = pd.to_datetime(df_tmp['time'], format='%Y%m%d')
elif len(date) == 18:
# len('20161020 23:46:00') --> 2 Spaces!!!!!
# adj_date = datetime.strptime(date, "%Y%m%d %H:%M:%S")
df_tmp['time'] = pd.to_datetime(df_tmp['time'], format="%Y%m%d %H:%M:%S")
else:
# adj_date = datetime.strptime(date, "%Y%m%d %H:%M:%S")
df_tmp['time'] = pd.to_datetime(df_tmp['time'], format="%Y%m%d %H:%M:%S")
# TODO: check for timezone
# exchange = request.contract.m_exchange
# server_timezone = pytz.timezone("Asia/Shanghai") # timezone where the server runs
# mkt_timezone = pytz.timezone(IBEXCHANGE.get_timezone(exchange)) # Get Exchange's timezone
# adj_date = server_timezone.localize(adj_date).astimezone(
# mkt_timezone) # covert server time to Exchange's time
# adj_date = adj_date.strftime("%Y%m%d %H:%M:%S") # from datetime to string
df_tmp['symbol'] = pd.DataFrame([sec] * len(df_tmp))
df = df.append(df_tmp)
# remove the from dict and free the memory
self.ipc_msg_dict.pop(__id)
response.event.clear()
else:
self.ipc_msg_dict.pop(__id)
raise RuntimeError('reqHistoricalData is timeout.')
return df
def get_contract_price_history(self, contract, ts_end, duration='1 M', frequency='daily', max_wait_time=30):
# Same function as get_price_history
return self.get_price_history(self, contract, ts_end, duration, frequency, max_wait_time)
#
# Placing/Changing/Canceling Order Methods
#
def order_amount(self, contract, amount, style=MarketOrder()):
''' Place an order. Order X units of security Y.
Warning: only mkt order and limited order work; calling stoploss/stoplimited order will result in IB disconnection.
:param contract: A IB Contract object.
:param amount: The integer amount of shares. Positive means buy, negative means sell.
:param style:
:return:
'''
if amount == 0:
return -1
elif amount > 0:
action = 'BUY'
else:
action = 'SELL'
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if not isinstance(contract, Contract):
raise TypeError("contract must be a contract object")
# request next valid order ID from IB host; this request will update self.order_id
self.connection.reqIds(-1) # note: input param is always ignored;
sleep(0.05)
order = Order()
order.m_orderId = self.order_id
order.m_client_id = self.client_id
order.m_action = action
order.m_totalQuantity = abs(amount)
order.m_orderType = style.order_type
if style.limit_price is not None:
order.m_lmtPrice = style.limit_price
if style.stop_price is not None:
order.m_auxPrice = style.stop_price
order.m_overridePercentageConstraints = True # override TWS order size constraints
# place order
self.connection.placeOrder(self.order_id, contract, order)
# TODO: wait for returns from orderStatus
return self.order_id
def combo_order_amount(self, contract, amount, style=MarketOrder()):
''' Place an order
:param contract: A security object.
:param amount: The integer amount of shares. Positive means buy, negative means sell.
:param style:
:return:
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if amount == 0:
return -1
elif amount > 0:
action = 'BUY'
else:
action = 'SELL'
if isinstance(contract, Contract):
if len(contract.m_comboLegs) == 0:
raise TypeError("contract must contains combo legs")
else:
raise TypeError("contract must be a contract object")
# request next valid order ID from IB host; this request will update self.order_id
self.connection.reqIds(-1) # note: input param is always ignored;
sleep(0.05)
order = Order()
order.m_orderId = self.order_id
order.m_client_id = self.client_id
order.m_action = action
order.m_totalQuantity = abs(amount)
order.m_orderType = style.order_type
if style.limit_price is not None:
order.m_lmtPrice = style.limit_price
if style.stop_price is not None:
order.m_auxPrice = style.stop_price
order.m_overridePercentageConstraints = True # override TWS order size constraints
'''
# Advanced configuration. Not tested yet.
if style.is_combo_order:
if style.non_guaranteed:
tag = TagValue()
tag.m_tag = "NonGuaranteed"
tag.m_value = "1"
order.m_smartComboRoutingParams = [tag]
'''
self.connection.placeOrder(self.order_id, contract, order)
return self.order_id
def order_value(self, contract, value, style):
''' Reserve for future implementation
:param contract:
:param value:
:param style:
:return:
'''
pass
def order_target(self, contract, amount, style):
''' Places an order to adjust a position to a target number of shares.
:param contract:
:param value:
:param style:
:return:
'''
pass
def order_target_value(self, contract, amount, style):
''' Places an order to adjust a position to a target value.
:param contract:
:param value:
:param style:
:return:
'''
pass
def modify_order(self, order_id, contract, amount, style=MarketOrder()):
''' Change amount or order type (including limited price for limtied orders)
for a existing order specified by order_id
:param order_id: a existing order's order_id
:param contract: A IB Contract object. supposed to be the same with the order-to-be-modified.
:param amount: The integer amount of shares. Positive means buy, negative means sell.
:param style: market order or limited order
:return: the existing order's order_id (same as the input)
'''
if amount == 0:
return -1
elif amount > 0:
action = 'BUY'
else:
action = 'SELL'
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if not isinstance(contract, Contract):
raise TypeError("contract must be a contract object")
order = Order()
order.m_orderId = order_id
order.m_client_id = self.client_id
order.m_action = action
order.m_totalQuantity = abs(amount)
order.m_orderType = style.order_type
if style.limit_price is not None:
order.m_lmtPrice = style.limit_price
if style.stop_price is not None:
order.m_auxPrice = style.stop_price
order.m_overridePercentageConstraints = True # override TWS order size constraints
# place order
self.connection.placeOrder(self.order_id, contract, order)
# TODO: wait for returns from orderStatus
return self.order_id
def cancel_order(self, order):
''' Attempts to cancel the specified order. Cancel is attempted asynchronously.
:param order: Can be the order_id as a string or the order object.
:return: None
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(order, int):
order_id = order
elif isinstance(order, Order):
order_id = order.m_orderId
else:
raise TypeError("order must be a order_id (int) or order object")
self.connection.cancelOrder(order_id)
def get_open_orders(self):
''' Attempts to get all open orders.
:param
:return: None
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if 'reqOpenOrders' not in self.ipc_msg_dict:
request = RequestDetails('reqOpenOrders', '', '')
response = ResponseDetails()
self.ipc_msg_dict['reqOpenOrders'] = (request, response)
else:
response = self.ipc_msg_dict['reqOpenOrders'][1]
# self.connection.reqOpenOrders()
# self.reqAutoOpenOrders(True)
self.connection.reqAllOpenOrders()
max_wait_time = 3.
self.get_order_event.wait(max_wait_time)
if self.get_order_event.is_set():
# snapshot = copy(response.tick_snapshot)
# self.ipc_msg_dict.pop(self.tickerId)
self.get_order_event.clear()
else:
# self.ipc_msg_dict.pop(self.tickerId)
raise RuntimeError('get_open_orders is timeout.')
return
#
# Account Info Methods
#
def enable_account_info_update(self):
''' Turn on auto account update, meaning IB socket host will push account info to IB socket client.
updateAccountTime()
updateAccountValue()
updatePortfolio()
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
# TODO: check self.IB_acct_id before using it
# request IB host (e.g. TWS) push account info to IB client (socket client)
self.connection.reqAccountUpdates(True, self.context.account.account_id)
return
def disable_account_info_update(self):
''' Turn off auto account update, meaning IB socket host will stop pushing account info
to IB socket client.
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
# TODO: check self.IB_acct_id before using it
# stop IB host (e.g. TWS) to push account info to IB client (socket client)
self.connection.reqAccountUpdates(False, self.context.account.account_id)
return
#
# Fundamental Data Methods
#
def get_financial_statements(self, symbol, max_wait_time=20):
''' Get a company's financial statements
:param:
symbol: stock symbol string, e.g. 'IBM'; or a IB contract object
:return:
a string of financial statements
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'ReportsFinStatements', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
self.connection.reqFundamentalData(__id, contract, 'ReportsFinStatements')
response.event.wait(max_wait_time)
raw_xml = None
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# covert from xml to dest. format
raw_xml = copy(response.fundamental_data)
else:
pass # raise RuntimeError('get_financial_statements: reqFundamentalData got error. Security=%s Reason:%s' % (symbol, response.error_msg))
else:
# Timeout
pass # ('get_financial_statements: reqFundamentalData is timeout. Security=%s' % symbol)
status = response.status
self.ipc_msg_dict.pop(__id)
return status, raw_xml
def get_company_ownership(self, symbol, max_wait_time=60.0 * 5):
''' Get a company's ownership report
:param:
symbol: stock symbol string, e.g. 'IBM'
max_wait_time: max number of seconds to wait before raise timeout
:return:
a string of ownership report
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
# For US stock only
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'ReportsOwnership', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
self.connection.reqFundamentalData(__id, contract, 'ReportsOwnership')
response.event.wait(max_wait_time)
report = None
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# covert from xml to dest. format
report = parse_ownership_report(response.fundamental_data)
else:
pass # ('get_company_ownership: reqFundamentalData got error. Security=%s Reason:%s' % (symbol, response.error_msg))
else:
pass # ('get_company_ownership: reqFundamentalData is timeout. Security=%s' % symbol)
status = response.status
self.ipc_msg_dict.pop(__id)
return status, report
def get_analyst_estimates(self, symbol, max_wait_time=20):
''' Get analyst estimates report for a company
:param:
symbol: stock symbol string, e.g. 'IBM'; or a IB contract object
:return:
a string of financial statements
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'RESC-Analyst Estimates', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
self.connection.reqFundamentalData(__id, contract, 'RESC')
response.event.wait(max_wait_time)
report = None
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# covert from xml to dest. format
report = parse_analyst_estimates(response.fundamental_data)
else:
pass # ('get_analyst_estimates: reqFundamentalData got error. Security=%s Reason:%s' % (symbol, response.error_msg))
else:
pass # ('get_analyst_estimates: reqFundamentalData is timeout. Security=%s' % symbol)
status = response.status
self.ipc_msg_dict.pop(__id)
return status, report
def get_company_overview(self, symbol, max_wait_time=10):
''' Get company overview infomration
:param:
symbol: stock symbol string, e.g. 'IBM'; or a IB contract object
:return:
a string of financial statements
'''
# ReportsFinSummary Financial summary
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'ReportSnapshot-Company overview', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# ReportSnapshot Company's financial overview
self.connection.reqFundamentalData(__id, contract, 'ReportSnapshot')
response.event.wait(max_wait_time)
report = None
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# TODO: covert from xml to dest. format
report = response.fundamental_data
else:
pass # ('get_analyst_estimates: reqFundamentalData got error. Security=%s Reason:%s' % (symbol, response.error_msg))
else:
pass # ('get_analyst_estimates: reqFundamentalData is timeout. Security=%s' % symbol)
status = response.status
self.ipc_msg_dict.pop(__id)
return status, report
def get_financial_summary(self, symbol, max_wait_time=10):
''' Get company finanical summary information, such as revenue history, net profit, and dividends history.
:param:
symbol: stock symbol string, e.g. 'IBM'; or a IB contract object
:return:
a string of financial statements
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'ReportsFinSummary-Financial summary', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
self.connection.reqFundamentalData(__id, contract, 'ReportsFinSummary')
response.event.wait(max_wait_time)
report = None
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# TODO: covert from xml to dest. format
report = response.fundamental_data
else:
pass
else:
pass
status = response.status
self.ipc_msg_dict.pop(__id)
return status, report
def get_financial_ratios(self, symbol, max_wait_time=5):
''' Get analyst estimates report for a company
:param:
symbol: stock symbol string, e.g. 'IBM'
:return:
a string of financial statements
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'RESC-Analyst Estimates', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# 258 - financial ratios
'''
TTMNPMGN=16.1298;NLOW=80.6;TTMPRCFPS=6.26675;TTMGROSMGN=60.76731;TTMCFSHR=15.004
46;QCURRATIO=1.42071;TTMREV=259842;TTMINVTURN=5.28024;TTMOPMGN=14.22711;TTMPR2RE
V=1.39703;AEPSNORM=8.55;TTMNIPEREM=144524.1;EPSCHNGYR=8.47727;TTMPRFCFPS=62.4260
6;TTMRECTURN=19.99938;TTMPTMGN=17.88125;QCSHPS=40.50882;TTMFCF=5815;
LATESTADATE=2016-12-31;APTMGNPCT=17.88125;AEBTNORM=46463;TTMNIAC=33008;NetDebt_I=152080;
PRYTDPCTR=-1.55563;TTMEBITD=53326;AFEEPSNTM=0;PR2TANBK=5.01599;EPSTRENDGR=-
15.53209;QTOTD2EQ=72.60778;TTMFCFSHR=1.50625;QBVPS=110.0867;NPRICE=94.1;YLD5YAVG
=3.88751;REVTRENDGR=51.11774;TTMEPSXCLX=8.54981;QTANBVPS=18.75999;PRICE2BK=0.854
78;MKTCAP=363007.5;TTMPAYRAT=31.32574;TTMINTCOV=-99999.99;TTMDIVSHR=2.585;TTMREVCHG=55.81794;
TTMROAPCT=4.09615;TTMROEPCT=7.73685;
TTMREVPERE=896006.9;APENORM=11.00585;TTMROIPCT=5.51924;REVCHNGYR=-
6.66885;CURRENCY=HKD;DIVGRPCT=-8.33887;TTMEPSCHG=-32.80548;PEEXCLXOR=11.00609;QQUICKRATI=1.30087;
TTMREVPS=67.30638;BETA=0.90979;TTMEBT=46463;ADIV5YAVG=3.1048;ANIACNORM=33008;QLTD2EQ=55.46377;NHIG=103.9
'''
report = None
self.connection.reqMktData(__id, contract, "258", False)
response.event.wait(max_wait_time)
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# TODO: convert the format to a table alike
report = response.tick_str
return report
def get_dividends_info(self, symbol, max_wait_time=5):
''' Get analyst estimates report for a company
:param:
symbol: stock symbol string, e.g. 'IBM'
:return:
a string of financial statements
'''
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
if isinstance(symbol, Contract):
contract = symbol
elif isinstance(symbol, str):
contract = new_stock_contract(symbol)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
__id = self.__get_new_request_id()
request = RequestDetails('reqFundamentalData', 'RESC-Analyst Estimates', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# IB Dividends ("456")
#
# This tick type provides four different comma-separated elements:
# The sum of dividends for the past 12 months (0.83 in the example below).
# The sum of dividends for the next 12 months (0.92 from the example below).
# The next dividend date (20130219 in the example below).
# The next single dividend amount (0.23 from the example below).
# Example: 0.83,0.92,20130219,0.23
self.connection.reqMktData(__id, contract, "456", False)
result = None
response.event.wait(max_wait_time)
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
# TODO: convert the format
result = set(response.tick_str.split(','))
self.ipc_msg_dict.pop(__id)
return result
def get_contract_details(self, contract, max_wait_time=5):
""" Get contract details for a specified contract
Args:
contract: a legal IBPY Contract object or a string for U.S. stock only
Returns:
status: a reference to the tick data dictionary which will be updated with latest quote.
contract_details: a contractDetails instance
"""
if isinstance(contract, Contract):
pass
elif isinstance(contract, str):
contract = new_stock_contract(contract)
else:
raise TypeError("contract must be a contract object or string (for U.S. stocks only).")
if not self.connected:
raise RuntimeError('IB client is not connected to TWS')
__id = self.__get_new_request_id()
request = RequestDetails('reqContractDetails', '', contract)
response = ResponseDetails()
self.ipc_msg_dict[__id] = (request, response)
# False - indicating request live quotes instead of a snapshot
self.connection.reqContractDetails(__id, contract)
response.event.wait(max_wait_time)
contract_details = None
if response.event.is_set():
if response.status == ResponseDetails.STATUS_FINISHED:
if len(response.contract_list) > 0:
contract_details = copy(response.contract_list[0])
else:
pass
else:
pass
status = response.status
self.ipc_msg_dict.pop(__id)
return status, contract_details
def get_full_contract(self, contract):
""" Subscribe tick data for a specified contract
Args:
contract: a legal IBPY Contract object or a string for U.S. stock only
Returns:
tickerId: the ID of this request. this ID could be used to cancel request later.
tick_data: a reference to the tick data dictionary which will be updated with latest quote.
"""
status, contract_details = self.get_contract_details(contract)
new_contract = copy(contract_details.m_summary)
return status, new_contract
class TWS_gateway(threading.Thread):
# config
config = None
# redis connection
rs = None
# channel clients' requests to IB/TWS
cli_request_handler = None
# manage conID / contracts mapping
contract_subscription_mgr = None
connection = None
# handler to process incoming IB/TWS messages and echo back to clients
tws_event_handler = None
# monitor IB connection / heart beat
ibh = None
tlock = None
ib_conn_status = None
ib_order_transmit = False
def __init__(self, host, port, clientId, kafka_host, kafka_port, config):
super(TWS_gateway, self).__init__()
self.config = config
self.host = host
self.port = port
self.clientId = clientId
self.ib_order_transmit = config.get("tws_gateway", "tws_gateway.order_transmit").strip('"').strip("'") if \
config.get("tws_gateway", "tws_gateway.order_transmit").strip('"').strip("'") <> None\
else False
logging.info('starting up TWS_gateway...')
logging.info('Order straight through (no-touch) flag = %s' %
('True' if self.ib_order_transmit == True else 'False'))
logging.info('connecting to Redis server...')
self.initialize_redis(config)
logging.info('starting up TWS_event_handler...')
self.tws_event_handler = TWS_event_handler(kafka_host, kafka_port)
logging.info('starting up IB EClientSocket...')
self.connection = EClientSocket(self.tws_event_handler)
logging.info('starting up client request handler - kafkaConsumer...')
self.cli_request_handler = KafkaConsumer( *[(v,0) for v in list(TWS_Protocol.topicMethods) + list(TWS_Protocol.gatewayMethods) ], \
metadata_broker_list=['%s:%s' % (kafka_host, kafka_port)],\
group_id = 'epc.tws_gateway',\
auto_commit_enable=True,\
auto_commit_interval_ms=30 * 1000,\
auto_offset_reset='largest') # discard old ones
self.reset_message_offset()
if not self.eConnect():
logging.error(
'TWS_gateway: unable to establish connection to IB %s:%d' %
(self.host, self.port))
sys.exit(-1)
else:
# start heart beat monitor
logging.info('starting up IB heart beat monitor...')
self.tlock = Lock()
self.ibh = IbHeartBeat(config)
self.ibh.register_listener([self.on_ib_conn_broken])
self.ibh.run()
logging.info('starting up subscription manager...')
self.initialize_subscription_mgr()
def initialize_subscription_mgr(self):
self.contract_subscription_mgr = SubscriptionManager(self)
self.contract_subscription_mgr.register_persistence_callback(
self.persist_subscriptions)
key = self.config.get(
"tws_gateway",
"subscription_manager.subscriptions.redis_key").strip('"').strip(
"'")
if self.rs.get(key):
#contracts = map(lambda x: ContractHelper.kvstring2contract(x), json.loads(self.rs.get(key)))
def is_outstanding(c):
today = time.strftime('%Y%m%d')
if c.m_expiry < today:
logging.info(
'initialize_subscription_mgr: ignoring expired contract %s%s%s'
% (c.m_expiry, c.m_strike, c.m_right))
return False
return True
contracts = filter(
lambda x: is_outstanding(x),
map(lambda x: ContractHelper.kvstring2object(x, Contract),
json.loads(self.rs.get(key))))
self.contract_subscription_mgr.load_subscription(contracts)
def persist_subscriptions(self, contracts):
key = self.config.get(
"tws_gateway",
"subscription_manager.subscriptions.redis_key").strip('"').strip(
"'")
#cs = json.dumps(map(lambda x: ContractHelper.contract2kvstring(x) if x <> None else None, contracts))
cs = json.dumps(
map(
lambda x: ContractHelper.object2kvstring(x)
if x <> None else None, contracts))
logging.debug(
'Tws_gateway: updating subscription table to redis store %s' % cs)
self.rs.set(key, cs)
def initialize_redis(self, config):
r_host = config.get("redis", "redis.server").strip('"').strip("'")
r_port = config.get("redis", "redis.port")
r_db = config.get("redis", "redis.db")
self.rs = redis.Redis(r_host, r_port, r_db)
try:
self.rs.client_list()
except redis.ConnectionError:
logging.error(
'TWS_gateway: unable to connect to redis server using these settings: %s port:%d db:%d'
% (r_host, r_port, r_db))
logging.error('aborting...')
sys.exit(-1)
def reset_message_offset(self):
topic_offsets = map(
lambda topic: (topic,
self.cli_request_handler.get_partition_offsets(
topic, 0, -1, 999)),
TWS_Protocol.topicMethods + TWS_Protocol.gatewayMethods)
topic_offsets = filter(
lambda x: x <> None,
map(lambda x: (x[0], x[1][1], x[1][0])
if len(x[1]) > 1 else None, topic_offsets))
logging.info('TWS_gateway set topic offset to the latest point\n%s' %
(''.join('%s,%s,%s\n' % (x[0], x[1], x[2])
for x in topic_offsets)))
# the set_topic_partitions method clears out all previous settings when executed
# therefore it's not possible to call the function multiple times:
# self.consumer.set_topic_partitions(('gw_subscriptions', 0, 114,)
# self.consumer.set_topic_partitions(('tickPrice', 0, 27270,))
# as the second call will wipe out whatever was done previously
self.cli_request_handler.set_topic_partitions(*topic_offsets)
def run(self):
for message in self.cli_request_handler:
logging.info("%s:%d:%d: key=%s value=%s" %
(message.topic, message.partition, message.offset,
message.key, message.value))
# print ("TWS_gateway: received client request %s:%d:%d: key=%s value=%s" % (message.topic, message.partition,
# message.offset, message.key,
# message.value))
getattr(self, message.topic, None)(message.value)
#self.cli_request_handler.task_done(message)
def on_ib_conn_broken(self, msg):
logging.error('TWS_gateway: detected broken IB connection!')
self.ib_conn_status = 'ERROR'
self.tlock.acquire() # this function may get called multiple times
try: # block until another party finishes executing
if self.ib_conn_status == 'OK': # check status
return # if already fixed up while waiting, return
self.eDisconnect()
self.eConnect()
while not self.connection.isConnected():
logging.error('TWS_gateway: attempt to reconnect...')
self.eConnect()
sleep(2)
# we arrived here because the connection has been restored
# resubscribe tickers again!
logging.info(
'TWS_gateway: IB connection restored...resubscribe contracts')
self.contract_subscription_mgr.force_resubscription()
finally:
self.tlock.release()
def eConnect(self):
logging.info('TWS_gateway - eConnect. Connecting to %s:%s App Id: %s' %
(self.host, self.port, self.clientId))
self.connection.eConnect(self.host, self.port, self.clientId)
return self.connection.isConnected()
def reqAccountUpdates(self, value=None):
logging.info('TWS_gateway - reqAccountUpdates value=%s' % value)
self.connection.reqAccountUpdates(1, '')
def reqAccountSummary(self, value):
logging.info('TWS_gateway - reqAccountSummary value=%s' % value)
vals = map(
lambda x: x.encode('ascii') if isinstance(x, unicode) else x,
json.loads(value))
self.connection.reqAccountSummary(vals[0], vals[1], vals[2])
def reqOpenOrders(self, value=None):
self.connection.reqOpenOrders()
def reqPositions(self, value=None):
self.connection.reqPositions()
def reqExecutions(self, value):
try:
filt = ExecutionFilter(
) if value == '' else ExecutionFilterHelper.kvstring2object(
value, ExecutionFilter)
self.connection.reqExecutions(0, filt)
except:
logging.error(traceback.format_exc())
def reqIds(self, value=None):
self.connection.reqIds(1)
def reqNewsBulletins(self):
self.connection.reqNewsBulletins(1)
def cancelNewsBulletins(self):
self.connection.cancelNewsBulletins()
def setServerLogLevel(self):
self.connection.setServerLogLevel(3)
def reqAutoOpenOrders(self):
self.connection.reqAutoOpenOrders(1)
def reqAllOpenOrders(self):
self.connection.reqAllOpenOrders()
def reqManagedAccts(self):
self.connection.reqManagedAccts()
def requestFA(self):
self.connection.requestFA(1)
def reqMktData(self, sm_contract):
logging.info('TWS Gateway received reqMktData request: %s' %
sm_contract)
try:
#self.contract_subscription_mgr.reqMktData(ContractHelper.kvstring2contract(sm_contract))
self.contract_subscription_mgr.reqMktData(
ContractHelper.kvstring2object(sm_contract, Contract))
except:
pass
def reqHistoricalData(self):
contract = Contract()
contract.m_symbol = 'QQQQ'
contract.m_secType = 'STK'
contract.m_exchange = 'SMART'
endtime = strftime('%Y%m%d %H:%M:%S')
self.connection.reqHistoricalData(tickerId=1,
contract=contract,
endDateTime=endtime,
durationStr='1 D',
barSizeSetting='1 min',
whatToShow='TRADES',
useRTH=0,
formatDate=1)
def placeOrder(self, value=None):
logging.info('TWS_gateway - placeOrder value=%s' % value)
try:
vals = json.loads(value)
except ValueError:
logging.error('TWS_gateway - placeOrder Exception %s' %
traceback.format_exc())
return
# c = ContractHelper.kvstring2contract(vals[1])
o = OrderHelper.kvstring2object(vals[2], Order)
o.__dict__['transmit'] = self.ib_order_transmit
# print c.__dict__
# print o.__dict__
# print '---------------------'
#self.connection.placeOrder(vals[0], ContractHelper.kvstring2contract(vals[1]), OrderHelper.kvstring2object(vals[2], Order))
self.connection.placeOrder(
vals[0], ContractHelper.kvstring2object(vals[1], Contract),
OrderHelper.kvstring2object(vals[2], Order))
# self.connection.placeOrder(orderId, contract, newOptOrder)
def eDisconnect(self, value=None):
sleep(2)
self.connection.eDisconnect()
####################################################################3
# Gateway commands
def gw_req_subscriptions(self, value=None):
#subm = map(lambda i: ContractHelper.contract2kvstring(self.contract_subscription_mgr.handle[i]), range(len(self.contract_subscription_mgr.handle)))
#subm = map(lambda i: ContractHelper.object2kvstring(self.contract_subscription_mgr.handle[i]), range(len(self.contract_subscription_mgr.handle)))
subm = map(
lambda i: (i,
ContractHelper.object2kvstring(
self.contract_subscription_mgr.handle[i])),
range(len(self.contract_subscription_mgr.handle)))
print subm
if subm:
self.tws_event_handler.broadcast_event('gw_subscriptions',
{'subscriptions': subm},
source='GW')
