def tickGeneric(self, reqId: int, tickType: int, value: float):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
return
try:
value = float(value)
except ValueError:
self._logger.error(f'genericTick: malformed value: {value!r}')
return
if tickType == 23:
ticker.histVolatility = value
elif tickType == 24:
ticker.impliedVolatility = value
elif tickType == 31:
ticker.indexFuturePremium = value
elif tickType == 49:
ticker.halted = value
elif tickType == 54:
ticker.tradeCount = value
elif tickType == 55:
ticker.tradeRate = value
elif tickType == 56:
ticker.volumeRate = value
elif tickType == 58:
ticker.rtHistVolatility = value
tick = TickData(self.lastTime, tickType, value, 0)
ticker.ticks.append(tick)
self.pendingTickers.add(ticker)
def tickString(self, reqId: int, tickType: int, value: str):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
return
try:
if tickType == 47:
# https://interactivebrokers.github.io/tws-api/fundamental_ratios_tags.html
d = dict(
t.split('=') # type: ignore
for t in value.split(';') if t) # type: ignore
for k, v in d.items():
with suppress(ValueError):
if v == '-99999.99':
v = 'nan'
d[k] = float(v)
d[k] = int(v)
ticker.fundamentalRatios = FundamentalRatios(**d)
elif tickType in (48, 77):
# RT Volume or RT Trade Volume string format:
# price;size;ms since epoch;total volume;VWAP;single trade
# example:
# 701.28;1;1348075471534;67854;701.46918464;true
priceStr, sizeStr, rtTime, volume, vwap, _ = value.split(';')
if volume:
if tickType == 48:
ticker.rtVolume = int(volume)
elif tickType == 77:
ticker.rtTradeVolume = int(volume)
if vwap:
ticker.vwap = float(vwap)
if rtTime:
ticker.rtTime = datetime.fromtimestamp(
int(rtTime) / 1000, timezone.utc)
if priceStr == '':
return
price = float(priceStr)
size = int(sizeStr)
if price and size:
if ticker.prevLast != ticker.last:
ticker.prevLast = ticker.last
ticker.last = price
if ticker.prevLastSize != ticker.lastSize:
ticker.prevLastSize = ticker.lastSize
ticker.lastSize = size
tick = TickData(self.lastTime, tickType, price, size)
ticker.ticks.append(tick)
elif tickType == 59:
# Dividend tick:
# https://interactivebrokers.github.io/tws-api/tick_types.html#ib_dividends
# example value: '0.83,0.92,20130219,0.23'
past12, next12, nextDate, nextAmount = value.split(',')
ticker.dividends = Dividends(
float(past12) if past12 else None,
float(next12) if next12 else None,
parseIBDatetime(nextDate) if nextDate else None,
float(nextAmount) if nextAmount else None)
self.pendingTickers.add(ticker)
except ValueError:
self._logger.error(f'tickString with tickType {tickType}: '
f'malformed value: {value!r}')
def priceSizeTick(self, reqId, tickType, price, size):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'priceSizeTick: Unknown reqId: {reqId}')
return
ticker.time = self.lastTime
# https://interactivebrokers.github.io/tws-api/tick_types.html
if tickType in (1, 66):
if price != ticker.bid:
ticker.prevBid = ticker.bid
ticker.bid = price
if size != ticker.bidSize:
ticker.prevBidSize = ticker.bidSize
ticker.bidSize = size
elif tickType in (2, 67):
if price != ticker.ask:
ticker.prevAsk = ticker.ask
ticker.ask = price
if size != ticker.askSize:
ticker.prevAskSize = ticker.askSize
ticker.askSize = size
elif tickType in (4, 68):
if price != ticker.last:
ticker.prevLast = ticker.last
ticker.last = price
if size != ticker.lastSize:
ticker.prevLastSize = ticker.lastSize
ticker.lastSize = size
elif tickType in (6, 72):
ticker.high = price
elif tickType in (7, 73):
ticker.low = price
elif tickType == 9:
ticker.close = price
elif tickType == 14:
ticker.open = price
elif tickType == 15:
ticker.low13week = price
elif tickType == 16:
ticker.high13week = price
elif tickType == 17:
ticker.low26week = price
elif tickType == 18:
ticker.high26week = price
elif tickType == 19:
ticker.low52week = price
elif tickType == 20:
ticker.high52week = price
elif tickType == 50:
ticker.bidYield = price
elif tickType == 51:
ticker.askYield = price
elif tickType == 52:
ticker.lastYield = price
if price or size:
tick = TickData(self.lastTime, tickType, price, size)
ticker.ticks.append(tick)
self.pendingTickers.add(ticker)
def tickSize(self, reqId: int, tickType: int, size: float):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'tickSize: Unknown reqId: {reqId}')
return
price = -1.0
# https://interactivebrokers.github.io/tws-api/tick_types.html
if tickType in (0, 69):
if size == ticker.bidSize:
return
price = ticker.bid
ticker.prevBidSize = ticker.bidSize
ticker.bidSize = size
elif tickType in (3, 70):
if size == ticker.askSize:
return
price = ticker.ask
ticker.prevAskSize = ticker.askSize
ticker.askSize = size
elif tickType in (5, 71):
price = ticker.last
if isNan(price):
return
if size != ticker.lastSize:
ticker.prevLastSize = ticker.lastSize
ticker.lastSize = size
elif tickType in (8, 74):
ticker.volume = size
elif tickType == 21:
ticker.avVolume = size
elif tickType == 27:
ticker.callOpenInterest = size
elif tickType == 28:
ticker.putOpenInterest = size
elif tickType == 29:
ticker.callVolume = size
elif tickType == 30:
ticker.putVolume = size
elif tickType == 34:
ticker.auctionVolume = size
elif tickType == 36:
ticker.auctionImbalance = size
elif tickType == 61:
ticker.regulatoryImbalance = size
elif tickType == 86:
ticker.futuresOpenInterest = size
elif tickType == 87:
ticker.avOptionVolume = size
elif tickType == 89:
ticker.shortableShares = size
if price or size:
tick = TickData(self.lastTime, tickType, price, size)
ticker.ticks.append(tick)
ticker.marketDataType = self.reqId2MarketDataType.get(reqId, 0)
self.pendingTickers.add(ticker)
def tickGeneric(self, reqId, tickType, value):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
return
try:
value = float(value)
tick = TickData(self.lastTime, tickType, value, 0)
ticker.ticks.append(tick)
self.pendingTickers.add(ticker)
except ValueError:
self._logger.error(f'genericTick: malformed value: {value!r}')
def tickString(self, reqId, tickType, value):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
return
try:
if tickType == 47:
# https://interactivebrokers.github.io/tws-api/fundamental_ratios_tags.html
ticker.fundamentalRatios = value
elif tickType == 48:
# RTVolume string format:
# price;size;ms since epoch;total volume;VWAP;single trade
# example:
# 701.28;1;1348075471534;67854;701.46918464;true
price, size, _, rtVolume, vwap, _ = value.split(';')
if rtVolume:
ticker.rtVolume = int(rtVolume)
if vwap:
ticker.vwap = float(vwap)
if price == '':
return
price = float(price)
size = float(size)
if price and size:
if ticker.prevLast != ticker.last:
ticker.prevLast = ticker.last
ticker.last = price
if ticker.prevLastSize != ticker.lastSize:
ticker.prevLastSize = ticker.lastSize
ticker.lastSize = size
tick = TickData(self.lastTime, tickType, price, size)
ticker.ticks.append(tick)
self.pendingTickers.add(ticker)
elif tickType == 59:
# Dividend tick:
# https://interactivebrokers.github.io/tws-api/tick_types.html#ib_dividends
# example value: '0.83,0.92,20130219,0.23'
past12, next12, nextDate, nextAmount = value.split(',')
ticker.dividends = Dividends(
float(past12) if past12 else None,
float(next12) if next12 else None,
util.parseIBDatetime(nextDate) if nextDate else None,
float(nextAmount) if nextAmount else None)
except ValueError:
self._logger.error(
f'tickString with tickType {tickType}: '
f'malformed value: {value!r}')
def tickSize(self, reqId, tickType, size):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'tickSize: Unknown reqId: {reqId}')
return
ticker.time = self.lastTime
price = -1.0
# https://interactivebrokers.github.io/tws-api/tick_types.html
if tickType in (0, 69):
price = ticker.bid
if size != ticker.bidSize:
ticker.prevBidSize = ticker.bidSize
ticker.bidSize = size
elif tickType in (3, 70):
price = ticker.ask
if size != ticker.askSize:
ticker.prevAskSize = ticker.askSize
ticker.askSize = size
elif tickType in (5, 71):
price = ticker.last
if util.isNan(price):
return
if size != ticker.lastSize:
ticker.prevLastSize = ticker.lastSize
ticker.lastSize = size
elif tickType in (8, 74):
ticker.volume = size
elif tickType == 21:
ticker.avVolume = size
elif tickType == 27:
ticker.callOpenInterest = size
elif tickType == 28:
ticker.putOpenInterest = size
elif tickType == 29:
ticker.callVolume = size
elif tickType == 30:
ticker.putVolume = size
elif tickType == 86:
ticker.futuresOpenInterest = size
if price or size:
tick = TickData(self.lastTime, tickType, price, size)
ticker.ticks.append(tick)
self.pendingTickers.add(ticker)
