def execDetails(self, reqId, contract, execution):
"""
This wrapper handles both live fills and responses to reqExecutions.
"""
if execution.orderId == 2147483647:
# bug in TWS: executions of manual orders have orderId=2**31 - 1
execution.orderId = 0
contract = self._getContract(contract)
execId = execution.execId
execution = Execution(**execution.__dict__)
execution.time = util.parseIBDatetime(execution.time). \
astimezone(datetime.timezone.utc)
isLive = reqId not in self._futures
time = self.lastTime if isLive else execution.time
fill = Fill(contract, execution, CommissionReport(), time)
if execId not in self.fills:
# first time we see this execution so add it
self.fills[execId] = fill
key = self.orderKey(
execution.clientId, execution.orderId, execution.permId)
trade = self.trades.get(key)
if trade:
trade.fills.append(fill)
logEntry = TradeLogEntry(self.lastTime,
trade.orderStatus.status,
f'Fill {execution.shares}@{execution.price}')
trade.log.append(logEntry)
if isLive:
self.handleEvent('execDetailsEvent', trade, fill)
self._logger.info(f'execDetails: {fill}')
trade.fillEvent(trade, fill)
if not isLive:
self._results[reqId].append(fill)
def execDetails(self, reqId, contract, execution):
"""
This wrapper handles both live fills and responses to reqExecutions.
"""
if execution.orderId == UNSET_INTEGER:
# bug in TWS: executions of manual orders have unset value
execution.orderId = 0
key = self.orderKey(execution.clientId, execution.orderId,
execution.permId)
trade = self.trades.get(key) or self.permId2Trade.get(execution.permId)
if trade and contract == trade.contract:
contract = trade.contract
else:
contract = Contract.create(**contract.dict())
execId = execution.execId
execution.time = util.parseIBDatetime(execution.time). \
astimezone(datetime.timezone.utc)
isLive = reqId not in self._futures
time = self.lastTime if isLive else execution.time
fill = Fill(contract, execution, CommissionReport(), time)
if execId not in self.fills:
# first time we see this execution so add it
self.fills[execId] = fill
if trade:
trade.fills.append(fill)
logEntry = TradeLogEntry(
time, trade.orderStatus.status,
f'Fill {execution.shares}@{execution.price}')
trade.log.append(logEntry)
if isLive:
self._logger.info(f'execDetails: {fill}')
self.ib.execDetailsEvent.emit(trade, fill)
trade.fillEvent(trade, fill)
if not isLive:
self._results[reqId].append(fill)
def historicalDataUpdate(self, reqId, bar):
bars = self.reqId2Bars[reqId]
bar.date = util.parseIBDatetime(bar.date)
if len(bars) == 0 or bar.date > bars[-1].date:
bars.append(bar)
else:
bars[-1] = bar
def historicalNews(
self, reqId: int, time: str, providerCode: str,
articleId: str, headline: str):
dt = parseIBDatetime(time)
dt = cast(datetime, dt)
article = HistoricalNews(dt, providerCode, articleId, headline)
self._results[reqId].append(article)
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 historicalDataUpdate(self, reqId, bar):
bars = self.reqId2Bars[reqId]
bar.date = util.parseIBDatetime(bar.date)
if len(bars) == 0 or bar.date > bars[-1].date:
bars.append(bar)
self._handleEvent('barUpdate', bars, True)
elif bars[-1] != bar:
bars[-1] = bar
self._handleEvent('barUpdate', bars, False)
def get_dte(dt):
'''Gets days to expiry
Arg:
(dt) as day in string format 'yyyymmdd'
Returns:
days to expiry as int'''
return (util.parseIBDatetime(dt) - datetime.now().date()
).days + 1 # 1 day added to accommodate for US timezone
def historicalDataUpdate(self, reqId, bar):
bar = BarData(**bar.__dict__)
bars = self.reqId2Bars.get(reqId)
if not bars:
return
bar.date = util.parseIBDatetime(bar.date)
if len(bars) == 0 or bar.date > bars[-1].date:
bars.append(bar)
self.handleEvent('barUpdate', bars, True)
elif bars[-1] != bar:
bars[-1] = bar
self.handleEvent('barUpdate', bars, False)
def historicalDataUpdate(self, reqId: int, bar: BarData):
bars = self.reqId2Subscriber.get(reqId)
if not bars:
return
bar.date = parseIBDatetime(bar.date) # type: ignore
hasNewBar = len(bars) == 0 or bar.date > bars[-1].date
if hasNewBar:
bars.append(bar)
elif bars[-1] != bar:
bars[-1] = bar
else:
return
self.ib.barUpdateEvent.emit(bars, hasNewBar)
bars.updateEvent.emit(bars, hasNewBar)
def historicalDataUpdate(self, reqId, bar):
bar = BarData(**bar.__dict__)
bars = self.reqId2Subscriber.get(reqId)
if not bars:
return
bar.date = util.parseIBDatetime(bar.date)
hasNewBar = len(bars) == 0 or bar.date > bars[-1].date
if hasNewBar:
bars.append(bar)
elif bars[-1] != bar:
bars[-1] = bar
else:
return
self._ib.barUpdateEvent.emit(bars, hasNewBar)
bars.updateEvent.emit(bars, hasNewBar)
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 historicalData(self, reqId, bar):
bar = BarData(**bar.__dict__)
bar.date = util.parseIBDatetime(bar.date)
self._results[reqId].append(bar)
def historicalData(self, reqId: int, bar: BarData):
bar.date = parseIBDatetime(bar.date) # type: ignore
self._results[reqId].append(bar)
def headTimestamp(self, reqId, headTimestamp):
dt = util.parseIBDatetime(headTimestamp)
self._endReq(reqId, dt)
def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap,
count):
dt = util.parseIBDatetime(time)
bar = RealTimeBar(dt, -1, open_, high, low, close, volume, wap, count)
self.reqId2Bars[reqId].append(bar)
async def get_dte(dt):
return await (util.parseIBDatetime(dt) -
datetime.datetime.now().date()).days
contracts = [c for cs in contracts for c in cs if c]
for c in contracts:
df_ohlc = ib.run(get_ohlc(ib, c))
undPrice = ib.run(get_tick(ib, c))[0].marketPrice()
chains = {c.symbol: ib.run(get_chain(ib, c))[0]}
sek = {b for a in [list(product([k], m.expirations, m.strikes))
for k, m in chains.items()] for b in a}
dfc = pd.DataFrame(list(sek), columns=[
'symbol', 'expiry', 'strike'])
dfc = dfc.assign(dte=[(util.parseIBDatetime(
dt)-datetime.datetime.now().date()).days for dt in dfc.expiry])
# Limit to max and min dte
dfc = dfc[dfc.dte <= data['common']['maxdte']]
dfc = dfc[dfc.dte >= data['common']['mindte']]
# integrate rise, fall and stdev
dfc = dfc.join(dfc.dte.apply(
lambda x: df_ohlc.iloc[x][['rise', 'fall', 'sd']]))
# remove the calls and puts whose strike is in the threshold of st dev
dfc['undPrice'] = undPrice
dfc = dfc.assign(right=np.where(
dfc.strike >= dfc.undPrice, 'C', 'P'))
c_mask = (dfc.right == 'C') & (
dfc.strike > dfc.undPrice + data['common']['callstdmult']*dfc.sd)
def historicalData(self, reqId: int, bar: BarData):
results = self._results.get(reqId)
if results is not None:
bar.date = parseIBDatetime(bar.date) # type: ignore
results.append(bar)
def headTimestamp(self, reqId, headTimestamp):
try:
dt = util.parseIBDatetime(headTimestamp)
self._endReq(reqId, dt)
except ValueError as exc:
self._endReq(reqId, exc, False)
def get_dte(dt):
'''Gets days to expiry
Arg: (dt) as day in string format 'yyyymmdd'
Returns: days to expiry as int'''
return (util.parseIBDatetime(dt) -
datetime.datetime.now().date()).days
