def processPositionMultiMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
reqId = decode(int, fields)
account = decode(str, fields)
# decode contract fields
contract = Contract()
contract.conId = decode(int, fields)
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields)
contract.tradingClass = decode(str, fields)
position = decode(float, fields)
avgCost = decode(float, fields)
modelCode = decode(str, fields)
self.wrapper.positionMulti(reqId, account, modelCode, contract, position, avgCost)
def make_contract(symbol='',
conID=0,
secType='STK',
currency='USD',
exchange='',
primaryExchange='',
multiplier=100,
tradingClass='',
localSymbol='',
right='',
lastTradeDateOrContractMonth='',
strike=0):
contract = Contract()
contract.symbol = symbol
contract.conId = conID
contract.secType = secType
contract.currency = currency
contract.exchange = exchange
contract.primaryExchange = primaryExchange
contract.multiplier = multiplier
contract.tradingClass = tradingClass
if tradingClass == '':
contract.tradingClass = symbol
contract.localSymbol = localSymbol
contract.right = right
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
contract.strike = strike
return contract
def send_order(self, req: OrderRequest):
"""
Send a new order.
"""
if not self.status:
return ""
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所：{req.exchange}")
return ""
if req.type not in ORDERTYPE_VT2IB:
self.gateway.write_log(f"不支持的价格类型：{req.type}")
return ""
self.orderid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
ib_order = Order()
ib_order.orderId = self.orderid
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.lmtPrice = req.price
ib_order.totalQuantity = req.volume
self.client.placeOrder(self.orderid, ib_contract, ib_order)
self.client.reqIds(1)
order = req.create_order_data(str(self.orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
"""
Send a new order.
"""
if not self.status:
return ""
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所：{req.exchange}")
return ""
if req.type not in ORDERTYPE_VT2IB:
self.gateway.write_log(f"不支持的价格类型：{req.type}")
return ""
self.orderid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
ib_order = Order()
ib_order.orderId = self.orderid
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.lmtPrice = req.price
ib_order.totalQuantity = req.volume
self.client.placeOrder(self.orderid, ib_contract, ib_order)
self.client.reqIds(1)
order = req.create_order_data(str(self.orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def subscribe(self, req: SubscribeRequest):
"""
Subscribe tick data update.
"""
if not self.status:
return
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所{req.exchange}")
return
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
# Get contract data from TWS.
self.reqid += 1
self.client.reqContractDetails(self.reqid, ib_contract)
# Subscribe tick data and create tick object buffer.
self.reqid += 1
self.client.reqMktData(self.reqid, ib_contract, "", False, False, [])
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[self.reqid] = tick
self.tick_exchange[self.reqid] = req.exchange
def subscribe(self, req: SubscribeRequest):
"""
Subscribe tick data update.
"""
if not self.status:
return
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所{req.exchange}")
return
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
# Get contract data from TWS.
self.reqid += 1
self.client.reqContractDetails(self.reqid, ib_contract)
# Subscribe tick data and create tick object buffer.
self.reqid += 1
self.client.reqMktData(self.reqid, ib_contract, "", False, False, [])
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[self.reqid] = tick
self.tick_exchange[self.reqid] = req.exchange
def index_contract():
spx_contract = Contract()
spx_contract.conId = "416904"
spx_contract.symbol = 'SPX'
spx_contract.secType = "IND"
spx_contract.exchange = "CBOE"
return spx_contract
def processPositionDataMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
account = decode(str, fields)
# decode contract fields
contract = Contract()
contract.conId = decode(int, fields)
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields)
if version >= 2:
contract.tradingClass = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
position = decode(float, fields)
else:
position = decode(int, fields)
avgCost = 0.
if version >= 3:
avgCost = decode(float, fields)
self.wrapper.position(account, contract, position, avgCost)
def run(args):
_logger = logging.getLogger('quanttrader')
_logger.setLevel(logging.DEBUG)
handler1 = logging.StreamHandler()
formatter = logging.Formatter(
'%(asctime)s - %(name)s - %(levelname)s - %(message)s')
handler1.setFormatter(formatter)
_logger.addHandler(handler1)
events_engine = LiveEventEngine()
tick_event_engine = LiveEventEngine()
broker = InteractiveBrokers(events_engine, tick_event_engine, 'DU0001')
broker.reqid = 5000
# events_engine.register_handler(EventType.LOG, log_event_handler)
events_engine.start()
tick_event_engine.start()
broker.connect('127.0.0.1', 7497, 0)
time.sleep(5) # 5 seconds
contract = Contract()
contract.conId = args.conid
broker.api.reqContractDetails(broker.reqid, contract)
broker.disconnect()
events_engine.stop()
tick_event_engine.stop()
def processExecutionDataMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
reqId = -1
if version >= 7:
reqId = decode(int, fields)
orderId = decode(int, fields)
# decode contract fields
contract = Contract()
contract.conId = decode(int, fields) # ver 5 field
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
if version >= 9:
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields)
if version >= 10:
contract.tradingClass = decode(str, fields)
# decode execution fields
exec = Execution()
exec.orderId = orderId
exec.execId = decode(str, fields)
exec.time = decode(str, fields)
exec.acctNumber = decode(str, fields)
exec.exchange = decode(str, fields)
exec.side = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
exec.shares = decode(float, fields)
else:
exec.shares = decode(int, fields)
exec.price = decode(float, fields)
exec.permId = decode(int, fields) # ver 2 field
exec.clientId = decode(int, fields) # ver 3 field
exec.liquidation = decode(int, fields) # ver 4 field
if version >= 6:
exec.cumQty = decode(float, fields)
exec.avgPrice = decode(float, fields)
if version >= 8:
exec.orderRef = decode(str, fields)
if version >= 9:
exec.evRule = decode(str, fields)
exec.evMultiplier = decode(float, fields)
if self.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT:
exec.modelCode = decode(str, fields)
self.wrapper.execDetails(reqId, contract, exec)
def WrongContract():
contract = Contract()
contract.symbol = " IJR "
contract.conId = 9579976
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
return contract
def get_contract(self, code: str) -> Contract:
contract = Contract()
ss = code.split("_")
contract.symbol = ss[0]
contract.secType = ss[1]
contract.currency = ss[2]
contract.exchange = ss[3]
contract_detail: ContractDetails = self.sync_get_contract_detail(contract)
contract.conId = contract_detail.contract.conId
return contract
def Dict_to_Contract(data: dict):
con = Contract()
con.symbol = data['symbol']
con.conId = data['conID']
con.secType = data['secType']
con.currency = data['currency']
con.exchange = data['exchange']
con.primaryExchange = data['primaryExchange']
con.multiplier = data['multiplier']
con.tradingClass = data['tradingClass']
con.localSymbol = data['localSymbol']
con.right = data['right']
con.lastTradeDateOrContractMonth = data['lastTradeDateOrContractMonth']
con.strike = data['strike']
return con
def from_string(cls, contract_str: str) -> "IBContract":
""" Create IBContract object from the corresponding string. """
params, combo_legs = contract_str.split("combo:")
ib_contract = Contract()
[ib_contract.conId, ib_contract.symbol, ib_contract.secType, ib_contract.lastTradeDateOrContractMonth,
ib_contract.strike, ib_contract.right, ib_contract.multiplier, ib_contract.exchange,
ib_contract.primaryExchange, ib_contract.currency, ib_contract.localSymbol, ib_contract.tradingClass,
ib_contract.includeExpired, ib_contract.secIdType, ib_contract.secId] = params.split(",")
ib_contract.conId = int(ib_contract.conId)
ib_contract.strike = float(ib_contract.strike)
ib_contract.includeExpired = bool(ib_contract.includeExpired == "True")
combo_legs = combo_legs.split(";")
combo_legs = [c for c in combo_legs if len(c) > 0]
if len(combo_legs) > 0:
if len(combo_legs[-1].split(",")) == 3:
delta_neutral_contract = combo_legs[-1].split(",")
combo_legs = combo_legs[:-1]
ib_contract.deltaNeutralContract = DeltaNeutralContract()
ib_contract.deltaNeutralContract.conId = int(delta_neutral_contract[0])
ib_contract.deltaNeutralContract.delta = float(delta_neutral_contract[1])
ib_contract.deltaNeutralContract.price = float(delta_neutral_contract[2])
ib_contract.comboLegs = [] if len(combo_legs) > 0 else None
if ib_contract.comboLegs is not None:
for params in combo_legs:
params = params.split(",")
combo_leg = ComboLeg()
combo_leg.conId = int(params[0])
combo_leg.ratio = int(params[1])
combo_leg.action = params[2]
combo_leg.exchange = params[3]
combo_leg.openClose = int(params[4])
combo_leg.shortSaleSlot = int(params[5])
combo_leg.designatedLocation = params[6]
combo_leg.exemptCode = int(params[7])
ib_contract.comboLegs.append(combo_leg)
return cls.from_ib_contract(ib_contract)
def processPortfolioValueMsg(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
# read contract fields
contract = Contract()
contract.conId = decode(int, fields) # ver 6 field
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
if version >= 7:
contract.multiplier = decode(str, fields)
contract.primaryExchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields) # ver 2 field
if version >= 8:
contract.tradingClass = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
position = decode(float, fields)
else:
position = decode(int, fields)
marketPrice = decode(float, fields)
marketValue = decode(float, fields)
averageCost = decode(float, fields) # ver 3 field
unrealizedPNL = decode(float, fields) # ver 3 field
realizedPNL = decode(float, fields) # ver 3 field
accountName = decode(str, fields) # ver 4 field
if version == 6 and self.serverVersion == 39:
contract.primaryExchange = decode(str, fields)
self.wrapper.updatePortfolio( contract,
position, marketPrice, marketValue, averageCost,
unrealizedPNL, realizedPNL, accountName)
def query_history(self, req: HistoryRequest):
""""""
self.history_req = req
self.reqid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
if req.end:
end = req.end
end_str = end.strftime("%Y%m%d %H:%M:%S")
else:
end = datetime.now()
end_str = ""
delta = end - req.start
days = min(delta.days, 180) # IB only provides 6-month data
duration = f"{days} D"
bar_size = INTERVAL_VT2IB[req.interval]
if req.exchange == Exchange.IDEALPRO:
bar_type = "MIDPOINT"
else:
bar_type = "TRADES"
self.client.reqHistoricalData(self.reqid, ib_contract, end_str,
duration, bar_size, bar_type, 1, 1,
False, [])
self.history_condition.acquire() # Wait for async data return
self.history_condition.wait()
self.history_condition.release()
history = self.history_buf
self.history_buf = [] # Create new buffer list
self.history_req = None
return history
def gen_contract_id_only(contract_id):
result_contract = Contract()
result_contract.conId = contract_id
return result_contract
def Bond():
contract = Contract()
contract.conId = 267433416
contract.exchange = "SMART"
return contract
def ByConId():
contract = Contract()
contract.secType = "CASH"
contract.conId = 12087792
contract.exchange = "IDEALPRO"
return contract
def get_data(symbol=None,
secType='STK',
exch=None,
curr=None,
duration=None,
enddate=None,
barsize=None,
conid=None):
app = TestApp("127.0.0.1", port, 20)
ibcontract = Contract()
if conid == None:
ibcontract.symbol = symbol
ibcontract.secType = secType
ibcontract.exchange = exch
ibcontract.currency = curr
# resolved_ibcontract=app.resolve_ib_contract(ibcontract)
#
# historic_data = app.get_IB_historical_data(resolved_ibcontract,durationStr=duration,enddate=enddate,barSizeSetting=barsize)
elif exch == None:
ibcontract.conId = conid
else:
ibcontract.conId = conid
ibcontract.exchange = exch
resolved_ibcontract = app.resolve_ib_contract(ibcontract)
historic_data = app.get_IB_historical_data(resolved_ibcontract,
durationStr=duration,
enddate=enddate,
barSizeSetting=barsize)
time.sleep(1)
print(app.isConnected())
app.disconnect()
# app.waitOnUpdate(timeout=0.1)
print(app.isConnected())
print('HD Disconnected')
df = pd.DataFrame(
data=historic_data,
columns=['date', 'open', 'high', 'low', 'close', 'volume'])
return df
# today = datetime.today().strftime("%Y%m%d %H:%M:%S %Z") # endDateTime,
# #
# data = get_data('SPY','STK','SMART','USD',duration ="1 D",enddate = datetime.today().strftime("%Y%m%d %H:%M:%S %Z"),barsize='1 day')
# # #
# #
# data = get_data("EQIX",'STK','SMART','USD',duration ="1 D",enddate = datetime.today().strftime("%Y%m%d %H:%M:%S %Z"),barsize='1 day')
# #
# print(data)
# data = get_data(conid=11054,exch ='TGATE',duration ="1 D",enddate = datetime.today().strftime("%Y%m%d %H:%M:%S %Z"),barsize='1 day')
# # #
# print(data)
# print(df)
#
#
# import matplotlib.pyplot as plt
#
# plt.plot(df['date'],df['close'])
# plt.show()
def connect(self):
self.app.reqIds(-1)
with self.app.msg_queue.mutex:
self.app.msg_queue.queue.clear()
self.app.msgs.clear()
self.app.ret.clear()
self.context.clear()
if self.app.globalCancelOnly:
print("Executing GlobalCancel only")
self.app.reqGlobalCancel()
else:
print("Executing requests")
self.app.reqMarketDataType(3)
# delayed
time.sleep(self.WTime)
self.app.reqManagedAccts()
time.sleep(self.WTime)
self.app.run()
self.app.reqAccountSummary(
self.app.nextOrderId(), "All",
"AvailableFunds, NetLiquidation, BuyingPower")
#AccountSummaryTags.AllTags)
time.sleep(self.WTime)
self.app.cancelAccountSummary(self.app.nextValidOrderId - 1)
time.sleep(self.WTime)
self.app.run()
time.sleep(self.WTime)
for account in self.app.ret["Account_list"]:
self.app.accountMap[self.app.nextValidOrderId] = account
self.app.reqPnL(self.app.nextOrderId(), account, "")
time.sleep(5 * self.WTime)
self.app.cancelPnL(self.app.nextValidOrderId - 1)
self.app.run()
time.sleep(self.WTime)
self.app.reqPositions()
self.app.run()
time.sleep(self.WTime)
self.app.cancelPositions()
time.sleep(self.WTime)
self.app.run()
if False: #len(self.app.ret['Error']) > 0:
#print(self.app.ret['Error'])
# self.app.disconnect()
pass
else:
temp_daily_pnls = set()
for daily_pnl in self.app.ret["Daily_PnL"]:
temp_daily_pnls.add(daily_pnl)
for reqId, account in self.app.accountMap.items():
if reqId == daily_pnl['ReqId']:
temp_daily_pnls.remove(daily_pnl)
daily_pnl.update({'Account': account})
temp_daily_pnls.add(daily_pnl)
del self.app.ret["Daily_PnL"]
self.app.ret["Daily_PnL"] = temp_daily_pnls
for positions in self.app.ret["Positions"]:
contract = Contract()
contract.symbol = positions['Symbol']
contract.secType = positions['SecType']
contract.currency = positions['Currency']
contract.conId = positions['ConId']
contract.exchange = "SMART"
self.app.callMap[
self.app.nextValidOrderId] = positions['ConId']
time.sleep(self.WTime)
self.app.reqPnLSingle(self.app.nextOrderId(),
positions['Account'], "",
positions['ConId'])
time.sleep(self.WTime)
self.app.cancelPnLSingle(self.app.nextValidOrderId - 1)
time.sleep(self.WTime)
self.app.callMap[
self.app.nextValidOrderId] = positions['ConId']
self.app.reqMktData(self.app.nextOrderId(), contract,
"104,106,258", False, False, [])
time.sleep(self.WTime)
self.app.cancelMktData(self.app.nextValidOrderId - 1)
self.app.run()
temp_Positions = set()
for positions in self.app.ret["Positions"]:
temp_Positions.add(positions)
for daily_PnL_Single in self.app.ret['Daily_PnL_Single']:
for reqId, ConId in self.app.callMap.items():
if reqId == daily_PnL_Single[
'ReqId'] and ConId == positions[
'ConId'] and positions[
'Account'] == self.app.account:
temp_Positions.remove(positions)
for key, value in daily_PnL_Single.items():
if (value > 1e20):
daily_PnL_Single[key] = 0
positions.update(daily_PnL_Single)
temp_Positions.add(positions)
del self.app.ret["Positions"]
self.app.ret["Positions"] = temp_Positions
temp_Positions = set()
for positions in self.app.ret["Positions"]:
temp_Positions.add(positions)
for tickGeneric in self.app.ret['TickGeneric']:
#for reqId, contract in self.app.callMap.items():
for reqId, ConId in self.app.callMap.items():
if reqId == tickGeneric[
'TickerId'] and ConId == positions[
'ConId'] and tickGeneric[
'TickType'] == 24 and positions[
'Account'] == self.app.account:
temp_Positions.remove(positions)
positions.update(
{'ImpVol': tickGeneric['Value']})
temp_Positions.add(positions)
del self.app.ret["Positions"]
self.app.ret["Positions"] = temp_Positions
self.app.reqAllOpenOrders()
time.sleep(self.WTime)
# ! [clientrun]
self.app.run()
print("Executing requests ... finished")
# ! [clientrun]
self.get_msg()
# strike = 2775, # right = "C", # local="EW2M8 C2775", # multiplier = 50) from ibapi.contract import Contract as IBcontract ibcontract = IBcontract() ibcontract.secType = "FOP" ibcontract.symbol = "ES" ibcontract.exchange = "GLOBEX" #ibcontract.primaryExchange = "CME" ibcontract.currency = "USD" ibcontract.lastTradeDateOrContractMonth = "20180608" ibcontract.strike = 2775 ibcontract.right = "C" ibcontract.multiplier = "50" ibcontract.conId = 317012336 ibcontract.localSymbol = "EW2M8 C2775" ## resolve the contract resolved_ibcontract = app.resolve_ib_contract(ibcontract) tickerid = app.start_getting_IB_market_data(resolved_ibcontract) time.sleep(10) ## What have we got so far? market_data1 = app.get_IB_market_data(tickerid) print(market_data1[0]) market_data1_as_df = market_data1.as_pdDataFrame()
def main():
### DEVELOPMENT ONLY
#Timer(10, shutdown).start()
while True:
debug("connecting to Gateway and Database...")
myApi = ibapihandle(gwcnx(), sqlcnx())
myApi.database.debugSqlhandle = 0
if myApi.isConnected() == True and myApi.database.isConnected(
) == True:
debug('Gateway and Database are connected.')
run = Timer(0, myApi.run).start()
myApi.initDb()
# define your search and download
contract = Contract()
contract.symbol = 'ADBE'
contract.currency = 'USD'
contract.lastTradeDateOrContractMonth = '20200327'
myApi.downloadOptionChain(contract)
dfContract = myApi.database.tblReadToDataFrame('*',
'general.contract',
index='conId')
dfFilter = dfContract[(dfContract['symbol'] == contract.symbol)
& (dfContract['lastTradeDateOrContractMonth']
== contract.lastTradeDateOrContractMonth)]
print('[Found]', len(dfFilter), 'of', len(dfContract),
'contracts in Database matching Filter settings')
cnt_all = len(dfFilter.index)
cnt = 1
start = datetime.now()
print(cnt_all, 'Packages to download. Starting at', start)
errList = []
myApi.debugibapihandle = 0
myApi.database.debugSqlhandle = 0
for conId in dfFilter.index:
histContract = Contract()
histContract.conId = conId
histContract.exchange = 'CBOE'
histBarData = myApi.getHistoricalBarData(histContract,
'20200320 00:00:00',
'6 M',
'1 hour',
'TRADES',
timeout=20)
if type(histBarData) == list:
myApi.tblHistoricalBarDataAppend(histContract, histBarData)
else:
errList.append(conId)
print('[{}]'.format(conId),
'{}% |'.format(round(cnt / cnt_all * 100, 2)), cnt, 'of',
cnt_all, 'Packages requested. Error List: {}.'.format(
len(errList)), 'Running:',
datetime.now() - start, 'Remaining Time:',
(datetime.now() - start) / cnt *
(cnt_all -
cnt)) #(cnt_all - cnt)*(datetime.now()-start)/(cnt+1))
cnt += 1
end = datetime.now()
print('All Packages downloaded at', end)
print('Total time:', end - start)
print('Packages Lost {lost} out of {max} | {pct}%'.format(
lost=len(errList),
max=cnt_all,
pct=round(len(errList) / cnt_all * 100, 2)))
print('Packages Lost:', errList)
Timer(0, shutdown).start()
# wait to re create object
time.sleep(10)
def processOpenOrder(self, fields):
sMsgId = next(fields)
version = decode(int, fields)
order = Order()
order.orderId = decode(int, fields)
contract = Contract()
contract.conId = decode(int, fields) # ver 17 field
contract.symbol = decode(str, fields)
contract.secType = decode(str, fields)
contract.lastTradeDateOrContractMonth = decode(str, fields)
contract.strike = decode(float, fields)
contract.right = decode(str, fields)
if version >= 32:
contract.multiplier = decode(str, fields)
contract.exchange = decode(str, fields)
contract.currency = decode(str, fields)
contract.localSymbol = decode(str, fields) # ver 2 field
if version >= 32:
contract.tradingClass = decode(str, fields)
# read order fields
order.action = decode(str, fields)
if self.serverVersion >= MIN_SERVER_VER_FRACTIONAL_POSITIONS:
order.totalQuantity = decode(float, fields)
else:
order.totalQuantity = decode(int, fields)
order.orderType = decode(str, fields)
if version < 29:
order.lmtPrice = decode(float, fields)
else:
order.lmtPrice = decode(float, fields, SHOW_UNSET)
if version < 30:
order.auxPrice = decode(float, fields)
else:
order.auxPrice = decode(float, fields, SHOW_UNSET)
order.tif = decode(str, fields)
order.ocaGroup = decode(str, fields)
order.account = decode(str, fields)
order.openClose = decode(str, fields)
order.origin = decode(int, fields)
order.orderRef = decode(str, fields)
order.clientId = decode(int, fields) # ver 3 field
order.permId = decode(int, fields) # ver 4 field
order.outsideRth = decode(bool, fields) # ver 18 field
order.hidden = decode(bool, fields) # ver 4 field
order.discretionaryAmt = decode(float, fields) # ver 4 field
order.goodAfterTime = decode(str, fields) # ver 5 field
order.sharesAllocation = decode(str, fields) # deprecated ver 6 field
order.faGroup = decode(str, fields) # ver 7 field
order.faMethod = decode(str, fields) # ver 7 field
order.faPercentage = decode(str, fields) # ver 7 field
order.faProfile = decode(str, fields) # ver 7 field
if self.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT:
order.modelCode = decode(str, fields)
order.goodTillDate = decode(str, fields) # ver 8 field
order.rule80A = decode(str, fields) # ver 9 field
order.percentOffset = decode(float, fields, SHOW_UNSET) # ver 9 field
order.settlingFirm = decode(str, fields) # ver 9 field
order.shortSaleSlot = decode(int, fields) # ver 9 field
order.designatedLocation = decode(str, fields) # ver 9 field
if self.serverVersion == MIN_SERVER_VER_SSHORTX_OLD:
exemptCode = decode(int, fields)
elif version >= 23:
order.exemptCode = decode(int, fields)
order.auctionStrategy = decode(int, fields) # ver 9 field
order.startingPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRefPrice = decode(float, fields, SHOW_UNSET) # ver 9 field
order.delta = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeLower = decode(float, fields, SHOW_UNSET) # ver 9 field
order.stockRangeUpper = decode(float, fields, SHOW_UNSET) # ver 9 field
order.displaySize = decode(int, fields) # ver 9 field
#if( version < 18) {
# # will never happen
# /* order.rthOnly = */ readBoolFromInt()
#}
order.blockOrder = decode(bool, fields) # ver 9 field
order.sweepToFill = decode(bool, fields) # ver 9 field
order.allOrNone = decode(bool, fields) # ver 9 field
order.minQty = decode(int, fields, SHOW_UNSET) # ver 9 field
order.ocaType = decode(int, fields) # ver 9 field
order.eTradeOnly = decode(bool, fields) # ver 9 field
order.firmQuoteOnly = decode(bool, fields) # ver 9 field
order.nbboPriceCap = decode(float, fields, SHOW_UNSET) # ver 9 field
order.parentId = decode(int, fields) # ver 10 field
order.triggerMethod = decode(int, fields) # ver 10 field
order.volatility = decode(float, fields, SHOW_UNSET) # ver 11 field
order.volatilityType = decode(int, fields) # ver 11 field
order.deltaNeutralOrderType = decode(str, fields) # ver 11 field (had a hack for ver 11)
order.deltaNeutralAuxPrice = decode(float, fields, SHOW_UNSET) # ver 12 field
if version >= 27 and order.deltaNeutralOrderType:
order.deltaNeutralConId = decode(int, fields)
order.deltaNeutralSettlingFirm = decode(str, fields)
order.deltaNeutralClearingAccount = decode(str, fields)
order.deltaNeutralClearingIntent = decode(str, fields)
if version >= 31 and order.deltaNeutralOrderType:
order.deltaNeutralOpenClose = decode(str, fields)
order.deltaNeutralShortSale = decode(bool, fields)
order.deltaNeutralShortSaleSlot = decode(int, fields)
order.deltaNeutralDesignatedLocation = decode(str, fields)
order.continuousUpdate = decode(bool, fields) # ver 11 field
# will never happen
#if( self.serverVersion == 26) {
# order.stockRangeLower = readDouble()
# order.stockRangeUpper = readDouble()
#}
order.referencePriceType = decode(int, fields) # ver 11 field
order.trailStopPrice = decode(float, fields, SHOW_UNSET) # ver 13 field
if version >= 30:
order.trailingPercent = decode(float, fields, SHOW_UNSET)
order.basisPoints = decode(float, fields, SHOW_UNSET) # ver 14 field
order.basisPointsType = decode(int, fields, SHOW_UNSET) # ver 14 field
contract.comboLegsDescrip = decode(str, fields) # ver 14 field
if version >= 29:
contract.comboLegsCount = decode(int, fields)
if contract.comboLegsCount > 0:
contract.comboLegs = []
for idxLeg in range(contract.comboLegsCount):
comboLeg = ComboLeg()
comboLeg.conId = decode(int, fields)
comboLeg.ratio = decode(int, fields)
comboLeg.action = decode(str, fields)
comboLeg.exchange = decode(str, fields)
comboLeg.openClose = decode(int, fields)
comboLeg.shortSaleSlot = decode(int, fields)
comboLeg.designatedLocation = decode(str, fields)
comboLeg.exemptCode = decode(int, fields)
contract.comboLegs.append(comboLeg)
order.orderComboLegsCount = decode(int, fields)
if order.orderComboLegsCount > 0:
order.orderComboLegs = []
for idxOrdLeg in range(order.orderComboLegsCount):
orderComboLeg = OrderComboLeg()
orderComboLeg.price = decode(float, fields, SHOW_UNSET)
order.orderComboLegs.append(orderComboLeg)
if version >= 26:
order.smartComboRoutingParamsCount = decode(int, fields)
if order.smartComboRoutingParamsCount > 0:
order.smartComboRoutingParams = []
for idxPrm in range(order.smartComboRoutingParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.smartComboRoutingParams.append(tagValue)
if version >= 20:
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET)
order.scaleSubsLevelSize = decode(int, fields, SHOW_UNSET)
else:
# ver 15 fields
order.notSuppScaleNumComponents = decode(int, fields, SHOW_UNSET)
order.scaleInitLevelSize = decode(int, fields, SHOW_UNSET) # scaleComponectSize
order.scalePriceIncrement = decode(float, fields, SHOW_UNSET) # ver 15 field
if version >= 28 and order.scalePriceIncrement != UNSET_DOUBLE \
and order.scalePriceIncrement > 0.0:
order.scalePriceAdjustValue = decode(float, fields, SHOW_UNSET)
order.scalePriceAdjustInterval = decode(int, fields, SHOW_UNSET)
order.scaleProfitOffset = decode(float, fields, SHOW_UNSET)
order.scaleAutoReset = decode(bool, fields)
order.scaleInitPosition = decode(int, fields, SHOW_UNSET)
order.scaleInitFillQty = decode(int, fields, SHOW_UNSET)
order.scaleRandomPercent = decode(bool, fields)
if version >= 24:
order.hedgeType = decode(str, fields)
if order.hedgeType:
order.hedgeParam = decode(str, fields)
if version >= 25:
order.optOutSmartRouting = decode(bool, fields)
order.clearingAccount = decode(str, fields) # ver 19 field
order.clearingIntent = decode(str, fields) # ver 19 field
if version >= 22:
order.notHeld = decode(bool, fields)
if version >= 20:
contract.underCompPresent = decode(bool, fields)
if contract.underCompPresent:
contract.underComp = UnderComp()
contract.underComp.conId = decode(int, fields)
contract.underComp.delta = decode(float, fields)
contract.underComp.price = decode(float, fields)
if version >= 21:
order.algoStrategy = decode(str, fields)
if order.algoStrategy:
order.algoParamsCount = decode(int, fields)
if order.algoParamsCount > 0:
order.algoParams = []
for idxAlgoPrm in range(order.algoParamsCount):
tagValue = TagValue()
tagValue.tag = decode(str, fields)
tagValue.value = decode(str, fields)
order.algoParams.append(tagValue)
if version >= 33:
order.solicited = decode(bool, fields)
orderState = OrderState()
order.whatIf = decode(bool, fields) # ver 16 field
orderState.status = decode(str, fields) # ver 16 field
orderState.initMargin = decode(str, fields) # ver 16 field
orderState.maintMargin = decode(str, fields) # ver 16 field
orderState.equityWithLoan = decode(str, fields) # ver 16 field
orderState.commission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.minCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.maxCommission = decode(float, fields, SHOW_UNSET) # ver 16 field
orderState.commissionCurrency = decode(str, fields) # ver 16 field
orderState.warningText = decode(str, fields) # ver 16 field
if version >= 34:
order.randomizeSize = decode(bool, fields)
order.randomizePrice = decode(bool, fields)
if self.serverVersion >= MIN_SERVER_VER_PEGGED_TO_BENCHMARK:
if order.orderType == "PEG BENCH":
order.referenceContractId = decode(int, fields)
order.isPeggedChangeAmountDecrease = decode(bool, fields)
order.peggedChangeAmount = decode(float, fields)
order.referenceChangeAmount = decode(float, fields)
order.referenceExchangeId = decode(str, fields)
order.conditionsSize = decode(int, fields)
if order.conditionsSize > 0:
order.conditions = []
for idxCond in range(order.conditionsSize):
order.conditionType = decode(int, fields)
condition = order_condition.Create(order.conditionType)
condition.decode(fields)
order.conditions.append(condition)
order.conditionsIgnoreRth = decode(bool, fields)
order.conditionsCancelOrder = decode(bool, fields)
order.adjustedOrderType = decode(str, fields)
order.triggerPrice = decode(float, fields)
order.trailStopPrice = decode(float, fields)
order.lmtPriceOffset = decode(float, fields)
order.adjustedStopPrice = decode(float, fields)
order.adjustedStopLimitPrice = decode(float, fields)
order.adjustedTrailingAmount = decode(float, fields)
order.adjustableTrailingUnit = decode(int, fields)
if self.serverVersion >= MIN_SERVER_VER_SOFT_DOLLAR_TIER:
name = decode(str, fields)
value = decode(str, fields)
displayName = decode(str, fields)
order.softDollarTier = SoftDollarTier(name, value, displayName)
self.wrapper.openOrder(order.orderId, contract, order, orderState)
