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 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 ""
ib_contract = generate_ib_contract(req.symbol, req.exchange)
if not ib_contract:
return ""
ib_order = Order()
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.totalQuantity = req.volume
ib_order.outsideRth = True
ib_order.orderRef = req.orderRef
ib_order.account = self.account
if req.type == OrderType.LIMIT:
ib_order.lmtPrice = req.price
elif req.type == OrderType.STOP:
ib_order.auxPrice = req.price
self.orderLock.acquire()
self.orderid += 1
ib_order.orderId = self.orderid
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.orderLock.release()
self.gateway.on_order(order)
return order.vt_orderid
def make_order(self, direction, orderType, price, volume):
"""New order."""
self.reqid += 1
ib_order = Order()
ib_order.orderId = self.reqid
ib_order.clientId = self.clientid
ib_order.action = direction
ib_order.orderType = orderType
if orderType == "LMT":
ib_order.lmtPrice = float(price)
ib_order.totalQuantity = float(volume)
ib_order.account = self.accountid
self.client.placeOrder(self.reqid, self.contractid, ib_order)
order = {
"orderId": ib_order.orderId,
"orderType": ib_order.orderType,
"permId": 0,
"action": ib_order.action,
"totalQuantity": ib_order.totalQuantity,
"lmtPrice": ib_order.lmtPrice,
"auxPrice": ib_order.auxPrice,
"tif": ib_order.tif,
"account": ib_order.account,
"whatIf": ib_order.whatIf,
"autoCancelDate": ib_order.autoCancelDate,
"symbol": self.contractid.symbol,
"exchange": self.contractid.exchange,
"currency": self.contractid.currency,
"secType": self.contractid.secType,
"status": "PendingNew",
"commission": 0,
"time": self.maintainer.timer.timestamp(),
"completedStatus": "",
"filledQuantity": 0.0,
"avgFillPrice": 0.0,
}
if not self.client.isConnected():
order["status"] = "Rejected"
self.ib_orders[str(ib_order.orderId)] = order
self.client.reqIds(1)
self.logger(f"make order, {ib_order.orderId}, {order['status']}")
return self.reqid
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)
