def test_mergemap(self):
marbles = ['A B C D', '_1 2 3 4', '__K L M N']
event = Event.range(3) \
.mergemap(lambda v: Event.marble(marbles[v]))
self.assertEqual(
event.run(),
['A', '1', 'K', 'B', '2', 'L', '3', 'C', 'M', '4', 'D', 'N'])
def __init__(self, wrapper):
self.wrapper = wrapper
self.decoder = Decoder(wrapper, 0)
self.apiStart = Event('apiStart')
self.apiEnd = Event('apiEnd')
self.apiError = Event('apiError')
self.throttleStart = Event('throttleStart')
self.throttleEnd = Event('throttleEnd')
self._logger = logging.getLogger('ib_insync.client')
self.conn = Connection()
self.conn.hasData += self._onSocketHasData
self.conn.disconnected += self._onSocketDisconnected
# extra optional wrapper methods
self._priceSizeTick = getattr(wrapper, 'priceSizeTick', None)
self._tcpDataArrived = getattr(wrapper, 'tcpDataArrived', None)
self._tcpDataProcessed = getattr(wrapper, 'tcpDataProcessed', None)
self.host = ''
self.port = -1
self.clientId = -1
self.optCapab = ''
self.connectOptions = b''
self.reset()
def test_concat(self):
e1 = Event.sequence(array1, interval=0.02)
e2 = Event.sequence(array2, interval=0.02).delay(0.07)
event = e1.concat(e2)
self.assertEqual(
event.run(),
[0, 1, 2, 3, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109])
def test_switchmap(self):
marbles = [
'A B C D ',
'_ K L M N', '__ 1 2 3 4'
]
event = Event.range(3) \
.switchmap(lambda v: Event.marble(marbles[v]))
self.assertEqual(event.run(), ['A', 'B', '1', '2', 'K', 'L', 'M', 'N'])
def __init__(self, wrapper):
self._readyEvent = asyncio.Event()
EClient.__init__(self, wrapper)
Event.init(self, Client.events)
self._loop = asyncio.get_event_loop()
self._logger = logging.getLogger('ib_insync.client')
# extra optional wrapper methods
self._priceSizeTick = getattr(wrapper, 'priceSizeTick', None)
self._tcpDataArrived = getattr(wrapper, 'tcpDataArrived', None)
self._tcpDataProcessed = getattr(wrapper, 'tcpDataProcessed', None)
def __init__(self, *args, **kwargs):
Object.__init__(self, *args, **kwargs)
Event.init(self, Watchdog.events)
if not self.controller:
raise ValueError('No controller supplied')
if not self.ib:
raise ValueError('No IB instance supplied')
if self.ib.isConnected():
raise ValueError('IB instance must not be connected')
assert 0 < self.appTimeout < 60
assert self.retryDelay > 0
self._runner = None
self._logger = logging.getLogger('ib_insync.Watchdog')
class Connection(asyncio.Protocol):
"""
Event-driven socket connection.
Events:
* ``hasData`` (data: bytes):
Emits the received socket data.
* ``disconnected`` (msg: str):
Is emitted on socket disconnect, with an error message in case
of error, or an empty string in case of a normal disconnect.
"""
def __init__(self):
self.hasData = Event('hasData')
self.disconnected = Event('disconnected')
self.reset()
def reset(self):
self.transport = None
self.numBytesSent = 0
self.numMsgSent = 0
async def connectAsync(self, host, port):
if self.transport:
# wait until a previous connection is finished closing
self.disconnect()
await self.disconnected
self.reset()
loop = asyncio.get_event_loop()
self.transport, _ = await loop.create_connection(
lambda: self, host, port)
def disconnect(self):
if self.transport:
self.transport.write_eof()
self.transport.close()
def isConnected(self):
return self.transport is not None
def sendMsg(self, msg):
self.transport.write(msg)
self.numBytesSent += len(msg)
self.numMsgSent += 1
def connection_lost(self, exc):
self.transport = None
msg = str(exc) if exc else ''
self.disconnected.emit(msg)
def data_received(self, data):
self.hasData.emit(data)
def __init__(self, wrapper):
self.wrapper = wrapper
self.decoder = Decoder(wrapper, None)
self.apiStart = Event('apiStart')
self.apiEnd = Event('apiEnd')
self.apiError = Event('apiError')
self.throttleStart = Event('throttleStart')
self.throttleEnd = Event('throttleEnd')
self._logger = logging.getLogger('ib_insync.client')
self.reset()
# extra optional wrapper methods
self._priceSizeTick = getattr(wrapper, 'priceSizeTick', None)
self._tcpDataArrived = getattr(wrapper, 'tcpDataArrived', None)
self._tcpDataProcessed = getattr(wrapper, 'tcpDataProcessed', None)
def test_delay(self):
delay = 0.01
src = Event.sequence(array1, interval=0.01)
e1 = src.timestamp().pluck(0)
e2 = src.delay(delay).timestamp().pluck(0)
r = e1.zip(e2).map(lambda a, b: b - a).mean().run()
self.assertLess(abs(r[-1]), delay + 0.002)
def test_async_map(self):
async def coro(x):
await asyncio.sleep(0.1)
return x * x
event = Event.sequence(array).map(coro)
self.assertEqual(event.run(), [i * i for i in array])
def test_star(self):
def f(i, j):
r.append((i, j))
r = []
event = Event.sequence(array).map(lambda i: (i, i)).star().connect(f)
self.assertEqual(event.run(), r)
def test_aiter(self):
async def coro():
return [v async for v in event]
a = list(range(0, 10))
event = Event.sequence(a)
result = run(coro())
self.assertEqual(result, a)
def test_aiterate(self):
async def ait():
await asyncio.sleep(0)
for i in array1:
yield i
event = Event.aiterate(ait())
self.assertEqual(event.run(), array1)
def test_throttle(self):
t0 = time.time()
a = list(range(500))
event = Event.sequence(a) \
.throttle(1000, 0.1, cost_func=lambda i: 10)
result = event.run()
self.assertEqual(result, a)
dt = time.time() - t0
self.assertLess(abs(dt - 0.5), 0.05)
def __post_init__(self):
self.statusEvent = Event('statusEvent')
self.modifyEvent = Event('modifyEvent')
self.fillEvent = Event('fillEvent')
self.commissionReportEvent = Event('commissionReportEvent')
self.filledEvent = Event('filledEvent')
self.cancelEvent = Event('cancelEvent')
self.cancelledEvent = Event('cancelledEvent')
def __init__(self, wrapper):
# super().__init__(wrapper)
self.wrapper = wrapper
self.decoder = Decoder(wrapper, None)
self.apiStart = Event('apiStart')
self.apiEnd = Event('apiEnd')
self.apiError = Event('apiError')
self.throttleStart = Event('throttleStart')
self.throttleEnd = Event('throttleEnd')
self._readyEvent = asyncio.Event()
# self._loop = asyncio.get_event_loop()
self._loop = asyncio.new_event_loop()
self._logger = logging.getLogger('ib_insync.client')
self.reset()
# extra optional wrapper methods
self._priceSizeTick = super.getattr(wrapper, 'priceSizeTick', None)
self._tcpDataArrived = super.getattr(wrapper, 'tcpDataArrived', None)
self._tcpDataProcessed = super.getattr(wrapper, 'tcpDataProcessed', None)
def __init__(self, *args, **kwargs):
Object.__init__(self, *args, **kwargs)
self.statusEvent = Event('statusEvent')
self.modifyEvent = Event('modifyEvent')
self.fillEvent = Event('fillEvent')
self.commissionReportEvent = Event('commissionReportEvent')
self.filledEvent = Event('filledEvent')
self.cancelEvent = Event('cancelEvent')
self.cancelledEvent = Event('cancelledEvent')
def test_async_map_unordered(self):
class A():
def __init__(self):
self.t = 0.1
async def coro(self, x):
self.t -= 0.01
await asyncio.sleep(self.t)
return x * x
a = A()
event = Event.range(10).map(a.coro, ordered=False)
self.assertEqual(event.run(), [i * i for i in reversed(range(10))])
def test_keep_ref(self):
import weakref
obj = Object()
event = Event('test')
event.connect(obj.method, keep_ref=True)
wr = weakref.ref(obj)
del obj
event.emit(9, 4)
self.assertEqual(wr().value, 5)
obj = wr()
event.emit(5, 6)
self.assertEqual(obj.value, 4)
self.assertIn(obj.method, event)
event -= obj.method
self.assertNotIn(obj.method, event)
def __init__(self, ib, watchdog, manager):
self.contracts = contracts
ib.connectedEvent += self.onConnected
ib.errorEvent += self.onError
ib.updatePortfolioEvent += self.onUpdatePortfolioEvent
ib.commissionReportEvent += self.onCommissionReportEvent
ib.positionEvent += self.onPositionEvent
ib.accountSummaryEvent += self.onAccountSummaryEvent
update = Event().timerange(300, None, 600)
update += self.onScheduledUpdate
self.ib = ib
self.manager = manager
super().__init__(watchdog)
self.portfolio_items = {}
def test_method(self):
obj1 = Object()
obj2 = Object()
event = Event('test')
event += obj1.method
event.emit(9, 4)
self.assertEqual(obj1.value, 5)
event += obj2.method
event.emit(5, 6)
self.assertEqual(obj1.value, 4)
self.assertEqual(obj2.value, -1)
del obj2
self.assertEqual(len(event), 1)
event -= obj1.method
self.assertNotIn(obj1.method, event)
self.assertEqual(len(event), 0)
event += obj1.method
event += obj1.method
self.assertEqual(len(event), 2)
event.disconnect_obj(obj1)
self.assertEqual(len(event), 0)
def test_functor(self):
obj1 = Object()
obj2 = Object()
event = Event('test')
event += obj1
event.emit(9, 4)
self.assertEqual(obj1.value, 5)
event += obj2
event.emit(5, 6)
self.assertEqual(obj1.value, 4)
self.assertEqual(obj2.value, -1)
del obj2
self.assertEqual(len(event), 1)
event -= obj1
self.assertNotIn(obj1, event)
self.assertEqual(len(event), 0)
def test_coro_func(self):
async def coro(d):
result.append(d)
await asyncio.sleep(0)
result = []
event = Event('test')
event += coro
event.emit(4)
event.emit(2)
run(asyncio.sleep(0))
self.assertEqual(result, [4, 2])
result.clear()
event -= coro
event.emit(8)
run(asyncio.sleep(0))
self.assertEqual(result, [])
def test_function(self):
def f1(x, y):
nonlocal value1
value1 += x - y
def f2(x, y):
nonlocal value2
value2 += x - y
value1 = 0
value2 = 0
event = Event('test')
event += f1
event.emit(9, 4)
self.assertEqual(value1, 5)
event += f2
event.emit(5, 6)
self.assertEqual(value1, 4)
self.assertEqual(value2, -1)
event -= f1
self.assertNotIn(f1, event)
event -= f2
self.assertNotIn(f2, event)
self.assertEqual(len(event), 0)
def __post_init__(self):
self.startingEvent = Event('startingEvent')
self.startedEvent = Event('startedEvent')
self.stoppingEvent = Event('stoppingEvent')
self.stoppedEvent = Event('stoppedEvent')
self.softTimeoutEvent = Event('softTimeoutEvent')
self.hardTimeoutEvent = Event('hardTimeoutEvent')
if not self.controller:
raise ValueError('No controller supplied')
if not self.ib:
raise ValueError('No IB instance supplied')
if self.ib.isConnected():
raise ValueError('IB instance must not be connected')
assert 0 < self.appTimeout < 60
assert self.retryDelay > 0
self._runner = None
self._logger = logging.getLogger('ib_insync.Watchdog')
class Watchdog:
"""
Start, connect and watch over the TWS or gateway app and try to keep it
up and running. It is intended to be used in an event-driven
application that properly initializes itself upon (re-)connect.
It is not intended to be used in a notebook or in imperative-style code.
Do not expect Watchdog to magically shield you from reality. Do not use
Watchdog unless you understand what it does and doesn't do.
Args:
controller (Union[IBC, IBController]): (required) IBC or IBController
instance.
ib (IB): (required) IB instance to be used. Do no connect this
instance as Watchdog takes care of that.
host (str): Used for connecting IB instance.
port (int): Used for connecting IB instance.
clientId (int): Used for connecting IB instance.
connectTimeout (float): Used for connecting IB instance.
readonly (bool): Used for connecting IB instance.
appStartupTime (float): Time (in seconds) that the app is given
to start up. Make sure that it is given ample time.
appTimeout (float): Timeout (in seconds) for network traffic idle time.
retryDelay (float): Time (in seconds) to restart app after a
previous failure.
The idea is to wait until there is no traffic coming from the app for
a certain amount of time (the ``appTimeout`` parameter). This triggers
a historical request to be placed just to see if the app is still alive
and well. If yes, then continue, if no then restart the whole app
and reconnect. Restarting will also occur directly on errors 1100 and 100.
Example usage:
.. code-block:: python
def onConnected():
print(ib.accountValues())
ibc = IBC(974, gateway=True, tradingMode='paper')
ib = IB()
ib.connectedEvent += onConnected
watchdog = Watchdog(ibc, ib, port=4002)
watchdog.start()
ib.run()
Events:
* ``startingEvent`` (watchdog: :class:`.Watchdog`)
* ``startedEvent`` (watchdog: :class:`.Watchdog`)
* ``stoppingEvent`` (watchdog: :class:`.Watchdog`)
* ``stoppedEvent`` (watchdog: :class:`.Watchdog`)
* ``softTimeoutEvent`` (watchdog: :class:`.Watchdog`)
* ``hardTimeoutEvent`` (watchdog: :class:`.Watchdog`)
"""
events = [
'startingEvent', 'startedEvent', 'stoppingEvent', 'stoppedEvent',
'softTimeoutEvent', 'hardTimeoutEvent'
]
controller: Union[IBC, IBController]
ib: IB
host: str = '127.0.0.1'
port: int = 7497
clientId: int = 1
connectTimeout: float = 2
appStartupTime: float = 30
appTimeout: float = 20
retryDelay: float = 2
readonly: bool = False
def __post_init__(self):
self.startingEvent = Event('startingEvent')
self.startedEvent = Event('startedEvent')
self.stoppingEvent = Event('stoppingEvent')
self.stoppedEvent = Event('stoppedEvent')
self.softTimeoutEvent = Event('softTimeoutEvent')
self.hardTimeoutEvent = Event('hardTimeoutEvent')
if not self.controller:
raise ValueError('No controller supplied')
if not self.ib:
raise ValueError('No IB instance supplied')
if self.ib.isConnected():
raise ValueError('IB instance must not be connected')
assert 0 < self.appTimeout < 60
assert self.retryDelay > 0
self._runner = None
self._logger = logging.getLogger('ib_insync.Watchdog')
def start(self):
self._logger.info('Starting')
self.startingEvent.emit(self)
self._runner = asyncio.ensure_future(self.runAsync())
def stop(self):
self._logger.info('Stopping')
self.stoppingEvent.emit(self)
self.ib.disconnect()
self._runner = None
async def runAsync(self):
def onTimeout(idlePeriod):
if not waiter.done():
waiter.set_result(None)
def onError(reqId, errorCode, errorString, contract):
if errorCode in [1100, 100] and not waiter.done():
waiter.set_exception(Warning(f'Error {errorCode}'))
def onDisconnected():
if not waiter.done():
waiter.set_exception(Warning('Disconnected'))
while self._runner:
try:
await self.controller.startAsync()
await asyncio.sleep(self.appStartupTime)
await self.ib.connectAsync(self.host, self.port, self.clientId,
self.connectTimeout, self.readonly)
self.startedEvent.emit(self)
self.ib.setTimeout(self.appTimeout)
self.ib.timeoutEvent += onTimeout
self.ib.errorEvent += onError
self.ib.disconnectedEvent += onDisconnected
while self._runner:
waiter = asyncio.Future()
await waiter
# soft timeout, probe the app with a historical request
self._logger.debug('Soft timeout')
self.softTimeoutEvent.emit(self)
probe = self.ib.reqHistoricalDataAsync(
Forex('EURUSD'), '', '30 S', '5 secs', 'MIDPOINT',
False)
bars = None
with suppress(asyncio.TimeoutError):
bars = await asyncio.wait_for(probe, 4)
if not bars:
self.hardTimeoutEvent.emit(self)
raise Warning('Hard timeout')
self.ib.setTimeout(self.appTimeout)
except ConnectionRefusedError:
pass
except Warning as w:
self._logger.warning(w)
except Exception as e:
self._logger.exception(e)
finally:
self.ib.timeoutEvent -= onTimeout
self.ib.errorEvent -= onError
self.ib.disconnectedEvent -= onDisconnected
await self.controller.terminateAsync()
self.stoppedEvent.emit(self)
if self._runner:
await asyncio.sleep(self.retryDelay)
def __init__(self, *args):
list.__init__(self, *args)
Event.init(self, BarList.events)
class Client:
"""
Replacement for ``ibapi.client.EClient`` that uses asyncio.
The client is fully asynchronous and has its own
event-driven networking code that replaces the
networking code of the standard EClient.
It also replaces the infinite loop of ``EClient.run()``
with the asyncio event loop. It can be used as a drop-in
replacement for the standard EClient as provided by IBAPI.
Compared to the standard EClient this client has the following
additional features:
* ``client.connect()`` will block until the client is ready to
serve requests; It is not necessary to wait for ``nextValidId``
to start requests as the client has already done that.
The reqId is directly available with :py:meth:`.getReqId()`.
* ``client.connectAsync()`` is a coroutine for connecting asynchronously.
* When blocking, ``client.connect()`` can be made to time out with
the timeout parameter (default 2 seconds).
* Optional ``wrapper.priceSizeTick(reqId, tickType, price, size)`` that
combines price and size instead of the two wrapper methods
priceTick and sizeTick.
* Automatic request throttling.
* Optional ``wrapper.tcpDataArrived()`` method;
If the wrapper has this method it is invoked directly after
a network packet has arrived.
A possible use is to timestamp all data in the packet with
the exact same time.
* Optional ``wrapper.tcpDataProcessed()`` method;
If the wrapper has this method it is invoked after the
network packet's data has been handled.
A possible use is to write or evaluate the newly arrived data in
one batch instead of item by item.
Attributes:
MaxRequests (int):
Throttle the number of requests to ``MaxRequests`` per
``RequestsInterval`` seconds. Set to 0 to disable throttling.
RequestsInterval (float):
Time interval (in seconds) for request throttling.
MinClientVersion (int):
Client protocol version.
MaxClientVersion (int):
Client protocol version.
Events:
* ``apiStart`` ()
* ``apiEnd`` ()
* ``apiError`` (errorMsg: str)
* ``throttleStart`` ()
* ``throttleEnd`` ()
"""
events = ('apiStart', 'apiEnd', 'apiError', 'throttleStart', 'throttleEnd')
MaxRequests = 45
RequestsInterval = 1
MinClientVersion = 157
MaxClientVersion = 163
(DISCONNECTED, CONNECTING, CONNECTED) = range(3)
def __init__(self, wrapper):
self.wrapper = wrapper
self.decoder = Decoder(wrapper, 0)
self.apiStart = Event('apiStart')
self.apiEnd = Event('apiEnd')
self.apiError = Event('apiError')
self.throttleStart = Event('throttleStart')
self.throttleEnd = Event('throttleEnd')
self._logger = logging.getLogger('ib_insync.client')
self.conn = Connection()
self.conn.hasData += self._onSocketHasData
self.conn.disconnected += self._onSocketDisconnected
# extra optional wrapper methods
self._priceSizeTick = getattr(wrapper, 'priceSizeTick', None)
self._tcpDataArrived = getattr(wrapper, 'tcpDataArrived', None)
self._tcpDataProcessed = getattr(wrapper, 'tcpDataProcessed', None)
self.host = ''
self.port = -1
self.clientId = -1
self.optCapab = ''
self.connectOptions = b''
self.reset()
def reset(self):
self.connState = Client.DISCONNECTED
self._apiReady = False
self._serverVersion = None
self._data = b''
self._hasReqId = False
self._reqIdSeq = 0
self._accounts = []
self._startTime = time.time()
self._numBytesRecv = 0
self._numMsgRecv = 0
self._isThrottling = False
self._msgQ = deque()
self._timeQ = deque()
def serverVersion(self):
return self._serverVersion
def run(self):
loop = asyncio.get_event_loop()
loop.run_forever()
def isConnected(self):
return self.connState == Client.CONNECTED
def isReady(self) -> bool:
"""Is the API connection up and running?"""
return self._apiReady
def connectionStats(self) -> ConnectionStats:
"""Get statistics about the connection."""
if not self.isReady():
raise ConnectionError('Not connected')
return ConnectionStats(self._startTime,
time.time() - self._startTime,
self._numBytesRecv, self.conn.numBytesSent,
self._numMsgRecv, self.conn.numMsgSent)
def getReqId(self) -> int:
"""Get new request ID."""
if not self.isReady():
raise ConnectionError('Not connected')
newId = self._reqIdSeq
self._reqIdSeq += 1
return newId
def updateReqId(self, minReqId):
"""Update the next reqId to be at least ``minReqId``."""
self._reqIdSeq = max(self._reqIdSeq, minReqId)
def getAccounts(self) -> List[str]:
"""Get the list of account names that are under management."""
if not self.isReady():
raise ConnectionError('Not connected')
return self._accounts
def setConnectOptions(self, connectOptions: str):
"""
Set additional connect options.
Args:
connectOptions: Use "+PACEAPI" to use request-pacing built
into TWS/gateway 974+.
"""
self.connectOptions = connectOptions.encode()
def connect(self,
host: str,
port: int,
clientId: int,
timeout: Optional[float] = 2.0):
"""
Connect to a running TWS or IB gateway application.
Args:
host: Host name or IP address.
port: Port number.
clientId: ID number to use for this client; must be unique per
connection.
timeout: If establishing the connection takes longer than
``timeout`` seconds then the ``asyncio.TimeoutError`` exception
is raised. Set to 0 to disable timeout.
"""
run(self.connectAsync(host, port, clientId, timeout))
async def connectAsync(self, host, port, clientId, timeout=2.0):
try:
self._logger.info(
f'Connecting to {host}:{port} with clientId {clientId}...')
self.host = host
self.port = int(port)
self.clientId = int(clientId)
self.connState = Client.CONNECTING
timeout = timeout or None
await asyncio.wait_for(self.conn.connectAsync(host, port), timeout)
self._logger.info('Connected')
msg = b'API\0' + self._prefix(
b'v%d..%d%s' %
(self.MinClientVersion, self.MaxClientVersion,
b' ' + self.connectOptions if self.connectOptions else b''))
self.conn.sendMsg(msg)
await asyncio.wait_for(self.apiStart, timeout)
self._logger.info('API connection ready')
except BaseException as e:
self.disconnect()
msg = f'API connection failed: {e!r}'
self._logger.error(msg)
self.apiError.emit(msg)
if isinstance(e, ConnectionRefusedError):
self._logger.error('Make sure API port on TWS/IBG is open')
raise
def disconnect(self):
"""Disconnect from IB connection."""
self._logger.info('Disconnecting')
self.connState = Client.DISCONNECTED
self.conn.disconnect()
self.reset()
def send(self, *fields):
"""Serialize and send the given fields using the IB socket protocol."""
if not self.isConnected():
raise ConnectionError('Not connected')
msg = io.StringIO()
for field in fields:
typ = type(field)
if field in (None, UNSET_INTEGER, UNSET_DOUBLE):
s = ''
elif typ in (str, int, float):
s = str(field)
elif typ is bool:
s = '1' if field else '0'
elif typ is list:
# list of TagValue
s = ''.join(f'{v.tag}={v.value};' for v in field)
elif isinstance(field, Contract):
c = field
s = '\0'.join(
str(f) for f in (c.conId, c.symbol, c.secType,
c.lastTradeDateOrContractMonth, c.strike,
c.right, c.multiplier, c.exchange,
c.primaryExchange, c.currency,
c.localSymbol, c.tradingClass))
else:
s = str(field)
msg.write(s)
msg.write('\0')
self.sendMsg(msg.getvalue())
def sendMsg(self, msg):
loop = asyncio.get_event_loop()
t = loop.time()
times = self._timeQ
msgs = self._msgQ
while times and t - times[0] > self.RequestsInterval:
times.popleft()
if msg:
msgs.append(msg)
while msgs and (len(times) < self.MaxRequests or not self.MaxRequests):
msg = msgs.popleft()
self.conn.sendMsg(self._prefix(msg.encode()))
times.append(t)
if self._logger.isEnabledFor(logging.DEBUG):
self._logger.debug('>>> %s', msg[:-1].replace('\0', ','))
if msgs:
if not self._isThrottling:
self._isThrottling = True
self.throttleStart.emit()
self._logger.debug('Started to throttle requests')
loop.call_at(times[0] + self.RequestsInterval, self.sendMsg, None)
else:
if self._isThrottling:
self._isThrottling = False
self.throttleEnd.emit()
self._logger.debug('Stopped to throttle requests')
def _prefix(self, msg):
# prefix a message with its length
return struct.pack('>I', len(msg)) + msg
def _onSocketHasData(self, data):
debug = self._logger.isEnabledFor(logging.DEBUG)
if self._tcpDataArrived:
self._tcpDataArrived()
self._data += data
self._numBytesRecv += len(data)
while True:
if len(self._data) <= 4:
break
# 4 byte prefix tells the message length
msgEnd = 4 + struct.unpack('>I', self._data[:4])[0]
if len(self._data) < msgEnd:
# insufficient data for now
break
msg = self._data[4:msgEnd].decode(errors='backslashreplace')
self._data = self._data[msgEnd:]
fields = msg.split('\0')
fields.pop() # pop off last empty element
self._numMsgRecv += 1
if debug:
self._logger.debug('<<< %s', ','.join(fields))
if not self._serverVersion and len(fields) == 2:
# this concludes the handshake
version, _connTime = fields
self._serverVersion = int(version)
if self._serverVersion < self.MinClientVersion:
self._onSocketDisconnected(
'TWS/gateway version must be >= 972')
return
self.decoder.serverVersion = self._serverVersion
self.connState = Client.CONNECTED
self.startApi()
self.wrapper.connectAck()
self._logger.info(
f'Logged on to server version {self._serverVersion}')
else:
if not self._apiReady:
# snoop for nextValidId and managedAccounts response,
# when both are in then the client is ready
msgId = int(fields[0])
if msgId == 9:
_, _, validId = fields
self.updateReqId(int(validId))
self._hasReqId = True
elif msgId == 15:
_, _, accts = fields
self._accounts = [a for a in accts.split(',') if a]
if self._hasReqId and self._accounts:
self._apiReady = True
self.apiStart.emit()
# decode and handle the message
self.decoder.interpret(fields)
if self._tcpDataProcessed:
self._tcpDataProcessed()
def _onSocketDisconnected(self, msg):
wasReady = self.isReady()
if not self.isConnected():
self._logger.info('Disconnected.')
elif not msg:
msg = 'Peer closed connection.'
if not wasReady:
msg += f' clientId {self.clientId} already in use?'
if msg:
self._logger.error(msg)
self.apiError.emit(msg)
self.wrapper.setEventsDone()
if wasReady:
self.wrapper.connectionClosed()
self.reset()
if wasReady:
self.apiEnd.emit()
# client request methods
# the message type id is sent first, often followed by a version number
def reqMktData(self, reqId, contract, genericTickList, snapshot,
regulatorySnapshot, mktDataOptions):
fields = [1, 11, reqId, contract]
if contract.secType == 'BAG':
legs = contract.comboLegs or []
fields += [len(legs)]
for leg in legs:
fields += [leg.conId, leg.ratio, leg.action, leg.exchange]
dnc = contract.deltaNeutralContract
if dnc:
fields += [True, dnc.conId, dnc.delta, dnc.price]
else:
fields += [False]
fields += [
genericTickList, snapshot, regulatorySnapshot, mktDataOptions
]
self.send(*fields)
def cancelMktData(self, reqId):
self.send(2, 2, reqId)
def placeOrder(self, orderId, contract, order):
version = self.serverVersion()
fields = [
3, orderId, contract, contract.secIdType, contract.secId,
order.action, order.totalQuantity, order.orderType, order.lmtPrice,
order.auxPrice, order.tif, order.ocaGroup, order.account,
order.openClose, order.origin, order.orderRef, order.transmit,
order.parentId, order.blockOrder, order.sweepToFill,
order.displaySize, order.triggerMethod, order.outsideRth,
order.hidden
]
if contract.secType == 'BAG':
legs = contract.comboLegs or []
fields += [len(legs)]
for leg in legs:
fields += [
leg.conId, leg.ratio, leg.action, leg.exchange,
leg.openClose, leg.shortSaleSlot, leg.designatedLocation,
leg.exemptCode
]
legs = order.orderComboLegs or []
fields += [len(legs)]
for leg in legs:
fields += [leg.price]
params = order.smartComboRoutingParams or []
fields += [len(params)]
for param in params:
fields += [param.tag, param.value]
fields += [
'', order.discretionaryAmt, order.goodAfterTime,
order.goodTillDate, order.faGroup, order.faMethod,
order.faPercentage, order.faProfile, order.modelCode,
order.shortSaleSlot, order.designatedLocation, order.exemptCode,
order.ocaType, order.rule80A, order.settlingFirm, order.allOrNone,
order.minQty, order.percentOffset, order.eTradeOnly,
order.firmQuoteOnly, order.nbboPriceCap, order.auctionStrategy,
order.startingPrice, order.stockRefPrice, order.delta,
order.stockRangeLower, order.stockRangeUpper,
order.overridePercentageConstraints, order.volatility,
order.volatilityType, order.deltaNeutralOrderType,
order.deltaNeutralAuxPrice
]
if order.deltaNeutralOrderType:
fields += [
order.deltaNeutralConId, order.deltaNeutralSettlingFirm,
order.deltaNeutralClearingAccount,
order.deltaNeutralClearingIntent, order.deltaNeutralOpenClose,
order.deltaNeutralShortSale, order.deltaNeutralShortSaleSlot,
order.deltaNeutralDesignatedLocation
]
fields += [
order.continuousUpdate, order.referencePriceType,
order.trailStopPrice, order.trailingPercent,
order.scaleInitLevelSize, order.scaleSubsLevelSize,
order.scalePriceIncrement
]
if (0 < order.scalePriceIncrement < UNSET_DOUBLE):
fields += [
order.scalePriceAdjustValue, order.scalePriceAdjustInterval,
order.scaleProfitOffset, order.scaleAutoReset,
order.scaleInitPosition, order.scaleInitFillQty,
order.scaleRandomPercent
]
fields += [
order.scaleTable, order.activeStartTime, order.activeStopTime,
order.hedgeType
]
if order.hedgeType:
fields += [order.hedgeParam]
fields += [
order.optOutSmartRouting, order.clearingAccount,
order.clearingIntent, order.notHeld
]
dnc = contract.deltaNeutralContract
if dnc:
fields += [True, dnc.conId, dnc.delta, dnc.price]
else:
fields += [False]
fields += [order.algoStrategy]
if order.algoStrategy:
params = order.algoParams or []
fields += [len(params)]
for param in params:
fields += [param.tag, param.value]
fields += [
order.algoId, order.whatIf, order.orderMiscOptions,
order.solicited, order.randomizeSize, order.randomizePrice
]
if order.orderType == 'PEG BENCH':
fields += [
order.referenceContractId, order.isPeggedChangeAmountDecrease,
order.peggedChangeAmount, order.referenceChangeAmount,
order.referenceExchangeId
]
fields += [len(order.conditions)]
if order.conditions:
for cond in order.conditions:
fields += dataclassAsTuple(cond)
fields += [order.conditionsIgnoreRth, order.conditionsCancelOrder]
fields += [
order.adjustedOrderType, order.triggerPrice, order.lmtPriceOffset,
order.adjustedStopPrice, order.adjustedStopLimitPrice,
order.adjustedTrailingAmount, order.adjustableTrailingUnit,
order.extOperator, order.softDollarTier.name,
order.softDollarTier.val, order.cashQty, order.mifid2DecisionMaker,
order.mifid2DecisionAlgo, order.mifid2ExecutionTrader,
order.mifid2ExecutionAlgo, order.dontUseAutoPriceForHedge,
order.isOmsContainer, order.discretionaryUpToLimitPrice,
order.usePriceMgmtAlgo
]
if version >= 158:
fields += [order.duration]
if version >= 160:
fields += [order.postToAts]
if version >= 162:
fields += [order.autoCancelParent]
self.send(*fields)
def cancelOrder(self, orderId):
self.send(4, 1, orderId)
def reqOpenOrders(self):
self.send(5, 1)
def reqAccountUpdates(self, subscribe, acctCode):
self.send(6, 2, subscribe, acctCode)
def reqExecutions(self, reqId, execFilter):
self.send(7, 3, reqId, execFilter.clientId, execFilter.acctCode,
execFilter.time, execFilter.symbol, execFilter.secType,
execFilter.exchange, execFilter.side)
def reqIds(self, numIds):
self.send(8, 1, numIds)
def reqContractDetails(self, reqId, contract):
self.send(9, 8, reqId, contract, contract.includeExpired,
contract.secIdType, contract.secId)
def reqMktDepth(self, reqId, contract, numRows, isSmartDepth,
mktDepthOptions):
self.send(10, 5, reqId, contract.conId, contract.symbol,
contract.secType, contract.lastTradeDateOrContractMonth,
contract.strike, contract.right, contract.multiplier,
contract.exchange, contract.primaryExchange,
contract.currency, contract.localSymbol,
contract.tradingClass, numRows, isSmartDepth,
mktDepthOptions)
def cancelMktDepth(self, reqId, isSmartDepth):
self.send(11, 1, reqId, isSmartDepth)
def reqNewsBulletins(self, allMsgs):
self.send(12, 1, allMsgs)
def cancelNewsBulletins(self):
self.send(13, 1)
def setServerLogLevel(self, logLevel):
self.send(14, 1, logLevel)
def reqAutoOpenOrders(self, bAutoBind):
self.send(15, 1, bAutoBind)
def reqAllOpenOrders(self):
self.send(16, 1)
def reqManagedAccts(self):
self.send(17, 1)
def requestFA(self, faData):
self.send(18, 1, faData)
def replaceFA(self, reqId, faData, cxml):
self.send(19, 1, faData, cxml, reqId)
def reqHistoricalData(self, reqId, contract, endDateTime, durationStr,
barSizeSetting, whatToShow, useRTH, formatDate,
keepUpToDate, chartOptions):
fields = [
20, reqId, contract, contract.includeExpired, endDateTime,
barSizeSetting, durationStr, useRTH, whatToShow, formatDate
]
if contract.secType == 'BAG':
legs = contract.comboLegs or []
fields += [len(legs)]
for leg in legs:
fields += [leg.conId, leg.ratio, leg.action, leg.exchange]
fields += [keepUpToDate, chartOptions]
self.send(*fields)
def exerciseOptions(self, reqId, contract, exerciseAction,
exerciseQuantity, account, override):
self.send(21, 2, reqId, contract.conId, contract.symbol,
contract.secType, contract.lastTradeDateOrContractMonth,
contract.strike, contract.right, contract.multiplier,
contract.exchange, contract.currency, contract.localSymbol,
contract.tradingClass, exerciseAction, exerciseQuantity,
account, override)
def reqScannerSubscription(self, reqId, subscription,
scannerSubscriptionOptions,
scannerSubscriptionFilterOptions):
sub = subscription
self.send(22, reqId, sub.numberOfRows, sub.instrument,
sub.locationCode, sub.scanCode, sub.abovePrice,
sub.belowPrice, sub.aboveVolume, sub.marketCapAbove,
sub.marketCapBelow, sub.moodyRatingAbove,
sub.moodyRatingBelow, sub.spRatingAbove, sub.spRatingBelow,
sub.maturityDateAbove, sub.maturityDateBelow,
sub.couponRateAbove, sub.couponRateBelow,
sub.excludeConvertible, sub.averageOptionVolumeAbove,
sub.scannerSettingPairs, sub.stockTypeFilter,
scannerSubscriptionFilterOptions, scannerSubscriptionOptions)
def cancelScannerSubscription(self, reqId):
self.send(23, 1, reqId)
def reqScannerParameters(self):
self.send(24, 1)
def cancelHistoricalData(self, reqId):
self.send(25, 1, reqId)
def reqCurrentTime(self):
self.send(49, 1)
def reqRealTimeBars(self, reqId, contract, barSize, whatToShow, useRTH,
realTimeBarsOptions):
self.send(50, 3, reqId, contract, barSize, whatToShow, useRTH,
realTimeBarsOptions)
def cancelRealTimeBars(self, reqId):
self.send(51, 1, reqId)
def reqFundamentalData(self, reqId, contract, reportType,
fundamentalDataOptions):
options = fundamentalDataOptions or []
self.send(52, 2, reqId, contract.conId, contract.symbol,
contract.secType, contract.exchange,
contract.primaryExchange, contract.currency,
contract.localSymbol, reportType, len(options), options)
def cancelFundamentalData(self, reqId):
self.send(53, 1, reqId)
def calculateImpliedVolatility(self, reqId, contract, optionPrice,
underPrice, implVolOptions):
self.send(54, 3, reqId, contract, optionPrice, underPrice,
len(implVolOptions), implVolOptions)
def calculateOptionPrice(self, reqId, contract, volatility, underPrice,
optPrcOptions):
self.send(55, 3, reqId, contract, volatility, underPrice,
len(optPrcOptions), optPrcOptions)
def cancelCalculateImpliedVolatility(self, reqId):
self.send(56, 1, reqId)
def cancelCalculateOptionPrice(self, reqId):
self.send(57, 1, reqId)
def reqGlobalCancel(self):
self.send(58, 1)
def reqMarketDataType(self, marketDataType):
self.send(59, 1, marketDataType)
def reqPositions(self):
self.send(61, 1)
def reqAccountSummary(self, reqId, groupName, tags):
self.send(62, 1, reqId, groupName, tags)
def cancelAccountSummary(self, reqId):
self.send(63, 1, reqId)
def cancelPositions(self):
self.send(64, 1)
def verifyRequest(self, apiName, apiVersion):
self.send(65, 1, apiName, apiVersion)
def verifyMessage(self, apiData):
self.send(66, 1, apiData)
def queryDisplayGroups(self, reqId):
self.send(67, 1, reqId)
def subscribeToGroupEvents(self, reqId, groupId):
self.send(68, 1, reqId, groupId)
def updateDisplayGroup(self, reqId, contractInfo):
self.send(69, 1, reqId, contractInfo)
def unsubscribeFromGroupEvents(self, reqId):
self.send(70, 1, reqId)
def startApi(self):
self.send(71, 2, self.clientId, self.optCapab)
def verifyAndAuthRequest(self, apiName, apiVersion, opaqueIsvKey):
self.send(72, 1, apiName, apiVersion, opaqueIsvKey)
def verifyAndAuthMessage(self, apiData, xyzResponse):
self.send(73, 1, apiData, xyzResponse)
def reqPositionsMulti(self, reqId, account, modelCode):
self.send(74, 1, reqId, account, modelCode)
def cancelPositionsMulti(self, reqId):
self.send(75, 1, reqId)
def reqAccountUpdatesMulti(self, reqId, account, modelCode, ledgerAndNLV):
self.send(76, 1, reqId, account, modelCode, ledgerAndNLV)
def cancelAccountUpdatesMulti(self, reqId):
self.send(77, 1, reqId)
def reqSecDefOptParams(self, reqId, underlyingSymbol, futFopExchange,
underlyingSecType, underlyingConId):
self.send(78, reqId, underlyingSymbol, futFopExchange,
underlyingSecType, underlyingConId)
def reqSoftDollarTiers(self, reqId):
self.send(79, reqId)
def reqFamilyCodes(self):
self.send(80)
def reqMatchingSymbols(self, reqId, pattern):
self.send(81, reqId, pattern)
def reqMktDepthExchanges(self):
self.send(82)
def reqSmartComponents(self, reqId, bboExchange):
self.send(83, reqId, bboExchange)
def reqNewsArticle(self, reqId, providerCode, articleId,
newsArticleOptions):
self.send(84, reqId, providerCode, articleId, newsArticleOptions)
def reqNewsProviders(self):
self.send(85)
def reqHistoricalNews(self, reqId, conId, providerCodes, startDateTime,
endDateTime, totalResults, historicalNewsOptions):
self.send(86, reqId, conId, providerCodes, startDateTime, endDateTime,
totalResults, historicalNewsOptions)
def reqHeadTimeStamp(self, reqId, contract, whatToShow, useRTH,
formatDate):
self.send(87, reqId, contract, contract.includeExpired, useRTH,
whatToShow, formatDate)
def reqHistogramData(self, tickerId, contract, useRTH, timePeriod):
self.send(88, tickerId, contract, contract.includeExpired, useRTH,
timePeriod)
def cancelHistogramData(self, tickerId):
self.send(89, tickerId)
def cancelHeadTimeStamp(self, reqId):
self.send(90, reqId)
def reqMarketRule(self, marketRuleId):
self.send(91, marketRuleId)
def reqPnL(self, reqId, account, modelCode):
self.send(92, reqId, account, modelCode)
def cancelPnL(self, reqId):
self.send(93, reqId)
def reqPnLSingle(self, reqId, account, modelCode, conid):
self.send(94, reqId, account, modelCode, conid)
def cancelPnLSingle(self, reqId):
self.send(95, reqId)
def reqHistoricalTicks(self, reqId, contract, startDateTime, endDateTime,
numberOfTicks, whatToShow, useRth, ignoreSize,
miscOptions):
self.send(96, reqId, contract, contract.includeExpired, startDateTime,
endDateTime, numberOfTicks, whatToShow, useRth, ignoreSize,
miscOptions)
def reqTickByTickData(self, reqId, contract, tickType, numberOfTicks,
ignoreSize):
self.send(97, reqId, contract, tickType, numberOfTicks, ignoreSize)
def cancelTickByTickData(self, reqId):
self.send(98, reqId)
def reqCompletedOrders(self, apiOnly):
self.send(99, apiOnly)
def __init__(self, *args):
list.__init__(self, *args)
Event.init(self, ScanDataList.events)
def __init__(self, *args):
list.__init__(self, *args)
self.updateEvent = Event('updateEvent')
