def get_contract(symbol: str, date, date_roll=False):
contract = Contract()
contract.symbol = symbol
#contract.symbol = "ES"
# contract.secType = 'CONTFUT'
# contract.secType = 'FUT+CONTFUT'
contract.secType = "FUT"
contract.lastTradeDateOrContractMonth = determine_expiry(
pd.to_datetime(date), date_roll)
print(contract.lastTradeDateOrContractMonth)
# contract.lastTradeDateOrContractMonth = "201803"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.includeExpired = 1
return contract
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 start(self):
items = [('VIX', 'IND', 'CBOE', '', '', 'VIX')]
nxt = self.__start
while nxt < self.__end:
contract = self.GetContract(nxt)
items.append(contract)
nxt = nxt + relativedelta(months=1)
for sym, typ, exch, tc, exp, loc in items:
validated = Contract()
validated.symbol = sym
validated.secType = typ
validated.exchange = exch
validated.tradingClass = tc
validated.lastTradeDateOrContractMonth = exp
if typ == 'FUT':
validated.includeExpired = True
validated.localSymbol = loc
hId = self.nextReqId()
self.historicalLookup[hId] = validated.localSymbol
self.requestedHistoricalData[hId] = validated
if exp != '':
expiry = datetime.datetime.strptime(exp, '%Y%m%d')
end = expiry.strftime('%Y%m%d %H:%M:%S')
duration = "30 D"
else:
end = self.__end.strftime('%Y%m%d %H:%M:%S')
duration = "%s M" % self.months
self.Logger.info(
'ReqId: %s. Requesting Historical %s %s %s %s %s %s' %
(hId, sym, typ, exch, tc, exp, loc))
self.reqHistoricalData(hId, validated, end, duration, "1 day",
"TRADES", 1, 1, False, list("XYZ"))
@iswrapper
def cancelHistoricalData(self, reqId: TickerId):
"""
msgHandler must >>
"""
super().cancelHistoricalData(reqId)
if __name__ == "__main__":
# Create a new contract object for the E-mini NASDAQ-100
contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.includeExpired = True
# contract.symbol = "SPY"
# contract.secType = "STK"
# contract.exchange = "SMART"
# # contract.primaryExchange = "ARCA"
# contract.currency = "USD"
# paper = True
port = 7496
# if paper == True:
# port = 7497
tApp = IBAPI('127.0.0.1', port, 0)
timePassed = 0
while not (tApp.isConnected()):