def FutureWithLocalSymbol():
contract = Contract()
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.localSymbol = "ESU6"
return contract
def future_contract(symbol, exchange='NYMEX'):
C = IBcontract()
C.secType = 'FUT'
C.exchange = exchange
C.currency = 'USD'
C.localSymbol = symbol
return C
def DutchWarrant():
contract = Contract()
contract.localSymbol = "B881G"
contract.secType = "IOPT"
contract.exchange = "SBF"
contract.currency = "EUR"
return 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 contract(self) -> Contract:
_contract = Contract()
_contract.secType = "FUT"
_contract.exchange = self.exchange
_contract.currency = "USD"
_contract.localSymbol = self.local_symbol
return _contract
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 contractDetails(self, reqId: int, contractDetails: ContractDetails):
super(IbApp, self).contractDetails(reqId, contractDetails)
self.Logger.info('contractDetails received %s ' %
contractDetails.summary)
if reqId not in self.requestedContracts:
self.Logger.warning('Unknown contractDetails reqId: %s' % reqId)
return
contract = self.requestedContracts[reqId]
if contract.symbol == contractDetails.summary.symbol or contract.symbol == contractDetails.marketName:
validated = Contract()
validated.symbol = contractDetails.summary.symbol
validated.secType = contractDetails.summary.secType
validated.exchange = contractDetails.summary.exchange
validated.tradingClass = contractDetails.summary.tradingClass
validated.lastTradeDateOrContractMonth = contractDetails.summary.lastTradeDateOrContractMonth
validated.localSymbol = contractDetails.summary.localSymbol
if self.__subRealMD:
cId = self.nextReqId()
self.marketDataLookup[cId] = validated.localSymbol
self.requestedMarketData[cId] = validated
self.reqMktData(cId, contract, "", True, False, [])
if self.__subHistMD:
hId = self.nextReqId()
self.historicalLookup[hId] = validated.localSymbol
self.requestedHistoricalData[hId] = validated
self.reqHistoricalData(hId, validated, '', "2 D", "1 day",
"TRADES", 1, 1, False, list("XYZ"))
else:
self.Logger.warning('Unknown contract received %s' %
contractDetails.summary)
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 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 OptionWithLocalSymbol():
contract = Contract()
# Watch out for the spaces within the local symbol!
contract.localSymbol = "C DBK DEC 20 1600"
contract.secType = "OPT"
contract.exchange = "DTB"
contract.currency = "EUR"
return contract
def futures_contract(ticker: str, exchange: str):
# ! [futcontract_local_symbol]
contract = Contract()
contract.secType = "FUT"
contract.exchange = exchange
contract.currency = "USD"
contract.localSymbol = ticker
# ! [futcontract_local_symbol]
return contract
def OptionWithLocalSymbol():
contract = Contract()
contract.localSymbol = "C SPX JAN 16 2450"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.primaryExchange = "SMART"
contract.currency = "USD"
return contract
def _get_stock_contract(ticker: str,
exchange="SMART",
currency="USD",
**_):
""" Helper function for creating a contract object for use in querying
data for stocks
"""
contract = Contract()
contract.secType = "STK"
contract.localSymbol = ticker
contract.exchange = exchange
contract.currency = currency
return contract
def test_futures_ibcontract_from_ib_contract_2(self):
contract = Contract()
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.localSymbol = "ESU6"
ibcontract = IBContract.from_ib_contract(contract)
self.assertEqual(ibcontract.secType, "FUT")
self.assertEqual(ibcontract.security_type, SecurityType.FUTURE)
self.assertEqual(ibcontract.exchange, "GLOBEX")
self.assertEqual(ibcontract.currency, "USD")
self.assertEqual(ibcontract.localSymbol, "ESU6")
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 GetTicks():
app = TickFeed(export_func=q_to_list)
app.connect("127.0.0.1", 4002, 0)
contract = Contract()
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.localSymbol = "ESH0"
app.reqMarketDataType(1)
app.reqTickByTickData(1, contract, "BidAsk", 0, False)
app.reqTickByTickData(2, contract, "AllLast", 0, False)
app.run()
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 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"))
def _constructContract(instrument):
'''Construct an IB contract and order from an Order object'''
contract = Contract()
if instrument.type == InstrumentType.EQUITY:
contract.symbol = instrument.name
contract.secType = "STK"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
elif instrument.type == InstrumentType.BOND:
# enter CUSIP as symbol
contract.symbol = instrument.name # cusip e.g. 912828C57
contract.secType = "BOND"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.OPTION:
# contract.symbol = "GOOG"
contract.secType = "OPT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
# contract.lastTradeDateOrContractMonth = "20170120"
# contract.strike = 615
# contract.right = "C"
# contract.multiplier = "100"
contract.localSymbol = instrument.name # e.g. "P BMW JUL 20 4650"
# can swap name for the above
# commented out stuff
elif instrument.type == InstrumentType.FUTURE:
# contract.symbol = "ES";
contract.secType = "FUT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
# contract.lastTradeDateOrContractMonth = "201803";
# contract.Multiplier = "5";
contract.localSymbol = instrument.name # e.g. "ESU6"
# swap for commented
elif instrument.type == InstrumentType.PAIR:
contract.symbol = instrument.leg1 # "EUR"
contract.secType = "CASH"
contract.currency = instrument.leg2 # "GBP"
contract.exchange = instrument.brokerExchange or "IDEALPRO"
elif instrument.type == InstrumentType.FUTURESOPTION:
# contract.symbol = instrument.symbol
contract.secType = "FOP"
contract.exchange = instrument.brokerExchange
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
# contract.lastTradeDateOrContractMonth = instrument.contractDate.strftime('%Y%m%d')
# contract.strike = instrument.strike
# contract.right = instrument.callOrPut
# contract.multiplier = instrument.multiplier or "100"
contract.localSymbol = instrument.name # e.g. "ESU6"
elif instrument.type == InstrumentType.MUTUALFUND:
contract.symbol = instrument.name # "VINIX"
contract.secType = "FUND"
contract.exchange = instrument.brokerExchange or "FUNDSERV"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
elif instrument.type == InstrumentType.COMMODITIES:
contract.symbol = instrument.name # "XAUUSD"
contract.secType = "CMDTY"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
elif instrument.type == InstrumentType.SPREAD:
if instrument.leg1 and \
instrument.leg1.type == InstrumentType.FUTURE and \
instrument.leg1.underlying and \
instrument.leg1.underlying.type == InstrumentType.COMMODITIES and \
instrument.leg2 and \
instrument.leg2.type == InstrumentType.FUTURE and \
instrument.leg2.underlying and \
instrument.leg2.underlying.type == InstrumentType.COMMODITIES and \
instrument.leg1 != instrument.leg2:
# Intercommodity futures use A.B
contract.symbol = '{}.{}'.format(instrument.leg1.underlying.name,
instrument.leg2.underlying.name)
elif instrument.leg1 and instrument.leg1.underlying and \
instrument.leg2 and instrument.leg2.underlying and \
(instrument.leg1.underlying == instrument.leg2.underlying):
# most other spreads just use the underlying
contract.symbol = instrument.leg1.underlying.name
elif instrument.leg1 and instrument.leg2 and \
(instrument.leg1.type == InstrumentType.EQUITY and
instrument.leg2.type == InstrumentType.EQUITY):
# Stock spreads use A,B
contract.symbol = '{},{}'.format(instrument.leg1.name,
instrument.leg2.name)
else:
contract.symbol = instrument.name
contract.secType = "BAG"
contract.currency = (instrument.currency.name
if instrument.currency else '') or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
leg1 = ComboLeg()
leg1.conId = instrument.brokerId
leg1.ratio = 1 # TODO
leg1.action = instrument.leg1_side
leg1.exchange = instrument.brokerExchange or "SMART"
leg2 = ComboLeg()
leg2.conId = instrument.brokerId # MCD STK
leg2.ratio = 1 # TODO
leg2.action = instrument.leg2_side
leg2.exchange = instrument.brokerExchange or "SMART"
contract.comboLegs = [leg1, leg2]
elif instrument.type == InstrumentType.CURRENCY:
raise NotImplementedError()
elif instrument.type == InstrumentType.INDEX:
raise NotImplementedError()
else:
raise NotImplementedError()
return contract
# 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() print(market_data1_as_df)
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)
def _constructContractAndOrder(aat_order):
'''Construct an IB contract and order from an Order object'''
contract = Contract()
instrument = aat_order.instrument
if instrument.type == InstrumentType.EQUITY:
contract.symbol = instrument.name
contract.secType = "STK"
contract.currency = instrument.currency.name or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
elif instrument.type == InstrumentType.BOND:
# enter CUSIP as symbol
contract.symbol = instrument.name # cusip e.g. 912828C57
contract.secType = "BOND"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.OPTION:
# contract.symbol = "GOOG"
contract.secType = "OPT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
# contract.lastTradeDateOrContractMonth = "20170120"
# contract.strike = 615
# contract.right = "C"
# contract.multiplier = "100"
contract.localSymbol = instrument.name # e.g. "P BMW JUL 20 4650"
# can swap name for the above
# commented out stuff
elif instrument.type == InstrumentType.FUTURE:
# contract.symbol = "ES";
contract.secType = "FUT"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
# contract.lastTradeDateOrContractMonth = "201803";
# contract.Multiplier = "5";
contract.localSymbol = instrument.name # e.g. "ESU6"
# swap for commented
elif instrument.type == InstrumentType.PAIR:
contract.symbol = instrument.leg1 # "EUR"
contract.secType = "CASH"
contract.currency = instrument.leg2 # "GBP"
contract.exchange = instrument.brokerExchange or "IDEALPRO"
elif instrument.type == InstrumentType.FUTURESOPTION:
contract.symbol = "ES"
contract.secType = "FOP"
contract.exchange = instrument.brokerExchange
contract.currency = instrument.currency.name or "USD"
contract.lastTradeDateOrContractMonth = "20180316"
contract.strike = 2800
contract.right = "C"
contract.multiplier = "50"
elif instrument.type == InstrumentType.MUTUALFUND:
contract.symbol = instrument.name # "VINIX"
contract.secType = "FUND"
contract.exchange = instrument.brokerExchange or "FUNDSERV"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.COMMODITIES:
contract.symbol = instrument.name # "XAUUSD"
contract.secType = "CMDTY"
contract.exchange = instrument.brokerExchange or "SMART"
contract.currency = instrument.currency.name or "USD"
elif instrument.type == InstrumentType.SPREAD:
contract.symbol = instrument.name
contract.secType = "BAG"
contract.currency = instrument.currency.name or "USD"
contract.exchange = instrument.brokerExchange or "SMART"
leg1 = ComboLeg()
leg1.conId = 43645865 # IBKR STK # TODO
leg1.ratio = 1 # TODO
leg1.action = instrument.leg1_side
leg1.exchange = instrument.brokerExchange or "SMART"
leg2 = ComboLeg()
leg2.conId = 9408 # MCD STK # TODO
leg2.ratio = 1 # TODO
leg2.action = instrument.leg2_side
leg2.exchange = instrument.brokerExchange or "SMART"
contract.comboLegs = [leg1, leg2]
elif instrument.type == InstrumentType.CURRENCY:
raise NotImplementedError()
elif instrument.type == InstrumentType.INDEX:
raise NotImplementedError()
else:
raise NotImplementedError()
order = Order()
order.action = aat_order.side.value
if aat_order.order_type == OrderType.MARKET:
order.orderType = "MKT"
order.totalQuantity = aat_order.volume
elif aat_order.order_type == OrderType.LIMIT:
order.orderType = "LMT"
order.totalQuantity = aat_order.volume
order.lmtPrice = aat_order.price
elif aat_order.order_type == OrderType.STOP:
if aat_order.stop_target.order_type == OrderType.MARKET:
order.orderType = "STP"
order.auxPrice = aat_order.price
order.totalQuantity = aat_order.stop_target.volume
elif aat_order.stop_target.order_type == OrderType.LIMIT:
order.orderType = "STP LMT"
order.totalQuantity = aat_order.stop_target.volume
order.lmtPrice = aat_order.stop_target.price
order.auxPrice = aat_order.price
else:
raise NotImplementedError()
else:
raise NotImplementedError()
return contract, order
# asset = Contract()
# asset.symbol = 'IBM'
# asset.secType = 'STK'
# asset.exchange = 'SMART'
# asset.currency = 'USD'
# id only asset
# vix_contract = app.req_contract_details_futures('VIX', exchange='CFE',
# summary_only=True)
asset = Contract()
asset.symbol = 'VIX'
asset.secType = 'FUT'
asset.currency = 'USD'
asset.exchange = 'CFE'
asset.localSymbol = 'VXU0'
asset.multiplier = '1000'
asset.lastTradeDateOrContractMonth = '20200916'
# asset = gen_contract(
# 'SPX', 'IND', 'CBOE', 'USD')
# non blocking
app.req_mkt_data(asset, snapshot=False)
# app.req_tick_by_tick_data(contract, TickType.mid)
# app.req_mkt_depth(asset, 10, True, [])
# app.req_real_time_bars(asset, 1, 'TRADES', True, [])
# app.req_account_updates(True, 'DU1589832')
# result = app.req_historical_data_non_blocking(contract, "1 D", '1 min', 'MIDPOINT', 1, 1, [])
# app.req_account_summary('All', AccountSummaryTags.AllTags)
