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 get_instrument(inst: str, tbl: str) -> (Contract, dict):
"""
Retrieves an instrument metadata from Dynamo DB
:param inst: symbol string
:param tbl: Dynamo DB name
:return:
"""
db = boto3.resource(
'dynamodb',
region_name='us-east-1',
endpoint_url="https://dynamodb.us-east-1.amazonaws.com")
table = db.Table(tbl)
response = table.get_item(Key={"symbol": inst})
r = response["Item"]
c = Contract()
c.symbol = r["symbol"]
c.secType = r["type"]
c.currency = r["currency"]
c.exchange = r["exchange"]
c.tradingClass = r["class"]
c.multiplier = r["mult"]
return {
"cont": c,
"add_d": {
"mon_step": r["mon_step"],
"strike_step": r["strike_step"]
}
}
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 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,
secType,
exchange,
primaryExchange,
currency,
lastTradeDateOrContractMonth=None,
strike=None,
right=None,
multiplier=None,
tradingClass=None):
contract = Contract()
contract.symbol = symbol
contract.secType = secType
contract.exchange = exchange
contract.primaryExchange = primaryExchange
contract.currency = currency
if lastTradeDateOrContractMonth is not None:
contract.lastTradeDateOrContractMonth = lastTradeDateOrContractMonth
if strike is not None:
contract.strike = strike
if right is not None:
contract.right = strike
if multiplier is not None:
contract.multiplier = multiplier
if tradingClass is not None:
contract.tradingClass = tradingClass
return contract
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 OptionWithTradingClass():
contract = Contract()
contract.symbol = "SPX"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.primaryExchange = "SMART"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20190219"
contract.strike = 2520
contract.right = "C"
contract.multiplier = "100"
contract.tradingClass = "SPX"
return contract
def ContractMaker(date,
secType='FUT',
currency="USD",
exchane='CFE',
symbol='VXK1',
tradingClass='VX'):
contrac = Contract()
contrac.symbol = symbol
contrac.secType = secType
contrac.currency = currency
contrac.exchange = exchane
contrac.tradingClass = tradingClass
contrac.lastTradeDateOrContractMonth = date
return contrac
def OptionWithTradingClass():
# ! [optcontract_tradingclass]
contract = Contract()
contract.symbol = "SANT"
contract.secType = "OPT"
contract.exchange = "MEFFRV"
contract.currency = "EUR"
contract.lastTradeDateOrContractMonth = "20190621"
contract.strike = 7.5
contract.right = "C"
contract.multiplier = "100"
contract.tradingClass = "SANEU"
# ! [optcontract_tradingclass]
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 start(self):
self.Logger.info('start for read data %s and historical %s' %
(self.__subRealMD, self.__subHistMD))
items = self.getSecurities()
for sec in items:
if sec['SubscriptionEnabled']:
contract = Contract()
contract.symbol = sec['Symbol']
contract.secType = sec['ProductType']
contract.exchange = sec['Description']['Exchange']
if contract.secType == 'FUT':
contract.tradingClass = sec['Symbol']
rId = self.nextReqId()
self.requestedContracts[rId] = contract
self.reqContractDetails(rId, contract)
def createCallOpt(symbol,
strike,
contractMonth,
sec_type="OPT",
currency="INR",
exchange="NSE"):
contract = Contract()
contract.symbol = symbol
contract.secType = sec_type
contract.currency = currency
contract.exchange = exchange
contract.right = "C"
contract.strike = strike
contract.multiplier = 1
contract.tradingClass = 'BANKNIFTY'
contract.lastTradeDateOrContractMonth = contractMonth
return 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 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 main():
cmdLineParser = argparse.ArgumentParser("api tests")
#cmdLineParser.add_option("-c", action="store_true", dest="use_cache", default = False, help = "use the cache")
#cmdLineParser.add_option("-f", action="store", type="string", dest="file", default="", help="the input file")
cmdLineParser.add_argument("-p",
"--port",
action="store",
type=int,
dest="port",
default=4005,
help="The TCP port to use")
args = cmdLineParser.parse_args()
print("Using args", args)
import logging
logging.debug("Using args %s", args)
#print(args)
logging.debug("now is %s", datetime.datetime.now())
logging.getLogger().setLevel(logging.ERROR)
#enable logging when member vars are assigned
import ibapi.utils as utils
from ibapi.order import Order
Order.__setattr__ = utils.setattr_log
from ibapi.contract import Contract, UnderComp
Contract.__setattr__ = utils.setattr_log
UnderComp.__setattr__ = utils.setattr_log
from ibapi.tag_value import TagValue
TagValue.__setattr__ = utils.setattr_log
TimeCondition.__setattr__ = utils.setattr_log
ExecutionCondition.__setattr__ = utils.setattr_log
MarginCondition.__setattr__ = utils.setattr_log
PriceCondition.__setattr__ = utils.setattr_log
PercentChangeCondition.__setattr__ = utils.setattr_log
VolumeCondition.__setattr__ = utils.setattr_log
#from inspect import signature as sig
#import code; code.interact(local=dict(globals(), **locals()))
#sys.exit(1)
app = TestApp()
app.connect("127.0.0.1", args.port, 0)
app.reqCurrentTime()
app.reqManagedAccts()
app.reqAccountSummary(reqId=2, groupName="All", tags="NetLiquidation")
app.reqAllOpenOrders()
contract = Contract()
contract.symbol = "AMD"
contract.secType = "STK"
contract.currency = "USD"
contract.exchange = "SMART"
#app.reqMarketDataType(1)
#app.reqMktData(1001, contract, "", snapshot=True)
#app.cancelMktData(1001)
#app.reqExecutions(2001, ExecutionFilter())
#app.reqContractDetails(3001, contract)
#app.reqPositions()
#app.reqIds(2)
#app.reqMktDepth(4001, contract, 5, "")
#app.cancelMktDepth(4001)
#app.reqNewsBulletins(allMsgs=True)
#app.cancelNewsBulletins()
#app.requestFA(FaDataTypeEnum.GROUPS)
#app.reqHistoricalData(5001, contract, "20161215 16:00:00", "2 D",
# "1 hour", "TRADES", 0, 1, [])
#app.cancelHistoricalData(5001)
#app.reqFundamentalData(6001, contract, "ReportSnapshot")
#app.cancelFundamentalData(6001)
#app.queryDisplayGroups(7001)
#app.subscribeToGroupEvents(7002, 1)
#app.unsubscribeFromGroupEvents(7002)
#app.reqScannerParameters()
ss = ScannerSubscription()
ss.instrument = "STK"
ss.locationCode = "STK.US"
ss.scanCode = "TOP_PERC_LOSE"
#app.reqScannerSubscription(8001, ss, [])
#app.cancelScannerSubscription(8001)
#app.reqRealTimeBars(9001, contract, 5, "TRADES", 0, [])
#app.cancelRealTimeBars(9001)
#app.reqSecDefOptParams(10001, "AMD", "", "STK", 4391)
#app.reqSoftDollarTiers(11001)
#app.reqFamilyCodes()
#app.reqMatchingSymbols(12001, "AMD")
contract = Contract()
contract.symbol = "AMD"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20170120"
contract.strike = 10
contract.right = "C"
contract.multiplier = "100"
#Often, contracts will also require a trading class to rule out ambiguities
contract.tradingClass = "AMD"
#app.calculateImpliedVolatility(13001, contract, 1.3, 10.85)
#app.calculateOptionPrice(13002, contract, 0.65, 10.85)
app.run()
def make_strike_chain(beg: float, end: float, step: float):
"""
Generates list of strikes for option chain
:param beg:
:param end:
:param step:
:return:
"""
x = ((float(end) - float(beg)) / float(step))
r = list(np.array(range(0, int(round(x)))) * float(step) + float(beg))
r = ["{:g}".format(item) for item in r]
return r
if __name__ == "__main__":
print("Inserting instrument")
cnt = Contract()
cnt.symbol = "CL"
cnt.currency = "USD"
cnt.secType = "FOP"
cnt.exchange = "NYMEX"
cnt.multiplier = 1000
cnt.tradingClass = "LO"
add_d = {"mon_step": 1, "strike_step": "0.5"}
put_instrument(cnt, add_d, "instData")
get_instrument("CL", "instData")
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)
