def register(self, instruments):
if isinstance(instruments, dict):
instruments = list(instruments.values())
if not isinstance(instruments, list):
return
db = pd.read_csv(self.args['symbols'], header=0).fillna("")
instruments = pd.DataFrame(instruments)
instruments.columns = db.columns
db = db.append(instruments).drop_duplicates(keep="first")
db.to_csv(self.args['symbols'], header=True, index=False)
tools.chmod(self.args['symbols'])
def log_trade(self, trade):
# first trade is an exit?
if trade['entry_time'] is None:
return
# connection established
if (self.dbconn is not None) & (self.dbcurr is not None):
sql = """INSERT INTO trades (
`algo`, `symbol`, `direction`,`quantity`,
`entry_time`, `exit_time`, `exit_reason`,
`order_type`, `market_price`, `target`, `stop`,
`entry_price`, `exit_price`, `realized_pnl`)
VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)
ON DUPLICATE KEY UPDATE
`algo`=%s, `symbol`=%s, `direction`=%s, `quantity`=%s,
`entry_time`=%s, `exit_time`=%s, `exit_reason`=%s,
`order_type`=%s, `market_price`=%s, `target`=%s, `stop`=%s,
`entry_price`=%s, `exit_price`=%s, `realized_pnl`=%s
"""
try:
trade['entry_time'] = trade['entry_time'].strftime(
"%Y-%m-%d %H:%M:%S.%f")
except Exception as e:
pass
try:
trade['exit_time'] = trade['exit_time'].strftime(
"%Y-%m-%d %H:%M:%S.%f")
except Exception as e:
pass
# all strings
for k, v in trade.items():
if v is not None:
trade[k] = str(v)
self.dbcurr.execute(sql, (
trade['strategy'], trade['symbol'], trade['direction'], trade['quantity'],
trade['entry_time'], trade['exit_time'], trade['exit_reason'],
trade['order_type'], trade['market_price'], trade['target'], trade['stop'],
trade['entry_price'], trade['exit_price'], trade['realized_pnl'],
trade['strategy'], trade['symbol'], trade['direction'], trade['quantity'],
trade['entry_time'], trade['exit_time'], trade['exit_reason'],
trade['order_type'], trade['market_price'], trade['target'], trade['stop'],
trade['entry_price'], trade['exit_price'], trade['realized_pnl']
))
# commit
try:
self.dbconn.commit()
except Exception as e:
pass
if self.trade_log_dir:
self.trade_log_dir = (self.trade_log_dir + '/').replace('//', '/')
trade_log_path = self.trade_log_dir + self.strategy.lower() + "_" + \
datetime.now().strftime('%Y%m%d') + ".csv"
# convert None to empty string !!
trade.update((k, '') for k, v in trade.items() if v is None)
# create df
trade_df = pd.DataFrame(index=[0], data=trade)[[
'strategy', 'symbol', 'direction', 'quantity', 'entry_time',
'exit_time', 'exit_reason', 'order_type', 'market_price', 'target',
'stop', 'entry_price', 'exit_price', 'realized_pnl'
]]
if os.path.exists(trade_log_path):
trades = pd.read_csv(trade_log_path, header=0)
trades = trades.append(trade_df, ignore_index=True, sort=True)
trades.drop_duplicates(['entry_time', 'symbol', 'strategy'],
keep="last", inplace=True)
trades.to_csv(trade_log_path, header=True, index=False)
tools.chmod(trade_log_path)
else:
trade_df.to_csv(trade_log_path, header=True, index=False)
tools.chmod(trade_log_path)
def run(self):
"""Starts the blotter
Connects to the TWS/GW, processes and logs market data,
and broadcast it over TCP via ZeroMQ (which algo subscribe to)
"""
self._check_unique_blotter()
# connect to mysql
self.mysql_connect()
self.context = zmq.Context(zmq.REP)
self.socket = self.context.socket(zmq.PUB)
self.socket.bind("tcp://*:" + str(self.args['zmqport']))
db_modified = 0
contracts = []
prev_contracts = []
first_run = True
logging.info("Connecting to Interactive Brokers...")
self.ibConn = ezIBpy()
self.ibConn.ibCallback = self.ibCallback
while not self.ibConn.connected:
self.ibConn.connect(clientId=int(self.args['ibclient']),
port=int(self.args['ibport']),
host=str(self.args['ibserver']))
time.sleep(1)
if not self.ibConn.connected:
print('*', end="", flush=True)
logging.info("Connection established...")
try:
while True:
if not os.path.exists(self.args['symbols']):
pd.DataFrame(columns=[
'symbol', 'sec_type', 'exchange', 'currency', 'expiry',
'strike', 'opt_type'
]).to_csv(self.args['symbols'], header=True, index=False)
tools.chmod(self.args['symbols'])
else:
time.sleep(0.1)
# read db properties
db_data = os.stat(self.args['symbols'])
db_size = db_data.st_size
db_last_modified = db_data.st_mtime
# empty file
if db_size == 0:
if len(prev_contracts) > 0:
logging.info('Cancel market data...')
self.ibConn.cancelMarketData()
time.sleep(0.1)
prev_contracts = []
continue
# modified?
if (first_run == False) & (db_last_modified
== db_modified):
continue
# continue...
db_modified = db_last_modified
# read contructs db
df = pd.read_csv(self.args['symbols'], header=0)
if len(df.index) == 0:
continue
# removed expired
df = df[(
(df['expiry'] < 1000000) &
(df['expiry'] >= int(datetime.now().strftime('%Y%m'))))
| ((df['expiry'] >= 1000000) &
(df['expiry'] >= int(datetime.now(
).strftime('%Y%m%d')))) | isnan(df['expiry'])]
df.fillna("", inplace=True)
df.to_csv(self.args['symbols'], header=True, index=False)
tools.chmod(self.args['symbols'])
df = df[df['symbol'].str.contains("#") ==
False] # ignore commentee
contracts = [tuple(x) for x in df.values]
if first_run:
first_run = False
else:
if contracts != prev_contracts:
# cancel market data for removed contracts
for contract in prev_contracts:
if contract not in contracts:
self.ibConn.cancelMarketData(
self.ibConn.createContract(contract))
time.sleep(0.1)
contract_string = self.ibConn.contractString(
contract).split('_')[0]
logging.info('Contract Removed [' +
contract_string + ']')
# request market data
for contract in contracts:
if contract not in prev_contracts:
self.ibConn.requestMarketData(
self.ibConn.createContract(contract))
time.sleep(0.1)
contract_string = self.ibConn.contractString(
contract).split('_')[0]
logging.info('Contract Added [' + contract_string +
']')
# update latest contracts
prev_contracts = contracts
time.sleep(2)
except (KeyboardInterrupt, SystemExit):
print("\n\n>>> Interrupted with Ctrl-c...")
sys.exit(1)
def _write_cached_args(self):
pickle.dump(self.args, open(self.args_cache_file, "wb"))
tools.chmod(self.args_cache_file)
