def historical_from_ib(directory: str, data_range):
directory = os.path.abspath(directory)
if not os.path.exists(directory):
os.makedirs(directory)
print('Root directory "%s" has been created.' % directory)
else:
print('Root directory "%s" already exists.' % directory)
tws = TwsClient(client_id=CLIENT_ID)
with tws.connect():
hsi = Contract()
hsi.exchange = "HKFE"
hsi.secType = "IND"
hsi.symbol = "HSI"
hsi.currency = "HKD"
hhi = Contract()
hhi.exchange = "HKFE"
hhi.secType = "IND"
hhi.symbol = "HHI.HK"
hhi.currency = "HKD"
for the_date in data_range:
store_file(directory, tws, the_date, hsi)
store_file(directory, tws, the_date, hhi)
def run(self):
# Simple contract for GOOG
contract = Contract()
#contract.conId = 114376112
contract.exchange = "SMART"
contract.symbol = "ATK"
contract.secType = "STK"
#contract.right = "PUT"
contract.currency = "USD"
#contract.secType = 'OPT'
#contract.strike = 24
#contract.expiry = '20121116'
today = datetime.today()
order = Order()
order.orderId = 89
order.clientId = 44
order.action = "BUY"
order.totalQuantity = 1 # may have to calculate a smarter number
order.orderType = "MKT"
order.tif = "DAY"
order.transmit = True
order.sweepToFill = True
order.outsideRth = True
contract.symbol = "alkjdf"
self.callback.askPrice = None
self.tws.reqMktData(2, contract, "", 1)
max_wait = timedelta(seconds=30) + datetime.now()
while self.callback.askPrice is None:
if datetime.now() > max_wait:
print "max wait giving up"
break
print self.callback.askPrice
def run(self): # Simple contract for GOOG contract = Contract() #contract.conId = 114376112 contract.exchange = "SMART" contract.symbol = "ATK" contract.secType = "STK" #contract.right = "PUT" contract.currency = "USD" #contract.secType = 'OPT' #contract.strike = 24 #contract.expiry = '20121116' today = datetime.today() order = Order() order.orderId = 89 order.clientId = 44 order.action = "BUY" order.totalQuantity = 1 # may have to calculate a smarter number order.orderType = "MKT" order.tif = "DAY" order.transmit = True order.sweepToFill = True order.outsideRth = True contract.symbol = "alkjdf" self.callback.askPrice = None self.tws.reqMktData(2, contract, "", 1) max_wait = timedelta(seconds=30) + datetime.now() while self.callback.askPrice is None: if datetime.now() > max_wait: print "max wait giving up" break print self.callback.askPrice
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
def main():
"""
This simple example returns historical data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "202009"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
# ibcontract.secType = "STK"
# ibcontract.exchange = "SMART"
# ibcontract.symbol = "MMM"
# ibcontract.currency = "USD"
end_dt = datetime.datetime(2016, 8, 3)
ans = client.get_IB_historical_data(ibcontract,
durationStr='5 d',
barSizeSetting='5 mins',
end_dt=end_dt)
return ans
def createContract(self, ticker, secType):
contract = Contract()
contract.exchange = "SMART" # Default exchange, IB routing algo
contract.symbol = ticker
contract.secType = secType
contract.currency = "USD"
return contract
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
def createContract(self,
secType,
symbol,
exchange,
expiry=None,
currency=None):
"""
Create new IB Contract
:param secType: Contract sector type: STK, OPT, FUT, IND, FOP, CASH,BAG, NEWS
:param expiry: The expiration date. Use the format YYYYMM.
:param symbol: This is the symbol of the underlying asset.
:param exchange: The order destination, such as Smart.
"""
ibcontract = IBcontract()
ibcontract.secType = secType
if expiry:
ibcontract.expiry = expiry
if currency:
ibcontract.currency = currency
ibcontract.symbol = symbol
ibcontract.exchange = exchange
return ibcontract
def createContract(self, ticker, secType): contract = Contract() contract.exchange = "SMART" # Default exchange, IB routing algo contract.symbol = ticker contract.secType = secType contract.currency = "USD" return contract
def create_contract(self):
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
return contract
def subscribe_to_market_data(self, symbol, exchange, sec_type, currency):
c = Contract()
c.symbol = symbol
c.secType = sec_type
c.exchange = exchange
c.currency = currency
self.reqMktData(self._ewrapper.next_ticker_id, c, "", False, None)
self._ewrapper.ticker_symbol_dict[self._ewrapper.next_ticker_id] = symbol
self._ewrapper.next_ticker_id += 1
self._ewrapper.symbol_contract_dict[symbol] = c
def dbcontract_to_ibcontract(dbcontract):
symbol = str(dbcontract.sym)
localSym = str(dbcontract.local_sym)
if str(dbcontract.secType) == 'CASH':
symbol = str(dbcontract.sym) + str(dbcontract.cur)
if str(dbcontract.secType) == 'FUT':
year = str(dbcontract.contractMonth)[0:4]
mon = str(dbcontract.contractMonth)[4:6]
addSym = ''
print symbol, year, int(mon)
if int(mon) == 1:
addSym = 'F'
print addSym
if int(mon) == 2:
addSym = 'G'
if int(mon) == 3:
addSym = 'H'
if int(mon) == 4:
addSym = 'J'
if int(mon) == 5:
addSym = 'K'
if int(mon) == 6:
addSym = 'M'
if int(mon) == 7:
addSym = 'N'
if int(mon) == 8:
addSym = 'Q'
if int(mon) == 9:
addSym = 'U'
if int(mon) == 10:
addSym = 'V'
if int(mon) == 11:
addSym = 'X'
if int(mon) == 12:
addSym = 'Z'
addSym += year[3:4]
print addSym
localSym += addSym
print 'Found', localSym
contract = Contract()
contract.symbol = str(symbol)
contract.secType = str(dbcontract.secType)
contract.exchange = str(dbcontract.exch)
contract.primaryExchange = str(dbcontract.exch)
contract.currency = str(dbcontract.cur)
contract.expiry = str(dbcontract.expiry)
#contract.strike= # Strike Price
contract.localSymbol = localSym
return contract
def subscribe_to_market_data(self, symbol, exchange, sec_type, currency):
c = Contract()
c.symbol = symbol
c.secType = sec_type
c.exchange = exchange
c.currency = currency
self.reqMktData(self._ewrapper.next_ticker_id, c, "", False, None)
self._ewrapper.ticker_symbol_dict[
self._ewrapper.next_ticker_id] = symbol
self._ewrapper.next_ticker_id += 1
self._ewrapper.symbol_contract_dict[symbol] = c
def create_contract(security):
if security.split('.')[0]=='FUT':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'FUT'
contract.exchange = 'GLOBEX'
contract.currency = security.split('.')[2]
contract.expiry= security.split('.')[3]
contract.primaryExchange='GLOBEX'
elif security.split('.')[0]=='CASH':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'CASH'
contract.exchange = 'IDEALPRO'
contract.currency = security.split('.')[2]
contract.primaryExchange='IDEALPRO'
elif security.split('.')[0]=='STK':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
contract.primaryExchange='SMART'
return contract
def get_last_hist_data(client, symbols, startDate, endDate = datetime.datetime.now()):
ibcontract = IBcontract()
#ibcontract.secType = "FUT"
#ibcontract.expiry="201809"
#ibcontract.symbol="GE"
#ibcontract.exchange="GLOBEX"
ibcontract.secType = 'STK'
ibcontract.exchange = 'SMART'
ibcontract.currency = 'USD'
ibcontract.primaryExchange = 'SMART'
for index in range(len(symbols)):
symbol = symbols[index]
ibcontract.symbol = symbol
lastDate = endDate
while (cmp(startDate, lastDate) < 0):
curDay = lastDate + datetime.timedelta(days = -28)
print symbol, curDay, lastDate
sdatetime=lastDate.strftime("%Y%m%d %H:%M:%S %Z")
ans=client.get_IB_historical_data(ibcontract, sdatetime, '4 W', '1 hour', index)
lastDate = curDay
time.sleep(1)
print "orglen: ", len(ans)
ans = ans.drop_duplicates(subset=['symbol', 'sdate'])
print "endlen: ", len(ans)
ans.to_csv(symbol+".csv")
#print ans
conn=MySQLdb.connect(host='127.0.0.1',user='******',passwd='border', db='finance', port=3306)
cur=conn.cursor()
values=[]
header = 'insert into stock_data_1hour(`symbol`, `sdate`, `open`, `high`, `low`, `close`, `volume`, `barcount`, `wap`, `hasgaps`, `ctime`) values(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)'
for row in ans.iterrows():
index, data = row
values.append((data['symbol'], data['sdate'], data['open'], data['high'], data['low'],
data['close'], data['volume'], data['barcount'], data['wap'], data['hasgaps'], time.time()))
#print 'Index: %s, symbol: %s, date: %s, close: %s' % (index, data['symbol'], data['sdate'], data['close'])
cur.executemany(header, values)
conn.commit()
cur.close()
conn.close()
time.sleep(5)
def createContract(self, secType, symbol, exchange, expiry=None, currency=None ):
"""
Create new IB Contract
:param secType: Contract sector type: STK, OPT, FUT, IND, FOP, CASH,BAG, NEWS
:param expiry: The expiration date. Use the format YYYYMM.
:param symbol: This is the symbol of the underlying asset.
:param exchange: The order destination, such as Smart.
"""
ibcontract = IBcontract()
ibcontract.secType = secType
if expiry:
ibcontract.expiry = expiry
if currency:
ibcontract.currency = currency
ibcontract.symbol = symbol
ibcontract.exchange = exchange
return ibcontract
def getPortfolio(self):
'''
Returns list of triplets of current (contract, position in number of shares/contracts, market value of position)
'''
portfolioList = []
# setup call back variables
self.callback.accountEnd = False
#self.callback.portfolioContract = None
#self.callback.portfolioPosition = None
#self.callback.portfolioSecMarketValue = None
self.tws.reqAccountUpdates(1, self.accountNumber)
while (not self.callback.accountEnd):
self.callback.portfolioContract = None
self.callback.portfolioPosition = None
self.callback.portfolioSecMarketValue = None
max_wait = datetime.timedelta(seconds=60) + datetime.datetime.now()
while (self.callback.portfolioPosition is None
or self.callback.portfolioContract is None
or self.callback.portfolioSecMarketValue is None):
if datetime.datetime.now() > max_wait:
break
if self.callback.portfolioPosition is not None and self.callback.portfolioContract is not None and self.callback.portfolioSecMarketValue is not None:
myContract = Contract()
myContract.exchange = "SMART"
myContract.currency = "USD"
myContract.symbol = self.callback.portfolioContractSymbol
myContract.conId = self.callback.portfolioContractConId
myContract.secType = self.callback.portfolioContractSecType
myContract.strike = self.callback.portfolioContractStrike
myContract.expiry = self.callback.portfolioContractExpiry
myContract.right = self.callback.portfolioContractRight
myPosition = self.callback.portfolioPosition
mySecMarketValue = self.callback.portfolioSecMarketValue
portfolioList.append(
(myContract, myPosition, mySecMarketValue))
self.tws.reqAccountUpdates(0, self.accountNumber)
return portfolioList
def place_plain_order(expiry, symbol, right, strike, orderType, quantity,
lmtPrice, orderId):
"""
Place a sinlge option order orderType="LMT"
"""
if orderId <= 0:
orderId = None
client, log_order = init_func()
log_order.info("placing order ")
ibcontract = IBcontract()
ibcontract.secType = get_contract_details(symbol)["secType"]
ibcontract.expiry = expiry
ibcontract.symbol = symbol
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.right = right
ibcontract.strike = strike
ibcontract.multiplier = get_contract_details(symbol)["multiplier"]
ibcontract.currency = get_contract_details(symbol)["currency"]
iborder = IBOrder()
iborder.action = bs_resolve(quantity)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(quantity)
iborder.tif = get_order_defaults()["tif"]
iborder.transmit = get_order_defaults()["transmit"]
order_structure = client.place_new_IB_order(ibcontract,
iborder,
orderid=orderId)
df1 = pd.DataFrame()
for idx, x in order_structure.items():
temp = pd.DataFrame.from_dict(x, orient='index').transpose()
df1 = df1.append(temp)
if not df1.empty:
df1 = df1.set_index(['orderid'], drop=True)
print(df1)
end_func(client=client)
def get_cash_contracts():
symList = dict()
systemdata = pd.read_csv('./data/systems/system.csv')
print systemdata.columns
systemdata = systemdata.reset_index()
for i in systemdata.index:
#print 'Read: ',i
system = systemdata.ix[i]
#print system
contract = Contract()
symbol = system['ibsym']
if system['ibtype'] == 'CASH':
symbol = system['ibsym'] + system['ibcur']
if system['ibtype'] != 'BITCOIN':
contract.symbol = system['ibsym']
contract.secType = system['ibtype']
contract.exchange = system['ibexch']
contract.currency = system['ibcur']
if system['ibtype'] == 'FUT':
contract.localSymbol = system['iblocalsym']
symList[symbol] = contract
return symList.values()
def getPortfolio(self): ''' Returns list of triplets of current (contract, position in number of shares/contracts, market value of position) ''' portfolioList = [] # setup call back variables self.callback.accountEnd = False #self.callback.portfolioContract = None #self.callback.portfolioPosition = None #self.callback.portfolioSecMarketValue = None self.tws.reqAccountUpdates(1, self.accountNumber) while (not self.callback.accountEnd): self.callback.portfolioContract = None self.callback.portfolioPosition = None self.callback.portfolioSecMarketValue = None max_wait = datetime.timedelta(seconds=60) + datetime.datetime.now() while (self.callback.portfolioPosition is None or self.callback.portfolioContract is None or self.callback.portfolioSecMarketValue is None): if datetime.datetime.now() > max_wait: break if self.callback.portfolioPosition is not None and self.callback.portfolioContract is not None and self.callback.portfolioSecMarketValue is not None: myContract = Contract() myContract.exchange = "SMART" myContract.currency = "USD" myContract.symbol = self.callback.portfolioContractSymbol myContract.conId = self.callback.portfolioContractConId myContract.secType = self.callback.portfolioContractSecType myContract.strike = self.callback.portfolioContractStrike myContract.expiry = self.callback.portfolioContractExpiry myContract.right = self.callback.portfolioContractRight myPosition = self.callback.portfolioPosition mySecMarketValue = self.callback.portfolioSecMarketValue portfolioList.append((myContract, myPosition, mySecMarketValue)) self.tws.reqAccountUpdates(0, self.accountNumber) return portfolioList
from sysIB.wrapper_v5 import IBWrapper, IBclient
if __name__ == "__main__":
"""
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201509"
ibcontract.symbol = "GBL" # Commented to avoid this error "Why do I receive an error 200 - No security definition has been found for the request when I call reqContractDetails, reqMktData, or addOrder() for a stock contract?"
ibcontract.exchange = "DTB"
## Get contract details
cdetails = client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print("Expiry is %s" % cdetails['expiry'])
## Once you have the portfolio positions then you can use these expiries to map back
(account_value, portfolio_data) = client.get_IB_account_data()
print("Portfolio")
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__ == "__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "STK"
ibcontract.expiry = "201809"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
ans = client.get_IB_historical_data(ibcontract)
print(ans)
args = parser.parse_args()
if args.v:
logging.basicConfig(handlers=[logging.StreamHandler()],
level=logging.DEBUG,
format='%(asctime)s [%(levelname)s] %(message)s',
datefmt='%j-%H:%M:%S')
else:
logging.basicConfig(handlers=[logging.StreamHandler()],
level=logging.INFO,
format='%(asctime)s [%(levelname)s] %(message)s',
datefmt='%j-%H:%M:%S')
logging.debug(args)
if args.sym: contract.symbol = args.sym
if args.exc: contract.exchange = args.exc
if args.st: contract.secType = args.st
if args.cur: contract.currency = args.cur
if args.id: contract.conId = args.id
if args.exp: contract.expiry = args.exp
if args.pex: contract.primaryExchange = args.pex
if args.str: contract.strike = args.str
if args.rt: contract.right = args.rt
if args.mult: contract.multiplier = args.mult
barsize = args.p
datatype = args.t
rth_only = args.rth
pacing = args.pacing
num_requests = args.n
#client=IBclient(callback, "DU220055")
client=IBclient(callback, "All")
#client.req_account_summary(10000)
ibcontract = IBcontract()
#ibcontract.secType = "FUT"
#ibcontract.expiry="201509"
#ibcontract.symbol="GBL"
#ibcontract.exchange="DTB"
ibcontract.secType = 'STK'
ibcontract.exchange = 'SMART'
ibcontract.currency = 'USD'
ibcontract.primaryExchange = 'SMART'
ibcontract.symbol = "TRUE"
## Get contract details
cdetails=client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Once you have the portfolio positions then you can use these expiries to map back
(account_value, portfolio_data)=client.get_IB_account_data()
#time.sleep(30)
def list_spread_prices_before_trade(symbol, expiry, query):
"""
List option spread prices before trade
"""
query1 = query.split(",")
client, log_order = init_func()
underl = {}
for idx, x in enumerate(query1):
underl[idx] = RequestOptionData(
symbol,
get_contract_details(symbol)["secType"],
expiry,
float(x[1:]),
x[:1],
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"],
idx,
comboLegs=None)
action1 = {0: "BUY", 1: "SELL"}
list_results = client.getOptionsChain(underl)
legs = []
log_order.info("Number of requests [%d]" % (len(list_results)))
for reqId, request in list_results.items():
log_order.info(
"Requestid [%d]: Option[%s] Results [%d]" %
(reqId, str(request.get_in_data()), len(request.optionsChain)))
for opt1 in request.optionsChain:
leg1 = sy.ComboLeg()
leg1.conId = opt1['conId']
leg1.ratio = get_order_defaults()["ratio"]
leg1.action = action1[reqId]
leg1.exchange = opt1['exchange']
legs.append(leg1)
ibcontract = IBcontract()
ibcontract.comboLegs = sy.ComboLegList(legs)
ibcontract.symbol = symbol
ibcontract.secType = "BAG" # BAG is the security type for COMBO order
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.currency = get_contract_details(symbol)["currency"]
ctrt = {}
ctrt[100] = RequestOptionData(symbol,
get_contract_details(symbol)["secType"],
expiry,
float(x[1:]),
x[:1],
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"],
100,
comboLegs=None,
contract=ibcontract)
ctrt_prc = client.getMktData(ctrt)
log_order.info("[%s]" % (str(ctrt_prc)))
df1 = pd.DataFrame()
#for id, req1 in ctrt_prc.iteritems():
# subset_dic = {k: req1.get_in_data()[k] for k in ('secType','symbol','comboLegsDescrip')}
# subset_dic2 = {k: req1.get_out_data()[id][k] for k in ('bidPrice', 'bidSize', 'askPrice', 'askSize') }
# dict1 = subset_dic.copy()
# dict1.update(subset_dic2)
# temp=pd.DataFrame.from_dict(dict1, orient='index').transpose()
# df1=df1.append(temp)
row1 = 0
for reqId, request in ctrt_prc.items():
row1 += 1
dict1 = request.get_in_data().copy()
if reqId in request.get_out_data():
dict1.update(request.get_out_data()[reqId])
for key in dict1.keys():
df1.loc[row1, key] = dict1[key]
df1 = df1.set_index(['secType', 'symbol', 'comboLegsDescrip'], drop=True)
columns = [
'bidPrice', 'bidSize', 'askPrice', 'askSize', '', 'modelDelta',
'modelImpliedVol', 'lastUndPrice', 'modelGamma', 'closePrice'
]
cols = [val for val in columns if val in df1.columns]
print(df1[cols])
end_func(client=client)
# Instantiate our callback object
callback = HistoricalDataExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42, poll_interval=1)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "RIMM"
contract.secType = "STK"
#contract.right = "CALL"
contract.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % contract.symbol
# Request some historical data.
tws.reqHistoricalData(
1, #tickerId,
contract, #contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), #endDateTime,
"1 W", #durationStr,
"1 day", #barSizeSetting,
"TRADES", #whatToShow,
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
from matplotlib.pyplot import show
if __name__ == "__main__":
"""
This simple example returns the time
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201406"
ibcontract.symbol = "Z"
ibcontract.exchange = "LIFFE"
ans = client.get_IB_historical_data(ibcontract)
ans.close.plot()
show()
from sysIB.wrapper_v3 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__ == "__main__":
"""
This simple example returns streaming price data
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201812"
ibcontract.symbol = "GE"
ibcontract.exchange = "GLOBEX"
ans = client.get_IB_market_data(ibcontract)
print "Bid size, Ask size; Bid price; Ask price"
print ans
def enterPositions(self, weights, execution_sleep=True):
print "----------------------MAKING TRADES ON IB---------------------------"
# Instantiate our callback object
callback = self.PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# account updates
tws.reqAccountUpdates(True, self.accountNumber)
sleep(1)
print "available funds: %s" % (self.availableFunds)
print "net liquidation value: %s" % (self.netLiquidationValue)
###DELAY UNTIL MARKET HOURS
if execution_sleep:
day_of_week = datetime.now().isoweekday()
# if weekday, and we scanned after midnight, set execution time to this morning at 10:30 am
time_now = datetime.now()
if (
day_of_week in range(1, 6)
and (time_now.hour >= 0 and time_now.hour < 10)
and (time_now.minute >= 0 and time_now.minute < 30)
):
execution_time = datetime(
year=time_now.year, month=time_now.month, day=time_now.day, hour=10, minute=30
)
# otherwise, set to next trading day, morning at 10:30am
else:
execution_time = datetime.now()
execution_time = execution_time + dt.timedelta(days=1)
while execution_time.isoweekday() > 5:
execution_time = execution_time + dt.timedelta(days=1)
execution_time = datetime(
year=execution_time.year, month=execution_time.month, day=execution_time.day, hour=10, minute=30
)
to_sleep = (execution_time - datetime.now()).total_seconds()
print "----------sleeping until execution time of %s---------------" % (execution_time)
# sleep until that time
sleep(to_sleep)
for stock in weights:
print ("\n=====================================================================")
print (" Trading " + stock)
print ("=====================================================================\n")
stock_price = Trader.get_quote([stock])[0][self.QUOTE_LAST]
print "%s last stock price: %s" % (stock, stock_price)
contract = Contract()
contract.symbol = stock
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
if self.orderId is None:
print ("Waiting for valid order id")
sleep(1)
while self.orderId is None:
print ("Still waiting for valid order id...")
sleep(1)
# Order details
order = Order()
order.action = "BUY"
# order.lmtPrice = 140
order.orderType = "MKT"
dollar_value = self.availableFunds * weights[stock]
order.totalQuantity = int(round(dollar_value / stock_price, 0))
# order.algoStrategy = "AD"
order.tif = "DAY"
# order.algoParams = algoParams
order.transmit = True
print (
"Placing order for %d %s's, dollar value $%s (id: %d)"
% (order.totalQuantity, contract.symbol, dollar_value, self.orderId)
)
# Place the order
tws.placeOrder(self.orderId, contract, order) # orderId, # contract, # order
print ("\n=====================================================================")
print (" Order placed, waiting for TWS responses")
print ("=====================================================================\n")
sleep(3)
# reset orderid for next
self.orderId = self.orderId + 1
print ("\n=====================================================================")
print (" Trade done.")
print ("=====================================================================\n")
print ("******************* Press ENTER to quit when done *******************\n")
input()
print ("\nDisconnecting...")
tws.eDisconnect()
# Instantiate our callback object
callback = HistoricalDataExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for DELL
dell = Contract()
dell.exchange = "SMART"
dell.symbol = "DELL"
dell.secType = "STK"
dell.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % dell.symbol
# Request some historical data.
tws.reqHistoricalData(
1, #tickerId,
dell, #contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), #endDateTime,
"1 W", #durationStr,
"1 day", #barSizeSetting,
"TRADES", #whatToShow,
0, #useRTH,
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__ == "__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client = IBclient(callback)
# ibcontract = IBcontract()
# ibcontract.secType = "FUT"
# ibcontract.expiry="201809"
# ibcontract.symbol="GE"
# ibcontract.exchange="GLOBEX"
ibcontract = IBcontract()
ibcontract.secType = "CASH"
# ibcontract.expiry="201809"
ibcontract.symbol = "USD"
ibcontract.exchange = "IDEALPRO"
ibcontract.currency = "JPY"
ans = client.get_IB_historical_data(ibcontract)
print(ans)
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__ == "__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client = IBclient(callback)
# ibcontract = IBcontract()
# ibcontract.secType = "FUT"
# ibcontract.expiry="201809"
# ibcontract.symbol="GE"
# ibcontract.exchange="GLOBEX"
ibcontract = IBcontract()
ibcontract.secType = "CASH"
# ibcontract.expiry="201809"
ibcontract.symbol = "USD"
ibcontract.exchange = "IDEALPRO"
ibcontract.currency = "JPY"
ans = client.get_IB_historical_data(ibcontract)
print(ans)
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client = IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry = "201406"
ibcontract.symbol = "GBL"
ibcontract.exchange = "DTB"
## Get contract details
cdetails = client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Once you have the portfolio positions then you can use these expiries to map back
positions = client.get_IB_positions()
accountinfo = client.get_IB_account_data()
# Instantiate our callback object
callback = HistoricalDataExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for DELL
dell = Contract()
dell.exchange = "SMART"
dell.symbol = "DELL"
dell.secType = "STK"
dell.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % dell.symbol
# Request some historical data.
tws.reqHistoricalData(
1, #tickerId,
dell, #contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), #endDateTime,
"1 W", #durationStr,
"1 day", #barSizeSetting,
"TRADES", #whatToShow,
0, #useRTH,
sys.exit()
# Instantiate our callback object
callback = PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "DELL"
contract.secType = "STK"
contract.currency = "USD"
if orderId is None:
print 'Waiting for valid order id'
sleep(1)
while orderId is None:
print 'Still waiting for valid order id...'
sleep(1)
# Order details
order = Order()
order.action = 'BUY'
order.lmtPrice = 0
order.auxPrice = 0
This simple example places an order, checks to see if it is active, and receives fill(s)
Note: If you are running this on the 'edemo' account it will probably give you back garbage
Though the mechanics should still work
This is because you see the orders that everyone demoing the account is trading!!!
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201703"
ibcontract.symbol="GBL"
ibcontract.exchange="DTB"
## Get contract details
cdetails=client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Place the order, asking IB to tell us what the next order id is
## Note limit price of zero
orderid1=client.place_new_IB_order(ibcontract, 10, 0.0, "MKT", orderid=None)
print ""
sys.exit()
# Instantiate our callback object
callback = PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "DELL"
contract.secType = "STK"
contract.currency = "USD"
if orderId is None:
print 'Waiting for valid order id'
sleep(1)
while orderId is None:
print 'Still waiting for valid order id...'
sleep(1)
# Order details
order = Order()
order.action = 'BUY'
order.lmtPrice = 0
order.auxPrice = 0
from sysIB.wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
from matplotlib.pyplot import show
if __name__=="__main__":
"""
This simple example returns the time
"""
callback = IBWrapper()
client=IBclient(callback)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201406"
ibcontract.symbol="Z"
ibcontract.exchange="LIFFE"
ans=client.get_IB_historical_data(ibcontract)
ans.close.plot()
show()
# Instantiate our callback object
callback = HistoricalDataExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
today = datetime.today()
print "Requesting historical data for %s" % contract.symbol
# Request some historical data.
tws.reqHistoricalData(
2, # tickerId,
contract, # contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), # endDateTime,
"1 W", # durationStr,
"1 day", # barSizeSetting,
"TRADES", # whatToShow,
0, # useRTH,
if prompt.lower() != 'yes':
sys.exit()
# Instantiate our callback object
callback = PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.symbol = "IBM"
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
if orderId is None:
print('Waiting for valid order id')
sleep(1)
while orderId is None:
print('Still waiting for valid order id...')
sleep(1)
# Order details
algoParams = TagValueList()
algoParams.append(TagValue("componentSize", "3"))
algoParams.append(TagValue("timeBetweenOrders", "60"))
def place_or_modif_spread_order(expiry, symbol, right, strike_l, strike_s,
orderType, quantity, lmtPrice, orderId):
"""
Place new option spread order or modify existing order orderType="LMT"
Put orderId <= 0 if new order
"""
"""
Modification of an open order through the API can be achieved by the same client which placed the original order.
In the case of orders placed manually in TWS, the order can be modified by the client with ID 0.
To modify an order, simply call the IBApi.EClient.placeOrder function again with the same parameters used to place
the original order, except for the changed parameter. This includes the IBApi.Order.OrderId, which must match the
IBApi.Order.OrderId of the original. It is not generally recommended to try to change order parameters other than
the order price and order size. To change other parameters, it might be preferable to cancel the original order
and place a new order.
"""
# http://interactivebrokers.github.io/tws-api/modifying_orders.html#gsc.tab=0
if orderId <= 0:
orderId = None
client, log_order = init_func()
log_order.info("placing order ")
underl = {
1001:
RequestOptionData(symbol,
get_contract_details(symbol)["secType"], expiry,
strike_l, right,
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"], 1001),
1002:
RequestOptionData(symbol,
get_contract_details(symbol)["secType"], expiry,
strike_s, right,
get_contract_details(symbol)["multiplier"],
get_contract_details(symbol)["exchange"],
get_contract_details(symbol)["currency"], 1002)
}
action1 = {1001: "BUY", 1002: "SELL"}
list_results = client.getOptionsChain(underl)
legs = []
log_order.info("Number of requests [%d]" % (len(list_results)))
for reqId, request in list_results.items():
log_order.info(
"Requestid [%d]: Option[%s] Results [%d]" %
(reqId, str(request.get_in_data()), len(request.optionsChain)))
for opt1 in request.optionsChain:
leg1 = sy.ComboLeg()
leg1.conId = opt1['conId']
leg1.ratio = get_order_defaults()["ratio"]
leg1.action = action1[reqId]
leg1.exchange = opt1['exchange']
legs.append(leg1)
#sy.Contract.comboLegs
ibcontract = IBcontract()
ibcontract.comboLegs = sy.ComboLegList(legs)
ibcontract.symbol = symbol
ibcontract.secType = "BAG" # BAG is the security type for COMBO order
ibcontract.exchange = get_contract_details(symbol)["exchange"]
ibcontract.currency = get_contract_details(symbol)["currency"]
iborder = IBOrder()
iborder.action = bs_resolve(quantity)
iborder.lmtPrice = lmtPrice
iborder.orderType = orderType
iborder.totalQuantity = abs(quantity)
iborder.tif = get_order_defaults()["tif"]
iborder.transmit = get_order_defaults()["transmit"]
order_structure = client.place_new_IB_order(ibcontract,
iborder,
orderid=orderId)
df1 = pd.DataFrame()
for idx, x in order_structure.items():
temp = pd.DataFrame.from_dict(x, orient='index').transpose()
df1 = df1.append(temp)
if not df1.empty:
df1 = df1.set_index(['orderid'], drop=True)
print(df1)
end_func(client=client)
#from ArtemisIBWrapper import ArtemisIBWrapper
###
# Instantiate our callback object
callback = ArtemisIBWrapper()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 46, poll_interval=1)
accountNumber = ''
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "TOT"
contract.secType = "STK"
#contract.right = "PUT"
contract.currency = "USD"
#contract.secType = 'OPT'
#contract.strike = 24
#contract.expiry = '20121116'
today = datetime.today()
#tws.reqAccountUpdates(1, accountNumber)
#tws.reqAccountUpdates(0, accountNumber)
callback.histTickerID = contract.symbol
tws.reqHistoricalData(
from wrapper_v2 import IBWrapper, IBclient
from swigibpy import Contract as IBcontract
if __name__=="__main__":
"""
This simple example returns historical data
"""
callback = IBWrapper()
client=IBclient(callback, port=4002, clientid=999)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.expiry="201612"
ibcontract.symbol="ES"
ibcontract.exchange="GLOBEX"
ans=client.get_IB_historical_data(ibcontract, durationStr="2 D", barSizeSetting="5 mins")
print ans
if prompt.lower() != 'yes':
sys.exit()
# Instantiate our callback object
callback = PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.symbol = "IBM"
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
if orderId is None:
print('Waiting for valid order id')
sleep(1)
while orderId is None:
print('Still waiting for valid order id...')
sleep(1)
# Order details
algoParams = TagValueList()
algoParams.append(TagValue("componentSize","3"))
algoParams.append(TagValue("timeBetweenOrders","60"))
con_group.add_argument("-exp", help="expiry (YYYYMM[DD]) of the contract")
con_group.add_argument("-pex", help="primary exchange of the contract")
con_group.add_argument("-str", help="strike price of the option contract")
con_group.add_argument("-rt", choices=["C", "P"], help="right of the option contract (C/P)")
con_group.add_argument("-mult", help="multiplier of the contract")
args = parser.parse_args()
if args.v:
logging.basicConfig(handlers=[logging.StreamHandler()], level=logging.DEBUG, format='%(asctime)s [%(levelname)s] %(message)s', datefmt='%j-%H:%M:%S')
else:
logging.basicConfig(handlers=[logging.StreamHandler()], level=logging.INFO, format='%(asctime)s [%(levelname)s] %(message)s', datefmt='%j-%H:%M:%S')
logging.debug(args)
if args.sym: contract.symbol = args.sym
if args.exc: contract.exchange = args.exc
if args.st: contract.secType = args.st
if args.cur: contract.currency = args.cur
if args.id: contract.conId = args.id
if args.exp: contract.expiry = args.exp
if args.pex: contract.primaryExchange = args.pex
if args.str: contract.strike = args.str
if args.rt: contract.right = args.rt
if args.mult: contract.multiplier = args.mult
barsize = args.p
datatype = args.t
rth_only = args.rth
pacing = args.pacing
num_requests = args.n
# Instantiate our callback object
callback = ContractDetailsExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
today = datetime.today()
print("Requesting contract details...")
# Perform the request
tws.reqContractDetails(
42, # reqId,
contract, # contract,
)
print("\n=====================================================================")
print(" Contract details requested, waiting for TWS responses")
print("=====================================================================\n")
# Instantiate our callback object
callback = ArtemisIBWrapper()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
#tws.eConnect("", 7496, 47, poll_interval=1)
tws.eConnect("", 7496, 47)
accountNumber = ''
# Simple contract for GOOG
contract = Contract()
#contract.conId = 114376112
contract.exchange = "SMART"
contract.symbol = "PRXL"
contract.secType = "STK"
#contract.right = "PUT"
contract.currency = "USD"
#contract.secType = 'OPT'
#contract.strike = 24
#contract.expiry = '20121116'
today = datetime.today()
#callback.tickDataEnd = False
#tws.reqMktData(1, contract, "", 1)
#while (not callback.tickDataEnd):
# pass
#print "Market data request sent, ASK price is: ", callback.askPrice
#askPrice = 23.04
callback.contractDataEnd = False
