def _add_legs_to_ib_contract(ibcontract: Contract, trade_list_for_multiple_legs: tradeQuantity,
resolved_legs: list) -> ibcontractWithLegs:
ratio_list = list_of_ints_with_highest_common_factor_positive_first(
trade_list_for_multiple_legs
)
ibcontract_legs = [
_get_ib_combo_leg(ratio, resolved_leg)
for ratio, resolved_leg in zip(ratio_list, resolved_legs)
]
ibcontract.comboLegs = ibcontract_legs
ibcontract_with_legs = ibcontractWithLegs(ibcontract, resolved_legs)
return ibcontract_with_legs
def ib_futures_contract(
self,
futures_contract_with_ib_data,
always_return_single_leg=False,
trade_list_for_multiple_legs=None,
return_leg_data=False,
):
"""
Return a complete and unique IB contract that matches contract_object_with_ib_data
Doesn't actually get the data from IB, tries to get from cache
:param futures_contract_with_ib_data: contract, containing instrument metadata suitable for IB
:return: a single ib contract object
"""
contract_object_to_use = copy(futures_contract_with_ib_data)
if always_return_single_leg and contract_object_to_use.is_spread_contract(
):
contract_object_to_use = contract_object_to_use.new_contract_with_first_contract_date(
)
if getattr(self, "_futures_contract_cache", None) is None:
self._futures_contract_cache = {}
if not contract_object_to_use.is_spread_contract():
trade_list_suffix = ""
else:
# WANT TO TREAT EG -2,2 AND -4,4 AS THE SAME BUT DIFFERENT FROM
# -2,1 OR -1,2,-1...
trade_list_suffix = str(
list_of_ints_with_highest_common_factor_positive_first(
trade_list_for_multiple_legs))
cache = self._futures_contract_cache
key = contract_object_to_use.key + trade_list_suffix
ibcontract_with_legs = cache.get(key, missing_contract)
if ibcontract_with_legs is missing_contract:
ibcontract_with_legs = self._get_ib_futures_contract(
contract_object_to_use,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
cache[key] = ibcontract_with_legs
if return_leg_data:
return ibcontract_with_legs
else:
return ibcontract_with_legs.ibcontract
def _get_spread_ib_futures_contract(
self,
futures_instrument_with_ib_data: futuresInstrumentWithIBConfigData,
contract_date,
trade_list_for_multiple_legs=[-1, 1],
):
"""
Return a complete and unique IB contract that matches contract_object_with_ib_data
This is expensive so not called directly, only by ib_futures_contract which does caching
:param contract_object_with_ib_data: contract, containing instrument metadata suitable for IB
:return: a single ib contract object
"""
# Convert to IB world
ibcontract = ib_futures_instrument(futures_instrument_with_ib_data)
ibcontract.secType = "BAG"
list_of_contract_dates = contract_date.list_of_single_contract_dates
resolved_legs = [
self._get_vanilla_ib_futures_contract(
futures_instrument_with_ib_data, contract_date)
for contract_date in list_of_contract_dates
]
ratio_list = list_of_ints_with_highest_common_factor_positive_first(
trade_list_for_multiple_legs)
def _get_ib_combo_leg(ratio, resolved_leg):
leg = ComboLeg()
leg.conId = int(resolved_leg.conId)
leg.exchange = str(resolved_leg.exchange)
action, size = resolveBS(ratio)
leg.ratio = int(size)
leg.action = str(action)
return leg
ibcontract.comboLegs = [
_get_ib_combo_leg(ratio, resolved_leg)
for ratio, resolved_leg in zip(ratio_list, resolved_legs)
]
return ibcontract, resolved_legs
def _get_contract_cache_key(
self,
contract_object_to_use: futuresContract,
trade_list_for_multiple_legs: tradeQuantity = None) -> str:
if not contract_object_to_use.is_spread_contract():
trade_list_suffix = ""
else:
# WANT TO TREAT EG -2,2 AND -4,4 AS THE SAME BUT DIFFERENT FROM
# -2,1 OR -1,2,-1...
trade_list_suffix = str(
list_of_ints_with_highest_common_factor_positive_first(
trade_list_for_multiple_legs))
key = contract_object_to_use.key + trade_list_suffix
return key
def resolve_multi_leg_price_to_single_price(trade_list: tradeQuantity,
price_list: list) -> float:
if len(price_list) == 0:
return None
if len(price_list) == 1:
return price_list[0]
assert len(price_list) == len(trade_list)
trade_list_as_common_factor = list_of_ints_with_highest_common_factor_positive_first(
trade_list)
fill_price = [
x * y for x, y in zip(trade_list_as_common_factor, price_list)
]
fill_price = sum(fill_price)
if np.isnan(fill_price):
return None
return fill_price
def resolve_multi_leg_price_to_single_price(
trade_list: tradeQuantity, price_list: list
) -> float:
if len(price_list) == 0:
## This will be the case when an order is first created or has no fills
return None
if len(price_list) == 1:
return price_list[0]
assert len(price_list) == len(trade_list)
trade_list_as_common_factor = (
list_of_ints_with_highest_common_factor_positive_first(trade_list)
)
fill_price = [x * y for x, y in zip(trade_list_as_common_factor, price_list)]
fill_price = sum(fill_price)
if np.isnan(fill_price):
return None
return fill_price
