B 9-e@sPdZddlZddlZddlmZddlmZddlZ ddl m Z m Z ddl mZddlmZddlmZdd lmZdd lmZdd lmZdd lmZmZdd lmZmZmZm Z ddl!m"Z"m#Z#m$Z$ddl%m&Z&ddl'm(Z(m)Z)dddddddddddddd Z*dd Z+d!d"Z,d#d$Z-d%d&Z.d'd(Z/d)d*Z0d+d,Z1Gd-d.d.eZ2dS)/a) There is a risk of loss when trading stocks, futures, forex, options and other financial instruments. Please trade with capital you can afford to lose. Past performance is not necessarily indicative of future results. Nothing in this computer program/code is intended to be a recommendation, explicitly or implicitly, and/or solicitation to buy or sell any stocks or futures or options or any securities/financial instruments. All information and computer programs provided here is for education and entertainment purpose only; accuracy and thoroughness cannot be guaranteed. Readers/users are solely responsible for how to use these information and are solely responsible any consequences of using these information. If you have any questions, please send email to IBridgePy@gmail.com All rights reserved. N)Decimal)exit) epoch_to_dt dt_to_epoch)IBCpp)-stripe_exchange_primaryExchange_from_contract)from_contract_to_security)BrokerClientBase)ReqAttr) CustomError)UpdateAccountValueRecordAccountSummaryRecord)TickPriceRecordTickSizeRecordTickStringRecordTickOptionComputationRecord)OrderStatusRecordOpenOrderRecordExecDetailsRecord)PositionRecord)print_IBCpp_contractprint_IBCpp_executionzbid sizez bid pricez ask pricezask sizez last pricez last sizez daily highz daily lowz daily volumecloseopenzoption call open interestzoption put open interest) r cCst|tst|S|S)N) isinstancedictvars)objr*G:\My Drive\STUDY\EPAT\09 TBP - Trading & Back-testing Platforms\TBP04 - Backtesting & Live Trading\IB IBridgePy API\02 Python 3.7 IBridgePy_Win_Anaconda37_64\broker_client_factory\CallBacks.pyfrom_object_to_dict*s r,cCsPt|tr2|siSt|}t|tr:t|}nt|}t|tsLt|}|S)N)r&strjsonloadsr,r'r()barr*r*r+from_bar_to_dict0s     r1cCsPt|tr2|siSt|}t|tr:t|}nt|}t|tsLt|}|S)N)r&r-r.r/r,r'r()contractr*r*r+from_contract_to_dict?s     r3cCsPt|tr2|siSt|}t|tr:t|}nt|}t|tsLt|}|S)N)r&r-r.r/r,r'r() orderStater*r*r+from_orderState_to_dictNs     r5cCst|tr2|siSt|}t|tr:t|}nt|}t|tsLt|}d|krdt|d|d<x$dD]}||krjt||||<qjW|S)NZsoftDollarTier)ZfilledQuantity totalQuantity)r&r-r.r/r,r'r()orderkeyr*r*r+from_order_to_dict\s      r9cCsZt|trt|}nt|}t|ts0t|}x$dD]}||kr6t||||<q6W|S)N)sharesZcumQty)r&r-r.r/r,r'r() executionr8r*r*r+from_execution_to_dictos    r<cCs@t|tr|St|tr t|Sttdt|d|dS)Nz)::convert_decimal: Cannot handle type(x)=z x=)r&rr-r__name__type)xr*r*r+convert_decimal|s   r@c@seZdZddZddZddZddZd d Zd d Zd dZ ddZ ddZ ddZ ddZ ddZddZddZddZdd Zd!d"Zd#d$Zd%d&Zd'd(Zd)d*Zd+d,Zd-d.Zd/d0Zd1d2Zd3d4Zd5d6Zd7d8Zd9d:Zd;d<Z d=d>Z!d?d@Z"dAdBZ#dCdDZ$dES)F CallBackscCs,|jtd|f|jdtjjdS)z0 Responses of reqAccountUpdates z$::accountDownloadEnd: accountCode=%sreqAccountUpdatesN)_logdebugr=_activeRequests)set_all_requests_of_a_reqType_to_a_statusr Status COMPLETED)self accountCoder*r*r+accountDownloadEndszCallBacks.accountDownloadEndc CsZ|jtdt|||t||ft|ts8t|}|j|j|t |||||dS)zU !!!!!!!! type(value) is STRING !!!!!!!! # Multiple accounts zE::accountSummary: reqId=%s accountCode=%s tag=%s value=%s currency=%sN) rCnotsetr=r-r&float _singleTraderset_accountSummary brokerNamer )rIreqIdrJtagvaluecurrencyr*r*r+accountSummarys    zCallBacks.accountSummarycCs.|jtdt||j|tjjdS)Nz::accountSummaryEnd: ) rCrDr=r-rE$set_a_request_of_a_reqId_to_a_statusr rGrH)rIrQr*r*r+accountSummaryEndszCallBacks.accountSummaryEndc Csx|jtdt||j|}tj|jj t |jj |jj t |j|j|jj|dt|jgd}|j||_dS)zC IB callback function to receive str_security info z::bondContractDetails:)rightstrikeexpiry contractName str_security multipliercontractDetails)indexN)rCinfor=r-rEget_by_reqId_otherwise_exitpd DataFramer2rXrMrYrZrr]lenreturnedResultappend)rIrQr^aRequestnewRowr*r*r+bondContractDetailss   zCallBacks.bondContractDetailscCs|jtdt|dS)Nz::commissionReport: DO NOTHING)rCrLr=r-)rIcommissionReportr*r*r+rjszCallBacks.commissionReportc Cs|jtd||f|j|}tj|jjt |jj |jj |jt |j|j|jj |dt|jgd}t|j|g|_dS)zC IB callback function to receive str_security info z.::contractDetails: reqId=%s contractDetails=%s)rXrYrZr[securityr2r]r^)r_N)rCrLr=rErarbrcr2rXrMrYlastTradeDateOrContractMonthrr]rdreconcat)rIrQr^rgrhr*r*r+r^s   zCallBacks.contractDetailscCs.|jtdt||j|tjjdS)zV IB callback function to receive the ending flag of str_security info z::contractDetailsEnd:N) rCrDr=r-rErVr rGrH)rIrQr*r*r+contractDetailsEndszCallBacks.contractDetailsEndcCsJtt|}|jtd|t|f|j||j dt j j dS)z IB C++ API call back function. Return system time in datetime instance constructed from Unix timestamp using the showTimeZone from MarketManager z&::currentTime: tm=%s brokerClientId=%sreqCurrentTimeN) rrMrCrDr=id_timeGeneratorset_diffBetweenLocalAndServerrErFr rGrH)rItmZ serverTimer*r*r+ currentTimes  zCallBacks.currentTimec Csn|jtd|d|d|d| |jrR||jkrR|jd|||fdS|dkr^dS|dkr|jd |jd t|d ||f|d kr|jtd |||f|jd|jdt|d ||fn|dkr|dkrd|_n|dkrjd|_n\|dkr|dkr*d|_n|dkr|jtd|d|d|d||jd3|nB|jtd|d|d|d||t|d ||fdS)4z errorId can be either reqId or orderId or -1 only print real error messages, which is errorId < 2000 in IB's error message system, or program is in debug mode z::error: errorId=z errorCode=z errorMessage=z advancedOrderRejectJson=zzThe error is ignored by the user. settings.py --> PROJECT --> errorsIgnoredByUser. errorId=%s errorCode=%s errorMessage=%sN)iiF)iz!Hint 1 for error=502: Enable API.z;Hint 2 for error=502: Maybe the port number does not match.zerrorId:%s errorMessage=%s)ii'z0::error: errorId=%s errorCode=%s errorMessage=%szEHint: Restart Trader Workstation(TWS) or IB Gateway and try it again.zCHint: Please refer to YouTube tutorial https://youtu.be/pson8T5ZaRw)iLiMiNiLF)iMiNT) i4i7i8i9i:i;i<i>iGiYimin)i7im)i8i<ini9)i:i;i>iYzerrorCode=2137 is not a critical error in IBridgePy anymore. To hide this error, TWS -> Global Configuration -> Messages -> Cross side warning (untick & save) -> Uncheck it.i4rB)i'i')iiAidi=)iz"API scanner subscription cancelledniz/::error:errorId=%s errorCode=%s errorMessage=%sz::error: might be a false statement because connectivity to IB server is lost.r2rkzW::error: please report this error to IBridgePy@gmail.com for further assistance. ThanksiiiiiizIBridgePy community version supports backtest on US equities only. Please visit https://ibridgepy.com/features-of-ibridgepy/ and consider IBridgePy Backtester version.)rCrDr=_errorsIgnoredByUserr`errorr Z_connectionGatewayToServerZ_connectionMarketDataFarmZ_connectionHistDataFarmrErFr rGrH'set_a_request_of_an_orderId_to_a_statusrV has_reqId_print_version _allRequestskeysparamrr-find_reqId_by_int_orderIdint_print_version_and_exit e_disconnect)rIZerrorId errorCodeZ errorMessageZadvancedOrderRejectJsonrQr*r*r+r|s"                  & &  "    6"  " "zCallBacks.errorcCs |jtdt|jfdS)Nz&::_print_version:IBridgePy version= %s)rCr|r=r- versionNumber)rIr*r*r+rszCallBacks._print_versioncCs&|jtdt|jftdS)Nz4::_print_version_and_exit:EXIT IBridgePy version= %s)rCr|r=r-rr)rIr*r*r+rsz!CallBacks._print_version_and_exitc Cst|}t|}|jtd|t|t|f|d}|j|}|d}|j |j |t ||||j |j |d}t|dt|d}|ddkr||8}n|dd kr||7}|d|d |d S) z !!!!!! reqId is always -1 based on experiences :param reqId: :param contract: :param execution: :return: z0::execDetails: reqId=%s contract=%s execution=%sorderId acctNumberTotalCashValuer:pricesideZBOTZSLDUSDN)r3r<rCrDr=rr _idConverterfromIBtoBrokerrNset_execDetailsrPrget_account_inforMupdateAccountValue) rIrQr2r; int_orderId ibpyOrderIdrJZcurrentCashValueZ cashChanger*r*r+ execDetailss       zCallBacks.execDetailsc Cst|}|jd|d|t|tr>|r:t|}ni}|d}|d}|d}|d}|d}|d}|j|r|j |} nd St j j | _ ytj|d } t| } Wn tk rtt|} YnXtj|||||d | gd } t| j| g| _d S) zn call back function from IB C++ API return the historical data for requested security z __name__::historicalData: reqId=z bar=daterhighlowrvolumeNz%Y%m%d)rrrrr)r_)r1rCrLr&r-r.r/rEis_reqId_within_activeRequestsrar rGSTARTEDstatusdtdatetimestrptimer ValueErrorrrMrbrcrmre) rIrQr0Z timeString price_open price_high price_low price_closerrgdateTimeidxrhr*r*r+historicalDatas2     zCallBacks.historicalDatacCs,|j|r|j|}ndStjj|_dS)N)rErrar rGrHr)rIrQZ startDateStrZ endDateStrrgr*r*r+historicalDataEnds zCallBacks.historicalDataEndcCs@|jtdt||j||jr<|jdtj j dS)a; IB API requires an nextId for every order, and this function obtains the next valid nextId. This function is called at the initialization stage of the program and results are recorded in startingNextValidIdNumber, then the nextId is track by the program when placing orders z::nextValidId: Id = reqIdsN) rCrDr=r-Z_nextIdZsetUuidrErFr rGrH)rIZnextIdr*r*r+ nextValidIds zCallBacks.nextValidIdcCs,|jtd|jr(|jdtjjdS)Nz::heartBeatsEnd reqHeartBeats)rCrLr=rErFr rGrH)rIr*r*r+ heartBeatsEndszCallBacks.heartBeatsEndc Cst|}t|}t|}|jtd|d|d|d| |dkrXd|df}n |j|}|j |j |dt ||||d S) zP call back function of IB C++ API which updates the open orders z::openOrder: ibOrderId=z contract=z order=z orderState=)z permIDatIB%spermIdaccountN) r3r9r5rCrDr=rrrN set_openOrderrPr)rIZ int_ibOrderIdr2r7r4str_ibpyOrderIdr*r*r+ openOrders" zCallBacks.openOrdercCs\|jtd|jdtjj|jdtjj|jdtjj|jdtjjdS)Nz::openOrderEnd reqOneOrderreqAllOpenOrdersZ reqOpenOrdersZreqAutoOpenOrders)rCrDr=rErFr rGrH)rIr*r*r+ openOrderEnds zCallBacks.openOrderEndc Cst|}t|}|jtd|||||f|j|} |jrN|j|} nd} | dk r|j| }|j dkr| |_ t j j |_n|j|j| }|j|j|t| |||||||| | dS)z call back function of IB C++ API which update status or certain order Same order may be called back multiple times with status of 'Filled' orderStatus is always called back after openOrder zN::orderStatus: int_orderId=%s status=%s filled=%s remaining=%s aveFillPrice=%sN) placeOrder modifyOrder)r@rCrDr=rrrErrareqTyperer rGrHrrNget_accountCode_by_ibpyOrderIdrPset_orderStatusr)rIrrfilled remaining avgFillPricerparentId lastFillPriceclientIdwhyHeldZ mktCapPricerrQrgrJr*r*r+ orderStatuss$       zCallBacks.orderStatusc CsXt|}t|}|jtd||||ft|}|j|j|t | |||dS)zp call back function of IB C++ API which updates the position of a security of a account z>::position: accountCode=%s contract=%s amount=%s cost_basis=%sN) r@r3rCrDr=rrN set_positionrPr full_print)rIrJr2amount cost_basisrkr*r*r+position>s  zCallBacks.positioncCs&|jtd|jdtjjdS)Nz%::positionEnd: all positions recorded reqPositions)rCrDr=rErFr rGrH)rIr*r*r+ positionEndQszCallBacks.positionEndc Cst|}t|}|jtd|d|d|d|d|d|d|d|d | |j|r|j|} | jtj j krtj j | _|j |j d  } |j} |j| |||||||| | d S) zw call back function from IB C++ API return realTimeBars for requested security every 5 seconds z::realtimeBar: reqId=z aTime=z price_open=z price_high=z price_low=z price_close=z volume=z wap=z count=rkN)r@rCrLr=rErrarr rGrHrrrrqget_current_time_dataFromServerset_5_second_real_time_bar) rIrQaTimerrrrrwapcountrgr\ timestampr*r*r+ realtimeBarUs@    zCallBacks.realtimeBarc Csl|jtd|||j||||f|j|}t|j} tj|| dt |j gd} t |j | g|_ dS)Nzj::scannerData: reqId=%s rank=%s contractDetails.contract=%s distance=%s benchmark=%s project=%s legsStr=%s)rankrk)r_) rCrDr=r2rErarrbrcrdrerm) rIrQrr^distance benchmarkZ projectionZlegsStrrgrkrhr*r*r+ scannerDatajs  zCallBacks.scannerDatacCs.|jtdt||j|tjjdS)Nz::scannerDataEnd:) rCrDr=r-rErVr rGrH)rIrQr*r*r+scannerDataEndzszCallBacks.scannerDataEndcCs(|jtd|jdtjj|dS)Nz::scannerParameters:reqScannerParameters)rCrDr=rE8set_all_requests_of_a_reqType_to_a_status_and_set_resultr rGrH)rIxmlr*r*r+scannerParameters~szCallBacks.scannerParameterscCs|jtd|||fdS)Nz)::tickGeneric: reqId=%i field=%s value=%d)rCrLr=)rIrQfieldrSr*r*r+ tickGenericszCallBacks.tickGenericc Cs|jtd|d|d|d|d|d|d|d|d | d | d | |j|jd } |jt| |||||||| | | dS) Nz::tickOptionComputation: reqId=z tickType=z tickAttrib=z impliedVol=z delta=z optPrice=z pvDividend=z gamma=z vega=z theta=z undPrice=rk) rCrDr=rrrrset_tickInfoRecordr) rIrQtickType tickAttrib impliedVoldeltaoptPrice pvDividendgammavegathetaundPricer\r*r*r+tickOptionComputations LzCallBacks.tickOptionComputationcCs|jtd|||f|j|r|j|}|jtjj kr|dkrd|j dt j j krdtjj |_|dkr|j dt j jkrtjj |_|dkr|j dt j jkrtjj |_|j|j d}|j}|jt|||||dS)zV call back function of IB C++ API. This function will get tick prices z)::tickPrice:reqId=%s tickType=%s price=%srtickTypeClientAskedrrrkN)rCrLr=rErrarr rGrHrrTickTypeBIDASKLASTrrrqrrrr)rIrQrrcanAutoExecutergr\rr*r*r+ tickPrices      zCallBacks.tickPricecCsRt|}|jtd|t||f|j|jd}|j t |||dS)zT call back function of IB C++ API. This function will get tick size z(::tickSize: reqId=%s tickType=%s size=%srkN) r@rCrLr= MSG_TABLErrrrrr)rIrQrsizer\r*r*r+tickSizeszCallBacks.tickSizecCs|jtdt|dS)Nz::tickSnapshotEnd: )rCrLr=r-)rIrQr*r*r+tickSnapshotEndszCallBacks.tickSnapshotEndcCsF|jtd|||f|j|jd}|jt|||dS)aC IB C++ API call back function. The value variable contains the last trade price and volume information. User show define in this function how the last trade price and volume should be saved RT_volume: 0 = trade timestamp; 1 = price_last, 2 = size_last; 3 = record_timestamp z(::tickString: reqId=%s field=%s value=%srkN) rCrLr=rrrrrr)rIrQrrSr\r*r*r+ tickStringszCallBacks.tickStringcCs|jtdt|dS)Nz::updateAccountTime:)rCrLr=r-)rIrsr*r*r+updateAccountTimeszCallBacks.updateAccountTimec Csf|jtd||||t|jfy t|}Wntk rDYnX|j|j|t ||||dS)z IB callback function update account values such as cash, PNL, etc !!!!!!!! type(value) is STRING !!!!!!!! zQ::updateAccountValue: key=%s value=%s currency=%s accountCode=%s _singleTrader=%sN) rCrLr=rprNrMrset_updateAccountValuerPr )rIr8rSrTrJr*r*r+rs  zCallBacks.updateAccountValuec CsX|jtdt|t|t|t|t|t|t|t|f|||||dS)Nz::updatePortfolio: contract=%s amount=%s marketPrice=%s marketValue=%s averageCost=%s unrealizedPNL=%s realizedPNL=%s accountCode=%s)rCrLr=r-r) rIr2rZ marketPriceZ marketValueZ averageCostZ unrealizedPNLZ realizedPNLrJr*r*r+updatePortfolios $zCallBacks.updatePortfolioN)%r= __module__ __qualname__rKrUrWrirjr^rnrtr|rrrrrrrrrrrrrrrrrrrrrrrrrr*r*r*r+rAsF  2!6  %   rA)3__doc__rrr.decimalrsysrpandasrbBasicPyLib.BasicToolsrr IBridgePyrIBridgePy.IbridgepyToolsrIBridgePy.quantopianrZ"broker_client_factory.BrokerClientr &broker_client_factory.BrokerClientDefsr "broker_client_factory.CustomErrorsr models.AccountInfor r models.Datarrrr models.Orderrrrmodels.Positionr models.utilsrrrr,r1r3r5r9r<r@rAr*r*r*r+s8