""" Copyright (C) 2019 Interactive Brokers LLC. All rights reserved. This code is subject to the terms and conditions of the IB API Non-Commercial License or the IB API Commercial License, as applicable. """ """ The main class to use from API user's point of view. It takes care of almost everything: - implementing the requests - creating the answer decoder - creating the connection to TWS/IBGW The user just needs to override EWrapper methods to receive the answers. """ import logging import queue import socket from ibapi import (decoder, reader, comm) from ibapi.connection import Connection from ibapi.message import OUT from ibapi.common import * # @UnusedWildImport from ibapi.contract import Contract from ibapi.order import Order, COMPETE_AGAINST_BEST_OFFSET_UP_TO_MID from ibapi.execution import ExecutionFilter from ibapi.scanner import ScannerSubscription from ibapi.comm import (make_field, make_field_handle_empty) from ibapi.utils import (current_fn_name, BadMessage) from ibapi.errors import * #@UnusedWildImport from ibapi.server_versions import * # @UnusedWildImport from ibapi.utils import ClientException from ibapi.converter import order_converter, contract_converter, scannerSubscription_converter #TODO: use pylint logger = logging.getLogger(__name__) class EClient(object): (DISCONNECTED, CONNECTING, CONNECTED, REDIRECT) = range(4) #TODO: support redirect !! def __init__(self, wrapper): self.msg_queue = queue.Queue() self.wrapper = wrapper self.decoder = None self.reset(f'{__name__}.__init__') def reset(self, caller=None): logging.debug(f'{__name__}::reset: caller={caller}') self.nKeybIntHard = 0 self.conn = None self.extraAuth = False self.serverVersion_ = None self.connTime = None self.connState = None self.optCapab = "" self.asynchronous = False self.reader = None self.decode = None self.setConnState(EClient.DISCONNECTED) self.connectionOptions = None def setConnState(self, connState): _connState = self.connState self.connState = connState logger.debug("%s connState: %s -> %s" % (id(self), _connState, self.connState)) def sendMsg(self, msg): full_msg = comm.make_msg(msg) logger.info("%s %s %s", "SENDING", current_fn_name(1), full_msg) self.conn.sendMsg(full_msg) def logRequest(self, fnName, fnParams): if logger.isEnabledFor(logging.INFO): if 'self' in fnParams: prms = dict(fnParams) del prms['self'] else: prms = fnParams logger.info("REQUEST %s %s" % (fnName, prms)) def startApi(self): """ Initiates the message exchange between the client application and the TWS/IB Gateway. """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return try: VERSION = 2 msg = make_field(OUT.START_API) \ + make_field(VERSION) \ + make_field(self.clientId) if self.serverVersion() >= MIN_SERVER_VER_OPTIONAL_CAPABILITIES: msg += make_field(self.optCapab) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def connect(self, host, port, clientId): """This function must be called before any other. There is no feedback for a successful connection, but a subsequent attempt to connect will return the message \"Already connected.\" host:str - The host name or IP address of the machine where TWS is running. Leave blank to connect to the local host. port:int - Must match the port specified in TWS on the Configure>API>Socket Port field. clientId:int - A number used to identify this client connection. All orders placed/modified from this client will be associated with this client identifier. Note: Each client MUST connect with a unique clientId.""" try: self.host = host self.port = port self.clientId = clientId logger.debug("Connecting to %s:%d w/ id:%d", self.host, self.port, self.clientId) self.conn = Connection(self.host, self.port) self.conn.connect() self.setConnState(EClient.CONNECTING) #TODO: support async mode v100prefix = "API\0" v100version = "v%d..%d" % (MIN_CLIENT_VER, MAX_CLIENT_VER) if self.connectionOptions: v100version = v100version + " " + self.connectionOptions #v100version = "v%d..%d" % (MIN_CLIENT_VER, 101) msg = comm.make_msg(v100version) logger.debug("msg %s", msg) msg2 = str.encode(v100prefix, 'ascii') + msg logger.debug("REQUEST %s", msg2) self.conn.sendMsg(msg2) self.decoder = decoder.Decoder(self.wrapper, self.serverVersion()) fields = [] #sometimes I get news before the server version, thus the loop count = 0 COUNT_THRESHOLD = 1 while len(fields) != 2 and count <= COUNT_THRESHOLD: count += 1 self.decoder.interpret(fields) buf = self.conn.recvMsg() if not self.conn.isConnected(): # recvMsg() triggers disconnect() where there's a socket.error or 0 length buffer # if we don't then drop out of the while loop it infinitely loops logger.warning('Disconnected; resetting connection') self.reset(f'{__name__}::connect') return logger.debug("ANSWER %s", buf) if len(buf) > 0: (size, msg, rest) = comm.read_msg(buf) logger.debug("size:%d msg:%s rest:%s|", size, msg, rest) fields = comm.read_fields(msg) logger.debug("fields %s", fields) else: fields = [] if count > COUNT_THRESHOLD: raise RuntimeError('Connection failed') (server_version, conn_time) = fields server_version = int(server_version) logger.debug("ANSWER Version:%d time:%s", server_version, conn_time) self.connTime = conn_time self.serverVersion_ = server_version self.decoder.serverVersion = self.serverVersion() self.setConnState(EClient.CONNECTED) self.reader = reader.EReader(self.conn, self.msg_queue) self.reader.start() # start thread logger.info("sent startApi") self.startApi() self.wrapper.connectAck() except socket.error: if self.wrapper: self.wrapper.error(NO_VALID_ID, CONNECT_FAIL.code(), CONNECT_FAIL.msg(), '') logger.info("could not connect") self.disconnect(f'{__name__}::connect') def disconnect(self, caller=None): """Call this function to terminate the connections with TWS. Calling this function does not cancel orders that have already been sent.""" logger.debug(f'{__name__}::disconnect: caller={caller}') self.setConnState(EClient.DISCONNECTED) if self.conn is not None: logger.info("disconnecting") self.conn.disconnect() self.wrapper.connectionClosed() self.reset(f'{__name__}::disconnect') def isConnected(self): """Call this function to check if there is a connection with TWS""" connConnected = self.conn and self.conn.isConnected() logger.debug("%s isConn: %s, connConnected: %s" % (id(self), self.connState, str(connConnected))) return EClient.CONNECTED == self.connState and connConnected def keyboardInterrupt(self): #intended to be overloaded pass def keyboardInterruptHard(self): self.nKeybIntHard += 1 if self.nKeybIntHard > 5: raise SystemExit() def setConnectionOptions(self, opts): self.connectionOptions = opts def msgLoopTmo( self ): #intended to be overloaded pass def msgLoopRec( self ): #intended to be overloaded pass def run(self): """This is the function that has the message loop.""" try: while self.isConnected() or not self.msg_queue.empty(): try: try: text = self.msg_queue.get(block=True, timeout=0.2) if len(text) > MAX_MSG_LEN: self.wrapper.error(NO_VALID_ID, BAD_LENGTH.code(), "%s:%d:%s" % (BAD_LENGTH.msg(), len(text), text), '') break except queue.Empty: logger.debug("queue.get: empty") self.msgLoopTmo() else: fields = comm.read_fields(text) logger.debug("fields %s", fields) self.decoder.interpret(fields) self.msgLoopRec() except (KeyboardInterrupt, SystemExit): logger.info("detected KeyboardInterrupt, SystemExit") self.keyboardInterrupt() self.keyboardInterruptHard() except BadMessage: logger.info("BadMessage") logger.debug("conn:%d queue.sz:%d", self.isConnected(), self.msg_queue.qsize()) finally: self.disconnect(f'{__name__}::run') def reqCurrentTime(self): """Asks the current system time on the server side.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_CURRENT_TIME) \ + make_field(VERSION) self.sendMsg(msg) def serverVersion(self): """Returns the version of the TWS instance to which the API application is connected.""" return self.serverVersion_ def setServerLogLevel(self, logLevel:int): """The default detail level is ERROR. For more details, see API Logging.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.SET_SERVER_LOGLEVEL) \ + make_field(VERSION) \ + make_field(logLevel) self.sendMsg(msg) def twsConnectionTime(self): """Returns the time the API application made a connection to TWS.""" return self.connTime ########################################################################## ################## Market Data ########################################################################## def reqMktData(self, reqId:TickerId, contract:Contract, genericTickList:str, snapshot:bool, regulatorySnapshot: bool, mktDataOptions:TagValueList): """Call this function to request market data. The market data will be returned by the tickPrice and tickSize events. reqId: TickerId - The ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. contract:Contract - This structure contains a description of the Contractt for which market data is being requested. genericTickList:str - A commma delimited list of generic tick types. Tick types can be found in the Generic Tick Types page. Prefixing w/ 'mdoff' indicates that top mkt data shouldn't tick. You can specify the news source by postfixing w/ ':. Example: "mdoff,292:FLY+BRF" snapshot:bool - Check to return a single snapshot of Market data and have the market data subscription cancel. Do not enter any genericTicklist values if you use snapshots. regulatorySnapshot: bool - With the US Value Snapshot Bundle for stocks, regulatory snapshots are available for 0.01 USD each. mktDataOptions:TagValueList - For internal use only. Use default value XYZ. """ contract = contract_converter(contract) mktDataOptions = str(mktDataOptions) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_DELTA_NEUTRAL: if contract.deltaNeutralContract: self.wrapper.error(reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support delta-neutral orders.", '') return if self.serverVersion() < MIN_SERVER_VER_REQ_MKT_DATA_CONID: if contract.conId > 0: self.wrapper.error(reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tradingClass parameter in reqMktData.", '') return try: VERSION = 11 # send req mkt data msg flds = [] flds += [make_field(OUT.REQ_MKT_DATA), make_field(VERSION), make_field(reqId)] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_REQ_MKT_DATA_CONID: flds += [make_field(contract.conId),] flds += [make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), # srv v15 and above make_field(contract.exchange), make_field(contract.primaryExchange), # srv v14 and above make_field(contract.currency), make_field(contract.localSymbol) ] # srv v2 and above if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass),] # Send combo legs for BAG requests (srv v8 and above) if contract.secType == "BAG": comboLegsCount = len(contract.comboLegs) if contract.comboLegs else 0 flds += [make_field(comboLegsCount),] for comboLeg in contract.comboLegs: flds += [make_field(comboLeg.conId), make_field( comboLeg.ratio), make_field( comboLeg.action), make_field( comboLeg.exchange)] if self.serverVersion() >= MIN_SERVER_VER_DELTA_NEUTRAL: if contract.deltaNeutralContract: flds += [make_field(True), make_field(contract.deltaNeutralContract.conId), make_field(contract.deltaNeutralContract.delta), make_field(contract.deltaNeutralContract.price)] else: flds += [make_field(False),] flds += [make_field(genericTickList), # srv v31 and above make_field(snapshot)] # srv v35 and above if self.serverVersion() >= MIN_SERVER_VER_REQ_SMART_COMPONENTS: flds += [make_field(regulatorySnapshot),] # send mktDataOptions parameter if self.serverVersion() >= MIN_SERVER_VER_LINKING: #current doc says this part if for "internal use only" -> won't support it if mktDataOptions: raise NotImplementedError("not supported") mktDataOptionsStr = "" flds += [make_field(mktDataOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelMktData(self, reqId:TickerId): """After calling this function, market data for the specified id will stop flowing. reqId: TickerId - The ID that was specified in the call to reqMktData(). """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 2 # send req mkt data msg flds = [] flds += [make_field(OUT.CANCEL_MKT_DATA), make_field(VERSION), make_field(reqId)] msg = "".join(flds) self.sendMsg(msg) def reqMarketDataType(self, marketDataType:int): """The API can receive frozen market data from Trader Workstation. Frozen market data is the last data recorded in our system. During normal trading hours, the API receives real-time market data. If you use this function, you are telling TWS to automatically switch to frozen market data after the close. Then, before the opening of the next trading day, market data will automatically switch back to real-time market data. marketDataType:int - 1 for real-time streaming market data or 2 for frozen market data""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_MARKET_DATA_TYPE: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support market data type requests.", '') return VERSION = 1 # send req mkt data msg flds = [] flds += [make_field(OUT.REQ_MARKET_DATA_TYPE), make_field(VERSION), make_field(marketDataType)] msg = "".join(flds) self.sendMsg(msg) def reqSmartComponents(self, reqId: int, bboExchange: str): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_SMART_COMPONENTS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support smart components request.", '') return try: msg = make_field(OUT.REQ_SMART_COMPONENTS) \ + make_field(reqId) \ + make_field(bboExchange) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def reqMarketRule(self, marketRuleId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_MARKET_RULES: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support market rule requests.", '') return msg = make_field(OUT.REQ_MARKET_RULE) \ + make_field(marketRuleId) self.sendMsg(msg) def reqTickByTickData(self, reqId: int, contract: Contract, tickType: str, numberOfTicks: int, ignoreSize: bool): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_TICK_BY_TICK: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tick-by-tick data requests.", '') return if self.serverVersion() < MIN_SERVER_VER_TICK_BY_TICK_IGNORE_SIZE: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support ignoreSize and numberOfTicks parameters " "in tick-by-tick data requests.", '') return try: msg = make_field(OUT.REQ_TICK_BY_TICK_DATA)\ + make_field(reqId) \ + make_field(contract.conId) \ + make_field(contract.symbol) \ + make_field(contract.secType) \ + make_field(contract.lastTradeDateOrContractMonth) \ + make_field(contract.strike) \ + make_field(contract.right) \ + make_field(contract.multiplier) \ + make_field(contract.exchange) \ + make_field(contract.primaryExchange) \ + make_field(contract.currency) \ + make_field(contract.localSymbol) \ + make_field(contract.tradingClass) \ + make_field(tickType) if self.serverVersion() >= MIN_SERVER_VER_TICK_BY_TICK_IGNORE_SIZE: msg += make_field(numberOfTicks) \ + make_field(ignoreSize) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelTickByTickData(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_TICK_BY_TICK: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tick-by-tick data requests.", '') return msg = make_field(OUT.CANCEL_TICK_BY_TICK_DATA) \ + make_field(reqId) self.sendMsg(msg) ########################################################################## ################## Options ########################################################################## def calculateImpliedVolatility(self, reqId:TickerId, contract:Contract, optionPrice:float, underPrice:float, implVolOptions:TagValueList): """Call this function to calculate volatility for a supplied option price and underlying price. Result will be delivered via EWrapper.tickOptionComputation() reqId:TickerId - The request id. contract:Contract - Describes the contract. optionPrice:double - The price of the option. underPrice:double - Price of the underlying.""" contract = contract_converter(contract) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_CALC_IMPLIED_VOLAT: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support calculateImpliedVolatility req.", '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tradingClass parameter in calculateImpliedVolatility.", '') return try: VERSION = 3 # send req mkt data msg flds = [] flds += [make_field(OUT.REQ_CALC_IMPLIED_VOLAT), make_field(VERSION), make_field(reqId), # send contract fields make_field(contract.conId), make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass),] flds += [ make_field( optionPrice), make_field( underPrice)] if self.serverVersion() >= MIN_SERVER_VER_LINKING: implVolOptStr = "" tagValuesCount = len(implVolOptions) if implVolOptions else 0 if implVolOptions: for implVolOpt in implVolOptions: implVolOptStr += str(implVolOpt) flds += [make_field(tagValuesCount), make_field(implVolOptStr)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelCalculateImpliedVolatility(self, reqId:TickerId): """Call this function to cancel a request to calculate volatility for a supplied option price and underlying price. reqId:TickerId - The request ID. """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_CALC_IMPLIED_VOLAT: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support calculateImpliedVolatility req.", '') return VERSION = 1 msg = make_field(OUT.CANCEL_CALC_IMPLIED_VOLAT) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) def calculateOptionPrice(self, reqId:TickerId, contract:Contract, volatility:float, underPrice:float, optPrcOptions:TagValueList): """Call this function to calculate option price and greek values for a supplied volatility and underlying price. reqId:TickerId - The ticker ID. contract:Contract - Describes the contract. volatility:double - The volatility. underPrice:double - Price of the underlying.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_CALC_IMPLIED_VOLAT: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support calculateImpliedVolatility req.", '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tradingClass parameter in calculateImpliedVolatility.", '') return try: VERSION = 3 # send req mkt data msg flds = [] flds += [make_field(OUT.REQ_CALC_OPTION_PRICE), make_field(VERSION), make_field(reqId), # send contract fields make_field(contract.conId), make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass),] flds += [ make_field(volatility), make_field(underPrice)] if self.serverVersion() >= MIN_SERVER_VER_LINKING: optPrcOptStr = "" tagValuesCount = len(optPrcOptions) if optPrcOptions else 0 if optPrcOptions: for implVolOpt in optPrcOptions: optPrcOptStr += str(implVolOpt) flds += [make_field(tagValuesCount), make_field(optPrcOptStr)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelCalculateOptionPrice(self, reqId:TickerId): """Call this function to cancel a request to calculate the option price and greek values for a supplied volatility and underlying price. reqId:TickerId - The request ID. """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_CALC_IMPLIED_VOLAT: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support calculateImpliedVolatility req.", '') return VERSION = 1 msg = make_field(OUT.CANCEL_CALC_OPTION_PRICE) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) def exerciseOptions(self, reqId:TickerId, contract:Contract, exerciseAction:int, exerciseQuantity:int, account:str, override:int): """reqId:TickerId - The ticker id. multipleust be a unique value. contract:Contract - This structure contains a description of the contract to be exercised exerciseAction:int - Specifies whether you want the option to lapse or be exercised. Values are 1 = exercise, 2 = lapse. exerciseQuantity:int - The quantity you want to exercise. account:str - destination account override:int - Specifies whether your setting will override the system's natural action. For example, if your action is "exercise" and the option is not in-the-money, by natural action the option would not exercise. If you have override set to "yes" the natural action would be overridden and the out-of-the money option would be exercised. Values are: 0 = no, 1 = yes.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId, multiplier, tradingClass parameter in exerciseOptions.", '') return try: VERSION = 2 # send req mkt data msg flds = [] flds += [make_field(OUT.EXERCISE_OPTIONS), make_field(VERSION), make_field(reqId)] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.conId),] flds += [make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.currency), make_field(contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass),] flds += [make_field(exerciseAction), make_field(exerciseQuantity), make_field(account), make_field(override)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) ######################################################################### ################## Orders ######################################################################## def placeOrder(self, orderId:OrderId , contract:Contract, order:Order): """Call this function to place an order. The order status will be returned by the orderStatus event. orderId:OrderId - The order id. You must specify a unique value. When the order START_APItus returns, it will be identified by this tag. This tag is also used when canceling the order. contract:Contract - This structure contains a description of the contract which is being traded. order:Order - This structure contains the details of tradedhe order. Note: Each client MUST connect with a unique clientId.""" order = order_converter(order) contract = contract_converter(contract) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(orderId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_DELTA_NEUTRAL: if contract.deltaNeutralContract: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support delta-neutral orders.", '') return if self.serverVersion() < MIN_SERVER_VER_SCALE_ORDERS2: if order.scaleSubsLevelSize != UNSET_INTEGER: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support Subsequent Level Size for Scale orders.", '') return if self.serverVersion() < MIN_SERVER_VER_ALGO_ORDERS: if order.algoStrategy: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support algo orders.", '') return if self.serverVersion() < MIN_SERVER_VER_NOT_HELD: if order.notHeld: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support notHeld parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_SEC_ID_TYPE: if contract.secIdType or contract.secId: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support secIdType and secId parameters.", '') return if self.serverVersion() < MIN_SERVER_VER_PLACE_ORDER_CONID: if contract.conId and contract.conId > 0: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_SSHORTX: if order.exemptCode != -1: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support exemptCode parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_SSHORTX: if contract.comboLegs: for comboLeg in contract.comboLegs: if comboLeg.exemptCode != -1: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support exemptCode parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_HEDGE_ORDERS: if order.hedgeType: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support hedge orders.", '') return if self.serverVersion() < MIN_SERVER_VER_OPT_OUT_SMART_ROUTING: if order.optOutSmartRouting: self.wrapper.error( orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support optOutSmartRouting parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_DELTA_NEUTRAL_CONID: if order.deltaNeutralConId > 0 \ or order.deltaNeutralSettlingFirm \ or order.deltaNeutralClearingAccount \ or order.deltaNeutralClearingIntent: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support deltaNeutral parameters: ConId, SettlingFirm, ClearingAccount, ClearingIntent.", '') return if self.serverVersion() < MIN_SERVER_VER_DELTA_NEUTRAL_OPEN_CLOSE: if order.deltaNeutralOpenClose \ or order.deltaNeutralShortSale \ or order.deltaNeutralShortSaleSlot > 0 \ or order.deltaNeutralDesignatedLocation: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support deltaNeutral parameters: OpenClose, ShortSale, ShortSaleSlot, DesignatedLocation.", '') return if self.serverVersion() < MIN_SERVER_VER_SCALE_ORDERS3: if order.scalePriceIncrement > 0 and order.scalePriceIncrement != UNSET_DOUBLE: if order.scalePriceAdjustValue != UNSET_DOUBLE \ or order.scalePriceAdjustInterval != UNSET_INTEGER \ or order.scaleProfitOffset != UNSET_DOUBLE \ or order.scaleAutoReset \ or order.scaleInitPosition != UNSET_INTEGER \ or order.scaleInitFillQty != UNSET_INTEGER \ or order.scaleRandomPercent: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support Scale order parameters: PriceAdjustValue, PriceAdjustInterval, " + "ProfitOffset, AutoReset, InitPosition, InitFillQty and RandomPercent", '') return if self.serverVersion() < MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE and contract.secType == "BAG": if order.orderComboLegs: for orderComboLeg in order.orderComboLegs: if orderComboLeg.price != UNSET_DOUBLE: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support per-leg prices for order combo legs.", '') return if self.serverVersion() < MIN_SERVER_VER_TRAILING_PERCENT: if order.trailingPercent != UNSET_DOUBLE: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support trailing percent parameter", '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tradingClass parameter in placeOrder.", '') return if self.serverVersion() < MIN_SERVER_VER_SCALE_TABLE: if order.scaleTable or order.activeStartTime or order.activeStopTime: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support scaleTable, activeStartTime and activeStopTime parameters", '') return if self.serverVersion() < MIN_SERVER_VER_ALGO_ID: if order.algoId: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support algoId parameter", '') return if self.serverVersion() < MIN_SERVER_VER_ORDER_SOLICITED: if order.solicited: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support order solicited parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_MODELS_SUPPORT: if order.modelCode: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support model code parameter.", '') return if self.serverVersion() < MIN_SERVER_VER_EXT_OPERATOR: if order.extOperator: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support ext operator parameter", '') return if self.serverVersion() < MIN_SERVER_VER_SOFT_DOLLAR_TIER: if order.softDollarTier.name or order.softDollarTier.val: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support soft dollar tier", '') return if self.serverVersion() < MIN_SERVER_VER_CASH_QTY: if order.cashQty: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support cash quantity parameter", '') return if self.serverVersion() < MIN_SERVER_VER_DECISION_MAKER and (order.mifid2DecisionMaker != "" or order.mifid2DecisionAlgo != ""): self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support MIFID II decision maker parameters", '') return if self.serverVersion() < MIN_SERVER_VER_MIFID_EXECUTION and (order.mifid2ExecutionTrader != "" or order.mifid2ExecutionAlgo != ""): self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support MIFID II execution parameters", '') return if self.serverVersion() < MIN_SERVER_VER_AUTO_PRICE_FOR_HEDGE and order.dontUseAutoPriceForHedge: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support dontUseAutoPriceForHedge parameter", '') return if self.serverVersion() < MIN_SERVER_VER_ORDER_CONTAINER and order.isOmsContainer: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support oms container parameter", '') return if self.serverVersion() < MIN_SERVER_VER_PRICE_MGMT_ALGO and order.usePriceMgmtAlgo: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support Use price management algo requests", '') return if self.serverVersion() < MIN_SERVER_VER_DURATION and order.duration != UNSET_INTEGER: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support duration attribute", '') return if self.serverVersion() < MIN_SERVER_VER_POST_TO_ATS and order.postToAts != UNSET_INTEGER: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support postToAts attribute", '') return if self.serverVersion() < MIN_SERVER_VER_AUTO_CANCEL_PARENT and order.autoCancelParent: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support autoCancelParent attribute", '') return if self.serverVersion() < MIN_SERVER_VER_ADVANCED_ORDER_REJECT and order.advancedErrorOverride: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support advanced error override attribute", '') return if self.serverVersion() < MIN_SERVER_VER_MANUAL_ORDER_TIME and order.manualOrderTime: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support manual order time attribute", '') return if self.serverVersion() < MIN_SERVER_VER_PEGBEST_PEGMID_OFFSETS: if order.minTradeQty != UNSET_INTEGER \ or order.minCompeteSize != UNSET_INTEGER \ or order.competeAgainstBestOffset != UNSET_DOUBLE \ or order.midOffsetAtWhole != UNSET_DOUBLE \ or order.midOffsetAtHalf != UNSET_DOUBLE: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support PEG BEST / PEG MID order parameters: minTradeQty, minCompeteSize, " + "competeAgainstBestOffset, midOffsetAtWhole and midOffsetAtHalf", '') return try: VERSION = 27 if (self.serverVersion() < MIN_SERVER_VER_NOT_HELD) else 45 # send place order msg flds = [] flds += [make_field(OUT.PLACE_ORDER)] if self.serverVersion() < MIN_SERVER_VER_ORDER_CONTAINER: flds += [make_field(VERSION)] flds += [make_field(orderId)] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_PLACE_ORDER_CONID: flds.append(make_field( contract.conId)) flds += [make_field( contract.symbol), make_field( contract.secType), make_field( contract.lastTradeDateOrContractMonth), make_field( contract.strike), make_field( contract.right), make_field( contract.multiplier), # srv v15 and above make_field( contract.exchange), make_field( contract.primaryExchange), # srv v14 and above make_field( contract.currency), make_field( contract.localSymbol)] # srv v2 and above if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds.append(make_field( contract.tradingClass)) if self.serverVersion() >= MIN_SERVER_VER_SEC_ID_TYPE: flds += [make_field( contract.secIdType), make_field( contract.secId)] # send main order fields flds.append(make_field( order.action)) if self.serverVersion() >= MIN_SERVER_VER_FRACTIONAL_POSITIONS: flds.append(make_field(order.totalQuantity)) else: flds.append(make_field(int(order.totalQuantity))) flds.append(make_field(order.orderType)) if self.serverVersion() < MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE: flds.append(make_field( order.lmtPrice if order.lmtPrice != UNSET_DOUBLE else 0)) else: flds.append(make_field_handle_empty( order.lmtPrice)) if self.serverVersion() < MIN_SERVER_VER_TRAILING_PERCENT: flds.append(make_field( order.auxPrice if order.auxPrice != UNSET_DOUBLE else 0)) else: flds.append(make_field_handle_empty( order.auxPrice)) # send extended order fields flds += [make_field( order.tif), make_field( order.ocaGroup), make_field( order.account), make_field( order.openClose), make_field( order.origin), make_field( order.orderRef), make_field( order.transmit), make_field( order.parentId), # srv v4 and above make_field( order.blockOrder), # srv v5 and above make_field( order.sweepToFill), # srv v5 and above make_field( order.displaySize), # srv v5 and above make_field( order.triggerMethod), # srv v5 and above make_field( order.outsideRth), # srv v5 and above make_field( order.hidden)] # srv v7 and above # Send combo legs for BAG requests (srv v8 and above) if contract.secType == "BAG": comboLegsCount = len(contract.comboLegs) if contract.comboLegs else 0 flds.append(make_field(comboLegsCount)) if comboLegsCount > 0: for comboLeg in contract.comboLegs: assert comboLeg flds += [make_field(comboLeg.conId), make_field( comboLeg.ratio), make_field( comboLeg.action), make_field( comboLeg.exchange), make_field( comboLeg.openClose), make_field( comboLeg.shortSaleSlot), #srv v35 and above make_field( comboLeg.designatedLocation)] # srv v35 and above if self.serverVersion() >= MIN_SERVER_VER_SSHORTX_OLD: flds.append(make_field(comboLeg.exemptCode)) # Send order combo legs for BAG requests if self.serverVersion() >= MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE and contract.secType == "BAG": orderComboLegsCount = len(order.orderComboLegs) if order.orderComboLegs else 0 flds.append(make_field( orderComboLegsCount)) if orderComboLegsCount: for orderComboLeg in order.orderComboLegs: assert orderComboLeg flds.append(make_field_handle_empty( orderComboLeg.price)) if self.serverVersion() >= MIN_SERVER_VER_SMART_COMBO_ROUTING_PARAMS and contract.secType == "BAG": smartComboRoutingParamsCount = len(order.smartComboRoutingParams) if order.smartComboRoutingParams else 0 flds.append(make_field( smartComboRoutingParamsCount)) if smartComboRoutingParamsCount > 0: for tagValue in order.smartComboRoutingParams: flds += [make_field(tagValue.tag), make_field(tagValue.value)] ###################################################################### # Send the shares allocation. # # This specifies the number of order shares allocated to each Financial # Advisor managed account. The format of the allocation string is as # follows: # /,/,...N # E.g. # To allocate 20 shares of a 100 share order to account 'U101' and the # residual 80 to account 'U203' enter the following share allocation string: # U101/20,U203/80 ##################################################################### # send deprecated sharesAllocation field flds += [make_field( ""), # srv v9 and above make_field( order.discretionaryAmt), # srv v10 and above make_field( order.goodAfterTime), # srv v11 and above make_field( order.goodTillDate), # srv v12 and above make_field( order.faGroup), # srv v13 and above make_field( order.faMethod), # srv v13 and above make_field( order.faPercentage), # srv v13 and above make_field( order.faProfile)] # srv v13 and above if self.serverVersion() >= MIN_SERVER_VER_MODELS_SUPPORT: flds.append(make_field( order.modelCode)) # institutional short saleslot data (srv v18 and above) flds += [make_field( order.shortSaleSlot), # 0 for retail, 1 or 2 for institutions make_field( order.designatedLocation)] # populate only when shortSaleSlot = 2. if self.serverVersion() >= MIN_SERVER_VER_SSHORTX_OLD: flds.append(make_field( order.exemptCode)) # not needed anymore #bool isVolOrder = (order.orderType.CompareNoCase("VOL") == 0) # srv v19 and above fields flds.append(make_field( order.ocaType)) #if( self.serverVersion() < 38) { # will never happen # send( /* order.rthOnly */ false); #} flds += [make_field( order.rule80A), make_field( order.settlingFirm), make_field( order.allOrNone), make_field_handle_empty( order.minQty), make_field_handle_empty( order.percentOffset), make_field( False), make_field( False), make_field_handle_empty( UNSET_DOUBLE), make_field( order.auctionStrategy), # AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT make_field_handle_empty( order.startingPrice), make_field_handle_empty( order.stockRefPrice), make_field_handle_empty( order.delta), make_field_handle_empty( order.stockRangeLower), make_field_handle_empty( order.stockRangeUpper), make_field( order.overridePercentageConstraints), #srv v22 and above # Volatility orders (srv v26 and above) make_field_handle_empty( order.volatility), make_field_handle_empty( order.volatilityType), make_field( order.deltaNeutralOrderType), # srv v28 and above make_field_handle_empty( order.deltaNeutralAuxPrice)] # srv v28 and above if self.serverVersion() >= MIN_SERVER_VER_DELTA_NEUTRAL_CONID and order.deltaNeutralOrderType: flds += [make_field( order.deltaNeutralConId), make_field( order.deltaNeutralSettlingFirm), make_field( order.deltaNeutralClearingAccount), make_field( order.deltaNeutralClearingIntent)] if self.serverVersion() >= MIN_SERVER_VER_DELTA_NEUTRAL_OPEN_CLOSE and order.deltaNeutralOrderType: flds += [make_field( order.deltaNeutralOpenClose), make_field( order.deltaNeutralShortSale), make_field( order.deltaNeutralShortSaleSlot), make_field( order.deltaNeutralDesignatedLocation)] flds += [make_field( order.continuousUpdate), make_field_handle_empty( order.referencePriceType), make_field_handle_empty( order.trailStopPrice)] # srv v30 and above if self.serverVersion() >= MIN_SERVER_VER_TRAILING_PERCENT: flds.append(make_field_handle_empty( order.trailingPercent)) # SCALE orders if self.serverVersion() >= MIN_SERVER_VER_SCALE_ORDERS2: flds += [make_field_handle_empty( order.scaleInitLevelSize), make_field_handle_empty( order.scaleSubsLevelSize)] else: # srv v35 and above) flds += [make_field( ""), # for not supported scaleNumComponents make_field_handle_empty(order.scaleInitLevelSize)] # for scaleComponentSize flds.append(make_field_handle_empty( order.scalePriceIncrement)) if self.serverVersion() >= MIN_SERVER_VER_SCALE_ORDERS3 \ and order.scalePriceIncrement != UNSET_DOUBLE \ and order.scalePriceIncrement > 0.0: flds += [make_field_handle_empty( order.scalePriceAdjustValue), make_field_handle_empty( order.scalePriceAdjustInterval), make_field_handle_empty( order.scaleProfitOffset), make_field( order.scaleAutoReset), make_field_handle_empty( order.scaleInitPosition), make_field_handle_empty( order.scaleInitFillQty), make_field( order.scaleRandomPercent)] if self.serverVersion() >= MIN_SERVER_VER_SCALE_TABLE: flds += [make_field( order.scaleTable), make_field( order.activeStartTime), make_field( order.activeStopTime)] # HEDGE orders if self.serverVersion() >= MIN_SERVER_VER_HEDGE_ORDERS: flds.append(make_field( order.hedgeType)) if order.hedgeType: flds.append(make_field( order.hedgeParam)) if self.serverVersion() >= MIN_SERVER_VER_OPT_OUT_SMART_ROUTING: flds.append(make_field( order.optOutSmartRouting)) if self.serverVersion() >= MIN_SERVER_VER_PTA_ORDERS: flds += [make_field( order.clearingAccount), make_field( order.clearingIntent)] if self.serverVersion() >= MIN_SERVER_VER_NOT_HELD: flds.append(make_field( order.notHeld)) if self.serverVersion() >= MIN_SERVER_VER_DELTA_NEUTRAL: if contract.deltaNeutralContract: flds += [make_field(True), make_field(contract.deltaNeutralContract.conId), make_field(contract.deltaNeutralContract.delta), make_field(contract.deltaNeutralContract.price)] else: flds.append(make_field(False)) if self.serverVersion() >= MIN_SERVER_VER_ALGO_ORDERS: flds.append(make_field( order.algoStrategy)) if order.algoStrategy: algoParamsCount = len(order.algoParams) if order.algoParams else 0 flds.append(make_field(algoParamsCount)) if algoParamsCount > 0: for algoParam in order.algoParams: flds += [make_field(algoParam.tag), make_field(algoParam.value)] if self.serverVersion() >= MIN_SERVER_VER_ALGO_ID: flds.append(make_field( order.algoId)) flds.append(make_field( order.whatIf)) # srv v36 and above # send miscOptions parameter if self.serverVersion() >= MIN_SERVER_VER_LINKING: miscOptionsStr = "" if order.orderMiscOptions: for tagValue in order.orderMiscOptions: miscOptionsStr += str(tagValue) flds.append(make_field( miscOptionsStr)) if self.serverVersion() >= MIN_SERVER_VER_ORDER_SOLICITED: flds.append(make_field(order.solicited)) if self.serverVersion() >= MIN_SERVER_VER_RANDOMIZE_SIZE_AND_PRICE: flds += [make_field(order.randomizeSize), make_field(order.randomizePrice)] if self.serverVersion() >= MIN_SERVER_VER_PEGGED_TO_BENCHMARK: if order.orderType == "PEG BENCH": flds += [make_field(order.referenceContractId), make_field(order.isPeggedChangeAmountDecrease), make_field(order.peggedChangeAmount), make_field(order.referenceChangeAmount), make_field(order.referenceExchangeId)] flds.append(make_field(len(order.conditions))) if len(order.conditions) > 0: for cond in order.conditions: flds.append(make_field(cond.type())) flds += cond.make_fields() flds += [make_field(order.conditionsIgnoreRth), make_field(order.conditionsCancelOrder)] flds += [make_field(order.adjustedOrderType), make_field(order.triggerPrice), make_field(order.lmtPriceOffset), make_field(order.adjustedStopPrice), make_field(order.adjustedStopLimitPrice), make_field(order.adjustedTrailingAmount), make_field(order.adjustableTrailingUnit)] if self.serverVersion() >= MIN_SERVER_VER_EXT_OPERATOR: flds.append(make_field( order.extOperator)) if self.serverVersion() >= MIN_SERVER_VER_SOFT_DOLLAR_TIER: flds += [make_field(order.softDollarTier.name), make_field(order.softDollarTier.val)] if self.serverVersion() >= MIN_SERVER_VER_CASH_QTY: flds.append(make_field( order.cashQty)) if self.serverVersion() >= MIN_SERVER_VER_DECISION_MAKER: flds.append(make_field( order.mifid2DecisionMaker)) flds.append(make_field( order.mifid2DecisionAlgo)) if self.serverVersion() >= MIN_SERVER_VER_MIFID_EXECUTION: flds.append(make_field( order.mifid2ExecutionTrader)) flds.append(make_field( order.mifid2ExecutionAlgo)) if self.serverVersion() >= MIN_SERVER_VER_AUTO_PRICE_FOR_HEDGE: flds.append(make_field(order.dontUseAutoPriceForHedge)) if self.serverVersion() >= MIN_SERVER_VER_ORDER_CONTAINER: flds.append(make_field(order.isOmsContainer)) if self.serverVersion() >= MIN_SERVER_VER_D_PEG_ORDERS: flds.append(make_field(order.discretionaryUpToLimitPrice)) if self.serverVersion() >= MIN_SERVER_VER_PRICE_MGMT_ALGO: flds.append(make_field_handle_empty(UNSET_INTEGER if order.usePriceMgmtAlgo == None else 1 if order.usePriceMgmtAlgo else 0)) if self.serverVersion() >= MIN_SERVER_VER_DURATION: flds.append(make_field(order.duration)) if self.serverVersion() >= MIN_SERVER_VER_POST_TO_ATS: flds.append(make_field(order.postToAts)) if self.serverVersion() >= MIN_SERVER_VER_AUTO_CANCEL_PARENT: flds.append(make_field(order.autoCancelParent)) if self.serverVersion() >= MIN_SERVER_VER_ADVANCED_ORDER_REJECT: flds.append(make_field(order.advancedErrorOverride)) if self.serverVersion() >= MIN_SERVER_VER_MANUAL_ORDER_TIME: flds.append(make_field(order.manualOrderTime)) if self.serverVersion() >= MIN_SERVER_VER_PEGBEST_PEGMID_OFFSETS: sendMidOffsets = False; if contract.exchange == "IBKRATS": flds.append(make_field_handle_empty(order.minTradeQty)) if order.orderType == "PEG BEST": flds.append(make_field_handle_empty(order.minCompeteSize)) flds.append(make_field_handle_empty(order.competeAgainstBestOffset)) if order.competeAgainstBestOffset == COMPETE_AGAINST_BEST_OFFSET_UP_TO_MID: sendMidOffsets = True; elif order.orderType == "PEG MID": sendMidOffsets = True; if sendMidOffsets: flds.append(make_field_handle_empty(order.midOffsetAtWhole)) flds.append(make_field_handle_empty(order.midOffsetAtHalf)) msg = "".join(flds) except ClientException as ex: self.wrapper.error(orderId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelOrder(self, orderId:OrderId, manualCancelOrderTime:str): """Call this function to cancel an order. orderId:OrderId - The order ID that was specified previously in the call to placeOrder()""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_MANUAL_ORDER_TIME and manualCancelOrderTime: self.wrapper.error(orderId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support manual order cancel time attribute", '') return VERSION = 1 flds = [] flds += [make_field(OUT.CANCEL_ORDER)] flds += [make_field(VERSION)] flds += [make_field(orderId)] if self.serverVersion() >= MIN_SERVER_VER_MANUAL_ORDER_TIME: flds += [make_field(manualCancelOrderTime)] msg = "".join(flds) self.sendMsg(msg) def reqOpenOrders(self): """Call this function to request the open orders that were placed from this client. Each open order will be fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: The client with a clientId of 0 will also receive the TWS-owned open orders. These orders will be associated with the client and a new orderId will be generated. This association will persist over multiple API and TWS sessions. """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_OPEN_ORDERS) \ + make_field(VERSION) self.sendMsg(msg) def reqAutoOpenOrders(self, bAutoBind:bool): """Call this function to request that newly created TWS orders be implicitly associated with the client. When a new TWS order is created, the order will be associated with the client, and fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: This request can only be made from a client with clientId of 0. bAutoBind: If set to TRUE, newly created TWS orders will be implicitly associated with the client. If set to FALSE, no association will be made.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_AUTO_OPEN_ORDERS) \ + make_field(VERSION) \ + make_field(bAutoBind) self.sendMsg(msg) def reqAllOpenOrders(self): """Call this function to request the open orders placed from all clients and also from TWS. Each open order will be fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: No association is made between the returned orders and the requesting client.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_ALL_OPEN_ORDERS) \ + make_field(VERSION) self.sendMsg(msg) def reqGlobalCancel(self): """Use this function to cancel all open orders globally. It cancels both API and TWS open orders. If the order was created in TWS, it also gets canceled. If the order was initiated in the API, it also gets canceled.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_GLOBAL_CANCEL) \ + make_field(VERSION) self.sendMsg(msg) def reqIds(self, numIds:int): """Call this function to request from TWS the next valid ID that can be used when placing an order. After calling this function, the nextValidId() event will be triggered, and the id returned is that next valid ID. That ID will reflect any autobinding that has occurred (which generates new IDs and increments the next valid ID therein). numIds:int - deprecated""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_IDS) \ + make_field(VERSION) \ + make_field(numIds) self.sendMsg(msg) ######################################################################### ################## Account and Portfolio ######################################################################## def reqAccountUpdates(self, subscribe:bool, acctCode:str): """Call this function to start getting account values, portfolio, and last update time information via EWrapper.updateAccountValue(), EWrapperi.updatePortfolio() and Wrapper.updateAccountTime(). subscribe:bool - If set to TRUE, the client will start receiving account and Portfoliolio updates. If set to FALSE, the client will stop receiving this information. acctCode:str -The account code for which to receive account and portfolio updates.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return try: VERSION = 2 flds = [] flds += [make_field(OUT.REQ_ACCT_DATA), make_field(VERSION), make_field(subscribe), # TRUE = subscribe, FALSE = unsubscribe. make_field(acctCode)] # srv v9 and above, the account code. This will only be used for FA clients msg = "".join(flds) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def reqAccountSummary(self, reqId:int, groupName:str, tags:str): """Call this method to request and keep up to date the data that appears on the TWS Account Window Summary tab. The data is returned by accountSummary(). Note: This request is designed for an FA managed account but can be used for any multi-account structure. reqId:int - The ID of the data request. Ensures that responses are matched to requests If several requests are in process. groupName:str - Set to All to returnrn account summary data for all accounts, or set to a specific Advisor Account Group name that has already been created in TWS Global Configuration. tags:str - A comma-separated list of account tags. Available tags are: accountountType NetLiquidation, TotalCashValue - Total cash including futures pnl SettledCash - For cash accounts, this is the same as TotalCashValue AccruedCash - Net accrued interest BuyingPower - The maximum amount of marginable US stocks the account can buy EquityWithLoanValue - Cash + stocks + bonds + mutual funds PreviousDayEquityWithLoanValue, GrossPositionValue - The sum of the absolute value of all stock and equity option positions RegTEquity, RegTMargin, SMA - Special Memorandum Account InitMarginReq, MaintMarginReq, AvailableFunds, ExcessLiquidity, Cushion - Excess liquidity as a percentage of net liquidation value FullInitMarginReq, FullMaintMarginReq, FullAvailableFunds, FullExcessLiquidity, LookAheadNextChange - Time when look-ahead values take effect LookAheadInitMarginReq, LookAheadMaintMarginReq, LookAheadAvailableFunds, LookAheadExcessLiquidity, HighestSeverity - A measure of how close the account is to liquidation DayTradesRemaining - The Number of Open/Close trades a user could put on before Pattern Day Trading is detected. A value of "-1" means that the user can put on unlimited day trades. Leverage - GrossPositionValue / NetLiquidation $LEDGER - Single flag to relay all cash balance tags*, only in base currency. $LEDGER:CURRENCY - Single flag to relay all cash balance tags*, only in the specified currency. $LEDGER:ALL - Single flag to relay all cash balance tags* in all currencies.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return try: VERSION = 1 msg = make_field(OUT.REQ_ACCOUNT_SUMMARY) \ + make_field(VERSION) \ + make_field(reqId) \ + make_field(groupName) \ + make_field(tags) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelAccountSummary(self, reqId:int): """Cancels the request for Account Window Summary tab data. reqId:int - The ID of the data request being canceled.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.CANCEL_ACCOUNT_SUMMARY) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) def reqPositions(self): """Requests real-time position data for all accounts.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_POSITIONS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support positions request.", '') return VERSION = 1 msg = make_field(OUT.REQ_POSITIONS) \ + make_field(VERSION) self.sendMsg(msg) def cancelPositions(self): """Cancels real-time position updates.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_POSITIONS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support positions request.", '') return VERSION = 1 msg = make_field(OUT.CANCEL_POSITIONS) \ + make_field(VERSION) self.sendMsg(msg) def reqPositionsMulti(self, reqId:int, account:str, modelCode:str): """Requests positions for account and/or model. Results are delivered via EWrapper.positionMulti() and EWrapper.positionMultiEnd() """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_MODELS_SUPPORT: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support positions multi request.", '') return try: VERSION = 1 msg = make_field(OUT.REQ_POSITIONS_MULTI) \ + make_field(VERSION) \ + make_field(reqId) \ + make_field(account) \ + make_field(modelCode) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text, '') return self.sendMsg(msg) def cancelPositionsMulti(self, reqId:int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_MODELS_SUPPORT: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support cancel positions multi request.") return VERSION = 1 msg = make_field(OUT.CANCEL_POSITIONS_MULTI) \ + make_field(VERSION) \ + make_field(reqId) \ self.sendMsg(msg) def reqAccountUpdatesMulti(self, reqId: int, account:str, modelCode:str, ledgerAndNLV:bool): """Requests account updates for account and/or model.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_MODELS_SUPPORT: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support account updates multi request.") return try: VERSION = 1 msg = make_field(OUT.REQ_ACCOUNT_UPDATES_MULTI) \ + make_field(VERSION) \ + make_field(reqId) \ + make_field(account) \ + make_field(modelCode) \ + make_field(ledgerAndNLV) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelAccountUpdatesMulti(self, reqId:int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_MODELS_SUPPORT: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support cancel account updates multi request.") return VERSION = 1 msg = make_field(OUT.CANCEL_ACCOUNT_UPDATES_MULTI) \ + make_field(VERSION) \ + make_field(reqId) \ self.sendMsg(msg) ######################################################################### ################## Daily PnL ######################################################################### def reqPnL(self, reqId: int, account: str, modelCode: str): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_PNL: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support PnL request.") return try: msg = make_field(OUT.REQ_PNL) \ + make_field(reqId) \ + make_field(account) \ + make_field(modelCode) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelPnL(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_PNL: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support PnL request.") return msg = make_field(OUT.CANCEL_PNL) \ + make_field(reqId) self.sendMsg(msg) def reqPnLSingle(self, reqId: int, account: str, modelCode: str, conid: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_PNL: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support PnL request.") return try: msg = make_field(OUT.REQ_PNL_SINGLE) \ + make_field(reqId) \ + make_field(account) \ + make_field(modelCode) \ + make_field(conid) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelPnLSingle(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_PNL: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support PnL request.") return msg = make_field(OUT.CANCEL_PNL_SINGLE) \ + make_field(reqId) self.sendMsg(msg) ######################################################################### ################## Executions ######################################################################### def reqExecutions(self, reqId:int, execFilter:ExecutionFilter): """When this function is called, the execution reports that meet the filter criteria are downloaded to the client via the execDetails() function. To view executions beyond the past 24 hours, open the Trade Log in TWS and, while the Trade Log is displayed, request the executions again from the API. reqId:int - The ID of the data request. Ensures that responses are matched to requests if several requests are in process. execFilter:ExecutionFilter - This object contains attributes that describe the filter criteria used to determine which execution reports are returned. NOTE: Time format must be 'yyyymmdd-hh:mm:ss' Eg: '20030702-14:55'""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return try: VERSION = 3 # send req open orders msg flds = [] flds += [make_field(OUT.REQ_EXECUTIONS), make_field(VERSION)] if self.serverVersion() >= MIN_SERVER_VER_EXECUTION_DATA_CHAIN: flds += [make_field( reqId),] # Send the execution rpt filter data (srv v9 and above) flds += [make_field( execFilter.clientId), make_field(execFilter.acctCode), make_field(execFilter.time), make_field(execFilter.symbol), make_field(execFilter.secType), make_field(execFilter.exchange), make_field(execFilter.side)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) ######################################################################### ################## Contract Details ######################################################################### def reqContractDetails(self, reqId:int , contract:Contract): """Call this function to download all details for a particular underlying. The contract details will be received via the contractDetails() function on the EWrapper. reqId:int - The ID of the data request. Ensures that responses are make_fieldatched to requests if several requests are in process. contract:Contract - The summary description of the contract being looked up.""" contract = contract_converter(contract) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_SEC_ID_TYPE: if contract.secIdType or contract.secId: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support secIdType and secId parameters.") return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support tradingClass parameter in reqContractDetails.") return if self.serverVersion() < MIN_SERVER_VER_LINKING: if contract.primaryExchange: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support primaryExchange parameter in reqContractDetails.") return if self.serverVersion() < MIN_SERVER_VER_BOND_ISSUERID: if contract.issuerId: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support issuerId parameter in reqContractDetails.") return try: VERSION = 8 # send req mkt data msg flds = [] flds += [make_field(OUT.REQ_CONTRACT_DATA), make_field( VERSION)] if self.serverVersion() >= MIN_SERVER_VER_CONTRACT_DATA_CHAIN: flds += [make_field( reqId),] # send contract fields flds += [make_field(contract.conId), # srv v37 and above make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier)] # srv v15 and above if self.serverVersion() >= MIN_SERVER_VER_PRIMARYEXCH: flds += [make_field(contract.exchange), make_field(contract.primaryExchange)] elif self.serverVersion() >= MIN_SERVER_VER_LINKING: if (contract.primaryExchange and (contract.exchange == "BEST" or contract.exchange == "SMART")): flds += [make_field(contract.exchange + ":" + contract.primaryExchange),] else: flds += [make_field(contract.exchange),] flds += [make_field( contract.currency), make_field( contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass), ] flds += [make_field(contract.includeExpired),] # srv v31 and above if self.serverVersion() >= MIN_SERVER_VER_SEC_ID_TYPE: flds += [make_field( contract.secIdType), make_field( contract.secId)] if self.serverVersion() >= MIN_SERVER_VER_BOND_ISSUERID: flds += [make_field(contract.issuerId), ] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) ######################################################################### ################## Market Depth ######################################################################### def reqMktDepthExchanges(self): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_MKT_DEPTH_EXCHANGES: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support market depth exchanges request.") return msg = make_field(OUT.REQ_MKT_DEPTH_EXCHANGES) self.sendMsg(msg) def reqMktDepth(self, reqId:TickerId, contract:Contract, numRows:int, isSmartDepth:bool, mktDepthOptions:TagValueList): """Call this function to request market depth for a specific contract. The market depth will be returned by the updateMktDepth() and updateMktDepthL2() events. Requests the contract's market depth (order book). Note this request must be direct-routed to an exchange and not smart-routed. The number of simultaneous market depth requests allowed in an account is calculated based on a formula that looks at an accounts equity, commissions, and quote booster packs. reqId:TickerId - The ticker id. Must be a unique value. When the market depth data returns, it will be identified by this tag. This is also used when canceling the market depth contract:Contact - This structure contains a description of the contract for which market depth data is being requested. numRows:int - Specifies the numRowsumber of market depth rows to display. isSmartDepth:bool - specifies SMART depth request mktDepthOptions:TagValueList - For internal use only. Use default value XYZ.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass or contract.conId > 0: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId and tradingClass parameters in reqMktDepth.") return if self.serverVersion() < MIN_SERVER_VER_SMART_DEPTH and isSmartDepth: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support SMART depth request.") return if self.serverVersion() < MIN_SERVER_VER_MKT_DEPTH_PRIM_EXCHANGE and contract.primaryExchange: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support primaryExchange parameter in reqMktDepth.") return try: VERSION = 5 # send req mkt depth msg flds = [] flds += [make_field(OUT.REQ_MKT_DEPTH), make_field(VERSION), make_field(reqId)] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.conId),] flds += [make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), # srv v15 and above make_field(contract.exchange),] if self.serverVersion() >= MIN_SERVER_VER_MKT_DEPTH_PRIM_EXCHANGE: flds += [make_field(contract.primaryExchange),] flds += [make_field(contract.currency), make_field(contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass),] flds += [make_field(numRows),] # srv v19 and above if self.serverVersion() >= MIN_SERVER_VER_SMART_DEPTH: flds += [make_field(isSmartDepth),] # send mktDepthOptions parameter if self.serverVersion() >= MIN_SERVER_VER_LINKING: #current doc says this part if for "internal use only" -> won't support it if mktDepthOptions: raise NotImplementedError("not supported") mktDataOptionsStr = "" flds += [make_field(mktDataOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelMktDepth(self, reqId:TickerId, isSmartDepth:bool): """After calling this function, market depth data for the specified id will stop flowing. reqId:TickerId - The ID that was specified in the call to reqMktDepth(). isSmartDepth:bool - specifies SMART depth request""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_SMART_DEPTH and isSmartDepth: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support SMART depth cancel.") return VERSION = 1 # send cancel mkt depth msg flds = [] flds += [make_field(OUT.CANCEL_MKT_DEPTH), make_field(VERSION), make_field(reqId)] if self.serverVersion() >= MIN_SERVER_VER_SMART_DEPTH: flds += [make_field(isSmartDepth)] msg = "".join(flds) self.sendMsg(msg) ######################################################################### ################## News Bulletins ######################################################################### def reqNewsBulletins(self, allMsgs:bool): """Call this function to start receiving news bulletins. Each bulletin will be returned by the updateNewsBulletin() event. allMsgs:bool - If set to TRUE, returns all the existing bulletins for the currencyent day and any new ones. If set to FALSE, will only return new bulletins. """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_NEWS_BULLETINS) \ + make_field(VERSION) \ + make_field(allMsgs) self.sendMsg(msg) def cancelNewsBulletins(self): """Call this function to stop receiving news bulletins.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.CANCEL_NEWS_BULLETINS) \ + make_field(VERSION) self.sendMsg(msg) ######################################################################### ################## Financial Advisors ######################################################################### def reqManagedAccts(self): """Call this function to request the list of managed accounts. The list will be returned by the managedAccounts() function on the EWrapper. Note: This request can only be made when connected to a FA managed account.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_MANAGED_ACCTS) \ + make_field(VERSION) return self.sendMsg(msg) def requestFA(self, faData:FaDataType): """Call this function to request FA configuration information from TWS. The data returns in an XML string via a "receiveFA" ActiveX event. faData:FaDataType - Specifies the type of Financial Advisor configuration data beingingg requested. Valid values include: 1 = GROUPS 2 = PROFILE 3 = ACCOUNT ALIASES""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_FA) \ + make_field(VERSION) \ + make_field(int(faData)) return self.sendMsg(msg) def replaceFA(self, reqId:TickerId , faData:FaDataType , cxml:str): """Call this function to modify FA configuration information from the API. Note that this can also be done manually in TWS itself. reqId:TickerId - request id faData:FaDataType - Specifies the type of Financial Advisor configuration data beingingg requested. Valid values include: 1 = GROUPS 2 = PROFILE 3 = ACCOUNT ALIASES cxml: str - The XML string containing the new FA configuration information. """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return try: VERSION = 1 msg = make_field(OUT.REPLACE_FA) \ + make_field(VERSION) \ + make_field(int(faData)) \ + make_field(cxml) \ if self.serverVersion() >= MIN_SERVER_VER_REPLACE_FA_END: msg += make_field(reqId) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text) return return self.sendMsg(msg) ######################################################################### ################## Historical Data ######################################################################### def reqHistoricalData(self, reqId:TickerId , contract:Contract, endDateTime:str, durationStr:str, barSizeSetting:str, whatToShow:str, useRTH:int, formatDate:int, keepUpToDate:bool, chartOptions:TagValueList): """Requests contracts' historical data. When requesting historical data, a finishing time and date is required along with a duration string. The resulting bars will be returned in EWrapper.historicalData() reqId:TickerId - The id of the request. Must be a unique value. When the market data returns, it whatToShowill be identified by this tag. This is also used when canceling the market data. contract:Contract - This object contains a description of the contract for which market data is being requested. endDateTime:str - Defines a query end date and time at any point during the past 6 mos. Valid values include any date/time within the past six months in the format: yyyymmdd HH:mm:ss ttt where "ttt" is the optional time zone. durationStr:str - Set the query duration up to one week, using a time unit of seconds, days or weeks. Valid values include any integer followed by a space and then S (seconds), D (days) or W (week). If no unit is specified, seconds is used. barSizeSetting:str - Specifies the size of the bars that will be returned (within IB/TWS listimits). Valid values include: 1 sec 5 secs 15 secs 30 secs 1 min 2 mins 3 mins 5 mins 15 mins 30 mins 1 hour 1 day whatToShow:str - Determines the nature of data beinging extracted. Valid values include: TRADES MIDPOINT BID ASK BID_ASK HISTORICAL_VOLATILITY OPTION_IMPLIED_VOLATILITY SCHEDULE useRTH:int - Determines whether to return all data available during the requested time span, or only data that falls within regular trading hours. Valid values include: 0 - all data is returned even where the market in question was outside of its regular trading hours. 1 - only data within the regular trading hours is returned, even if the requested time span falls partially or completely outside of the RTH. formatDate: int - Determines the date format applied to returned bars. validd values include: 1 - dates applying to bars returned in the format: yyyymmdd{space}{space}hh:mm:dd 2 - dates are returned as a long integer specifying the number of seconds since 1/1/1970 GMT. chartOptions:TagValueList - For internal use only. Use default value XYZ. """ contract = contract_converter(contract) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass or contract.conId > 0: self.wrapper.error(reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId and tradingClass parameters in reqHistoricalData.") return if self.serverVersion() < MIN_SERVER_VER_HISTORICAL_SCHEDULE: if whatToShow == "SCHEDULE": self.wrapper.error(reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support requesting of historical schedule.") return try: VERSION = 6 # send req mkt data msg flds = [] flds += [make_field(OUT.REQ_HISTORICAL_DATA),] if self.serverVersion() < MIN_SERVER_VER_SYNT_REALTIME_BARS: flds += [make_field(VERSION),] flds += [make_field(reqId),] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.conId),] flds += [make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field( contract.tradingClass),] flds += [make_field(contract.includeExpired), # srv v31 and above make_field(endDateTime), # srv v20 and above make_field(barSizeSetting), # srv v20 and above make_field(durationStr), make_field(useRTH), make_field(whatToShow), make_field(formatDate)] # srv v16 and above # Send combo legs for BAG requests if contract.secType == "BAG": flds += [make_field(len(contract.comboLegs)),] for comboLeg in contract.comboLegs: flds += [make_field( comboLeg.conId), make_field( comboLeg.ratio), make_field( comboLeg.action), make_field( comboLeg.exchange)] if self.serverVersion() >= MIN_SERVER_VER_SYNT_REALTIME_BARS: flds += [make_field(keepUpToDate), ] # send chartOptions parameter if self.serverVersion() >= MIN_SERVER_VER_LINKING: chartOptionsStr = "" if chartOptions: for tagValue in chartOptions: chartOptionsStr += str(tagValue) flds += [make_field( chartOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelHistoricalData(self, reqId:TickerId): """Used if an internet disconnect has occurred or the results of a query are otherwise delayed and the application is no longer interested in receiving the data. reqId:TickerId - The ticker ID. Must be a unique value.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.CANCEL_HISTORICAL_DATA) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) # Note that formatData parameter affects intraday bars only # 1-day bars always return with date in YYYYMMDD format def reqHeadTimeStamp(self, reqId:TickerId, contract:Contract, whatToShow: str, useRTH: int, formatDate: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_HEAD_TIMESTAMP: self.wrapper.error(reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support head time stamp requests.") return try: flds = [] flds += [make_field(OUT.REQ_HEAD_TIMESTAMP), make_field(reqId), make_field(contract.conId), make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol), make_field(contract.tradingClass), make_field(contract.includeExpired), make_field(useRTH), make_field(whatToShow), make_field(formatDate) ] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelHeadTimeStamp(self, reqId: TickerId): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_CANCEL_HEADTIMESTAMP: self.wrapper.error(reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support head time stamp requests.") return flds = [] flds += [make_field(OUT.CANCEL_HEAD_TIMESTAMP), make_field(reqId) ] msg = "".join(flds) self.sendMsg(msg) def reqHistogramData(self, tickerId: int, contract: Contract, useRTH: bool, timePeriod: str): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_HISTOGRAM: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support histogram requests..") return try: flds = [] flds += [make_field(OUT.REQ_HISTOGRAM_DATA), make_field(tickerId), make_field(contract.conId), make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol), make_field(contract.tradingClass), make_field(contract.includeExpired), make_field(useRTH), make_field(timePeriod)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(tickerId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelHistogramData(self, tickerId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_HISTOGRAM: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support histogram requests..") return msg = make_field(OUT.CANCEL_HISTOGRAM_DATA) + make_field(tickerId) self.sendMsg(msg) def reqHistoricalTicks(self, reqId: int, contract: Contract, startDateTime: str, endDateTime: str, numberOfTicks: int, whatToShow: str, useRth: int, ignoreSize: bool, miscOptions: TagValueList): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_HISTORICAL_TICKS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support historical ticks requests..") return try: flds = [] flds += [make_field(OUT.REQ_HISTORICAL_TICKS), make_field(reqId), make_field(contract.conId), make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol), make_field(contract.tradingClass), make_field(contract.includeExpired), make_field(startDateTime), make_field(endDateTime), make_field(numberOfTicks), make_field(whatToShow), make_field(useRth), make_field(ignoreSize)] miscOptionsString = "" if miscOptions: for tagValue in miscOptions: miscOptionsString += str(tagValue) flds += [make_field(miscOptionsString),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) ######################################################################### ################## Market Scanners ######################################################################### def reqScannerParameters(self): """Requests an XML string that describes all possible scanner queries.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.REQ_SCANNER_PARAMETERS) \ + make_field(VERSION) self.sendMsg(msg) def reqScannerSubscription(self, reqId:int, subscription:ScannerSubscription, scannerSubscriptionOptions:TagValueList, scannerSubscriptionFilterOptions:TagValueList): """reqId:int - The ticker ID. Must be a unique value. scannerSubscription:ScannerSubscription - This structure contains possible parameters used to filter results. scannerSubscriptionOptions:TagValueList - For internal use only. Use default value XYZ.""" subscription = scannerSubscription_converter(subscription) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_SCANNER_GENERIC_OPTS and scannerSubscriptionFilterOptions is not None: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support API scanner subscription generic filter options") return try: VERSION = 4 flds = [] flds += [make_field(OUT.REQ_SCANNER_SUBSCRIPTION)] if self.serverVersion() < MIN_SERVER_VER_SCANNER_GENERIC_OPTS: flds += [make_field(VERSION)] flds +=[make_field(reqId), make_field_handle_empty(subscription.numberOfRows), make_field(subscription.instrument), make_field(subscription.locationCode), make_field(subscription.scanCode), make_field_handle_empty(subscription.abovePrice), make_field_handle_empty(subscription.belowPrice), make_field_handle_empty(subscription.aboveVolume), make_field_handle_empty(subscription.marketCapAbove), make_field_handle_empty(subscription.marketCapBelow), make_field(subscription.moodyRatingAbove), make_field(subscription.moodyRatingBelow), make_field(subscription.spRatingAbove), make_field(subscription.spRatingBelow), make_field(subscription.maturityDateAbove), make_field(subscription.maturityDateBelow), make_field_handle_empty(subscription.couponRateAbove), make_field_handle_empty(subscription.couponRateBelow), make_field(subscription.excludeConvertible), make_field_handle_empty(subscription.averageOptionVolumeAbove), # srv v25 and above make_field(subscription.scannerSettingPairs), # srv v25 and above make_field(subscription.stockTypeFilter)] # srv v27 and above # send scannerSubscriptionFilterOptions parameter if self.serverVersion() >= MIN_SERVER_VER_SCANNER_GENERIC_OPTS: scannerSubscriptionFilterOptionsStr = "" if scannerSubscriptionFilterOptions: for tagValueOpt in scannerSubscriptionFilterOptions: scannerSubscriptionFilterOptionsStr += str(tagValueOpt) flds += [make_field(scannerSubscriptionFilterOptionsStr)] # send scannerSubscriptionOptions parameter if self.serverVersion() >= MIN_SERVER_VER_LINKING: scannerSubscriptionOptionsStr = "" if scannerSubscriptionOptions: for tagValueOpt in scannerSubscriptionOptions: scannerSubscriptionOptionsStr += str(tagValueOpt) flds += [make_field(scannerSubscriptionOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelScannerSubscription(self, reqId:int): """reqId:int - The ticker ID. Must be a unique value.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 msg = make_field(OUT.CANCEL_SCANNER_SUBSCRIPTION) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) ######################################################################### ################## Real Time Bars ######################################################################### def reqRealTimeBars(self, reqId:TickerId, contract:Contract, barSize:int, whatToShow:str, useRTH:bool, realTimeBarsOptions:TagValueList): """Call the reqRealTimeBars() function to start receiving real time bar results through the realtimeBar() EWrapper function. reqId:TickerId - The Id for the request. Must be a unique value. When the data is received, it will be identified by this Id. This is also used when canceling the request. contract:Contract - This object contains a description of the contract for which real time bars are being requested barSize:int - Currently only 5 second bars are supported, if any other value is used, an exception will be thrown. whatToShow:str - Determines the nature of the data extracted. Valid values include: TRADES BID ASK MIDPOINT useRTH:bool - Regular Trading Hours only. Valid values include: 0 = all data available during the time span requested is returned, including time intervals when the market in question was outside of regular trading hours. 1 = only data within the regular trading hours for the product requested is returned, even if the time time span falls partially or completely outside. realTimeBarOptions:TagValueList - For internal use only. Use default value XYZ.""" contract = contract_converter(contract) self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: if contract.tradingClass: self.wrapper.error( reqId, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId and tradingClass parameter in reqRealTimeBars.") return try: VERSION = 3 flds = [] flds += [make_field(OUT.REQ_REAL_TIME_BARS), make_field(VERSION), make_field(reqId)] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.conId),] flds += [make_field(contract.symbol), make_field(contract.secType), make_field(contract.lastTradeDateOrContractMonth), make_field(contract.strike), make_field(contract.right), make_field(contract.multiplier), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol)] if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field(contract.tradingClass),] flds += [make_field(barSize), make_field(whatToShow), make_field(useRTH)] # send realTimeBarsOptions parameter if self.serverVersion() >= MIN_SERVER_VER_LINKING: realTimeBarsOptionsStr = "" if realTimeBarsOptions: for tagValueOpt in realTimeBarsOptions: realTimeBarsOptionsStr += str(tagValueOpt) flds += [make_field(realTimeBarsOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelRealTimeBars(self, reqId:TickerId): """Call the cancelRealTimeBars() function to stop receiving real time bar results. reqId:TickerId - The Id that was specified in the call to reqRealTimeBars(). """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(reqId, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return VERSION = 1 # send req mkt data msg flds = [] flds += [make_field(OUT.CANCEL_REAL_TIME_BARS), make_field(VERSION), make_field(reqId)] msg = "".join(flds) self.sendMsg(msg) ######################################################################### ################## Fundamental Data ######################################################################### def reqFundamentalData(self, reqId:TickerId , contract:Contract, reportType:str, fundamentalDataOptions:TagValueList): """Call this function to receive fundamental data for stocks. The appropriate market data subscription must be set up in Account Management before you can receive this data. Fundamental data will be returned at EWrapper.fundamentalData(). reqFundamentalData() can handle conid specified in the Contract object, but not tradingClass or multiplier. This is because reqFundamentalData() is used only for stocks and stocks do not have a multiplier and trading class. reqId:tickerId - The ID of the data request. Ensures that responses are matched to requests if several requests are in process. contract:Contract - This structure contains a description of the contract for which fundamental data is being requested. reportType:str - One of the following XML reports: ReportSnapshot (company overview) ReportsFinSummary (financial summary) ReportRatios (financial ratios) ReportsFinStatements (financial statements) RESC (analyst estimates) """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return try: VERSION = 2 if self.serverVersion() < MIN_SERVER_VER_FUNDAMENTAL_DATA: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support fundamental data request.") return if self.serverVersion() < MIN_SERVER_VER_TRADING_CLASS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support conId parameter in reqFundamentalData.") return flds = [] flds += [make_field(OUT.REQ_FUNDAMENTAL_DATA), make_field(VERSION), make_field(reqId)] # send contract fields if self.serverVersion() >= MIN_SERVER_VER_TRADING_CLASS: flds += [make_field( contract.conId),] flds += [make_field(contract.symbol), make_field(contract.secType), make_field(contract.exchange), make_field(contract.primaryExchange), make_field(contract.currency), make_field(contract.localSymbol), make_field(reportType)] if self.serverVersion() >= MIN_SERVER_VER_LINKING: fundDataOptStr = "" tagValuesCount = len(fundamentalDataOptions) if fundamentalDataOptions else 0 if fundamentalDataOptions: for fundDataOption in fundamentalDataOptions: fundDataOptStr += str(fundDataOption) flds += [make_field(tagValuesCount), make_field(fundDataOptStr)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelFundamentalData(self, reqId:TickerId ): """Call this function to stop receiving fundamental data. reqId:TickerId - The ID of the data request.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_FUNDAMENTAL_DATA: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support fundamental data request.") return VERSION = 1 msg = make_field(OUT.CANCEL_FUNDAMENTAL_DATA) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) ######################################################################## ################## News ######################################################################### def reqNewsProviders(self): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_NEWS_PROVIDERS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support news providers request.") return msg = make_field(OUT.REQ_NEWS_PROVIDERS) self.sendMsg(msg) def reqNewsArticle(self, reqId: int, providerCode: str, articleId: str, newsArticleOptions: TagValueList): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_NEWS_ARTICLE: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support news article request.") return try: flds = [] flds += [make_field(OUT.REQ_NEWS_ARTICLE), make_field(reqId), make_field(providerCode), make_field(articleId)] # send newsArticleOptions parameter if self.serverVersion() >= MIN_SERVER_VER_NEWS_QUERY_ORIGINS: newsArticleOptionsStr = "" if newsArticleOptions: for tagValue in newsArticleOptions: newsArticleOptionsStr += str(tagValue) flds += [make_field(newsArticleOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def reqHistoricalNews(self, reqId: int, conId: int, providerCodes: str, startDateTime: str, endDateTime: str, totalResults: int, historicalNewsOptions: TagValueList): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_HISTORICAL_NEWS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support historical news request.") return try: flds = [] flds += [make_field(OUT.REQ_HISTORICAL_NEWS), make_field(reqId), make_field(conId), make_field(providerCodes), make_field(startDateTime), make_field(endDateTime), make_field(totalResults)] # send historicalNewsOptions parameter if self.serverVersion() >= MIN_SERVER_VER_NEWS_QUERY_ORIGINS: historicalNewsOptionsStr = "" if historicalNewsOptions: for tagValue in historicalNewsOptionsStr: historicalNewsOptionsStr += str(tagValue) flds += [make_field(historicalNewsOptionsStr),] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) ######################################################################### ################## Display Groups ######################################################################### def queryDisplayGroups(self, reqId: int): """API requests used to integrate with TWS color-grouped windows (display groups). TWS color-grouped windows are identified by an integer number. Currently that number ranges from 1 to 7 and are mapped to specific colors, as indicated in TWS. reqId:int - The unique number that will be associated with the response """ self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support queryDisplayGroups request.") return VERSION = 1 msg = make_field(OUT.QUERY_DISPLAY_GROUPS) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) def subscribeToGroupEvents(self, reqId:int, groupId:int): """reqId:int - The unique number associated with the notification. groupId:int - The ID of the group, currently it is a number from 1 to 7. This is the display group subscription request sent by the API to TWS.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support subscribeToGroupEvents request.") return VERSION = 1 msg = make_field(OUT.SUBSCRIBE_TO_GROUP_EVENTS) \ + make_field(VERSION) \ + make_field(reqId) \ + make_field(groupId) self.sendMsg(msg) def updateDisplayGroup(self, reqId:int, contractInfo:str): """reqId:int - The requestId specified in subscribeToGroupEvents(). contractInfo:str - The encoded value that uniquely represents the contract in IB. Possible values include: none = empty selection contractID@exchange - any non-combination contract. Examples: 8314@SMART for IBM SMART; 8314@ARCA for IBM @ARCA. combo = if any combo is selected.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support updateDisplayGroup request.") return try: VERSION = 1 msg = make_field(OUT.UPDATE_DISPLAY_GROUP) \ + make_field(VERSION) \ + make_field(reqId) \ + make_field(contractInfo) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def unsubscribeFromGroupEvents(self, reqId:int): """reqId:int - The requestId specified in subscribeToGroupEvents().""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support unsubscribeFromGroupEvents request.") return VERSION = 1 msg = make_field(OUT.UNSUBSCRIBE_FROM_GROUP_EVENTS) \ + make_field(VERSION) \ + make_field(reqId) self.sendMsg(msg) def verifyRequest(self, apiName:str, apiVersion:str): """For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support verification request.") return if not self.extraAuth: self.wrapper.error(NO_VALID_ID, BAD_MESSAGE.code(), BAD_MESSAGE.msg() + " Intent to authenticate needs to be expressed during initial connect request.") return try: VERSION = 1 msg = make_field(OUT.VERIFY_REQUEST) \ + make_field(VERSION) \ + make_field(apiName) \ + make_field(apiVersion) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def verifyMessage(self, apiData:str): """For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support verification request.") return try: VERSION = 1 msg = make_field(OUT.VERIFY_MESSAGE) \ + make_field(VERSION) \ + make_field(apiData) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def verifyAndAuthRequest(self, apiName:str, apiVersion:str, opaqueIsvKey:str): """For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support verification request.") return if not self.extraAuth: self.wrapper.error(NO_VALID_ID, BAD_MESSAGE.code(), BAD_MESSAGE.msg() + " Intent to authenticate needs to be expressed during initial connect request.") return try: VERSION = 1 msg = make_field(OUT.VERIFY_AND_AUTH_REQUEST) \ + make_field(VERSION) \ + make_field(apiName) \ + make_field(apiVersion) \ + make_field(opaqueIsvKey) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def verifyAndAuthMessage(self, apiData:str, xyzResponse:str): """For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_LINKING: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support verification request.") return try: VERSION = 1 msg = make_field(OUT.VERIFY_AND_AUTH_MESSAGE) \ + make_field(VERSION) \ + make_field(apiData) \ + make_field(xyzResponse) except ClientException as ex: self.wrapper.error(NO_VALID_ID, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def reqSecDefOptParams(self, reqId:int, underlyingSymbol:str, futFopExchange:str, underlyingSecType:str, underlyingConId:int): """Requests security definition option parameters for viewing a contract's option chain reqId the ID chosen for the request underlyingSymbol futFopExchange The exchange on which the returned options are trading. Can be set to the empty string "" for all exchanges. underlyingSecType The type of the underlying security, i.e. STK underlyingConId the contract ID of the underlying security. Response comes via EWrapper.securityDefinitionOptionParameter()""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_SEC_DEF_OPT_PARAMS_REQ: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support security definition option request.") return try: flds = [] flds += [make_field(OUT.REQ_SEC_DEF_OPT_PARAMS), make_field(reqId), make_field(underlyingSymbol), make_field(futFopExchange), make_field(underlyingSecType), make_field(underlyingConId)] msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def reqSoftDollarTiers(self, reqId:int): """Requests pre-defined Soft Dollar Tiers. This is only supported for registered professional advisors and hedge and mutual funds who have configured Soft Dollar Tiers in Account Management.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return msg = make_field(OUT.REQ_SOFT_DOLLAR_TIERS) \ + make_field(reqId) self.sendMsg(msg) def reqFamilyCodes(self): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_FAMILY_CODES: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support family codes request.") return msg = make_field(OUT.REQ_FAMILY_CODES) self.sendMsg(msg) def reqMatchingSymbols(self, reqId:int, pattern:str): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_REQ_MATCHING_SYMBOLS: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support matching symbols request.") return try: msg = make_field(OUT.REQ_MATCHING_SYMBOLS) \ + make_field(reqId) \ + make_field(pattern) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def reqCompletedOrders(self, apiOnly:bool): """Call this function to request the completed orders. If apiOnly parameter is true, then only completed orders placed from API are requested. Each completed order will be fed back through the completedOrder() function on the EWrapper.""" self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return msg = make_field(OUT.REQ_COMPLETED_ORDERS) \ + make_field(apiOnly) self.sendMsg(msg) def reqWshMetaData(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_WSHE_CALENDAR: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support WSHE Calendar API.") return try: msg = make_field(OUT.REQ_WSH_META_DATA) \ + make_field(reqId) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelWshMetaData(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_WSHE_CALENDAR: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support WSHE Calendar API.") return msg = make_field(OUT.CANCEL_WSH_META_DATA) \ + make_field(reqId) self.sendMsg(msg) def reqWshEventData(self, reqId: int, wshEventData: WshEventData): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_WSHE_CALENDAR: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support WSHE Calendar API.") return if self.serverVersion() < MIN_SERVER_VER_WSH_EVENT_DATA_FILTERS: if wshEventData.filter != "" or wshEventData.fillWatchlist or wshEventData.fillPortfolio or wshEventData.fillCompetitors: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support WSH event data filters.") return if self.serverVersion() < MIN_SERVER_VER_WSH_EVENT_DATA_FILTERS_DATE: if wshEventData.startDate != "" or wshEventData.endDate != "" or wshEventData.totalLimit != UNSET_INTEGER: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support WSH event data date filters.") return try: flds = [] flds.append(make_field(OUT.REQ_WSH_EVENT_DATA)) flds.append(make_field(reqId)) flds.append(make_field(wshEventData.conId)) if self.serverVersion() >= MIN_SERVER_VER_WSH_EVENT_DATA_FILTERS: flds.append(make_field(wshEventData.filter)) flds.append(make_field(wshEventData.fillWatchlist)) flds.append(make_field(wshEventData.fillPortfolio)) flds.append(make_field(wshEventData.fillCompetitors)) if self.serverVersion() >= MIN_SERVER_VER_WSH_EVENT_DATA_FILTERS_DATE: flds.append(make_field(wshEventData.startDate)) flds.append(make_field(wshEventData.endDate)) flds.append(make_field(wshEventData.totalLimit)) msg = "".join(flds) except ClientException as ex: self.wrapper.error(reqId, ex.code, ex.msg + ex.text) return self.sendMsg(msg) def cancelWshEventData(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_WSHE_CALENDAR: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support WSHE Calendar API.") return msg = make_field(OUT.CANCEL_WSH_EVENT_DATA) \ + make_field(reqId) self.sendMsg(msg) def reqUserInfo(self, reqId: int): self.logRequest(current_fn_name(), vars()) if not self.isConnected(): self.wrapper.error(NO_VALID_ID, NOT_CONNECTED.code(), NOT_CONNECTED.msg(), '') return if self.serverVersion() < MIN_SERVER_VER_USER_INFO: self.wrapper.error(NO_VALID_ID, UPDATE_TWS.code(), UPDATE_TWS.msg() + " It does not support user info requests.") return msg = make_field(OUT.REQ_USER_INFO) \ + make_field(reqId) self.sendMsg(msg)