""" 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. """ import sys import ibapi import math from decimal import Decimal from ibapi.enum_implem import Enum from ibapi.object_implem import Object NO_VALID_ID = -1 MAX_MSG_LEN = 0xFFFFFF # 16Mb - 1byte UNSET_INTEGER = 2 ** 31 - 1 UNSET_DOUBLE = sys.float_info.max UNSET_LONG = 2 ** 63 - 1 UNSET_DECIMAL = Decimal(2 ** 127 - 1) DOUBLE_INFINITY = math.inf INFINITY_STR = "Infinity" TickerId = int OrderId = int TagValueList = list FaDataType = int FaDataTypeEnum = Enum("N/A", "GROUPS", "PROFILES", "ALIASES") MarketDataType = int MarketDataTypeEnum = Enum("N/A", "REALTIME", "FROZEN", "DELAYED", "DELAYED_FROZEN") Liquidities = int LiquiditiesEnum = Enum("None", "Added", "Remove", "RoudedOut") SetOfString = set SetOfFloat = set ListOfOrder = list ListOfFamilyCode = list ListOfContractDescription = list ListOfDepthExchanges = list ListOfNewsProviders = list SmartComponentMap = dict HistogramDataList = list ListOfPriceIncrements = list ListOfHistoricalTick = list ListOfHistoricalTickBidAsk = list ListOfHistoricalTickLast = list ListOfHistoricalSessions = list class BarData(Object): def __init__(self): self.date = "" self.open = 0. self.high = 0. self.low = 0. self.close = 0. self.volume = UNSET_DECIMAL self.wap = UNSET_DECIMAL self.barCount = 0 def __str__(self): return "Date: %s, Open: %s, High: %s, Low: %s, Close: %s, Volume: %s, WAP: %s, BarCount: %s" % (self.date, ibapi.utils.floatMaxString(self.open), ibapi.utils.floatMaxString(self.high), ibapi.utils.floatMaxString(self.low), ibapi.utils.floatMaxString(self.close), ibapi.utils.decimalMaxString(self.volume), ibapi.utils.decimalMaxString(self.wap), ibapi.utils.intMaxString(self.barCount)) class RealTimeBar(Object): def __init__(self, time = 0, endTime = -1, open_ = 0., high = 0., low = 0., close = 0., volume = UNSET_DECIMAL, wap = UNSET_DECIMAL, count = 0): self.time = time self.endTime = endTime self.open_ = open_ self.high = high self.low = low self.close = close self.volume = volume self.wap = wap self.count = count def __str__(self): return "Time: %s, Open: %s, High: %s, Low: %s, Close: %s, Volume: %s, WAP: %s, Count: %s" % (ibapi.utils.intMaxString(self.time), ibapi.utils.floatMaxString(self.open), ibapi.utils.floatMaxString(self.high), ibapi.utils.floatMaxString(self.low), ibapi.utils.floatMaxString(self.close), ibapi.utils.decimalMaxString(self.volume), ibapi.utils.decimalMaxString(self.wap), ibapi.utils.intMaxString(self.count)) class HistogramData(Object): def __init__(self): self.price = 0. self.size = UNSET_DECIMAL def __str__(self): return "Price: %s, Size: %s" % (ibapi.utils.floatMaxString(self.price), ibapi.utils.decimalMaxString(self.size)) class NewsProvider(Object): def __init__(self): self.code = "" self.name = "" def __str__(self): return "Code: %s, Name: %s" % (self.code, self.name) class DepthMktDataDescription(Object): def __init__(self): self.exchange = "" self.secType = "" self.listingExch = "" self.serviceDataType = "" self.aggGroup = UNSET_INTEGER def __str__(self): if (self.aggGroup!= UNSET_INTEGER): aggGroup = self.aggGroup else: aggGroup = "" return "Exchange: %s, SecType: %s, ListingExchange: %s, ServiceDataType: %s, AggGroup: %s, " % (self.exchange, self.secType, self.listingExch,self.serviceDataType, ibapi.utils.intMaxString(aggGroup)) class SmartComponent(Object): def __init__(self): self.bitNumber = 0 self.exchange = "" self.exchangeLetter = "" def __str__(self): return "BitNumber: %d, Exchange: %s, ExchangeLetter: %s" % (self.bitNumber, self.exchange, self.exchangeLetter) class TickAttrib(Object): def __init__(self): self.canAutoExecute = False self.pastLimit = False self.preOpen = False def __str__(self): return "CanAutoExecute: %d, PastLimit: %d, PreOpen: %d" % (self.canAutoExecute, self.pastLimit, self.preOpen) class TickAttribBidAsk(Object): def __init__(self): self.bidPastLow = False self.askPastHigh = False def __str__(self): return "BidPastLow: %d, AskPastHigh: %d" % (self.bidPastLow, self.askPastHigh) class TickAttribLast(Object): def __init__(self): self.pastLimit = False self.unreported = False def __str__(self): return "PastLimit: %d, Unreported: %d" % (self.pastLimit, self.unreported) class FamilyCode(Object): def __init__(self): self.accountID = "" self.familyCodeStr = "" def __str__(self): return "AccountId: %s, FamilyCodeStr: %s" % (self.accountID, self.familyCodeStr) class PriceIncrement(Object): def __init__(self): self.lowEdge = 0. self.increment = 0. def __str__(self): return "LowEdge: %s, Increment: %s" % (ibapi.utils.floatMaxString(self.lowEdge), ibapi.utils.floatMaxString(self.increment)) class HistoricalTick(Object): def __init__(self): self.time = 0 self.price = 0. self.size = UNSET_DECIMAL def __str__(self): return "Time: %s, Price: %s, Size: %s" % (ibapi.utils.intMaxString(self.time), ibapi.utils.floatMaxString(self.price), ibapi.utils.decimalMaxString(self.size)) class HistoricalTickBidAsk(Object): def __init__(self): self.time = 0 self.tickAttribBidAsk = TickAttribBidAsk() self.priceBid = 0. self.priceAsk = 0. self.sizeBid = UNSET_DECIMAL self.sizeAsk = UNSET_DECIMAL def __str__(self): return "Time: %s, TickAttriBidAsk: %s, PriceBid: %s, PriceAsk: %s, SizeBid: %s, SizeAsk: %s" % (ibapi.utils.intMaxString(self.time), self.tickAttribBidAsk, ibapi.utils.floatMaxString(self.priceBid), ibapi.utils.floatMaxString(self.priceAsk), ibapi.utils.decimalMaxString(self.sizeBid), ibapi.utils.decimalMaxString(self.sizeAsk)) class HistoricalTickLast(Object): def __init__(self): self.time = 0 self.tickAttribLast = TickAttribLast() self.price = 0. self.size = UNSET_DECIMAL self.exchange = "" self.specialConditions = "" def __str__(self): return "Time: %s, TickAttribLast: %s, Price: %s, Size: %s, Exchange: %s, SpecialConditions: %s" % (ibapi.utils.intMaxString(self.time), self.tickAttribLast, ibapi.utils.floatMaxString(self.price), ibapi.utils.decimalMaxString(self.size), self.exchange, self.specialConditions) class HistoricalSession(Object): def __init__(self): self.startDateTime = "" self.endDateTime = "" self.refDate = "" def __str__(self): return "Start: %s, End: %s, Ref Date: %s" % (self.startDateTime, self.endDateTime, self.refDate) class WshEventData(Object): def __init__(self): self.conId = UNSET_INTEGER self.filter = "" self.fillWatchlist = False self.fillPortfolio = False self.fillCompetitors = False self.startDate = "" self.endDate = "" self.totalLimit = UNSET_INTEGER def __str__(self): return "WshEventData. ConId: %s, Filter: %s, Fill Watchlist: %d, Fill Portfolio: %d, Fill Competitors: %d" % (ibapi.utils.intMaxString(self.conId), self.filter, self.fillWatchlist, self.fillPortfolio, self.fillCompetitors)