""" 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. """ from ibapi.common import UNSET_INTEGER, UNSET_DOUBLE, UNSET_DECIMAL, DOUBLE_INFINITY from ibapi.object_implem import Object from ibapi.softdollartier import SoftDollarTier from ibapi.utils import decimalMaxString from ibapi.utils import intMaxString from ibapi.utils import floatMaxString # enum Origin (CUSTOMER, FIRM, UNKNOWN) = range(3) # enum AuctionStrategy (AUCTION_UNSET, AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT) = range(4) COMPETE_AGAINST_BEST_OFFSET_UP_TO_MID = DOUBLE_INFINITY class OrderComboLeg(Object): def __init__(self): self.price = UNSET_DOUBLE # type: float def __str__(self): return "%s" % floatMaxString(self.price) class Order(Object): def __init__(self): self.softDollarTier = SoftDollarTier("", "", "") # order identifier self.orderId = 0 self.clientId = 0 self.permId = 0 # main order fields self.action = "" self.totalQuantity = UNSET_DECIMAL self.orderType = "" self.lmtPrice = UNSET_DOUBLE self.auxPrice = UNSET_DOUBLE # extended order fields self.tif = "" # "Time in Force" - DAY, GTC, etc. self.activeStartTime = "" # for GTC orders self.activeStopTime = "" # for GTC orders self.ocaGroup = "" # one cancels all group name self.ocaType = 0 # 1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK self.orderRef = "" self.transmit = True # if false, order will be created but not transmited self.parentId = 0 # Parent order Id, to associate Auto STP or TRAIL orders with the original order. self.blockOrder = False self.sweepToFill = False self.displaySize = 0 self.triggerMethod = 0 # 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last, 4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-point self.outsideRth = False self.hidden = False self.goodAfterTime = "" # Format: 20060505 08:00:00 {time zone} self.goodTillDate = "" # Format: 20060505 08:00:00 {time zone} self.rule80A = "" # Individual = 'I', Agency = 'A', AgentOtherMember = 'W', IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M', IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N' self.allOrNone = False self.minQty = UNSET_INTEGER # type: int self.percentOffset = UNSET_DOUBLE # type: float # REL orders only self.overridePercentageConstraints = False self.trailStopPrice = UNSET_DOUBLE # type: float self.trailingPercent = UNSET_DOUBLE # type: float # TRAILLIMIT orders only # financial advisors only self.faGroup = "" self.faProfile = "" self.faMethod = "" self.faPercentage = "" # institutional (ie non-cleared) only self.designatedLocation = "" #used only when shortSaleSlot=2 self.openClose = "" # O=Open, C=Close self.origin = CUSTOMER # 0=Customer, 1=Firm self.shortSaleSlot = 0 # type: int # 1 if you hold the shares, 2 if they will be delivered from elsewhere. Only for Action=SSHORT self.exemptCode = -1 # SMART routing only self.discretionaryAmt = 0 self.optOutSmartRouting = False # BOX exchange orders only self.auctionStrategy = AUCTION_UNSET # type: int # AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT self.startingPrice = UNSET_DOUBLE # type: float self.stockRefPrice = UNSET_DOUBLE # type: float self.delta = UNSET_DOUBLE # type: float # pegged to stock and VOL orders only self.stockRangeLower = UNSET_DOUBLE # type: float self.stockRangeUpper = UNSET_DOUBLE # type: float self.randomizePrice = False self.randomizeSize = False # VOLATILITY ORDERS ONLY self.volatility = UNSET_DOUBLE # type: float self.volatilityType = UNSET_INTEGER # type: int # 1=daily, 2=annual self.deltaNeutralOrderType = "" self.deltaNeutralAuxPrice = UNSET_DOUBLE # type: float self.deltaNeutralConId = 0 self.deltaNeutralSettlingFirm = "" self.deltaNeutralClearingAccount = "" self.deltaNeutralClearingIntent = "" self.deltaNeutralOpenClose = "" self.deltaNeutralShortSale = False self.deltaNeutralShortSaleSlot = 0 self.deltaNeutralDesignatedLocation = "" self.continuousUpdate = False self.referencePriceType = UNSET_INTEGER # type: int # 1=Average, 2 = BidOrAsk # COMBO ORDERS ONLY self.basisPoints = UNSET_DOUBLE # type: float # EFP orders only self.basisPointsType = UNSET_INTEGER # type: int # EFP orders only # SCALE ORDERS ONLY self.scaleInitLevelSize = UNSET_INTEGER # type: int self.scaleSubsLevelSize = UNSET_INTEGER # type: int self.scalePriceIncrement = UNSET_DOUBLE # type: float self.scalePriceAdjustValue = UNSET_DOUBLE # type: float self.scalePriceAdjustInterval = UNSET_INTEGER # type: int self.scaleProfitOffset = UNSET_DOUBLE # type: float self.scaleAutoReset = False self.scaleInitPosition = UNSET_INTEGER # type: int self.scaleInitFillQty = UNSET_INTEGER # type: int self.scaleRandomPercent = False self.scaleTable = "" # HEDGE ORDERS self.hedgeType = "" # 'D' - delta, 'B' - beta, 'F' - FX, 'P' - pair self.hedgeParam = "" # 'beta=X' value for beta hedge, 'ratio=Y' for pair hedge # Clearing info self.account = "" # IB account self.settlingFirm = "" self.clearingAccount = "" #True beneficiary of the order self.clearingIntent = "" # "" (Default), "IB", "Away", "PTA" (PostTrade) # ALGO ORDERS ONLY self.algoStrategy = "" self.algoParams = None #TagValueList self.smartComboRoutingParams = None #TagValueList self.algoId = "" # What-if self.whatIf = False # Not Held self.notHeld = False self.solicited = False # models self.modelCode = "" # order combo legs self.orderComboLegs = None # OrderComboLegListSPtr self.orderMiscOptions = None # TagValueList # VER PEG2BENCH fields: self.referenceContractId = 0 self.peggedChangeAmount = 0. self.isPeggedChangeAmountDecrease = False self.referenceChangeAmount = 0. self.referenceExchangeId = "" self.adjustedOrderType = "" self.triggerPrice = UNSET_DOUBLE self.adjustedStopPrice = UNSET_DOUBLE self.adjustedStopLimitPrice = UNSET_DOUBLE self.adjustedTrailingAmount = UNSET_DOUBLE self.adjustableTrailingUnit = 0 self.lmtPriceOffset = UNSET_DOUBLE self.conditions = [] # std::vector> self.conditionsCancelOrder = False self.conditionsIgnoreRth = False # ext operator self.extOperator = "" # native cash quantity self.cashQty = UNSET_DOUBLE self.mifid2DecisionMaker = "" self.mifid2DecisionAlgo = "" self.mifid2ExecutionTrader = "" self.mifid2ExecutionAlgo = "" self.dontUseAutoPriceForHedge = False self.isOmsContainer = False self.discretionaryUpToLimitPrice = False self.autoCancelDate = "" self.filledQuantity = UNSET_DECIMAL self.refFuturesConId = 0 self.autoCancelParent = False self.shareholder = "" self.imbalanceOnly = False self.routeMarketableToBbo = False self.parentPermId = 0 self.usePriceMgmtAlgo = None self.duration = UNSET_INTEGER self.postToAts = UNSET_INTEGER self.advancedErrorOverride = "" self.manualOrderTime = "" self.minTradeQty = UNSET_INTEGER self.minCompeteSize = UNSET_INTEGER self.competeAgainstBestOffset = UNSET_DOUBLE self.midOffsetAtWhole = UNSET_DOUBLE self.midOffsetAtHalf = UNSET_DOUBLE def __str__(self): s = "%s,%s,%s:" % (intMaxString(self.orderId), intMaxString(self.clientId), intMaxString(self.permId)) s += " %s %s %s@%s" % ( self.orderType, self.action, decimalMaxString(self.totalQuantity), floatMaxString(self.lmtPrice)) s += " %s" % self.tif if self.orderComboLegs: s += " CMB(" for leg in self.orderComboLegs: s += str(leg) + "," s += ")" if self.conditions: s += " COND(" for cond in self.conditions: s += str(cond) + "," s += ")" return s