#!/usr/bin/env python
# -*- coding: utf-8 -*-
#
# QTPyLib: Quantitative Trading Python Library
# https://github.com/ranaroussi/qtpylib
#
# Copyright 2016-2018 Ran Aroussi
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
#
import atexit
import hashlib
import logging
import os
import time
import sys
# from decimal import *
import decimal
from abc import ABCMeta, abstractmethod
from datetime import datetime, timedelta
import numpy as np
import pandas as pd
import pymysql
import ezibpy
from qtpylib.instrument import Instrument
from qtpylib import (
tools, sms
)
from qtpylib.blotter import (
Blotter, load_blotter_args
)
decimal.getcontext().prec = 5
# =============================================
# check min, python version
if sys.version_info < (3, 4):
raise SystemError("QTPyLib requires Python version >= 3.4")
# =============================================
tools.createLogger(__name__)
# =============================================
[docs]class Broker():
"""Broker class initilizer (abstracted, parent class of ``Algo``)
:Parameters:
instruments : list
List of IB contract tuples
ibclient : int
IB TWS/GW Port to use (default: 4001)
ibport : int
IB TWS/GW Client ID (default: 998)
ibserver : string
IB TWS/GW Server hostname (default: localhost)
"""
__metaclass__ = ABCMeta
def __init__(self, instruments, ibclient=998, ibport=4001, ibserver="localhost"):
# detect running strategy
self.strategy = str(self.__class__).split('.')[-1].split("'")[0]
# initilize class logger
self.log_broker = logging.getLogger(__name__)
# -----------------------------------
# assign default vals if not propogated from algo
if not hasattr(self, 'timezone'):
self.timezone = "UTC"
if not hasattr(self, 'tick_window'):
self.tick_window = 1000
if not hasattr(self, 'bar_window'):
self.bar_window = 100
if not hasattr(self, 'last_price'):
self.last_price = {}
if not hasattr(self, 'backtest'):
self.backtest = False
if not hasattr(self, 'sms_numbers'):
self.sms_numbers = []
if not hasattr(self, 'trade_log_dir'):
self.trade_log_dir = None
if not hasattr(self, 'blotter_name'):
self.blotter_name = None
# -----------------------------------
# connect to IB
self.ibclient = int(ibclient)
self.ibport = int(ibport)
self.ibserver = str(ibserver)
self.ibConn = ezibpy.ezIBpy()
self.ibConn.ibCallback = self.ibCallback
# self.ibConnect()
connection_tries = 0
while not self.ibConn.connected:
self.ibConn.connect(clientId=self.ibclient,
port=self.ibport, host=self.ibserver)
time.sleep(1)
if not self.ibConn.connected:
# print('*', end="", flush=True)
connection_tries += 1
if connection_tries > 10:
self.log_broker.info(
"Cannot connect to Interactive Brokers...")
sys.exit(0)
self.log_broker.info("Connection established...")
# -----------------------------------
# create contracts
instrument_tuples_dict = {}
for instrument in instruments:
try:
if isinstance(instrument, ezibpy.utils.Contract):
instrument = self.ibConn.contract_to_tuple(instrument)
else:
instrument = tools.create_ib_tuple(instrument)
contractString = self.ibConn.contractString(instrument)
instrument_tuples_dict[contractString] = instrument
self.ibConn.createContract(instrument)
except Exception as e:
pass
self.instruments = instrument_tuples_dict
self.symbols = list(self.instruments.keys())
self.instrument_combos = {}
# -----------------------------------
# track orders & trades
self.active_trades = {}
self.trades = []
# shortcut
self.account = self.ibConn.account
# use: self.orders.pending...
self.orders = tools.make_object(
by_tickerid=self.ibConn.orders,
by_symbol=self.ibConn.symbol_orders,
pending_ttls={},
pending={},
filled={},
active={},
history={},
nextId=1,
recent={}
)
# -----------------------------------
self.dbcurr = None
self.dbconn = None
# -----------------------------------
# load blotter settings
self.blotter_args = load_blotter_args(
self.blotter_name, logger=self.log_broker)
self.blotter = Blotter(**self.blotter_args)
# connect to mysql using blotter's settings
if not self.blotter_args['dbskip']:
self.dbconn = pymysql.connect(
host=str(self.blotter_args['dbhost']),
port=int(self.blotter_args['dbport']),
user=str(self.blotter_args['dbuser']),
passwd=str(self.blotter_args['dbpass']),
db=str(self.blotter_args['dbname']),
autocommit=True
)
self.dbcurr = self.dbconn.cursor()
# -----------------------------------
# do stuff on exit
atexit.register(self._on_exit)
# ---------------------------------------
[docs] def add_instruments(self, *instruments):
""" add instruments after initialization """
for instrument in instruments:
if isinstance(instrument, ezibpy.utils.Contract):
instrument = self.ibConn.contract_to_tuple(instrument)
contractString = self.ibConn.contractString(instrument)
self.instruments[contractString] = instrument
self.ibConn.createContract(instrument)
self.symbols = list(self.instruments.keys())
# ---------------------------------------
@abstractmethod
def on_fill(self, instrument, order):
pass
# ---------------------------------------
"""
instrument group methods
used with spreads to get the group members (contratc legs) as symbols
"""
[docs] def register_combo(self, parent, legs):
""" add contracts to groups """
parent = self.ibConn.contractString(parent)
legs_dict = {}
for leg in legs:
leg = self.ibConn.contractString(leg)
legs_dict[leg] = self.get_instrument(leg)
self.instrument_combos[parent] = legs_dict
[docs] def get_combo(self, symbol):
""" get group by child symbol """
for parent, legs in self.instrument_combos.items():
if symbol == parent or symbol in legs.keys():
return {
"parent": self.get_instrument(parent),
"legs": legs,
}
return {
"parent": None,
"legs": {},
}
# -------------------------------------------
def _on_exit(self):
self.log_broker.info("Algo stopped...")
if self.ibConn is not None:
self.log_broker.info("Disconnecting...")
self.ibConn.disconnect()
self.log_broker.info("Disconnecting from MySQL...")
try:
self.dbcurr.close()
self.dbconn.close()
except Exception as e:
pass
# ---------------------------------------
def ibConnect(self):
self.ibConn.connect(clientId=self.ibclient,
host=self.ibserver, port=self.ibport)
self.ibConn.requestPositionUpdates(subscribe=True)
self.ibConn.requestAccountUpdates(subscribe=True)
# ---------------------------------------
# @abstractmethod
def ibCallback(self, caller, msg, **kwargs):
if caller == "handleHistoricalData":
# transmit "as-is" to blotter for handling
self.blotter.ibCallback("handleHistoricalData", msg, **kwargs)
if caller == "handleConnectionClosed":
self.log_broker.info("Lost conncetion to Interactive Brokers...")
while not self.ibConn.connected:
self.ibConnect()
time.sleep(1.3)
if not self.ibConn.connected:
print('*', end="", flush=True)
self.log_broker.info("Connection established...")
elif caller == "handleOrders":
if not hasattr(self, "orders"):
return
if msg.typeName == ezibpy.utils.dataTypes["MSG_TYPE_OPEN_ORDER_END"]:
return
# order canceled? do some cleanup
if hasattr(msg, 'status') and "CANCELLED" in msg.status.upper():
if msg.orderId in self.orders.recent.keys():
symbol = self.orders.recent[msg.orderId]['symbol']
try:
del self.orders.pending_ttls[msg.orderId]
except Exception as e:
pass
try:
del self.orders.recent[msg.orderId]
except Exception as e:
pass
try:
if self.orders.pending[symbol]['orderId'] == msg.orderId:
del self.orders.pending[symbol]
except Exception as e:
pass
return
# continue...
order = self.ibConn.orders[msg.orderId]
# print("***********************\n\n", order, "\n\n***********************")
orderId = msg.orderId
symbol = order["symbol"]
try:
try:
quantity = self.orders.history[symbol][orderId]['quantity']
except Exception as e:
quantity = self.orders.history[symbol][order['parentId']]['quantity']
# ^^ for child orders auto-created by ezibpy
except Exception as e:
quantity = 1
# update pending order to the time actually submitted
if order["status"] in ["OPENED", "SUBMITTED"]:
if orderId in self.orders.pending_ttls:
self._update_pending_order(symbol, orderId,
self.orders.pending_ttls[orderId],
quantity)
elif order["status"] == "FILLED":
self._update_order_history(
symbol, orderId, quantity, filled=True)
self._expire_pending_order(symbol, orderId)
self._cancel_orphan_orders(orderId)
self._register_trade(order)
# filled
time.sleep(0.005)
self.on_fill(self.get_instrument(order['symbol']), order)
# ---------------------------------------
def _register_trade(self, order):
""" constructs trade info from order data """
if order['id'] in self.orders.recent:
orderId = order['id']
else:
orderId = order['parentId']
# entry / exit?
symbol = order["symbol"]
order_data = self.orders.recent[orderId]
position = self.get_positions(symbol)['position']
if position != 0:
# entry
order_data['action'] = "ENTRY"
order_data['position'] = position
order_data['entry_time'] = tools.datetime_to_timezone(
order['time'])
order_data['exit_time'] = None
order_data['entry_order'] = order_data['order_type']
order_data['entry_price'] = order['avgFillPrice']
order_data['exit_price'] = 0
order_data['exit_reason'] = None
else:
order_data['action'] = "EXIT"
order_data['position'] = 0
order_data['exit_time'] = tools.datetime_to_timezone(order['time'])
order_data['exit_price'] = order['avgFillPrice']
# target / stop?
if order['id'] == order_data['targetOrderId']:
order_data['exit_reason'] = "TARGET"
elif order['id'] == order_data['stopOrderId']:
order_data['exit_reason'] = "STOP"
else:
order_data['exit_reason'] = "SIGNAL"
# remove from collection
del self.orders.recent[orderId]
if order_data is None:
return None
# trade identifier
tradeId = self.strategy.upper() + '_' + symbol.upper()
tradeId = hashlib.sha1(tradeId.encode()).hexdigest()
# existing trade?
if tradeId not in self.active_trades:
self.active_trades[tradeId] = {
"strategy": self.strategy,
"action": order_data['action'],
"quantity": abs(order_data['position']),
"position": order_data['position'],
"symbol": order_data["symbol"].split('_')[0],
"direction": order_data['direction'],
"entry_time": None,
"exit_time": None,
"duration": "0s",
"exit_reason": order_data['exit_reason'],
"order_type": order_data['order_type'],
"market_price": order_data['price'],
"target": order_data['target'],
"stop": order_data['initial_stop'],
"entry_price": 0,
"exit_price": order_data['exit_price'],
"realized_pnl": 0
}
if "entry_time" in order_data:
self.active_trades[tradeId]["entry_time"] = order_data['entry_time']
if "entry_price" in order_data:
self.active_trades[tradeId]["entry_price"] = order_data['entry_price']
else:
# self.active_trades[tradeId]['direction'] = order_data['direction']
self.active_trades[tradeId]['action'] = order_data['action']
self.active_trades[tradeId]['position'] = order_data['position']
self.active_trades[tradeId]['exit_price'] = order_data['exit_price']
self.active_trades[tradeId]['exit_reason'] = order_data['exit_reason']
self.active_trades[tradeId]['exit_time'] = order_data['exit_time']
# calculate trade duration
try:
delta = int((self.active_trades[tradeId]['exit_time'] -
self.active_trades[tradeId]['entry_time']).total_seconds())
days, remainder = divmod(delta, 86400)
hours, remainder = divmod(remainder, 3600)
minutes, seconds = divmod(remainder, 60)
duration = ('%sd %sh %sm %ss' %
(days, hours, minutes, seconds))
self.active_trades[tradeId]['duration'] = duration.replace(
"0d ", "").replace("0h ", "").replace("0m ", "")
except Exception as e:
pass
trade = self.active_trades[tradeId]
if trade['entry_price'] > 0 and trade['position'] == 0:
if trade['direction'] == "SELL":
pnl = trade['entry_price'] - trade['exit_price']
else:
pnl = trade['exit_price'] - trade['entry_price']
pnl = tools.to_decimal(pnl)
# print("1)", pnl)
self.active_trades[tradeId]['realized_pnl'] = pnl
# print("\n\n-----------------")
# print(self.active_trades[tradeId])
# print("-----------------\n\n")
# get trade
trade = self.active_trades[tradeId].copy()
# sms trades
sms._send_trade(trade, self.sms_numbers, self.timezone)
# rename trade direction
trade['direction'] = trade['direction'].replace(
"BUY", "LONG").replace("SELL", "SHORT")
# log
self.log_trade(trade)
# remove from active trades and add to trade
if trade['action'] == "EXIT":
del self.active_trades[tradeId]
self.trades.append(trade)
# return trade
return trade
# ---------------------------------------
def log_trade(self, trade):
# first trade is an exit?
if trade['entry_time'] is None:
return
# connection established
if (self.dbconn is not None) & (self.dbcurr is not None):
sql = """INSERT INTO trades (
`algo`, `symbol`, `direction`,`quantity`,
`entry_time`, `exit_time`, `exit_reason`,
`order_type`, `market_price`, `target`, `stop`,
`entry_price`, `exit_price`, `realized_pnl`)
VALUES (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s)
ON DUPLICATE KEY UPDATE
`algo`=%s, `symbol`=%s, `direction`=%s, `quantity`=%s,
`entry_time`=%s, `exit_time`=%s, `exit_reason`=%s,
`order_type`=%s, `market_price`=%s, `target`=%s, `stop`=%s,
`entry_price`=%s, `exit_price`=%s, `realized_pnl`=%s
"""
try:
trade['entry_time'] = trade['entry_time'].strftime(
"%Y-%m-%d %H:%M:%S.%f")
except Exception as e:
pass
try:
trade['exit_time'] = trade['exit_time'].strftime(
"%Y-%m-%d %H:%M:%S.%f")
except Exception as e:
pass
# all strings
for k, v in trade.items():
if v is not None:
trade[k] = str(v)
self.dbcurr.execute(sql, (
trade['strategy'], trade['symbol'], trade['direction'], trade['quantity'],
trade['entry_time'], trade['exit_time'], trade['exit_reason'],
trade['order_type'], trade['market_price'], trade['target'], trade['stop'],
trade['entry_price'], trade['exit_price'], trade['realized_pnl'],
trade['strategy'], trade['symbol'], trade['direction'], trade['quantity'],
trade['entry_time'], trade['exit_time'], trade['exit_reason'],
trade['order_type'], trade['market_price'], trade['target'], trade['stop'],
trade['entry_price'], trade['exit_price'], trade['realized_pnl']
))
# commit
try:
self.dbconn.commit()
except Exception as e:
pass
if self.trade_log_dir:
self.trade_log_dir = (self.trade_log_dir + '/').replace('//', '/')
trade_log_path = self.trade_log_dir + self.strategy.lower() + "_" + \
datetime.now().strftime('%Y%m%d') + ".csv"
# convert None to empty string !!
trade.update((k, '') for k, v in trade.items() if v is None)
# create df
trade_df = pd.DataFrame(index=[0], data=trade)[[
'strategy', 'symbol', 'direction', 'quantity', 'entry_time',
'exit_time', 'exit_reason', 'order_type', 'market_price', 'target',
'stop', 'entry_price', 'exit_price', 'realized_pnl'
]]
if os.path.exists(trade_log_path):
trades = pd.read_csv(trade_log_path, header=0)
trades = trades.append(trade_df, ignore_index=True, sort=True)
trades.drop_duplicates(['entry_time', 'symbol', 'strategy'],
keep="last", inplace=True)
trades.to_csv(trade_log_path, header=True, index=False)
tools.chmod(trade_log_path)
else:
trade_df.to_csv(trade_log_path, header=True, index=False)
tools.chmod(trade_log_path)
# ---------------------------------------
def active_order(self, symbol, order_type="STOP"):
if symbol in self.orders.history:
for orderId in self.orders.history[symbol]:
order = self.orders.history[symbol][orderId]
if order['order_type'].upper() == order_type.upper():
return order
return None
# ---------------------------------------
@staticmethod
def _get_locals(local_params):
del local_params['self']
return local_params
# ---------------------------------------
def _create_order(self, symbol, direction, quantity, order_type="",
limit_price=0, expiry=0, orderId=0, target=0,
initial_stop=0, trail_stop_at=0, trail_stop_by=0,
stop_limit=False, trail_stop_type='percent', **kwargs):
# fix prices to comply with contract's min-tick
ticksize = self.get_contract_details(symbol)['m_minTick']
limit_price = tools.round_to_fraction(limit_price, ticksize)
target = tools.round_to_fraction(target, ticksize)
initial_stop = tools.round_to_fraction(initial_stop, ticksize)
trail_stop_at = tools.round_to_fraction(trail_stop_at, ticksize)
trail_stop_by = tools.round_to_fraction(trail_stop_by, ticksize)
trail_stop_type = "amount" if trail_stop_type == "amount" else "percent"
self.log_broker.debug('CREATE ORDER: %s %4d %s %s', direction,
quantity, symbol, dict(locals(), **kwargs))
# force BUY/SELL (not LONG/SHORT)
direction = direction.replace("LONG", "BUY").replace("SHORT", "SELL")
# modify order?
if order_type.upper() == "MODIFY":
self.modify_order(symbol, orderId, quantity, limit_price)
return
# continue...
if "stoploss" in kwargs and initial_stop == 0:
initial_stop = kwargs['stoploss']
order_type = "MARKET" if limit_price == 0 else "LIMIT"
fillorkill = kwargs["fillorkill"] if "fillorkill" in kwargs else False
iceberg = kwargs["iceberg"] if "iceberg" in kwargs else False
tif = kwargs["tif"] if "tif" in kwargs else "DAY"
# clear expired pending orders
self._cancel_expired_pending_orders()
# don't submit order if a pending one is waiting
if symbol in self.orders.pending:
self.log_broker.warning(
'Not submitting %s order, orders pending: %s', symbol,
self.orders.pending)
return
# continue...
order_quantity = abs(quantity)
if direction.upper() == "SELL":
order_quantity = -order_quantity
contract = self.get_contract(symbol)
# is bracket order
bracket = (target > 0) | (initial_stop > 0) | (
trail_stop_at > 0) | (trail_stop_by > 0)
# create & submit order
if not bracket:
# simple order
order = self.ibConn.createOrder(order_quantity, limit_price,
fillorkill=fillorkill,
iceberg=iceberg,
tif=tif)
orderId = self.ibConn.placeOrder(contract, order)
self.log_broker.debug('PLACE ORDER: %s %s', tools.contract_to_dict(
contract), tools.order_to_dict(order))
else:
# bracket order
order = self.ibConn.createBracketOrder(contract, order_quantity,
entry=limit_price,
target=target,
stop=initial_stop,
stop_limit=stop_limit,
fillorkill=fillorkill,
iceberg=iceberg,
tif=tif)
orderId = order["entryOrderId"]
# triggered trailing stop?
if trail_stop_by != 0 and trail_stop_at != 0:
trail_stop_params = {
"symbol": symbol,
"quantity": -order_quantity,
"triggerPrice": trail_stop_at,
"parentId": order["entryOrderId"],
"stopOrderId": order["stopOrderId"]
}
if trail_stop_type.lower() == 'amount':
trail_stop_params["trailAmount"] = trail_stop_by
else:
trail_stop_params["trailPercent"] = trail_stop_by
self.ibConn.createTriggerableTrailingStop(**trail_stop_params)
# add all orders to history
self._update_order_history(symbol=symbol,
orderId=order["entryOrderId"],
quantity=order_quantity,
order_type='ENTRY')
self._update_order_history(symbol=symbol,
orderId=order["targetOrderId"],
quantity=-order_quantity,
order_type='TARGET',
parentId=order["entryOrderId"])
self._update_order_history(symbol=symbol,
orderId=order["stopOrderId"],
quantity=-order_quantity,
order_type='STOP',
parentId=order["entryOrderId"])
# have original params available for FILL event
self.orders.recent[orderId] = self._get_locals(locals())
self.orders.recent[orderId]['targetOrderId'] = 0
self.orders.recent[orderId]['stopOrderId'] = 0
if bracket:
self.orders.recent[orderId]['targetOrderId'] = order["targetOrderId"]
self.orders.recent[orderId]['stopOrderId'] = order["stopOrderId"]
# append market price at the time of order
try:
self.orders.recent[orderId]['price'] = self.last_price[symbol]
except Exception as e:
self.orders.recent[orderId]['price'] = 0
# add orderId / ttl to (auto-adds to history)
expiry = expiry * 1000 if expiry > 0 else 60000 # 1min
self._update_pending_order(symbol, orderId, expiry, order_quantity)
time.sleep(0.1)
# ---------------------------------------
def _cancel_order(self, orderId):
if orderId is not None and orderId > 0:
self.ibConn.cancelOrder(orderId)
# ---------------------------------------
def modify_order_group(self, symbol, orderId, entry=None,
target=None, stop=None, quantity=None):
order_group = self.orders.recent[orderId]['order']
if entry is not None:
self.modify_order(
symbol, orderId, limit_price=entry, quantity=quantity)
if target is not None:
self.modify_order(symbol, order_group['targetOrderId'],
limit_price=target, quantity=quantity)
if stop is not None:
stop_quantity = quantity * -1 if quantity is not None else None
self.modify_order(symbol, order_group['stopOrderId'],
limit_price=stop, quantity=stop_quantity)
# ---------------------------------------
def modify_order(self, symbol, orderId, quantity=None, limit_price=None):
if quantity is None and limit_price is None:
return
if symbol in self.orders.history:
for historyOrderId in self.orders.history[symbol]:
if historyOrderId == orderId:
order_quantity = self.orders.history[symbol][orderId]['quantity']
if quantity is not None:
order_quantity = quantity
order = self.orders.history[symbol][orderId]
if order['order_type'] == "STOP":
new_order = self.ibConn.createStopOrder(
quantity=order_quantity,
parentId=order['parentId'],
stop=limit_price,
trail=None,
transmit=True
)
else:
new_order = self.ibConn.createOrder(
order_quantity, limit_price)
# child order?
if "parentId" in order:
new_order.parentId = order['parentId']
# send order
contract = self.get_contract(symbol)
self.ibConn.placeOrder(
contract, new_order, orderId=orderId)
break
# ---------------------------------------
@staticmethod
def _milliseconds_delta(delta):
return delta.days * 86400000 + delta.seconds * 1000 + delta.microseconds / 1000
# ---------------------------------------
def _cancel_orphan_orders(self, orderId):
""" cancel child orders when parent is gone """
orders = self.ibConn.orders
for order in orders:
order = orders[order]
if order['parentId'] != orderId:
self.ibConn.cancelOrder(order['id'])
# ---------------------------------------
def _cancel_expired_pending_orders(self):
""" expires pending orders """
# use a copy to prevent errors
pending = self.orders.pending.copy()
for symbol in pending:
orderId = pending[symbol]["orderId"]
expiration = pending[symbol]["expires"]
delta = expiration - datetime.now()
delta = self._milliseconds_delta(delta)
# cancel order if expired
if delta < 0:
self.ibConn.cancelOrder(orderId)
if orderId in self.orders.pending_ttls:
if orderId in self.orders.pending_ttls:
del self.orders.pending_ttls[orderId]
if symbol in self.orders.pending:
if self.orders.pending[symbol]['orderId'] == orderId:
del self.orders.pending[symbol]
# ---------------------------------------------------------
def _expire_pending_order(self, symbol, orderId):
self.ibConn.cancelOrder(orderId)
if orderId in self.orders.pending_ttls:
del self.orders.pending_ttls[orderId]
if symbol in self.orders.pending:
if self.orders.pending[symbol]['orderId'] == orderId:
del self.orders.pending[symbol]
# ---------------------------------------------------------
def _update_pending_order(self, symbol, orderId, expiry, quantity):
self.orders.pending[symbol] = {
"orderId": orderId,
"quantity": quantity,
# "created": datetime.now(),
"expires": datetime.now() + timedelta(milliseconds=expiry)
}
# ibCallback needs this to update with submittion time
self.orders.pending_ttls[orderId] = expiry
self._update_order_history(
symbol=symbol, orderId=orderId, quantity=quantity)
# ---------------------------------------------------------
def _update_order_history(self, symbol, orderId, quantity,
order_type='entry', filled=False, parentId=0):
if symbol not in self.orders.history:
self.orders.history[symbol] = {}
self.orders.history[symbol][orderId] = {
"orderId": orderId,
"quantity": quantity,
"order_type": order_type.upper(),
"filled": filled,
"parentId": parentId
}
# ---------------------------------------
# UTILITY FUNCTIONS
# ---------------------------------------
[docs] def get_instrument(self, symbol):
"""
A string subclass that provides easy access to misc
symbol-related methods and information using shorthand.
Refer to the `Instruments API <#instrument-api>`_
for available methods and properties
Call from within your strategy:
``instrument = self.get_instrument("SYMBOL")``
:Parameters:
symbol : string
instrument symbol
"""
instrument = Instrument(self.get_symbol(symbol))
instrument._set_parent(self)
instrument._set_windows(ticks=self.tick_window, bars=self.bar_window)
return instrument
# ---------------------------------------
@staticmethod
def get_symbol(symbol):
if not isinstance(symbol, str):
if isinstance(symbol, dict):
symbol = symbol['symbol']
elif isinstance(symbol, pd.DataFrame):
symbol = symbol[:1]['symbol'].values[0]
return symbol
# ---------------------------------------
def get_account(self):
return self.ibConn.account
# ---------------------------------------
def get_contract(self, symbol):
return self.ibConn.contracts[self.ibConn.tickerId(symbol)]
# ---------------------------------------
def get_contract_details(self, symbol):
return self.ibConn.contractDetails(symbol)
# ---------------------------------------
def get_tickerId(self, symbol):
return self.ibConn.tickerId(symbol)
# ---------------------------------------
def get_orders(self, symbol):
symbol = self.get_symbol(symbol)
self.orders.by_symbol = self.ibConn.group_orders("symbol")
if symbol in self.orders.by_symbol:
return self.orders.by_symbol[symbol]
return {}
# ---------------------------------------
def get_positions(self, symbol):
symbol = self.get_symbol(symbol)
if self.backtest:
position = 0
avgCost = 0.0
if self.datastore.recorded is not None:
data = self.datastore.recorded
col = symbol.upper() + '_POSITION'
position = data[col].values[-1]
if position != 0:
pos = data[col].diff()
avgCost = data[data.index.isin(pos[pos != 0][-1:].index)
][symbol.upper() + '_OPEN'].values[-1]
return {
"symbol": symbol,
"position": position,
"avgCost": avgCost,
"account": "Backtest"
}
elif symbol in self.ibConn.positions:
return self.ibConn.positions[symbol]
return {
"symbol": symbol,
"position": 0,
"avgCost": 0.0,
"account": None
}
# ---------------------------------------
def get_portfolio(self, symbol=None):
if symbol is not None:
symbol = self.get_symbol(symbol)
if symbol in self.ibConn.portfolio:
portfolio = self.ibConn.portfolio[symbol]
if "symbol" in portfolio:
return portfolio
return {
"symbol": symbol,
"position": 0.0,
"marketPrice": 0.0,
"marketValue": 0.0,
"averageCost": 0.0,
"unrealizedPNL": 0.0,
"realizedPNL": 0.0,
"totalPNL": 0.0,
"account": None
}
return self.ibConn.portfolio
# ---------------------------------------
def get_pending_orders(self, symbol=None):
if symbol is not None:
symbol = self.get_symbol(symbol)
if symbol in self.orders.pending:
return self.orders.pending[symbol]
return {}
return self.orders.pending
# ---------------------------------------
def get_trades(self, symbol=None):
# closed trades
trades = pd.DataFrame(self.trades)
if not trades.empty:
trades.loc[:, 'closed'] = True
# ongoing trades
active_trades = pd.DataFrame(list(self.active_trades.values()))
if not active_trades.empty:
active_trades.loc[:, 'closed'] = False
# combine dataframes
df = pd.concat([trades, active_trades], sort=True).reset_index()
# set last price
if not df.empty:
# conert values to floats
df['entry_price'] = df['entry_price'].astype(float)
df['exit_price'] = df['exit_price'].astype(float)
df['market_price'] = df['market_price'].astype(float)
df['realized_pnl'] = df['realized_pnl'].astype(float)
df['stop'] = df['stop'].astype(float)
df['target'] = df['target'].astype(float)
df['quantity'] = df['quantity'].astype(int)
try:
df.loc[:, 'last'] = self.last_price[symbol]
except Exception as e:
df.loc[:, 'last'] = 0
# calc unrealized pnl
df['unrealized_pnl'] = np.where(df['direction'] == "SHORT",
df['entry_price'] - df['last'],
df['last'] - df['entry_price'])
df.loc[df['closed'], 'unrealized_pnl'] = 0
# drop index column
df.drop('index', axis=1, inplace=True)
# get single symbol
if symbol is not None:
df = df[df['symbol'] == symbol.split("_")[0]]
df.loc[:, 'symbol'] = symbol
# return
return df