Instrument API¶

The Instrument object is passed to the on_tick(), on_bar(), on_quote(), on_orderbook() and on_fill() methods in your strategy:

# startegy.py
def on_tick(self, instrument):
    instrument.MethodName(...)

def on_bar(self, instrument):
    instrument.MethodName(...)

def on_quote(self, instrument):
    instrument.MethodName(...)

def on_orderbook(self, instrument):
    instrument.MethodName(...)

def on_fill(self, instrument, order):
    instrument.MethodName(...)

class qtpylib.instrument.Instrument[source]

A string subclass that provides easy access to misc symbol-related methods and information.

get_bars(lookback=None, as_dict=False)[source]

Get bars for this instrument

Parameters:	lookback : int Max number of bars to get (None = all available bars) as_dict : bool Return a dict or a pd.DataFrame object
Retruns:	bars : pd.DataFrame / dict The bars for this instruments

get_bar()[source]: Shortcut to self.get_bars(lookback=1, as_dict=True)

get_ticks(lookback=None, as_dict=False)[source]

Get ticks for this instrument

Parameters:	lookback : int Max number of ticks to get (None = all available ticks) as_dict : bool Return a dict or a pd.DataFrame object
Retruns:	ticks : pd.DataFrame / dict The ticks for this instruments

get_tick()[source]: Shortcut to self.get_ticks(lookback=1, as_dict=True)

get_quote()[source]

Get last quote for this instrument

Retruns:	quote : dict The quote for this instruments

get_orderbook()[source]

Get orderbook for the instrument

Retruns:	orderbook : dict orderbook dict for the instrument

order(direction, quantity, **kwargs)[source]

Send an order for this instrument

Parameters:

direction: Order Type (BUY/SELL, EXIT/FLATTEN)
quantity: Order quantity

Optional:

limit_price: In case of a LIMIT order, this is the LIMIT PRICE
expiry: Cancel this order if not filled after n seconds (default 60 seconds)
order_type: Type of order: Market (default), LIMIT (default when limit_price is passed), MODIFY (required passing or orderId)
orderId: If modifying an order, the order id of the modified order
target: target (exit) price
initial_stop: price to set hard stop
stop_limit: bool: Flag to indicate if the stop should be STOP or STOP LIMIT (default False=STOP)
trail_stop_at: price at which to start trailing the stop
trail_stop_by: % of trailing stop distance from current price
fillorkill: bool: fill entire quantiry or none at all
iceberg: bool: is this an iceberg (hidden) order
tif: str: time in force (DAY, GTC, IOC, GTD). default is DAY

cancel_order(orderId)[source]

Cancels an order for this instrument

Parameters:	orderId : int Order ID

market_order(direction, quantity, **kwargs)[source]

Shortcut for instrument.order(...) and accepts all of its optional parameters

Parameters:	direction : string Order Type (BUY/SELL, EXIT/FLATTEN) quantity : int Order quantity

limit_order(direction, quantity, price, **kwargs)[source]

Shortcut for instrument.order(...) and accepts all of its optional parameters

Parameters:	direction : string Order Type (BUY/SELL, EXIT/FLATTEN) quantity : int Order quantity price : float Limit price

buy(quantity, **kwargs)[source]

Shortcut for instrument.order("BUY", ...) and accepts all of its optional parameters

Parameters:	quantity : int Order quantity

buy_market(quantity, **kwargs)[source]

Shortcut for instrument.order("BUY", ...) and accepts all of its optional parameters

Parameters:	quantity : int Order quantity

buy_limit(quantity, price, **kwargs)[source]

Shortcut for instrument.order("BUY", ...) and accepts all of its optional parameters

Parameters:	quantity : int Order quantity price : float Limit price

sell(quantity, **kwargs)[source]

Shortcut for instrument.order("SELL", ...) and accepts all of its optional parameters

Parameters:	quantity : int Order quantity

sell_market(quantity, **kwargs)[source]

Shortcut for instrument.order("SELL", ...) and accepts all of its optional parameters

Parameters:	quantity : int Order quantity

sell_limit(quantity, price, **kwargs)[source]

Shortcut for instrument.order("SELL", ...) and accepts all of its optional parameters

Parameters:	quantity : int Order quantity price : float Limit price

exit()[source]: Shortcut for instrument.order("EXIT", ...) (accepts no parameters)

flatten()[source]: Shortcut for instrument.order("FLATTEN", ...) (accepts no parameters)

get_contract()[source]

Get contract object for this instrument

Retruns:	contract : Object IB Contract object

get_contract_details()[source]

Get contract details for this instrument

Retruns:	contract_details : dict IB Contract details

get_tickerId()[source]

Get contract’s tickerId for this instrument

Retruns:	tickerId : int IB Contract’s tickerId

get_positions(attr=None)[source]

Get the positions data for the instrument

Optional:	attr : string Position attribute to get (optional attributes: symbol, position, avgCost, account)
Retruns:	positions : dict (positions) / float/str (attribute) positions data for the instrument

get_portfolio()[source]

Get portfolio data for the instrument

Retruns:	portfolio : dict portfolio data for the instrument

get_orders()[source]

Get orders for the instrument

Retruns:	orders : list list of order data as dict

get_pending_orders()[source]

Get pending orders for the instrument

Retruns:	orders : list list of pending order data as dict

get_active_order(order_type='STOP')[source]

Get artive order id for the instrument by order_type

Optional:	order_type : string the type order to return: STOP (default), LIMIT, MARKET
Retruns:	order : object IB Order object of instrument

get_trades()[source]

Get orderbook for the instrument

Retruns:	trades : pd.DataFrame instrument’s trade log as DataFrame

get_symbol()[source]

Get symbol of this instrument

Retruns:	symbol : string instrument’s symbol

modify_order(orderId, quantity=None, limit_price=None)[source]

Modify quantity and/or limit price of an active order for the instrument

Parameters:	orderId : int the order id to modify
Optional:	quantity : int the required quantity of the modified order limit_price : int the new limit price of the modified order

modify_order_group(orderId, entry=None, target=None, stop=None, quantity=None)[source]

Modify bracket order

Parameters:	orderId : int the order id to modify
Optional:	entry: float new entry limit price (for unfilled limit orders only) target: float new target limit price (for unfilled limit orders only) stop: float new stop limit price (for unfilled limit orders only) quantity : int the required quantity of the modified order

move_stoploss(stoploss)[source]

Modify stop order. Auto-discover orderId and quantity and invokes self.modify_order(...).

Parameters:	stoploss : float the new stoploss limit price

get_margin_requirement()[source]

Get margin requirements for intrument (futures only)

Retruns:	margin : dict margin requirements for instrument (all values are `None` for non-futures instruments)

get_max_contracts_allowed(overnight=True)[source]

Get maximum contracts allowed to trade baed on required margin per contract and current account balance (futures only)

Parameters:	overnight : bool Calculate based on Overnight margin (set to `False` to use Intraday margin req.)
Retruns:	contracts : int maximum contracts allowed to trade (returns `None` for non-futures)

get_margin_max_contracts(overnight=True)[source]: Deprecated (renamed to get_max_contracts_allowed)

get_ticksize(fallback=None)[source]

Get instrument ticksize

Parameters:	fallback : flaot fallback ticksize (deprecated and ignored)
Retruns:	ticksize : int Min. tick size

log_signal(signal)[source]

Log Signal for instrument

Parameters:	signal : integer signal identifier (1, 0, -1)

bars: (Property) Shortcut to self.get_bars()

bar: (Property) Shortcut to self.get_bar()

ticks: (Property) Shortcut to self.get_ticks()

tick: (Property) Shortcut to self.get_tick()

quote: (Property) Shortcut to self.get_quote()

orderbook: (Property) Shortcut to self.get_orderbook()

symbol: (Property) Shortcut to self.get_symbol()

contract: (Property) Shortcut to self.get_contract()

contract_details: (Property) Shortcut to self.get_contract_details()

tickerId: (Property) Shortcut to self.get_tickerId()

positions: (Property) Shortcut to self.get_positions()

position: (Property) Shortcut to self.get_positions(position)

portfolio: (Property) Shortcut to self.get_portfolio()

orders: (Property) Shortcut to self.get_orders()

pending_orders: (Property) Shortcut to self.get_pending_orders()

trades: (Property) Shortcut to self.get_trades()

margin_requirement: (Property) Shortcut to self.get_margin_requirement()

margin_max_contracts: Deprecated (renamed to max_contracts_allowed)

max_contracts_allowed: (Property) Shortcut to self.get_max_contracts_allowed()

ticksize: (Property) Shortcut to self.get_ticksize()