Python Contract.m_expiry方法代码示例

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
    def subscribe(self, subscribeReq):
        """订阅行情"""
        # 订阅行情
        self.tickerId += 1
        
        contract = Contract()
        contract.m_symbol = str(subscribeReq.symbol)
        contract.m_exchange = exchangeMap.get(subscribeReq.exchange, '')
        contract.m_secType = productClassMap.get(subscribeReq.productClass, '')
        contract.m_currency = currencyMap.get(subscribeReq.currency, '')
        contract.m_expiry = subscribeReq.expiry
        contract.m_strike = subscribeReq.strikePrice
        contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
        
        # 考虑设计为针对期货用代码_到期日的方式来代替单纯的代码
        if contract.m_secType == 'FUT' and not subscribeReq.expiry:
            # 期货 如果没有设置过期时间, 默认设置为下个月
            dt_obj = datetime.now()
            days = calendar.monthrange(dt_obj.year, dt_obj.month)[1]
            nextMonth = dt_obj + timedelta(days=(days - dt_obj.day + 1))
            contract.m_expiry = nextMonth.strftime('%Y%m')

        self.connection.reqMktData(self.tickerId, contract, '', False)
        
        # 获取合约详细信息
        self.connection.reqContractDetails(self.tickerId, contract)
        
        # 创建Tick对象并保存到字典中
        tick = VtTickData()
        tick.symbol = subscribeReq.symbol
        tick.exchange = subscribeReq.exchange
        tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
        tick.gatewayName = self.gatewayName
        tick.__setattr__('m_secType', productClassMap.get(subscribeReq.productClass, ''))
        self.tickDict[self.tickerId] = tick

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def makeContract(symbol, derivative, exchange, expiration = None,
		 strike = None, call_put = None, currency = "USD"):
    contract = Contract()
    contract.m_symbol = symbol
    contract.m_secType = derivative
    contract.m_exchange = exchange
    contract.m_currency = currency
    if derivative == "OPT":
        contract.m_expiry = expiration
        contract.m_strike = strike
        contract.m_right = call_put
    if derivative == "FUT":
        contract.m_expiry = expiration

    return contract

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
    def generate_spx(self, symbol="SPX", exchange="SMART", currency="USD", \
                                            secType="OPT", expiry="20151023",
                                            strikep=None):
        """ Function to resemble a main function """
        # Establish a connection
        sys.stdout.write("\nCalling connection\n")
        connection = ibConnection()
        connection.registerAll(self.ibhndl.my_callback_handler)
        connection.connect()

        # Get contract details
        contract_values = Contract()
        contract_values.m_symbol = symbol
        contract_values.m_exchange = exchange
        contract_values.m_currency = currency
        contract_values.m_secType = secType
        contract_values.m_expiry = expiry
        
        if strikep:
            contract_values.m_strike = strikep

        self.ibhndl.get_contract_details(connection, 1, contract_values)

        # Get Market values
        self.ibhndl.get_market_data(connection)

        if not os.path.isdir(os.path.join('.', 'spx_files')):
            os.makedirs('spx_files')

        mydir = os.path.join(os.getcwd(), 'spx_files', \
                         datetime.datetime.now().strftime('%Y-%m-%d_%H-%M-%S'))
        os.makedirs(mydir)

        OPTIONS.to_csv(os.path.join(mydir, 'Options.csv'))
        sys.stdout.write("\n\n")

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def makeContract(symbol, derivative, exchange, expiration = None, 		strike = None, call_put = None, currency = "USD", tradingClass = None, multiplier = None):
	contract = Contract()
	contract.m_symbol = symbol
	contract.m_secType = derivative
	contract.m_exchange = exchange
	contract.m_currency = currency
	if derivative == "OPT":
		contract.m_expiry = expiration
		contract.m_strike = strike
		contract.m_right = call_put
		contract.m_multiplier = multiplier
		contract.m_tradingClass = tradingClass
	if derivative == "FUT":
		contract.m_expiry = expiration
	
	return contract

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def create_ib_futures_contract(symbol, exp_month=1, exp_year=2016, exchange='NYMEX', currency='USD'):
    """
    Creates a futures contract used for IB orders.
    :param symbol: (string) base symbol e.g. 'CL'
    :param type: (string) 'FUT' --> futures
    :param exp_month: (int) e.g. 6 --> June
    :param exp_year: (int) e.g. 2016
    :param exchange:
    :param currency:
    :return:
    """
    # TODO: create IBContract class
    exp_month = str(exp_month)
    if len(exp_month) == 1:
        exp_month = '0' + exp_month
    exp_year = str(exp_year)
    expiry = exp_year + exp_month

    contract = Contract()
    contract.m_symbol = symbol
    contract.m_secType = 'FUT'
    contract.m_expiry = expiry
    contract.m_exchange = exchange
    contract.m_currency = currency
    return contract

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def create_ticksym(symbol_id,sym):
    libsyms = EXE + 'library.syms.csv'
    symdict = rpu_rp.create_dict(libsyms,0,1)
    exchdict = rpu_rp.create_dict(libsyms,0,2)
    typedict = rpu_rp.create_dict(libsyms,0,5)
    currdict = rpu_rp.create_dict(libsyms,0,3)
    expiredict = rpu_rp.create_dict(libsyms,0,4)
    dboostdict = rpu_rp.create_dict(libsyms,0,6)
    tickdict = rpu_rp.create_dict(libsyms,0,8)
    tsizedict = rpu_rp.create_dict(libsyms,0,7)
    roundfactordict = rpu_rp.create_dict(libsyms,0,9)
    entrywiderdict = rpu_rp.create_dict(libsyms,0,10)
    symib = symdict[sym] 
    ibsecType = typedict[sym] #'CASH'
    ibexchange = exchdict[sym] #'IDEALPRO'
    cashcurr = currdict[sym] #'USD'
    expiry = expiredict[sym] #'ignore'  
    contract = Contract()  
    contract.m_symbol = symib
    contract.m_secType = ibsecType 
    contract.m_exchange = ibexchange
    contract.m_currency = cashcurr
    if ibsecType  == 'FUT':
        contract.m_expiry = expiry
        sleep(2)
    return contract

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def main():
  symbol = sys.argv[1]
  exch = sys.argv[2]
  expiry = sys.argv[3]
  date = sys.argv[4]
  d = pd.to_datetime(date) - pd.DateOffset(1)
  prev_date = '%04d%02d%02d' % (d.year, d.month, d.day)

  contract = Contract()
  contract.m_symbol = symbol
  contract.m_secType = 'FUT'
  contract.m_exchange = exch
  contract.m_currency = 'USD'
  contract.m_expiry = expiry
  print 'Collecting', date, 'data for', contract.m_symbol, 'expiration', contract.m_expiry

  outfile = open(date+'.bars', 'w')

  for h in xrange(20,24,2):
    broker = datacol.Datacol(contract, prev_date, ('%02d:00:00' % h), 7200, outfile)
    broker.close()

  for h in xrange(0,18,2):
    broker = datacol.Datacol(contract, date, ('%02d:00:00' % h), 7200, outfile)
    broker.close()

  broker = datacol.Datacol(contract, date, '17:15:00', 4500, outfile)
  broker.close()

  outfile.close()

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def addfutur(ticker, exchg, expiry):
    c = Contract()
    c.m_symbol = ticker
    c.m_secType = 'FUT'
    c.m_exchange = exchg
    c.m_expiry = expiry
    addcontract(c, "Fut(" + exchg + ", " + expiry + ")")

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
 def sendOrder(self, orderReq):
     """发单"""
     # 增加报单号1，最后再次进行查询
     # 这里双重设计的目的是为了防止某些情况下，连续发单时，nextOrderId的回调推送速度慢导致没有更新
     self.orderId += 1
     
     # 创建合约对象
     contract = Contract()
     contract.m_symbol = str(orderReq.symbol)
     contract.m_exchange = exchangeMap.get(orderReq.exchange, '')
     contract.m_secType = productClassMap.get(orderReq.productClass, '')
     contract.m_currency = currencyMap.get(orderReq.currency, '')
     
     contract.m_expiry = orderReq.expiry
     contract.m_strike = orderReq.strikePrice
     contract.m_right = optionTypeMap.get(orderReq.optionType, '')
     
     # 创建委托对象
     order = Order()
     order.m_orderId = self.orderId
     order.m_clientId = self.clientId
     
     order.m_action = directionMap.get(orderReq.direction, '')
     order.m_lmtPrice = orderReq.price
     order.m_totalQuantity = orderReq.volume
     order.m_orderType = priceTypeMap.get(orderReq.priceType, '')
     
     # 发送委托
     self.connection.placeOrder(self.orderId, contract, order)
     
     # 查询下一个有效编号
     self.connection.reqIds(1)

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def main():
  symbol = sys.argv[1]
  exch = sys.argv[2]
  expiry = convert_date(sys.argv[3])
  date = pd.to_datetime(convert_date(sys.argv[4])) - pd.DateOffset(days=1)
  to_date = pd.to_datetime(convert_date(sys.argv[5]))
  timeframe = sys.argv[6] + ' '
  units = sys.argv[7]
  duration = to_date - date

  contract = Contract()
  contract.m_symbol = symbol
  contract.m_secType = 'FUT'
  contract.m_exchange = exch
  contract.m_currency = 'USD'
  contract.m_expiry = expiry
  print 'Collecting', date, 'data for', contract.m_symbol, 'expiration', contract.m_expiry

  outfile = open('from %s to %s' % (sys.argv[4], sys.argv[5])+'.bars', 'w')

#  for h in xrange(20,24,2):
 #   broker = Datacol(contract, prev_date, ('%02d:00:00' % h), 7200, outfile)
  #  broker.close()

#  for h in xrange(0,18,2):
 #   broker = Datacol(contract, date, ('%02d:00:00' % h), 7200, outfile)
  #  broker.close()

  for h in range(duration.days):
      date = date + pd.DateOffset(days=1)
      broker = Datacol(contract, '%04d%02d%02d 21:59:00' % (date.year, date.month, date.day), timeframe+units, outfile)
      broker.close()

  outfile.close()

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
    def request_market_data(self, timeframe, interval, symbol, sectype, \
                                        exchange, currency=None, expiry=None, \
                                        primexch=None, latestdate=None):
        # Establish a connection
        sys.stdout.write("\nCalling connection\n")
        connection = ibConnection()
        connection.register(self.ibhndl.my_callback_handler, \
                                                        message.historicalData)
        connection.connect()
 
        #Contract
        contract = Contract()
        contract.m_symbol = symbol
        contract.m_secType = sectype
        contract.m_exchange = exchange
        contract.m_currency = currency
 
        if primexch:
            contract.m_primaryExch = primexch
 
        if expiry:
            contract.m_expiry = expiry
 
        # Get historical data
        rtnData = self.ibhndl.reqHistoricalData(contract, interval, connection,\
                                                        timeframe, latestdate)
        connection.disconnect()
 
        if not rtnData[0]:
            sys.stderr.write("ERROR: No data return for %s : %s\n" % (symbol,\
                                                                    interval)) 
            return rtnData, ""

        dateList = list()
        stockFile = list()
        for data, volume in zip(rtnData[0], rtnData[1]):
            dateList = dateList + [data[0]]
            dataStr = '%s, %s, %s, %s, %s, %s' % \
                        (strftime("%Y-%m-%d %H:%M:%S", \
                              localtime(int(str(data[0]))/1000)), data[1], \
                              data[2], data[3], data[4], str(volume[1]))
        
            stockFile = stockFile + [dataStr]
        
        convertStr = '%Y-%m-%d %H:%M:%S'
        date, _, _, _, closep, volume = \
                        np.loadtxt(stockFile, delimiter=',', unpack=True, \
                       converters={0:mdates.strpdate2num(convertStr)})
        
        #PATTERNS
        retpat = []
        try:
            patterndb = PatternDB()
            patterndb.add(HS())
            patterndb.add(IHS())
        
            retpat = patterndb.check(closep[-60:], date[-60:])
        except Exception, excp:
            sys.stderr.write("ERROR: PATTERNS failed with exception " \
                                                            "%s\n" % excp)

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
 def makeContract(self, contractTuple):
     newContract = Contract()
     newContract.m_symbol = contractTuple[0]
     newContract.m_secType = contractTuple[1]
     newContract.m_exchange = contractTuple[2]
     newContract.m_currency = contractTuple[3]
     newContract.m_expiry = contractTuple[4]
     return newContract

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def addoption(ticker, exchg, expiry, strike, right):
    c = Contract()
    c.m_symbol = ticker
    c.m_secType = 'OPT'
    c.m_exchange = exchg
    c.m_expiry = expiry
    c.m_strike = float(strike)
    c.m_right = right
    addcontract(c, "Opt(" + exchg + ", " + expiry + ", " + str(strike) + ", " + right +")")

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
 def set_contract_ib(self, symbol, sec_type, exchange, currency, multiplier, expiry):
     contract = Contract()
     contract.m_symbol = symbol
     contract.m_secType = sec_type
     contract.m_exchange = exchange
     contract.m_currency = currency
     contract.m_multiplier = multiplier
     contract.m_expiry = expiry
     self.contract = contract

# 需要导入模块: from ib.ext.Contract import Contract [as 别名]
# 或者: from ib.ext.Contract.Contract import m_expiry [as 别名]
def create_ticksym(symbol_id,sym,ibsecType,ibexchange,cashcurr,expiry):
    contract = Contract()  
    contract.m_symbol = sym
    contract.m_secType = ibsecType 
    contract.m_exchange = ibexchange
    contract.m_currency = cashcurr
    if ibsecType  == 'FUT':
        contract.m_expiry = expiry
    return contract