Python swigibpy.EPosixClientSocket类代码示例

    def __init__(self, callback):
        tws = EPosixClientSocket(callback)
        (host, port, clientid) = return_IB_connection_info()
        tws.eConnect(host, port, clientid)

        self.tws = tws
        self.cb = callback

 def __init__(self, callback):
     """
     Create like this
     callback = IBWrapper()
     client = IBclient(callback)
     """
     client_socket = EPosixClientSocket(callback)
     (host, port, clientid) = return_IB_connection_info()
     client_socket.eConnect(host, port, clientid)
     self.client_socket = client_socket
     self.callback = callback

    def __init__(self, callback):
        """
        Create like this
        callback = IBWrapper()
        client=IBclient(callback)
        """

        tws = EPosixClientSocket(callback)
        (host, port, clientid) = return_IB_connection_info()
        tws.eConnect(host, port, clientid)

        self.tws = tws
        self.cb = callback

	def __init__(self, callback, clientid=None, accountid="DU202715"):
		"""
		Create like this
		callback = IBWrapper()
		client=IBclient(callback)
		"""

		tws = EPosixClientSocket(callback)
		(host, port, clientid)=return_IB_connection_info(clientid)
		tws.eConnect(host, port, clientid)

		self.tws=tws
		self.cb=callback
		self.accountid = accountid
		self.clientid = clientid

    def __init__(self):
	self.accountNumber = ''
	self.optionExpiry = '20121221'   # This needs manual updating!
	self.maxAskBidRatio = 1.25
	self.maxAskLastPriceRatio = 1.02
	self.maxOrderQueueLength = 3
	# Create a file for TWS logging
        self.twslog_fh = open('/home/mchan/git/Artemis/twslog.txt', 'a', 0)
	self.twslog_fh.write("Session Started " + str(datetime.datetime.now()) + "\n")
	self.callback = ArtemisIBWrapperSilent.ArtemisIBWrapper() 
	self.tws = EPosixClientSocket(self.callback)
	self.orderIdCount = 1 # This will be updated automatically
	self.requestIdCount = 1
	self.invested = False
	self.maxLimitPriceFactor = 1.02  # No limit orders above 2% of current ask price
	# Connect the socket
	self.socketnum = 30
	self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
	# Strategy Generic object, has methods for interpreting consensus out/under performance
	self.Strat = strategy.Strategy()
	# Queue for orders
	self.orderQueue = []
	# Setup DB connector
	self.db = dbutil.db(h='127.0.0.1', schema='mchan')
	
	# Query Cash Account Balance
	self.updateBuyingPowerNextId()

    def __init__(self, port=4001, client_id=12):
        super(SwigIBClientForInstrument, self).__init__()

        self.tws = EPosixClientSocket(self)
        self.port = port
        self.client_id = client_id

        self.got_history = Event()
        self.got_contract = Event()
        self.got_err = Event()
        self.order_filled = Event()
        self.order_ids = Queue()

class testTWS(object):
    def __init__(self):
        self.callback = ArtemisIBWrapper()
	self.tws = EPosixClientSocket(self.callback)
	self.tws.eConnect("", 7496, 44, poll_interval=1)

    def run(self):
	# Simple contract for GOOG
	contract = Contract()
	#contract.conId = 114376112
	contract.exchange = "SMART"
	contract.symbol = "ATK"
	contract.secType = "STK"
	#contract.right = "PUT"
	contract.currency = "USD"
	#contract.secType = 'OPT'
	#contract.strike = 24
	#contract.expiry = '20121116'
	today = datetime.today()

	order = Order()
	order.orderId = 89
	order.clientId = 44
	order.action = "BUY"
	order.totalQuantity = 1  # may have to calculate a smarter number
	order.orderType = "MKT"
	order.tif = "DAY" 
	order.transmit = True
	order.sweepToFill = True
	order.outsideRth = True

	contract.symbol = "alkjdf"
	self.callback.askPrice = None
	self.tws.reqMktData(2, contract, "", 1)
	max_wait = timedelta(seconds=30) + datetime.now()
	while self.callback.askPrice is None:
	    if datetime.now() > max_wait:
		print "max wait giving up"
		break
	print self.callback.askPrice

class IBBroker(Broker):

    cid = 0 # connection id
    oid = 0 # order id
    tid = 0 # tick id (for fetching quotes)
    tws = None # Trader WorkStation 
    wrapper = None # instance of EWrapper
    sid_to_tid = {} # map of security id to tick id
    
    def __init__(self, wrapper=None):
        Broker.__init__(self)
        
        # initialize a default wrapper
        if wrapper:
            self.wrapper = wrapper
        else:
            self.wrapper = WrapperDefault()

        # initialize the wrapper's portfolio object
        self.wrapper.portfolio = IBPortfolio()
            
    # get next order id
    def get_next_oid(self):
        IBBroker.oid += 1
        return IBBroker.oid

    # get next connection id
    def get_next_cid(self):
        IBBroker.cid += 1
        return IBBroker.cid

    # get next tick request id (for getting quotes)
    def get_next_tid(self):
        self.tid += 1
        return self.tid
    
    # connect to TWS
    def connect(self, port=7496):
        if self.is_connected():
            self.disconnect()
        cid = self.get_next_cid()
        self.tws = EPosixClientSocket(self.wrapper)
        self.tws.eConnect('', port, cid)

    # disconnect from TWS
    def disconnect(self):
        self.tws.eDisconnect()

    # check if TWS is connected
    def is_connected(self):
        if self.tws is None:
            return False
        return self.tws.isConnected()

    # Convert Zipline order signs into IB action strings
    def order_action(self, iSign):
        if iSign > 0:
            return 'BUY'
        elif iSign < 0:
            return 'SELL'
        raise Exception('Order of zero shares has no IB side: %i' % iSign)

    # get an IB contract by ticker
    def get_contract_by_sid(self, sid):
        contract = Contract()
        contract.symbol = sid
        contract.secType = 'STK'
        contract.exchange = 'SMART'
        contract.currency = 'USD'
        return contract
    
    # get a default IB market order
    def get_market_order(self, sid, amt):
        order = Order();
        order.action = self.order_action(amt)
        order.totalQuantity = abs(amt)
        order.orderType = 'MKT'
        order.tif = 'DAY'
        order.outsideRth = False
        return order

    # get a default IB limit order
    def get_limit_order(self, sid, amt, lmtPrice):
        order = Order();
        order.action = self.order_action(amt)
        order.totalQuantity = abs(amt)
        order.orderType = 'LMT'
        order.tif = 'DAY'
        order.outsideRth = False
        order.lmtPrice = lmtPrice
        return order

    # send the IB (contract, order) order to TWS
    def place_order(self, contract, order):
        oid = self.get_next_oid()
        self.tws.placeOrder(oid, contract, order)
        return oid
    
    # send order with Zipline style order arguments
    # <TODO> stop_price is not implemented
#.........这里部分代码省略.........

class SwigIBClientForInstrument(EWrapper):
    '''Callback object passed to TWS, these functions will be called directly
    by TWS.
    '''

    def __init__(self, port=4001, client_id=12):
        super(SwigIBClientForInstrument, self).__init__()

        self.tws = EPosixClientSocket(self)
        self.port = port
        self.client_id = client_id

        self.got_history = Event()
        self.got_contract = Event()
        self.got_err = Event()
        self.order_filled = Event()
        self.order_ids = Queue()

    def execDetails(self, id, contract, execution):
        pass

    def managedAccounts(self, openOrderEnd):
        pass

    ### Order
    def nextValidId(self, validOrderId):
        '''Capture the next order id'''
        self.order_ids.put(validOrderId)


    def request_contract_details(self, contract):
        today = datetime.today()

        print("Requesting contract details...")

        # Perform the request
        self.tws.reqContractDetails(
            43,  # reqId,
            contract,  # contract,
        )

        print("\n====================================================================")
        print(" Contract details requested, waiting %ds for TWS responses" % WAIT_TIME)
        print("====================================================================\n")

        try:
            self.got_contract.wait(timeout=WAIT_TIME)
        except KeyboardInterrupt:
            pass
        finally:
            if not self.got_contract.is_set():
                print('Failed to get contract within %d seconds' % WAIT_TIME)

    def contractDetails(self, reqId, contractDetails):
        print("Contract details received (request id %i):" % reqId)
        print("callable: %s" % contractDetails.callable)
        print("category: %s" % contractDetails.category)
        print("contractMonth: %s" % contractDetails.contractMonth)
        print("convertible: %s" % contractDetails.convertible)
        print("coupon: %s" % contractDetails.coupon)
        print("industry: %s" % contractDetails.industry)
        print("liquidHours: %s" % contractDetails.liquidHours)
        print("longName: %s" % contractDetails.longName)
        print("marketName: %s" % contractDetails.marketName)
        print("minTick: %s" % contractDetails.minTick)
        print("nextOptionPartial: %s" % contractDetails.nextOptionPartial)
        print("orderTypes: %s" % contractDetails.orderTypes)
        print("priceMagnifier: %s" % contractDetails.priceMagnifier)
        print("putable: %s" % contractDetails.putable)
        if contractDetails.secIdList is not None:
            for secId in contractDetails.secIdList:
                print("secIdList: %s" % secId)
        else:
            print("secIdList: None")

        print("subcategory: %s" % contractDetails.subcategory)
        print("tradingHours: %s" % contractDetails.tradingHours)
        print("timeZoneId: %s" % contractDetails.timeZoneId)
        print("underConId: %s" % contractDetails.underConId)
        print("evRule: %s" % contractDetails.evRule)
        print("evMultiplier: %s" % contractDetails.evMultiplier)

        contract = contractDetails.summary

        print("\nContract Summary:")
        print("exchange: %s" % contract.exchange)
        print("symbol: %s" % contract.symbol)
        print("secType: %s" % contract.secType)
        print("currency: %s" % contract.currency)
        print("tradingClass: %s" % contract.tradingClass)
        if contract.comboLegs is not None:
            for comboLeg in contract.comboLegs:
                print("comboLegs: %s - %s" %
                      (comboLeg.action, comboLeg.exchange))
        else:
            print("comboLegs: None")

        # inst_id = seq_mgr.get_next_sequence("instruments")
        print("\nBond Values:")
        print("bondType: %s" % contractDetails.bondType)
#.........这里部分代码省略.........

class TradeManager(object):
    def __init__(self):
	self.accountNumber = ''
	self.optionExpiry = '20121221'   # This needs manual updating!
	self.maxAskBidRatio = 1.25
	self.maxAskLastPriceRatio = 1.02
	self.maxOrderQueueLength = 3
	# Create a file for TWS logging
        self.twslog_fh = open('/home/mchan/git/Artemis/twslog.txt', 'a', 0)
	self.twslog_fh.write("Session Started " + str(datetime.datetime.now()) + "\n")
	self.callback = ArtemisIBWrapperSilent.ArtemisIBWrapper() 
	self.tws = EPosixClientSocket(self.callback)
	self.orderIdCount = 1 # This will be updated automatically
	self.requestIdCount = 1
	self.invested = False
	self.maxLimitPriceFactor = 1.02  # No limit orders above 2% of current ask price
	# Connect the socket
	self.socketnum = 30
	self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
	# Strategy Generic object, has methods for interpreting consensus out/under performance
	self.Strat = strategy.Strategy()
	# Queue for orders
	self.orderQueue = []
	# Setup DB connector
	self.db = dbutil.db(h='127.0.0.1', schema='mchan')
	
	# Query Cash Account Balance
	self.updateBuyingPowerNextId()

    def updateBuyingPowerNextId(self):
        self.callback.myNextValidId = None
        self.callback.buyingPower = None
        self.tws.reqAccountUpdates(1, self.accountNumber)
        while (self.callback.buyingPower is None or self.callback.myNextValidId is None):
            pass
        self.buyingPower = float(self.callback.buyingPower)
        self.orderIdCount = int(self.callback.myNextValidId)
        print "Buying Power recognized: ", self.buyingPower, " Next valid id recognized: ", self.orderIdCount
        self.tws.reqAccountUpdates(0, self.accountNumber)

    def calcInvSize(self):
	'''
	Calculates proper investment size
	'''
	# We take the total size of the portfolio, cash plus stock, and we divide by four
	# The reasoning is that we want to avoid the day pattern trader restriction
	# Dividing our portfolio size by four ensures that we have enough capital
	# to trade for the four trading opportunities that will happen until we can
	# finally sell our positions
	# This also allows for diversification
	self.updateBuyingPowerNextId()
	portfolioList = self.getPortfolio()
	secMarketPositions = 0
	for myContract, myPosition, myMarketValue in portfolioList:
	    secMarketPositions += myMarketValue		
	totalPortfolioSize = secMarketPositions + self.buyingPower
	investmentSize = min(self.buyingPower, (totalPortfolioSize/4.0))
	print "CALCULATE INVESTMENT SIZE: ", str(investmentSize)
	return investmentSize 
	

    def twsReconnect(self):
	print "Reconnecting TWS"
	self.twslog_fh.write("Reconnecting TWS" + str(datetime.datetime.now()) + '\n')
	self.tws.eDisconnect()
	try:
	    self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
	except TWSError, e:
	    print e
 	    print "Attempting to reconnect:"
	    for i in range(0,5):
	        time.sleep(5)
	        print "Try ", i
	        try:
	            self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
	     	    break
		except TWSError, e:
		    print e

    def __init__(self):
        self.callback = ArtemisIBWrapper()
	self.tws = EPosixClientSocket(self.callback)
	self.tws.eConnect("", 7496, 44, poll_interval=1)

import strategy
import fowscanner
import datetime
import multiprocessing
import time
import sys
from swigibpy import EWrapper, EPosixClientSocket, Contract
sys.path.append('/home/mchan/git/Artemis/SwigIbPy')
from ArtemisIBWrapper import ArtemisIBWrapper


callback = ArtemisIBWrapper()
tws = EPosixClientSocket(callback)
# Connect the socket
socketnum = 10
tws.eConnect("", 7496, socketnum, poll_interval=1)

for i in range(0,4):
    socketnum += 1
    tws.eDisconnect()
    print "Socket number: ", socketnum
    tws.eConnect("", 7496, socketnum, poll_interval=1)
    time.sleep(3)

class SwigIBClient(EWrapper):
    '''Callback object passed to TWS, these functions will be called directly
    by TWS.
    '''

    def __init__(self, port=4001, client_id=12):
        super(SwigIBClient, self).__init__()

        self.tws = EPosixClientSocket(self)
        self.port = port
        self.client_id = client_id

        self.got_history = Event()
        self.got_contract = Event()
        self.got_err = Event()
        self.order_filled = Event()
        self.order_ids = Queue()

    def execDetails(self, id, contract, execution):
        pass

    def managedAccounts(self, openOrderEnd):
        pass

    ### Order
    def nextValidId(self, validOrderId):
        '''Capture the next order id'''
        self.order_ids.put(validOrderId)

    def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
                    parentId, lastFilledPrice, clientId, whyHeld):
        print(("Order #%s - %s (filled %d, remaining %d, avgFillPrice %f,"
               "last fill price %f)") %
              (id, status, filled, remaining, avgFillPrice, lastFilledPrice))
        if remaining <= 0:
            self.order_filled.set()

    def openOrder(self, orderID, contract, order, orderState):
        print("Order opened for %s" % contract.symbol)

    def openOrderEnd(self):
        pass

    def commissionReport(self, commissionReport):
        print 'Commission %s %s P&L: %s' % (commissionReport.currency,
                                            commissionReport.commission,
                                            commissionReport.realizedPNL)

    ### Historical data
    def historicalData(self, reqId, date, open, high,
                       low, close, volume,
                       barCount, WAP, hasGaps):

        if date[:8] == 'finished':
            print("History request complete")
            self.got_history.set()
        else:
            date = datetime.strptime(date, "%Y%m%d").strftime("%d %b %Y")
            print(("History %s - Open: %s, High: %s, Low: %s, Close: "
                   "%s, Volume: %d") % (date, open, high, low, close, volume))

    ### Contract details
    def contractDetailsEnd(self, reqId):
        print("Contract details request complete, (request id %i)" % reqId)

    def contractDetails(self, reqId, contractDetails):
        print("Contract details received (request id %i):" % reqId)
        print("callable: %s" % contractDetails.callable)
        print("category: %s" % contractDetails.category)
        print("contractMonth: %s" % contractDetails.contractMonth)
        print("convertible: %s" % contractDetails.convertible)
        print("coupon: %s" % contractDetails.coupon)
        print("industry: %s" % contractDetails.industry)
        print("liquidHours: %s" % contractDetails.liquidHours)
        print("longName: %s" % contractDetails.longName)
        print("marketName: %s" % contractDetails.marketName)
        print("minTick: %s" % contractDetails.minTick)
        print("nextOptionPartial: %s" % contractDetails.nextOptionPartial)
        print("orderTypes: %s" % contractDetails.orderTypes)
        print("priceMagnifier: %s" % contractDetails.priceMagnifier)
        print("putable: %s" % contractDetails.putable)
        if contractDetails.secIdList is not None:
            for secId in contractDetails.secIdList:
                print("secIdList: %s" % secId)
        else:
            print("secIdList: None")

        print("subcategory: %s" % contractDetails.subcategory)
        print("tradingHours: %s" % contractDetails.tradingHours)
        print("timeZoneId: %s" % contractDetails.timeZoneId)
        print("underConId: %s" % contractDetails.underConId)
        print("evRule: %s" % contractDetails.evRule)
        print("evMultiplier: %s" % contractDetails.evMultiplier)

        contract = contractDetails.summary

        print("\nContract Summary:")
        print("exchange: %s" % contract.exchange)
        print("symbol: %s" % contract.symbol)
        print("secType: %s" % contract.secType)
#.........这里部分代码省略.........

    def openOrder(self, orderID, contract, order, orderState):

        print("Order opened for %s" % contract.symbol)

prompt = input("WARNING: This example will place an order on your IB "
                   "account, are you sure? (Type yes to continue): ")
if prompt.lower() != 'yes':
    sys.exit()

# Instantiate our callback object
callback = PlaceOrderExample()

# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)

# Connect to tws running on localhost
tws.eConnect("", 7496, 42)

# Simple contract for GOOG
contract = Contract()
contract.symbol = "IBM"
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"

if orderId is None:
    print('Waiting for valid order id')
    sleep(1)
    while orderId is None:

        if date[:8] == 'finished':
            print("History request complete")
            self.got_history.set()
        else:
            date = datetime.strptime(date, "%Y%m%d").strftime("%d %b %Y")
            print(("reqId: %d, History %s - Open: %s, High: %s, Low: %s, Close: "
                   "%s, Volume: %d") % (reqId, date, open, high, low, close, volume))
        '''


# Instantiate our callback object
callback = HistoricalDataExample()

# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback, reconnect_auto=True)

# Connect to tws running on localhost
if not tws.eConnect("", 7496, 42):
    raise RuntimeError('Failed to connect to TWS')

today = datetime.today()

for index, row in contractlist.iterrows():
    print 'Index:', index, ', Sym:', row['sym']
    #self.reqMktData(index, create_contract(row['sym']), '233', False)
    # Request some historical data.
    tws.reqHistoricalData(
        index,                                        # tickerId,
        create_contract(row['sym']),                                   # contract,
        today.strftime("%Y%m%d %H:%M:%S %Z"),       # endDateTime,