Python EPosixClientSocket.eDisconnect方法代码示例

# 需要导入模块: from swigibpy import EPosixClientSocket [as 别名]
# 或者: from swigibpy.EPosixClientSocket import eDisconnect [as 别名]
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)

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

print("Requesting contract details...")

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

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


print("******************* Press ENTER to quit when done *******************\n")
input()

print("\nDisconnecting...")
tws.eDisconnect()

# 需要导入模块: from swigibpy import EPosixClientSocket [as 别名]
# 或者: from swigibpy.EPosixClientSocket import eDisconnect [as 别名]
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.........

# 需要导入模块: from swigibpy import EPosixClientSocket [as 别名]
# 或者: from swigibpy.EPosixClientSocket import eDisconnect [as 别名]
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

# 需要导入模块: from swigibpy import EPosixClientSocket [as 别名]
# 或者: from swigibpy.EPosixClientSocket import eDisconnect [as 别名]

#.........这里部分代码省略.........
        # account updates
        tws.reqAccountUpdates(True, self.accountNumber)

        sleep(1)
        print "available funds: %s" % (self.availableFunds)
        print "net liquidation value: %s" % (self.netLiquidationValue)

        ###DELAY UNTIL MARKET HOURS
        if execution_sleep:
            day_of_week = datetime.now().isoweekday()

            # if weekday, and we scanned after midnight, set execution time to this morning at 10:30 am
            time_now = datetime.now()
            if (
                day_of_week in range(1, 6)
                and (time_now.hour >= 0 and time_now.hour < 10)
                and (time_now.minute >= 0 and time_now.minute < 30)
            ):
                execution_time = datetime(
                    year=time_now.year, month=time_now.month, day=time_now.day, hour=10, minute=30
                )

                # otherwise, set to next trading day, morning at 10:30am
            else:
                execution_time = datetime.now()
                execution_time = execution_time + dt.timedelta(days=1)
                while execution_time.isoweekday() > 5:
                    execution_time = execution_time + dt.timedelta(days=1)
                execution_time = datetime(
                    year=execution_time.year, month=execution_time.month, day=execution_time.day, hour=10, minute=30
                )

            to_sleep = (execution_time - datetime.now()).total_seconds()
            print "----------sleeping until execution time of %s---------------" % (execution_time)

            # sleep until that time
            sleep(to_sleep)

        for stock in weights:

            print ("\n=====================================================================")
            print (" Trading " + stock)
            print ("=====================================================================\n")

            stock_price = Trader.get_quote([stock])[0][self.QUOTE_LAST]
            print "%s last stock price: %s" % (stock, stock_price)

            contract = Contract()
            contract.symbol = stock
            contract.secType = "STK"
            contract.exchange = "SMART"
            contract.currency = "USD"

            if self.orderId is None:
                print ("Waiting for valid order id")
                sleep(1)
                while self.orderId is None:
                    print ("Still waiting for valid order id...")
                    sleep(1)

                    # Order details

            order = Order()
            order.action = "BUY"
            # order.lmtPrice = 140
            order.orderType = "MKT"

            dollar_value = self.availableFunds * weights[stock]
            order.totalQuantity = int(round(dollar_value / stock_price, 0))
            # order.algoStrategy = "AD"
            order.tif = "DAY"
            # order.algoParams = algoParams
            order.transmit = True

            print (
                "Placing order for %d %s's, dollar value $%s (id: %d)"
                % (order.totalQuantity, contract.symbol, dollar_value, self.orderId)
            )

            # Place the order
            tws.placeOrder(self.orderId, contract, order)  # orderId,  # contract,  # order

            print ("\n=====================================================================")
            print ("                   Order placed, waiting for TWS responses")
            print ("=====================================================================\n")

            sleep(3)
            # reset orderid for next
            self.orderId = self.orderId + 1

            print ("\n=====================================================================")
            print (" Trade done.")
            print ("=====================================================================\n")

        print ("******************* Press ENTER to quit when done *******************\n")
        input()

        print ("\nDisconnecting...")

        tws.eDisconnect()

# 需要导入模块: from swigibpy import EPosixClientSocket [as 别名]
# 或者: from swigibpy.EPosixClientSocket import eDisconnect [as 别名]

#.........这里部分代码省略.........
    ### Error
    def error(self, id, errCode, errString):

        if errCode == 165 or (errCode >= 2100 and errCode <= 2110):
            print("TWS warns %s" % errString)
        elif errCode == 502:
            print('Looks like TWS is not running, '
                  'start it up and try again')
            sys.exit()
        elif errCode == 501:
            print("TWS reports error in client: %s" % errString)
        elif errCode >= 1100 and errCode < 2100:
            print("TWS reports system error: %s" % errString)
        elif errCode == 321:
            print("TWS complaining about bad request: %s" % errString)
        else:
            super(SwigIBClient, self).error(id, errCode, errString)
        self.got_err.set()

    def winError(self, msg, lastError):
        print("TWS reports API error: %s" % msg)
        self.got_err.set()

    def pyError(self, type, val, tb):
        sys.print_exception(type, val, tb)

    ###
    def connect(self):
        if not self.tws.eConnect("", self.port, self.client_id):
            raise RuntimeError('Failed to connect to TWS')

    def disconnect(self):
        print("\nDisconnecting...")
        self.tws.eDisconnect()

    def create_contract(self):
        # Simple contract for GOOG
        contract = Contract()
        contract.exchange = "SMART"
        contract.symbol = "GOOG"
        contract.secType = "STK"
        contract.currency = "USD"
        return contract

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

        print("Requesting contract details...")

        # Perform the request
        self.tws.reqContractDetails(
            42,  # 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)