ibapi-stable 10.37.2__py3-none-any.whl

ibapi/common.py

@@ -0,0 +1,315 @@
+"""
+Copyright (C) 2025 Interactive Brokers LLC. All rights reserved. This code is subject to the terms
+ and conditions of the IB API Non-Commercial License or the IB API Commercial License, as applicable.
+"""
+
+
+from ibapi.const import UNSET_INTEGER, UNSET_DECIMAL
+from ibapi.enum_implem import Enum
+from ibapi.object_implem import Object
+from ibapi.utils import floatMaxString, decimalMaxString, intMaxString
+from ibapi.message import OUT
+from ibapi.server_versions import (
+    MIN_SERVER_VER_PROTOBUF,
+    MIN_SERVER_VER_PROTOBUF_PLACE_ORDER
+)
+
+TickerId = int
+OrderId = int
+TagValueList = list
+
+FaDataType = int
+FaDataTypeEnum = Enum("N/A", "GROUPS", "N/A", "ALIASES")
+
+MarketDataType = int
+MarketDataTypeEnum = Enum("N/A", "REALTIME", "FROZEN", "DELAYED", "DELAYED_FROZEN")
+
+Liquidities = int
+LiquiditiesEnum = Enum("None", "Added", "Remove", "RoudedOut")
+
+SetOfString = set
+SetOfFloat = set
+ListOfOrder = list
+ListOfFamilyCode = list
+ListOfContractDescription = list
+ListOfDepthExchanges = list
+ListOfNewsProviders = list
+SmartComponentMap = dict
+HistogramDataList = list
+ListOfPriceIncrements = list
+ListOfHistoricalTick = list
+ListOfHistoricalTickBidAsk = list
+ListOfHistoricalTickLast = list
+ListOfHistoricalSessions = list
+
+PROTOBUF_MSG_ID = 200
+PROTOBUF_MSG_IDS = {
+    OUT.REQ_EXECUTIONS :  MIN_SERVER_VER_PROTOBUF,
+    OUT.PLACE_ORDER :  MIN_SERVER_VER_PROTOBUF_PLACE_ORDER,
+    OUT.CANCEL_ORDER :  MIN_SERVER_VER_PROTOBUF_PLACE_ORDER,
+    OUT.REQ_GLOBAL_CANCEL :  MIN_SERVER_VER_PROTOBUF_PLACE_ORDER
+}
+
+class BarData(Object):
+    def __init__(self):
+        self.date = ""
+        self.open = 0.0
+        self.high = 0.0
+        self.low = 0.0
+        self.close = 0.0
+        self.volume = UNSET_DECIMAL
+        self.wap = UNSET_DECIMAL
+        self.barCount = 0
+
+    def __str__(self):
+        return (
+            f"Date: {self.date}, "
+            f"Open: {floatMaxString(self.open)}, "
+            f"High: {floatMaxString(self.high)}, "
+            f"Low: {floatMaxString(self.low)}, "
+            f"Close: {floatMaxString(self.close)}, "
+            f"Volume: {decimalMaxString(self.volume)}, "
+            f"WAP: {decimalMaxString(self.wap)}, "
+            f"BarCount: {intMaxString(self.barCount)}"
+        )
+
+
+class RealTimeBar(Object):
+    def __init__(
+        self,
+        time=0,
+        endTime=-1,
+        open_=0.0,
+        high=0.0,
+        low=0.0,
+        close=0.0,
+        volume=UNSET_DECIMAL,
+        wap=UNSET_DECIMAL,
+        count=0,
+    ):
+        self.time = time
+        self.endTime = endTime
+        self.open_ = open_
+        self.high = high
+        self.low = low
+        self.close = close
+        self.volume = volume
+        self.wap = wap
+        self.count = count
+
+    def __str__(self):
+        return (
+            "Time: %s, Open: %s, High: %s, Low: %s, Close: %s, Volume: %s, WAP: %s, Count: %s"
+            % (
+                intMaxString(self.time),
+                floatMaxString(self.open_),
+                floatMaxString(self.high),
+                floatMaxString(self.low),
+                floatMaxString(self.close),
+                decimalMaxString(self.volume),
+                decimalMaxString(self.wap),
+                intMaxString(self.count),
+            )
+        )
+
+
+class HistogramData(Object):
+    def __init__(self):
+        self.price = 0.0
+        self.size = UNSET_DECIMAL
+
+    def __str__(self):
+        return "Price: %s, Size: %s" % (
+            floatMaxString(self.price),
+            decimalMaxString(self.size),
+        )
+
+
+class NewsProvider(Object):
+    def __init__(self):
+        self.code = ""
+        self.name = ""
+
+    def __str__(self):
+        return f"Code: {self.code}, Name: {self.name}"
+
+
+class DepthMktDataDescription(Object):
+    def __init__(self):
+        self.exchange = ""
+        self.secType = ""
+        self.listingExch = ""
+        self.serviceDataType = ""
+        self.aggGroup = UNSET_INTEGER
+
+    def __str__(self):
+        if self.aggGroup != UNSET_INTEGER:
+            aggGroup = self.aggGroup
+        else:
+            aggGroup = ""
+        return (
+            "Exchange: %s, SecType: %s, ListingExchange: %s, ServiceDataType: %s, AggGroup: %s, "
+            % (
+                self.exchange,
+                self.secType,
+                self.listingExch,
+                self.serviceDataType,
+                intMaxString(aggGroup),
+            )
+        )
+
+
+class SmartComponent(Object):
+    def __init__(self):
+        self.bitNumber = 0
+        self.exchange = ""
+        self.exchangeLetter = ""
+
+    def __str__(self):
+        return "BitNumber: %d, Exchange: %s, ExchangeLetter: %s" % (
+            self.bitNumber,
+            self.exchange,
+            self.exchangeLetter,
+        )
+
+
+class TickAttrib(Object):
+    def __init__(self):
+        self.canAutoExecute = False
+        self.pastLimit = False
+        self.preOpen = False
+
+    def __str__(self):
+        return "CanAutoExecute: %d, PastLimit: %d, PreOpen: %d" % (
+            self.canAutoExecute,
+            self.pastLimit,
+            self.preOpen,
+        )
+
+
+class TickAttribBidAsk(Object):
+    def __init__(self):
+        self.bidPastLow = False
+        self.askPastHigh = False
+
+    def __str__(self):
+        return "BidPastLow: %d, AskPastHigh: %d" % (self.bidPastLow, self.askPastHigh)
+
+
+class TickAttribLast(Object):
+    def __init__(self):
+        self.pastLimit = False
+        self.unreported = False
+
+    def __str__(self):
+        return "PastLimit: %d, Unreported: %d" % (self.pastLimit, self.unreported)
+
+
+class FamilyCode(Object):
+    def __init__(self):
+        self.accountID = ""
+        self.familyCodeStr = ""
+
+    def __str__(self):
+        return f"AccountId: {self.accountID}, FamilyCodeStr: {self.familyCodeStr}"
+
+
+class PriceIncrement(Object):
+    def __init__(self):
+        self.lowEdge = 0.0
+        self.increment = 0.0
+
+    def __str__(self):
+        return "LowEdge: %s, Increment: %s" % (
+            floatMaxString(self.lowEdge),
+            floatMaxString(self.increment),
+        )
+
+
+class HistoricalTick(Object):
+    def __init__(self):
+        self.time = 0
+        self.price = 0.0
+        self.size = UNSET_DECIMAL
+
+    def __str__(self):
+        return "Time: %s, Price: %s, Size: %s" % (
+            intMaxString(self.time),
+            floatMaxString(self.price),
+            decimalMaxString(self.size),
+        )
+
+
+class HistoricalTickBidAsk(Object):
+    def __init__(self):
+        self.time = 0
+        self.tickAttribBidAsk = TickAttribBidAsk()
+        self.priceBid = 0.0
+        self.priceAsk = 0.0
+        self.sizeBid = UNSET_DECIMAL
+        self.sizeAsk = UNSET_DECIMAL
+
+    def __str__(self):
+        return (
+            f"Time: {intMaxString(self.time)}, "
+            f"TickAttriBidAsk: {self.tickAttribBidAsk}, "
+            f"PriceBid: {floatMaxString(self.priceBid)}, "
+            f"PriceAsk: {floatMaxString(self.priceAsk)}, "
+            f"SizeBid: {decimalMaxString(self.sizeBid)}, "
+            f"SizeAsk: {decimalMaxString(self.sizeAsk)}"
+        )
+
+
+class HistoricalTickLast(Object):
+    def __init__(self):
+        self.time = 0
+        self.tickAttribLast = TickAttribLast()
+        self.price = 0.0
+        self.size = UNSET_DECIMAL
+        self.exchange = ""
+        self.specialConditions = ""
+
+    def __str__(self):
+        return (
+            f"Time: {intMaxString(self.time)}, "
+            f"TickAttribLast: {self.tickAttribLast}, "
+            f"Price: {floatMaxString(self.price)}, "
+            f"Size: {decimalMaxString(self.size)}, "
+            f"Exchange: {self.exchange}, "
+            f"SpecialConditions: {self.specialConditions}"
+        )
+
+
+class HistoricalSession(Object):
+    def __init__(self):
+        self.startDateTime = ""
+        self.endDateTime = ""
+        self.refDate = ""
+
+    def __str__(self):
+        return "Start: %s, End: %s, Ref Date: %s" % (
+            self.startDateTime,
+            self.endDateTime,
+            self.refDate,
+        )
+
+
+class WshEventData(Object):
+    def __init__(self):
+        self.conId = UNSET_INTEGER
+        self.filter = ""
+        self.fillWatchlist = False
+        self.fillPortfolio = False
+        self.fillCompetitors = False
+        self.startDate = ""
+        self.endDate = ""
+        self.totalLimit = UNSET_INTEGER
+
+    def __str__(self):
+        return (
+            f"WshEventData. ConId: {intMaxString(self.conId)}, "
+            f"Filter: {self.filter}, "
+            f"Fill Watchlist: {self.fillWatchlist:d}, "
+            f"Fill Portfolio: {self.fillPortfolio:d}, "
+            f"Fill Competitors: {self.fillCompetitors:d}"
+        )

ibapi/connection.py

@@ -0,0 +1,126 @@
+"""
+Copyright (C) 2024 Interactive Brokers LLC. All rights reserved. This code is subject to the terms
+ and conditions of the IB API Non-Commercial License or the IB API Commercial License, as applicable.
+"""
+
+"""
+Just a thin wrapper around a socket.
+It allows us to keep some other info along with it.
+"""
+
+import socket
+import threading
+import logging
+import sys
+from ibapi.errors import FAIL_CREATE_SOCK
+from ibapi.errors import CONNECT_FAIL
+from ibapi.const import NO_VALID_ID
+from ibapi.utils import currentTimeMillis
+
+# TODO: support SSL !!
+
+logger = logging.getLogger(__name__)
+
+
+class Connection:
+    def __init__(self, host, port):
+        self.host = host
+        self.port = port
+        self.socket = None
+        self.wrapper = None
+        self.lock = threading.Lock()
+
+    def connect(self):
+        try:
+            self.socket = socket.socket()
+        # TODO: list the exceptions you want to catch
+        except socket.error:
+            if self.wrapper:
+                self.wrapper.error(
+                    NO_VALID_ID, currentTimeMillis(), FAIL_CREATE_SOCK.code(), FAIL_CREATE_SOCK.msg()
+                )
+
+        try:
+            self.socket.connect((self.host, self.port))
+        except socket.error:
+            if self.wrapper:
+                self.wrapper.error(NO_VALID_ID, currentTimeMillis(), CONNECT_FAIL.code(), CONNECT_FAIL.msg())
+
+        self.socket.settimeout(1)  # non-blocking
+
+    def disconnect(self):
+        self.lock.acquire()
+        try:
+            if self.socket is not None:
+                logger.debug("disconnecting")
+                self.socket.close()
+                self.socket = None
+                logger.debug("disconnected")
+                if self.wrapper:
+                    self.wrapper.connectionClosed()
+        finally:
+            self.lock.release()
+
+    def isConnected(self):
+        return self.socket is not None
+
+    def sendMsg(self, msg):
+        logger.debug("acquiring lock")
+        self.lock.acquire()
+        logger.debug("acquired lock")
+        if not self.isConnected():
+            logger.debug("sendMsg attempted while not connected, releasing lock")
+            self.lock.release()
+            return 0
+        try:
+            nSent = self.socket.send(msg)
+        except socket.error:
+            logger.debug("exception from sendMsg %s", sys.exc_info())
+            raise
+        finally:
+            logger.debug("releasing lock")
+            self.lock.release()
+            logger.debug("release lock")
+
+        logger.debug("sendMsg: sent: %d", nSent)
+
+        return nSent
+
+    def recvMsg(self):
+        if not self.isConnected():
+            logger.debug("recvMsg attempted while not connected, releasing lock")
+            return b""
+        try:
+            buf = self._recvAllMsg()
+            # receiving 0 bytes outside a timeout means the connection is either
+            # closed or broken
+            if len(buf) == 0:
+                logger.debug("socket either closed or broken, disconnecting")
+                self.disconnect()
+        except socket.timeout:
+            logger.debug("socket timeout from recvMsg %s", sys.exc_info())
+            buf = b""
+        except socket.error:
+            logger.debug("socket broken, disconnecting")
+            self.disconnect()
+            buf = b""
+        except OSError:
+            # Thrown if the socket was closed (ex: disconnected at end of script)
+            # while waiting for self.socket.recv() to timeout.
+            logger.debug("Socket is broken or closed.")
+
+        return buf
+
+    def _recvAllMsg(self):
+        cont = True
+        allbuf = b""
+
+        while cont and self.isConnected():
+            buf = self.socket.recv(4096)
+            allbuf += buf
+            logger.debug("len %d raw:%s|", len(buf), buf)
+
+            if len(buf) < 4096:
+                cont = False
+
+        return allbuf

ibapi/const.py

@@ -0,0 +1,12 @@
+import math
+import sys
+from _decimal import Decimal
+
+NO_VALID_ID = -1
+MAX_MSG_LEN = 0xFFFFFF  # 16Mb - 1byte
+UNSET_INTEGER = 2**31 - 1
+UNSET_DOUBLE = float(sys.float_info.max)
+UNSET_LONG = 2**63 - 1
+UNSET_DECIMAL = Decimal(2**127 - 1)
+DOUBLE_INFINITY = math.inf
+INFINITY_STR = "Infinity"