Merge pull request #367 from pikers/livenpaper
`ib`: live & paper accounts together, infra refinementskraken_nameerr_fix
goodboy
GitHub
commit
087a34f061
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@ -3,11 +3,12 @@
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version: "3.5"
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services:
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ib-gateway:
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ib_gw_paper:
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# other image tags available:
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# https://github.com/waytrade/ib-gateway-docker#supported-tags
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image: waytrade/ib-gateway:981.3j
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restart: always
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# image: waytrade/ib-gateway:981.3j
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image: waytrade/ib-gateway:1012.2i
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restart: always # restart whenev there's a crash or user clicsk
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network_mode: 'host'
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volumes:
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@ -39,14 +40,12 @@ services:
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# this compose file which looks something like:
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# TWS_USERID='myuser'
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# TWS_PASSWORD='guest'
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# TRADING_MODE=paper (or live)
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# VNC_SERVER_PASSWORD='diggity'
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environment:
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TWS_USERID: ${TWS_USERID}
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TWS_PASSWORD: ${TWS_PASSWORD}
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TRADING_MODE: ${TRADING_MODE:-paper}
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VNC_SERVER_PASSWORD: ${VNC_SERVER_PASSWORD:-}
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TRADING_MODE: 'paper'
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VNC_SERVER_PASSWORD: 'doggy'
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VNC_SERVER_PORT: '3003'
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# ports:
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# - target: 4002
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@ -62,3 +61,40 @@ services:
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# - "127.0.0.1:4001:4001"
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# - "127.0.0.1:4002:4002"
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# - "127.0.0.1:5900:5900"
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ib_gw_live:
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image: waytrade/ib-gateway:1012.2i
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restart: always
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network_mode: 'host'
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volumes:
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- type: bind
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source: ./jts_live.ini
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target: /root/jts/jts.ini
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# don't let ibc clobber this file for
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# the main reason of not having a stupid
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# timezone set..
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read_only: true
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# force our own ibc config
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- type: bind
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source: ./ibc.ini
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target: /root/ibc/config.ini
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# force our noop script - socat isn't needed in host mode.
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- type: bind
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source: ./fork_ports_delayed.sh
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target: /root/scripts/fork_ports_delayed.sh
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# force our noop script - socat isn't needed in host mode.
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- type: bind
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source: ./run_x11_vnc.sh
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target: /root/scripts/run_x11_vnc.sh
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read_only: true
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# NOTE: to fill these out, define an `.env` file in the same dir as
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# this compose file which looks something like:
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environment:
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TRADING_MODE: 'live'
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VNC_SERVER_PASSWORD: 'doggy'
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VNC_SERVER_PORT: '3004'
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@ -188,7 +188,7 @@ AcceptNonBrokerageAccountWarning=yes
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#
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# The default value is 60.
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LoginDialogDisplayTimeout = 60
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LoginDialogDisplayTimeout=20
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@ -292,7 +292,7 @@ ExistingSessionDetectedAction=primary
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# be set dynamically at run-time: most users will never need it,
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# so don't use it unless you know you need it.
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OverrideTwsApiPort=4002
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; OverrideTwsApiPort=4002
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# Read-only Login
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@ -0,0 +1,33 @@
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[IBGateway]
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ApiOnly=true
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LocalServerPort=4001
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# NOTE: must be set if using IBC's "reject" mode
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TrustedIPs=127.0.0.1
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; RemoteHostOrderRouting=ndc1.ibllc.com
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; WriteDebug=true
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; RemotePortOrderRouting=4001
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; useRemoteSettings=false
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; tradingMode=p
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; Steps=8
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; colorPalletName=dark
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# window geo, this may be useful for sending `xdotool` commands?
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; MainWindow.Width=1986
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; screenHeight=3960
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[Logon]
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Locale=en
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# most markets are oriented around this zone
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# so might as well hard code it.
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TimeZone=America/New_York
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UseSSL=true
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displayedproxymsg=1
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os_titlebar=true
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s3store=true
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useRemoteSettings=false
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[Communication]
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ctciAutoEncrypt=true
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Region=usr
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; Peer=cdc1.ibllc.com:4001
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@ -1,20 +1,35 @@
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#!/bin/sh
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# start vnc server and listen for connections
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# on port specced in `$VNC_SERVER_PORT`
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# start VNC server
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x11vnc \
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-listen 127.0.0.1 \
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-allow 127.0.0.1 \
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-autoport 3003 \
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-no6 \
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-noipv6 \
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-rfbport "${VNC_SERVER_PORT}" \
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-display :1 \
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-bg \
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-forever \
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-shared \
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-logappend /var/log/x11vnc.log \
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-ncache_cr \
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-ncache \
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-bg \
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-nowf \
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-noxdamage \
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-noxfixes \
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-no6 \
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-noipv6 \
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# can't use this because of ``asyncvnc`` issue:
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# -nowcr \
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# TODO: can't use this because of ``asyncvnc`` issue:
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# https://github.com/barneygale/asyncvnc/issues/1
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# -passwd 'ibcansmbz'
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# XXX: optional graphics caching flags that seem to rekt the overlay
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# of the 2 gw windows? When running a single gateway
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# this seems to maybe optimize some memory usage?
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# -ncache_cr \
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# -ncache \
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# NOTE: this will prevent logs from going to the console.
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# -logappend /var/log/x11vnc.log \
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# where to start allocating ports
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# -autoport "${VNC_SERVER_PORT}" \
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@ -0,0 +1,134 @@
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``ib`` backend
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--------------
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more or less the "everything broker" for traditional and international
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markets. they are the "go to" provider for automatic retail trading
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and we interface to their APIs using the `ib_insync` project.
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status
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******
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current support is *production grade* and both real-time data and order
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management should be correct and fast. this backend is used by core devs
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for live trading.
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currently there is not yet full support for:
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- options charting and trading
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- paxos based crypto rt feeds and trading
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config
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******
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In order to get order mode support your ``brokers.toml``
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needs to have something like the following:
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.. code:: toml
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[ib]
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hosts = [
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"127.0.0.1",
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]
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# TODO: when we eventually spawn gateways in our
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# container, we can just dynamically allocate these
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# using IBC.
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ports = [
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4002,
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4003,
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4006,
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4001,
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7497,
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]
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# XXX: for a paper account the flex web query service
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# is not supported so you have to manually download
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# and XML report and put it in a location that can be
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# accessed by the ``brokerd.ib`` backend code for parsing.
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flex_token = '1111111111111111'
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flex_trades_query_id = '6969696' # live accounts only?
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# 3rd party web-api token
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# (XXX: not sure if this works yet)
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trade_log_token = '111111111111111'
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# when clients are being scanned this determines
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# which clients are preferred to be used for data feeds
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# based on account names which are detected as active
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# on each client.
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prefer_data_account = [
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# this has to be first in order to make data work with dual paper + live
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'main',
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'algopaper',
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]
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[ib.accounts]
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main = 'U69696969'
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algopaper = 'DU9696969'
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If everything works correctly you should see any current positions
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loaded in the pps pane on chart load and you should also be able to
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check your trade records in the file::
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<pikerk_conf_dir>/ledgers/trades_ib_algopaper.toml
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An example ledger file will have entries written verbatim from the
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trade events schema:
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.. code:: toml
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["0000e1a7.630f5e5a.01.01"]
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secType = "FUT"
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conId = 515416577
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symbol = "MNQ"
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lastTradeDateOrContractMonth = "20221216"
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strike = 0.0
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right = ""
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multiplier = "2"
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exchange = "GLOBEX"
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primaryExchange = ""
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currency = "USD"
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localSymbol = "MNQZ2"
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tradingClass = "MNQ"
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includeExpired = false
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secIdType = ""
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secId = ""
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comboLegsDescrip = ""
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comboLegs = []
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execId = "0000e1a7.630f5e5a.01.01"
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time = 1661972086.0
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acctNumber = "DU69696969"
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side = "BOT"
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shares = 1.0
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price = 12372.75
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permId = 441472655
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clientId = 6116
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orderId = 985
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liquidation = 0
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cumQty = 1.0
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avgPrice = 12372.75
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orderRef = ""
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evRule = ""
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evMultiplier = 0.0
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modelCode = ""
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lastLiquidity = 1
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broker_time = 1661972086.0
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name = "ib"
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commission = 0.57
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realizedPNL = 243.41
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yield_ = 0.0
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yieldRedemptionDate = 0
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listingExchange = "GLOBEX"
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date = "2022-08-31T18:54:46+00:00"
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your ``pps.toml`` file will have position entries like,
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.. code:: toml
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[ib.algopaper."mnq.globex.20221216"]
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size = -1.0
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ppu = 12423.630576923071
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bsuid = 515416577
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expiry = "2022-12-16T00:00:00+00:00"
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clears = [
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{ dt = "2022-08-31T18:54:46+00:00", ppu = 12423.630576923071, accum_size = -19.0, price = 12372.75, size = 1.0, cost = 0.57, tid = "0000e1a7.630f5e5a.01.01" },
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]
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@ -678,6 +678,13 @@ class Client:
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con = ibis.Commodity(**con_kwargs)
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con.bars_kwargs = bars_kwargs
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# crypto$
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elif exch == 'PAXOS': # btc.paxos
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con = ibis.Crypto(
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symbol=symbol,
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currency=currency,
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)
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# stonks
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else:
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# TODO: metadata system for all these exchange rules..
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@ -426,6 +426,7 @@ asset_type_map = {
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'WAR': 'warrant',
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'IOPT': 'warran',
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'BAG': 'bag',
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'CRYPTO': 'crypto', # bc it's diff then fiat?
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# 'NEWS': 'news',
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}
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@ -576,7 +577,6 @@ def normalize(
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# check for special contract types
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con = ticker.contract
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fqsn, calc_price = con2fqsn(con)
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# convert named tuples to dicts so we send usable keys
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@ -722,7 +722,8 @@ async def stream_quotes(
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isnan(first_ticker.last)
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and type(first_ticker.contract) not in (
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ibis.Commodity,
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ibis.Forex
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ibis.Forex,
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ibis.Crypto,
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)
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):
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task_status.started((init_msgs, first_quote))
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@ -866,15 +867,31 @@ async def open_symbol_search(
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# TODO: load user defined symbol set locally for fast search?
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await ctx.started({})
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async with open_data_client() as proxy:
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async with (
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open_client_proxies() as (proxies, clients),
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open_data_client() as data_proxy,
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):
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async with ctx.open_stream() as stream:
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last = time.time()
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# select a non-history client for symbol search to lighten
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# the load in the main data node.
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proxy = data_proxy
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for name, proxy in proxies.items():
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if proxy is data_proxy:
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continue
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break
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ib_client = proxy._aio_ns.ib
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log.info(f'Using {ib_client} for symbol search')
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last = time.time()
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async for pattern in stream:
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log.debug(f'received {pattern}')
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log.info(f'received {pattern}')
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now = time.time()
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# this causes tractor hang...
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# assert 0
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assert pattern, 'IB can not accept blank search pattern'
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# throttle search requests to no faster then 1Hz
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@ -902,7 +919,7 @@ async def open_symbol_search(
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continue
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log.debug(f'searching for {pattern}')
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log.info(f'searching for {pattern}')
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last = time.time()
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@ -913,17 +930,27 @@ async def open_symbol_search(
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async def stash_results(target: Awaitable[list]):
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stock_results.extend(await target)
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async with trio.open_nursery() as sn:
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sn.start_soon(
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stash_results,
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proxy.search_symbols(
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pattern=pattern,
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upto=5,
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),
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)
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for i in range(10):
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with trio.move_on_after(3) as cs:
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async with trio.open_nursery() as sn:
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sn.start_soon(
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stash_results,
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proxy.search_symbols(
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pattern=pattern,
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upto=5,
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),
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)
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# trigger async request
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await trio.sleep(0)
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# trigger async request
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await trio.sleep(0)
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if cs.cancelled_caught:
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log.warning(
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f'Search timeout? {proxy._aio_ns.ib.client}'
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)
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continue
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else:
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break
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# # match against our ad-hoc set immediately
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# adhoc_matches = fuzzy.extractBests(
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@ -80,8 +80,8 @@ class ComposedGridLayout:
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``<axis_name>i`` in the layout.
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The ``item: PlotItem`` passed to the constructor's grid layout is
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used verbatim as the "main plot" who's view box is give precedence
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for input handling. The main plot's axes are removed from it's
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used verbatim as the "main plot" who's view box is given precedence
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for input handling. The main plot's axes are removed from its
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layout and placed in the surrounding exterior layouts to allow for
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re-ordering if desired.
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Reference in New Issue