Unbreak regular searches and stock lookups..
Change `.find_contract()` -> `.find_contracts()` to allow multi-search for so called "ambiguous" contracts (like for `Future`s) such that the method now returns a `list` of tracts and populates the contract cache with all specific tracts retrieved. Let it take in an (unvalidated) contract that will be fqsn-style-tokenized such that it can be called from `.search_symbols()` (though we're not quite yet XD). More stuff, - add `Client.parse_patt2fqsn()` which is an fqsn to token unpacker built from the original logic in the old `.find_contract()`. - handle fiat/forex pairs with the `'CASH'` sectype. - add a flag to allow unqualified contracts to fail with a warning msg. - populate the client's contract cache with all expiries of an ambiguous derivative. - allow `.con_deats()` to warn msg instead of raise on def-not-found. - add commented `assert 0` which was triggering a debugger deadlock in `tractor` which we still haven't been able to create a unit test for.fix_forex
Tyler Goodlet
parent
0580b204a3
commit
0ef5da0881
|
|
@ -29,6 +29,7 @@ import itertools
|
|||
from math import isnan
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Union,
|
||||
)
|
||||
import asyncio
|
||||
|
|
@ -43,8 +44,10 @@ import trio
|
|||
import tractor
|
||||
from tractor import to_asyncio
|
||||
import ib_insync as ibis
|
||||
from ib_insync.wrapper import RequestError
|
||||
from ib_insync.contract import Contract, ContractDetails
|
||||
from ib_insync.contract import (
|
||||
Contract,
|
||||
ContractDetails,
|
||||
)
|
||||
from ib_insync.order import Order
|
||||
from ib_insync.ticker import Ticker
|
||||
from ib_insync.objects import (
|
||||
|
|
@ -53,7 +56,10 @@ from ib_insync.objects import (
|
|||
Execution,
|
||||
CommissionReport,
|
||||
)
|
||||
from ib_insync.wrapper import Wrapper
|
||||
from ib_insync.wrapper import (
|
||||
Wrapper,
|
||||
RequestError,
|
||||
)
|
||||
from ib_insync.client import Client as ib_Client
|
||||
import numpy as np
|
||||
|
||||
|
|
@ -184,12 +190,12 @@ _adhoc_futes_set = {
|
|||
'ethusdrr.cmecrypto',
|
||||
|
||||
# agriculture
|
||||
'he.globex', # lean hogs
|
||||
'le.globex', # live cattle (geezers)
|
||||
'gf.globex', # feeder cattle (younguns)
|
||||
'he.nymex', # lean hogs
|
||||
'le.nymex', # live cattle (geezers)
|
||||
'gf.nymex', # feeder cattle (younguns)
|
||||
|
||||
# raw
|
||||
'lb.globex', # random len lumber
|
||||
'lb.nymex', # random len lumber
|
||||
|
||||
# metals
|
||||
'xauusd.cmdty', # gold spot
|
||||
|
|
@ -247,6 +253,7 @@ _exch_skip_list = {
|
|||
'VALUE',
|
||||
'FUNDSERV',
|
||||
'SWB2',
|
||||
'PSE',
|
||||
}
|
||||
|
||||
# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
|
||||
|
|
@ -349,7 +356,7 @@ class Client:
|
|||
|
||||
_enters += 1
|
||||
|
||||
contract = await self.find_contract(fqsn)
|
||||
contract = (await self.find_contracts(fqsn))[0]
|
||||
bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
|
||||
|
||||
# _min = min(2000*100, count)
|
||||
|
|
@ -404,12 +411,19 @@ class Client:
|
|||
futs.append(self.ib.reqContractDetailsAsync(con))
|
||||
|
||||
# batch request all details
|
||||
try:
|
||||
results = await asyncio.gather(*futs)
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
if (
|
||||
'No security definition' in msg
|
||||
):
|
||||
log.warning(f'{msg}: {contracts}')
|
||||
return {}
|
||||
|
||||
# one set per future result
|
||||
details = {}
|
||||
for details_set in results:
|
||||
|
||||
# XXX: if there is more then one entry in the details list
|
||||
# then the contract is so called "ambiguous".
|
||||
for d in details_set:
|
||||
|
|
@ -477,22 +491,33 @@ class Client:
|
|||
if sectype == 'IND':
|
||||
results[f'{sym}.IND'] = tract
|
||||
results.pop(key)
|
||||
exch = tract.exchange
|
||||
# exch = tract.exchange
|
||||
|
||||
if exch in _futes_venues:
|
||||
# XXX: add back one of these to get the weird deadlock
|
||||
# on the debugger from root without the latest
|
||||
# maybe_wait_for_debugger() fix in the `open_context()`
|
||||
# exit.
|
||||
# assert 0
|
||||
# if con.exchange not in _exch_skip_list:
|
||||
|
||||
exch = tract.exchange
|
||||
if exch not in _exch_skip_list:
|
||||
# try get all possible contracts for symbol as per,
|
||||
# https://interactivebrokers.github.io/tws-api/basic_contracts.html#fut
|
||||
con = ibis.Future(
|
||||
symbol=sym,
|
||||
exchange=exch,
|
||||
)
|
||||
try:
|
||||
# TODO: make this work, think it's something to do
|
||||
# with the qualify flag.
|
||||
# cons = await self.find_contracts(
|
||||
# contract=con,
|
||||
# err_on_qualify=False,
|
||||
# )
|
||||
# if cons:
|
||||
all_deats = await self.con_deats([con])
|
||||
results |= all_deats
|
||||
|
||||
except RequestError as err:
|
||||
log.warning(err.message)
|
||||
|
||||
# forex pairs
|
||||
elif sectype == 'CASH':
|
||||
dst, src = tract.localSymbol.split('.')
|
||||
|
|
@ -539,13 +564,11 @@ class Client:
|
|||
ibis.Contract(conId=conid)
|
||||
)
|
||||
|
||||
async def find_contract(
|
||||
def parse_patt2fqsn(
|
||||
self,
|
||||
pattern: str,
|
||||
currency: str = '',
|
||||
**kwargs,
|
||||
|
||||
) -> Contract:
|
||||
) -> tuple[str, str, str, str]:
|
||||
|
||||
# TODO: we can't use this currently because
|
||||
# ``wrapper.starTicker()`` currently cashes ticker instances
|
||||
|
|
@ -558,14 +581,17 @@ class Client:
|
|||
# XXX UPDATE: we can probably do the tick/trades scraping
|
||||
# inside our eventkit handler instead to bypass this entirely?
|
||||
|
||||
currency = ''
|
||||
|
||||
# fqsn parsing stage
|
||||
# ------------------
|
||||
if '.ib' in pattern:
|
||||
from ..data._source import unpack_fqsn
|
||||
broker, symbol, expiry = unpack_fqsn(pattern)
|
||||
_, symbol, expiry = unpack_fqsn(pattern)
|
||||
|
||||
else:
|
||||
symbol = pattern
|
||||
expiry = ''
|
||||
|
||||
# another hack for forex pairs lul.
|
||||
if (
|
||||
|
|
@ -579,6 +605,7 @@ class Client:
|
|||
symbol, currency = symbol.split('/')
|
||||
|
||||
else:
|
||||
# TODO: yes, a cache..
|
||||
# try:
|
||||
# # give the cache a go
|
||||
# return self._contracts[symbol]
|
||||
|
|
@ -589,9 +616,32 @@ class Client:
|
|||
symbol, _, expiry = symbol.rpartition('.')
|
||||
|
||||
# use heuristics to figure out contract "type"
|
||||
sym, exch = symbol.upper().rsplit('.', maxsplit=1)
|
||||
symbol, exch = symbol.upper().rsplit('.', maxsplit=1)
|
||||
|
||||
qualify: bool = True
|
||||
return symbol, currency, exch, expiry
|
||||
|
||||
async def find_contracts(
|
||||
self,
|
||||
pattern: Optional[str] = None,
|
||||
contract: Optional[Contract] = None,
|
||||
qualify: bool = True,
|
||||
err_on_qualify: bool = True,
|
||||
|
||||
) -> Contract:
|
||||
|
||||
if pattern is not None:
|
||||
symbol, currency, exch, expiry = self.parse_patt2fqsn(
|
||||
pattern,
|
||||
)
|
||||
sectype = ''
|
||||
|
||||
else:
|
||||
assert contract
|
||||
symbol = contract.symbol
|
||||
sectype = contract.secType
|
||||
exch = contract.exchange or contract.primaryExchange
|
||||
expiry = contract.lastTradeDateOrContractMonth
|
||||
currency = contract.currency
|
||||
|
||||
# contract searching stage
|
||||
# ------------------------
|
||||
|
|
@ -600,26 +650,27 @@ class Client:
|
|||
if exch in _futes_venues:
|
||||
if expiry:
|
||||
# get the "front" contract
|
||||
contract = await self.get_fute(
|
||||
symbol=sym,
|
||||
con = await self.get_fute(
|
||||
symbol=symbol,
|
||||
exchange=exch,
|
||||
expiry=expiry,
|
||||
)
|
||||
|
||||
else:
|
||||
# get the "front" contract
|
||||
contract = await self.get_fute(
|
||||
symbol=sym,
|
||||
con = await self.get_fute(
|
||||
symbol=symbol,
|
||||
exchange=exch,
|
||||
front=True,
|
||||
)
|
||||
|
||||
qualify = False
|
||||
|
||||
elif exch in ('FOREX'):
|
||||
elif (
|
||||
exch in ('FOREX')
|
||||
or sectype == 'CASH'
|
||||
):
|
||||
# if '/' in symbol:
|
||||
# currency = ''
|
||||
# symbol, currency = sym.split('/')
|
||||
# symbol, currency = symbol.split('/')
|
||||
con = ibis.Forex(
|
||||
pair=''.join((symbol, currency)),
|
||||
currency=currency,
|
||||
|
|
@ -628,7 +679,7 @@ class Client:
|
|||
|
||||
# commodities
|
||||
elif exch == 'CMDTY': # eg. XAUUSD.CMDTY
|
||||
con_kwargs, bars_kwargs = _adhoc_symbol_map[sym]
|
||||
con_kwargs, bars_kwargs = _adhoc_symbol_map[symbol]
|
||||
con = ibis.Commodity(**con_kwargs)
|
||||
con.bars_kwargs = bars_kwargs
|
||||
|
||||
|
|
@ -650,29 +701,44 @@ class Client:
|
|||
exch = 'SMART'
|
||||
|
||||
con = ibis.Stock(
|
||||
symbol=sym,
|
||||
symbol=symbol,
|
||||
exchange=exch,
|
||||
primaryExchange=primaryExchange,
|
||||
currency=currency,
|
||||
)
|
||||
try:
|
||||
exch = 'SMART' if not exch else exch
|
||||
if qualify:
|
||||
contract = (await self.ib.qualifyContractsAsync(con))[0]
|
||||
else:
|
||||
assert contract
|
||||
|
||||
except IndexError:
|
||||
contracts = [con]
|
||||
if qualify:
|
||||
try:
|
||||
contracts = await self.ib.qualifyContractsAsync(con)
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
if (
|
||||
'No security definition' in msg
|
||||
and not err_on_qualify
|
||||
):
|
||||
log.warning(
|
||||
f'Could not find def for {con}')
|
||||
return None
|
||||
|
||||
else:
|
||||
raise
|
||||
if not contracts:
|
||||
raise ValueError(f"No contract could be found {con}")
|
||||
|
||||
self._contracts[pattern] = contract
|
||||
# pack all contracts into cache
|
||||
for tract in contracts:
|
||||
exch: str = tract.primaryExchange or tract.exchange or exch
|
||||
pattern = f'{symbol}.{exch}'
|
||||
expiry = tract.lastTradeDateOrContractMonth
|
||||
# add an entry with expiry suffix if available
|
||||
if expiry:
|
||||
pattern += f'.{expiry}'
|
||||
|
||||
# add an aditional entry with expiry suffix if available
|
||||
conexp = contract.lastTradeDateOrContractMonth
|
||||
if conexp:
|
||||
self._contracts[pattern + f'.{conexp}'] = contract
|
||||
self._contracts[pattern.lower()] = tract
|
||||
|
||||
return contract
|
||||
return contracts
|
||||
|
||||
async def get_head_time(
|
||||
self,
|
||||
|
|
@ -694,7 +760,7 @@ class Client:
|
|||
|
||||
) -> tuple[Contract, Ticker, ContractDetails]:
|
||||
|
||||
contract = await self.find_contract(symbol)
|
||||
contract = (await self.find_contracts(symbol))[0]
|
||||
ticker: Ticker = self.ib.reqMktData(
|
||||
contract,
|
||||
snapshot=True,
|
||||
|
|
|
|||
Loading…
Reference in New Issue