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
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@ -29,6 +29,7 @@ import itertools
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from math import isnan
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from typing import (
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Any,
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Optional,
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Union,
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)
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import asyncio
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@ -43,8 +44,10 @@ import trio
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import tractor
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from tractor import to_asyncio
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import ib_insync as ibis
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from ib_insync.wrapper import RequestError
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from ib_insync.contract import Contract, ContractDetails
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from ib_insync.contract import (
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Contract,
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ContractDetails,
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)
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from ib_insync.order import Order
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from ib_insync.ticker import Ticker
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from ib_insync.objects import (
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@ -53,7 +56,10 @@ from ib_insync.objects import (
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Execution,
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CommissionReport,
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)
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from ib_insync.wrapper import Wrapper
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from ib_insync.wrapper import (
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Wrapper,
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RequestError,
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)
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from ib_insync.client import Client as ib_Client
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import numpy as np
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@ -184,12 +190,12 @@ _adhoc_futes_set = {
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'ethusdrr.cmecrypto',
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# agriculture
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'he.globex', # lean hogs
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'le.globex', # live cattle (geezers)
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'gf.globex', # feeder cattle (younguns)
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'he.nymex', # lean hogs
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'le.nymex', # live cattle (geezers)
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'gf.nymex', # feeder cattle (younguns)
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# raw
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'lb.globex', # random len lumber
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'lb.nymex', # random len lumber
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# metals
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'xauusd.cmdty', # gold spot
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@ -247,6 +253,7 @@ _exch_skip_list = {
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'VALUE',
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'FUNDSERV',
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'SWB2',
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'PSE',
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}
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# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
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@ -349,7 +356,7 @@ class Client:
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_enters += 1
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contract = await self.find_contract(fqsn)
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contract = (await self.find_contracts(fqsn))[0]
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bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
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# _min = min(2000*100, count)
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@ -404,12 +411,19 @@ class Client:
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futs.append(self.ib.reqContractDetailsAsync(con))
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# batch request all details
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results = await asyncio.gather(*futs)
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try:
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results = await asyncio.gather(*futs)
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except RequestError as err:
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msg = err.message
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if (
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'No security definition' in msg
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):
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log.warning(f'{msg}: {contracts}')
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return {}
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# one set per future result
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details = {}
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for details_set in results:
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# XXX: if there is more then one entry in the details list
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# then the contract is so called "ambiguous".
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for d in details_set:
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@ -477,21 +491,32 @@ class Client:
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if sectype == 'IND':
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results[f'{sym}.IND'] = tract
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results.pop(key)
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exch = tract.exchange
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# exch = tract.exchange
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if exch in _futes_venues:
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# XXX: add back one of these to get the weird deadlock
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# on the debugger from root without the latest
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# maybe_wait_for_debugger() fix in the `open_context()`
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# exit.
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# assert 0
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# if con.exchange not in _exch_skip_list:
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exch = tract.exchange
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if exch not in _exch_skip_list:
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# try get all possible contracts for symbol as per,
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# https://interactivebrokers.github.io/tws-api/basic_contracts.html#fut
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con = ibis.Future(
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symbol=sym,
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exchange=exch,
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)
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try:
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all_deats = await self.con_deats([con])
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results |= all_deats
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except RequestError as err:
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log.warning(err.message)
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# TODO: make this work, think it's something to do
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# with the qualify flag.
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# cons = await self.find_contracts(
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# contract=con,
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# err_on_qualify=False,
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# )
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# if cons:
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all_deats = await self.con_deats([con])
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results |= all_deats
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# forex pairs
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elif sectype == 'CASH':
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@ -539,13 +564,11 @@ class Client:
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ibis.Contract(conId=conid)
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)
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async def find_contract(
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def parse_patt2fqsn(
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self,
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pattern: str,
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currency: str = '',
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**kwargs,
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) -> Contract:
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) -> tuple[str, str, str, str]:
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# TODO: we can't use this currently because
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# ``wrapper.starTicker()`` currently cashes ticker instances
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@ -558,14 +581,17 @@ class Client:
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# XXX UPDATE: we can probably do the tick/trades scraping
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# inside our eventkit handler instead to bypass this entirely?
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currency = ''
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# fqsn parsing stage
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# ------------------
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if '.ib' in pattern:
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from ..data._source import unpack_fqsn
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broker, symbol, expiry = unpack_fqsn(pattern)
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_, symbol, expiry = unpack_fqsn(pattern)
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else:
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symbol = pattern
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expiry = ''
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# another hack for forex pairs lul.
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if (
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@ -579,6 +605,7 @@ class Client:
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symbol, currency = symbol.split('/')
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else:
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# TODO: yes, a cache..
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# try:
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# # give the cache a go
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# return self._contracts[symbol]
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@ -589,9 +616,32 @@ class Client:
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symbol, _, expiry = symbol.rpartition('.')
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# use heuristics to figure out contract "type"
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sym, exch = symbol.upper().rsplit('.', maxsplit=1)
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symbol, exch = symbol.upper().rsplit('.', maxsplit=1)
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qualify: bool = True
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return symbol, currency, exch, expiry
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async def find_contracts(
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self,
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pattern: Optional[str] = None,
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contract: Optional[Contract] = None,
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qualify: bool = True,
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err_on_qualify: bool = True,
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) -> Contract:
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if pattern is not None:
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symbol, currency, exch, expiry = self.parse_patt2fqsn(
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pattern,
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)
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sectype = ''
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else:
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assert contract
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symbol = contract.symbol
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sectype = contract.secType
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exch = contract.exchange or contract.primaryExchange
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expiry = contract.lastTradeDateOrContractMonth
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currency = contract.currency
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# contract searching stage
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# ------------------------
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@ -600,26 +650,27 @@ class Client:
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if exch in _futes_venues:
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if expiry:
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# get the "front" contract
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contract = await self.get_fute(
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symbol=sym,
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con = await self.get_fute(
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symbol=symbol,
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exchange=exch,
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expiry=expiry,
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)
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else:
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# get the "front" contract
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contract = await self.get_fute(
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symbol=sym,
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con = await self.get_fute(
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symbol=symbol,
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exchange=exch,
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front=True,
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)
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qualify = False
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elif exch in ('FOREX'):
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elif (
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exch in ('FOREX')
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or sectype == 'CASH'
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):
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# if '/' in symbol:
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# currency = ''
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# symbol, currency = sym.split('/')
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# symbol, currency = symbol.split('/')
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con = ibis.Forex(
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pair=''.join((symbol, currency)),
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currency=currency,
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@ -628,7 +679,7 @@ class Client:
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# commodities
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elif exch == 'CMDTY': # eg. XAUUSD.CMDTY
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con_kwargs, bars_kwargs = _adhoc_symbol_map[sym]
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con_kwargs, bars_kwargs = _adhoc_symbol_map[symbol]
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con = ibis.Commodity(**con_kwargs)
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con.bars_kwargs = bars_kwargs
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@ -650,29 +701,44 @@ class Client:
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exch = 'SMART'
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con = ibis.Stock(
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symbol=sym,
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symbol=symbol,
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exchange=exch,
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primaryExchange=primaryExchange,
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currency=currency,
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)
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try:
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exch = 'SMART' if not exch else exch
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if qualify:
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contract = (await self.ib.qualifyContractsAsync(con))[0]
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else:
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assert contract
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except IndexError:
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raise ValueError(f"No contract could be found {con}")
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contracts = [con]
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if qualify:
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try:
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contracts = await self.ib.qualifyContractsAsync(con)
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except RequestError as err:
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msg = err.message
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if (
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'No security definition' in msg
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and not err_on_qualify
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):
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log.warning(
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f'Could not find def for {con}')
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return None
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self._contracts[pattern] = contract
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else:
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raise
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if not contracts:
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raise ValueError(f"No contract could be found {con}")
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# add an aditional entry with expiry suffix if available
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conexp = contract.lastTradeDateOrContractMonth
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if conexp:
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self._contracts[pattern + f'.{conexp}'] = contract
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# pack all contracts into cache
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for tract in contracts:
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exch: str = tract.primaryExchange or tract.exchange or exch
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pattern = f'{symbol}.{exch}'
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expiry = tract.lastTradeDateOrContractMonth
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# add an entry with expiry suffix if available
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if expiry:
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pattern += f'.{expiry}'
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return contract
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self._contracts[pattern.lower()] = tract
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return contracts
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async def get_head_time(
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self,
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@ -694,7 +760,7 @@ class Client:
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) -> tuple[Contract, Ticker, ContractDetails]:
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contract = await self.find_contract(symbol)
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contract = (await self.find_contracts(symbol))[0]
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ticker: Ticker = self.ib.reqMktData(
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contract,
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snapshot=True,
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