Add initial IB broker backend using ib_insync
Start working towards meeting the backend client api. Infect `asyncio` using `trio`'s new guest mode and demonstrate real-time ticker streaming to console.ib_backend
Tyler Goodlet
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3c76a3e03d
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1abadeb506
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"""
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Interactive Brokers API backend.
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"""
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import asyncio
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from dataclasses import asdict
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from typing import List, Dict, Any
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from contextlib import asynccontextmanager
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import trio
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import ib_insync as ibis
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from ib_insync.ticker import Ticker
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from ib_insync.contract import Contract, ContractDetails
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_time_frames = {
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'1s': '1 Sec',
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'1m': 'OneMinute',
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'2m': 'TwoMinutes',
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'3m': 'ThreeMinutes',
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'4m': 'FourMinutes',
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'5m': 'FiveMinutes',
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'10m': 'TenMinutes',
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'15m': 'FifteenMinutes',
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'20m': 'TwentyMinutes',
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'30m': 'HalfHour',
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'1h': 'OneHour',
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'2h': 'TwoHours',
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'4h': 'FourHours',
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'D': 'OneDay',
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'W': 'OneWeek',
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'M': 'OneMonth',
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'Y': 'OneYear',
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}
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class Client:
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"""IB wrapped for our broker backend API.
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"""
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def __init__(
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self,
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ib: ibis.IB,
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) -> None:
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self.ib = ib
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# connect data feed callback...
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self.ib.pendingTickersEvent.connect(self.on_tickers)
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async def bars(
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self,
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symbol: str,
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# EST in ISO 8601 format is required... below is EPOCH
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start_date: str = "1970-01-01T00:00:00.000000-05:00",
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time_frame: str = '1m',
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count: int = int(20e3), # <- max allowed per query
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is_paid_feed: bool = False,
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) -> List[Dict[str, Any]]:
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"""Retreive OHLCV bars for a symbol over a range to the present.
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"""
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contract = ibis.ContFuture('ES', exchange='GLOBEX')
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# contract = ibis.Stock('WEED', 'SMART', 'CAD')
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bars = self.ib.reqHistoricalData(
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contract,
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endDateTime='',
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# durationStr='60 S',
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durationStr='2000 S',
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barSizeSetting='1 secs',
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whatToShow='TRADES',
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useRTH=False
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)
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# barSizeSetting='1 min', whatToShow='MIDPOINT', useRTH=True)
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# convert to pandas dataframe:
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df = ibis.util.df(bars)
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print(df[['date', 'open', 'high', 'low', 'close', 'volume']])
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from piker.ui._source import from_df
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a = from_df(df)
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# breakpoint()
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print(a)
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# TODO: reimplement this using async batch requests
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# see https://github.com/erdewit/ib_insync/issues/262
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async def search_stocks(
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self,
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pattern: str,
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# how many contracts to search "up to"
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upto: int = 3,
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asdicts: bool = True,
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) -> Dict[str, ContractDetails]:
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"""Search for stocks matching provided ``str`` pattern.
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Return a dictionary of ``upto`` entries worth of contract details.
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"""
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descriptions = self.ib.reqMatchingSymbols(pattern)
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details = {}
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for description in descriptions:
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con = description.contract
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deats = self.ib.reqContractDetails(con)
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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 deats:
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unique_sym = f'{con.symbol}.{con.primaryExchange}'
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details[unique_sym] = asdict(d) if asdicts else d
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if len(details) == upto:
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return details
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return details
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async def search_futes(
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self,
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pattern: str,
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# how many contracts to search "up to"
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upto: int = 3,
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asdicts: bool = True,
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) -> Dict[str, ContractDetails]:
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raise NotImplementedError
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def get_cont_fute(
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self,
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symbol: str,
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) -> Contract:
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raise NotImplementedError
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# default config ports
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_tws_port: int = 7497
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_gw_port: int = 4002
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@asynccontextmanager
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async def get_client(
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host: str = '127.0.0.1',
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port: int = None,
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client_id: int = 1,
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) -> Client:
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"""Return an ``ib_insync.IB`` instance wrapped in our client API.
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"""
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ib = ibis.IB()
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# TODO: some detection magic to figure out if tws vs. the
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# gateway is up ad choose the appropriate port
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if port is None:
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ports = [_tws_port, _gw_port]
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else:
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ports = [port]
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_err = None
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# try all default ports
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for port in ports:
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try:
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await ib.connectAsync(host, port, clientId=client_id)
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break
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except ConnectionRefusedError as ce:
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_err = ce
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print(f'failed to connect on {port}')
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else:
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raise ConnectionRefusedError(_err)
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yield Client(ib)
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ib.disconnect()
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if __name__ == '__main__':
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con_es = ibis.ContFuture('ES', exchange='GLOBEX')
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es = ibis.Future('ES', '20200918', exchange='GLOBEX')
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spy = ibis.Stock('SPY', exchange='ARCA')
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# ticker = client.ib.reqTickByTickData(
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# contract,
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# tickType='Last',
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# numberOfTicks=1,
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# )
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# client.ib.reqTickByTickData(
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# contract,
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# tickType='AllLast',
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# numberOfTicks=1,
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# )
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# client.ib.reqTickByTickData(
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# contract,
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# tickType='BidAsk',
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# numberOfTicks=1,
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# )
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# ITC (inter task comms)
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from_trio = asyncio.Queue()
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to_trio, from_aio = trio.open_memory_channel(float("inf"))
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async def start_ib(from_trio, to_trio):
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print("starting the EYEEEEBEEEEE GATEWAYYYYYYY!")
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async with get_client() as client:
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# stream ticks to trio task
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def ontick(ticker: Ticker):
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for t in ticker.ticks:
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# send tick data to trio
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to_trio.send_nowait(t)
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ticker = client.ib.reqMktData(spy, '588', False, False, None)
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ticker.updateEvent += ontick
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n = await from_trio.get()
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assert n == 0
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# sleep and let the engine run
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await asyncio.sleep(float('inf'))
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# TODO: cmd processing from trio
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# while True:
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# n = await from_trio.get()
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# print(f"aio got: {n}")
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# to_trio.send_nowait(n + 1)
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async def trio_main():
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print("trio_main!")
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asyncio.create_task(
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start_ib(from_trio, to_trio)
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)
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from_trio.put_nowait(0)
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async for tick in from_aio:
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print(f"trio got: {tick}")
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# TODO: send cmds to asyncio
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# from_trio.put_nowait(n + 1)
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async def aio_main():
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loop = asyncio.get_running_loop()
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trio_done_fut = asyncio.Future()
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def trio_done_callback(main_outcome):
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print(f"trio_main finished: {main_outcome!r}")
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trio_done_fut.set_result(main_outcome)
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trio.lowlevel.start_guest_run(
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trio_main,
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run_sync_soon_threadsafe=loop.call_soon_threadsafe,
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done_callback=trio_done_callback,
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)
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(await trio_done_fut).unwrap()
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asyncio.run(aio_main())
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