Subscribe for rate calcs from IB in default tick set
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1fc6429f75
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26b0071471
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@ -1042,6 +1042,7 @@ tick_types = {
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# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
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48: 'dark_trade',
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# standard L1 ticks
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0: 'bsize',
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1: 'bid',
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2: 'ask',
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@ -1049,6 +1050,12 @@ tick_types = {
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4: 'last',
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5: 'size',
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8: 'volume',
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# ``ib_insync`` already packs these into
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# quotes under the following fields.
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# 55: 'trades_per_min', # `'tradeRate'`
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# 56: 'vlm_per_min', # `'volumeRate'`
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# 89: 'shortable', # `'shortableShares'`
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}
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@ -1263,7 +1270,13 @@ async def _setup_quote_stream(
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to_trio: trio.abc.SendChannel,
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symbol: str,
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opts: tuple[int] = ('375', '233', '236'),
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opts: tuple[int] = (
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'375', # RT trade volume (excludes utrades)
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'233', # RT trade volume (includes utrades)
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'236', # Shortable shares
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'294', # Trade rate / minute
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'295', # Vlm rate / minute
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),
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contract: Optional[Contract] = None,
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) -> trio.abc.ReceiveChannel:
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