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Subscribe for rate calcs from IB in default tick set

windows_fixes_yo
Tyler Goodlet 2022-02-04 11:55:11 -05:00
parent 1fc6429f75
commit 26b0071471
1 changed files with 14 additions and 1 deletions
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15
piker/brokers/ib.py
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@ -1042,6 +1042,7 @@ tick_types = {
# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume # https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
48: 'dark_trade', 48: 'dark_trade',
# standard L1 ticks
0: 'bsize', 0: 'bsize',
1: 'bid', 1: 'bid',
2: 'ask', 2: 'ask',
@ -1049,6 +1050,12 @@ tick_types = {
4: 'last', 4: 'last',
5: 'size', 5: 'size',
8: 'volume', 8: 'volume',
# ``ib_insync`` already packs these into
# quotes under the following fields.
# 55: 'trades_per_min', # `'tradeRate'`
# 56: 'vlm_per_min', # `'volumeRate'`
# 89: 'shortable', # `'shortableShares'`
} }
@ -1263,7 +1270,13 @@ async def _setup_quote_stream(
to_trio: trio.abc.SendChannel, to_trio: trio.abc.SendChannel,
symbol: str, symbol: str,
opts: tuple[int] = ('375', '233', '236'), opts: tuple[int] = (
'375', # RT trade volume (excludes utrades)
'233', # RT trade volume (includes utrades)
'236', # Shortable shares
'294', # Trade rate / minute
'295', # Vlm rate / minute
),
contract: Optional[Contract] = None, contract: Optional[Contract] = None,
) -> trio.abc.ReceiveChannel: ) -> trio.abc.ReceiveChannel: