ib: rework client-internal contract caching
Add new `Client` attr tables to better stash `Contract` lookup results
normally mapped from some in put FQME;
- `._contracts: dict[str, Contract]` for any input pattern (fqme).
- `._cons: dict[str, Contract] = {}` for the `.conId: int` inputs.
- `_cons2mkts: bidict[Contract, MktPair]` for mapping back and forth
between ib and piker internal pair types.
Further,
- type out as many ib_insync internal types as possible mostly for
contract related objects.
- change `Client.trades()` -> `.get_fills()` and return directly the
result from `IB.fill()`.
account_tests
Tyler Goodlet
parent
897c20bd4a
commit
50b221f788
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@ -34,16 +34,15 @@ from functools import (
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)
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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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Callable,
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Optional,
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Union,
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)
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import asyncio
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from pprint import pformat
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import inspect
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import time
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from typing import (
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Any,
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Callable,
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Union,
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)
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from types import SimpleNamespace
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from bidict import bidict
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@ -56,26 +55,20 @@ from ib_insync import (
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client as ib_client,
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IB,
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Contract,
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ContractDetails,
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Crypto,
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Commodity,
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Forex,
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Future,
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ContFuture,
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Stock,
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)
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from ib_insync.contract import (
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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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Order,
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Ticker,
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BarDataList,
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Position,
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Fill,
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Execution,
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CommissionReport,
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)
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from ib_insync.wrapper import (
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# Execution,
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# CommissionReport,
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Wrapper,
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RequestError,
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)
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@ -85,6 +78,7 @@ import numpy as np
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# non-relative for backends so that non-builting backends
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# can be easily modelled after this style B)
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from piker import config
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from piker.accounting import MktPair
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from .symbols import (
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con2fqme,
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parse_patt2fqme,
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@ -264,7 +258,13 @@ class Client:
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Note: this client requires running inside an ``asyncio`` loop.
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'''
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# keyed by fqmes
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_contracts: dict[str, Contract] = {}
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# keyed by conId
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_cons: dict[str, Contract] = {}
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# for going between ib and piker types
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_cons2mkts: bidict[Contract, MktPair] = bidict({})
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def __init__(
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self,
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@ -282,26 +282,16 @@ class Client:
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self.ib = ib
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self.ib.RaiseRequestErrors: bool = True
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# contract cache
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self._cons: dict[str, Contract] = {}
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async def trades(self) -> list[dict]:
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async def get_fills(self) -> list[Fill]:
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'''
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Return list of trade-fills from current session in ``dict``.
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Return list of rents `Fills` from trading session.
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In theory this can be configured for dumping clears from multiple
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days but can't member where to set that..
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'''
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norm_fills: list[dict] = []
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fills: list[Fill] = self.ib.fills()
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for fill in fills:
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fill = fill._asdict() # namedtuple
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for key, val in fill.items():
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match val:
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case Contract() | Execution() | CommissionReport():
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fill[key] = asdict(val)
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norm_fills.append(fill)
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return norm_fills
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return fills
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async def orders(self) -> list[Order]:
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return await self.ib.reqAllOpenOrdersAsync(
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@ -347,7 +337,7 @@ class Client:
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_enters += 1
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contract = (await self.find_contracts(fqme))[0]
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contract: Contract = (await self.find_contracts(fqme))[0]
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bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
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bars = await self.ib.reqHistoricalDataAsync(
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@ -575,7 +565,8 @@ class Client:
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) -> Contract:
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'''
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Get an unqualifed contract for the current "continous" future.
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Get an unqualifed contract for the current "continous"
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future.
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'''
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# it's the "front" contract returned here
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@ -606,13 +597,13 @@ class Client:
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con: Contract = await self.ib.qualifyContractsAsync(
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Contract(conId=conid)
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)
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self._cons[conid] = con
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self._cons[str(conid)] = con[0]
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return con
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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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pattern: str | None = None,
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contract: Contract | None = None,
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qualify: bool = True,
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err_on_qualify: bool = True,
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@ -622,21 +613,23 @@ class Client:
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symbol, currency, exch, expiry = parse_patt2fqme(
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pattern,
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)
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sectype = ''
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sectype: str = ''
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exch: str = exch.upper()
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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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symbol: str = contract.symbol
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sectype: str = contract.secType
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exch: str = contract.exchange or contract.primaryExchange
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expiry: str = contract.lastTradeDateOrContractMonth
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currency: str = contract.currency
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# contract searching stage
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# ------------------------
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# futes
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if exch in _futes_venues:
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# futes, ensure exch/venue is uppercase for matching
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# our adhoc set.
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if exch.upper() in _futes_venues:
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if expiry:
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# get the "front" contract
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con = await self.get_fute(
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@ -704,10 +697,12 @@ class Client:
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)
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exch = 'SMART' if not exch else exch
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contracts = [con]
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contracts: list[Contract] = [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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contracts: list[Contract] = (
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await self.ib.qualifyContractsAsync(con)
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)
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except RequestError as err:
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msg = err.message
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if (
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@ -725,14 +720,21 @@ class Client:
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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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exch: str = (
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tract.primaryExchange
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or tract.exchange
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or exch
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)
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pattern: str = f'{symbol}.{exch}'
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expiry: str = 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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self._contracts[pattern.lower()] = tract
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# directly cache the input pattern to the output
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# contract match as well as by the IB-internal conId.
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self._contracts[pattern] = tract
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self._cons[str(tract.conId)] = tract
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return contracts
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@ -755,21 +757,21 @@ class Client:
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async def get_sym_details(
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self,
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symbol: str,
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fqme: str,
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) -> tuple[
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Contract,
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ContractDetails,
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]:
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'''
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Get summary (meta) data for a given symbol str including
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``Contract`` and its details and a (first snapshot of the)
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``Ticker``.
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Return matching contracts for a given ``fqme: str`` including
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``Contract`` and matching ``ContractDetails``.
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'''
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contract = (await self.find_contracts(symbol))[0]
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details_fute = self.ib.reqContractDetailsAsync(contract)
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details = (await details_fute)[0]
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contract: Contract = (await self.find_contracts(fqme))[0]
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details: ContractDetails = (
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await self.ib.reqContractDetailsAsync(contract)
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)[0]
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return contract, details
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async def get_quote(
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@ -842,7 +844,7 @@ class Client:
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'''
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try:
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contract = self._contracts[symbol]
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con: Contract = self._contracts[symbol]
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except KeyError:
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# require that the symbol has been previously cached by
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# a data feed request - ensure we aren't making orders
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@ -851,7 +853,7 @@ class Client:
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try:
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trade = self.ib.placeOrder(
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contract,
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con,
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Order(
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orderId=reqid or 0, # stupid api devs..
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action=action.upper(), # BUY/SELL
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@ -908,7 +910,7 @@ class Client:
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reqId: int,
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errorCode: int,
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errorString: str,
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contract: Contract,
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con: Contract,
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) -> None:
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@ -933,7 +935,7 @@ class Client:
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'reqid': reqId,
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'reason': reason,
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'error_code': errorCode,
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'contract': contract,
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'contract': con,
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}
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))
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except trio.BrokenResourceError:
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