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Build out adhoc sym map from futes list

lifo_pps_ib
Tyler Goodlet 2022-06-23 20:18:15 -04:00
parent c6efa2641b
commit 557562e25c
1 changed files with 28 additions and 13 deletions
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41
piker/brokers/ib/api.py
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@ -161,30 +161,23 @@ class NonShittyIB(ibis.IB):
self.client.apiEnd += self.disconnectedEvent self.client.apiEnd += self.disconnectedEvent
# map of symbols to contract ids
_adhoc_cmdty_data_map = {
# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
# NOTE: some cmdtys/metals don't have trade data like gold/usd:
# https://groups.io/g/twsapi/message/44174
'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
}
_futes_venues = ( _futes_venues = (
'GLOBEX', 'GLOBEX',
'NYMEX', 'NYMEX',
'CME', 'CME',
'CMECRYPTO', 'CMECRYPTO',
'COMEX',
'CMDTY', # special name case..
) )
_adhoc_futes_set = { _adhoc_futes_set = {
# equities # equities
'nq.globex', 'nq.globex',
'mnq.globex', 'mnq.globex', # micro
'es.globex', 'es.globex',
'mes.globex', 'mes.globex', # micro
# cypto$ # cypto$
'brr.cmecrypto', 'brr.cmecrypto',
@ -201,13 +194,34 @@ _adhoc_futes_set = {
# metals # metals
'xauusd.cmdty', # gold spot 'xauusd.cmdty', # gold spot
'gc.nymex', 'gc.nymex',
'mgc.nymex', 'mgc.nymex', # micro
# oil & gas
'cl.nymex',
'xagusd.cmdty', # silver spot 'xagusd.cmdty', # silver spot
'ni.nymex', # silver futes 'ni.nymex', # silver futes
'qi.comex', # mini-silver futes 'qi.comex', # mini-silver futes
} }
# map of symbols to contract ids
_adhoc_symbol_map = {
# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
# NOTE: some cmdtys/metals don't have trade data like gold/usd:
# https://groups.io/g/twsapi/message/44174
'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
}
for qsn in _adhoc_futes_set:
sym, venue = qsn.split('.')
assert venue.upper() in _futes_venues, f'{venue}'
_adhoc_symbol_map[sym.upper()] = (
{'exchange': venue},
{},
)
# exchanges we don't support at the moment due to not knowing # exchanges we don't support at the moment due to not knowing
# how to do symbol-contract lookup correctly likely due # how to do symbol-contract lookup correctly likely due
# to not having the data feeds subscribed. # to not having the data feeds subscribed.
@ -215,6 +229,7 @@ _exch_skip_list = {
'ASX', # aussie stocks 'ASX', # aussie stocks
'MEXI', # mexican stocks 'MEXI', # mexican stocks
'VALUE', # no idea 'VALUE', # no idea
'FUNDSERV', # no idea
} }
# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924 # https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
@ -569,7 +584,7 @@ class Client:
# commodities # commodities
elif exch == 'CMDTY': # eg. XAUUSD.CMDTY elif exch == 'CMDTY': # eg. XAUUSD.CMDTY
con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym] con_kwargs, bars_kwargs = _adhoc_symbol_map[sym]
con = ibis.Commodity(**con_kwargs) con = ibis.Commodity(**con_kwargs)
con.bars_kwargs = bars_kwargs con.bars_kwargs = bars_kwargs