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Support forex pair lookup on ib

ib_backend
Tyler Goodlet 2020-09-07 16:57:46 -04:00
parent b499631d62
commit aad9cb2dd0
1 changed files with 17 additions and 3 deletions
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20
piker/brokers/ib.py
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@ -104,6 +104,7 @@ _adhoc_cmdty_data_map = {
# NOTE: cmdtys don't have trade data: # NOTE: cmdtys don't have trade data:
# https://groups.io/g/twsapi/message/44174 # https://groups.io/g/twsapi/message/44174
'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}), 'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
} }
@ -142,7 +143,7 @@ class Client:
# durationStr='1 D', # durationStr='1 D',
# time length calcs # time length calcs
durationStr='{count} S'.format(count=1000 * 5), durationStr='{count} S'.format(count=3000 * 5),
barSizeSetting='5 secs', barSizeSetting='5 secs',
# always use extended hours # always use extended hours
@ -223,12 +224,25 @@ class Client:
**kwargs, **kwargs,
) -> Contract: ) -> Contract:
# use heuristics to figure out contract "type" # use heuristics to figure out contract "type"
sym, exch = symbol.upper().split('.') try:
sym, exch = symbol.upper().rsplit('.', maxsplit=1)
except ValueError:
# likely there's an embedded `.` for a forex pair
await tractor.breakpoint()
# futes # futes
if exch in ('GLOBEX', 'NYMEX', 'CME', 'CMECRYPTO'): if exch in ('GLOBEX', 'NYMEX', 'CME', 'CMECRYPTO'):
con = await self.get_cont_fute(symbol=sym, exchange=exch) con = await self.get_cont_fute(symbol=sym, exchange=exch)
elif exch in ('FOREX'):
currency = ''
symbol, currency = sym.split('/')
con = ibis.Forex(
symbol=symbol,
currency=currency,
)
con.bars_kwargs = {'whatToShow': 'MIDPOINT'}
# 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_cmdty_data_map[sym]
@ -488,7 +502,7 @@ async def stream_quotes(
# first quote can be ignored as a 2nd with newer data is sent? # first quote can be ignored as a 2nd with newer data is sent?
first_ticker = await stream.__anext__() first_ticker = await stream.__anext__()
if type(first_ticker.contract) not in (ibis.Commodity,): if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
suffix = 'exchange' suffix = 'exchange'
calc_price = False # should be real volume for contract calc_price = False # should be real volume for contract