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Report asset types, tick sizes, and order actions from ib

basic_orders
Tyler Goodlet 2021-02-19 17:23:37 -05:00
parent 1ac4cc3dd3
commit bbd54e8f95
1 changed files with 37 additions and 8 deletions
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45
piker/brokers/ib.py
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@ -594,7 +594,6 @@ async def _aio_get_client(
""" """
# first check cache for existing client # first check cache for existing client
# breakpoint()
try: try:
if port: if port:
client = _client_cache[(host, port)] client = _client_cache[(host, port)]
@ -818,8 +817,8 @@ async def fill_bars(
sym: str, sym: str,
first_bars: list, first_bars: list,
shm: 'ShmArray', # type: ignore # noqa shm: 'ShmArray', # type: ignore # noqa
count: int = 20, # NOTE: any more and we'll overrun underlying buffer # count: int = 20, # NOTE: any more and we'll overrun underlying buffer
# count: int = 6, # NOTE: any more and we'll overrun the underlying buffer count: int = 6, # NOTE: any more and we'll overrun the underlying buffer
) -> None: ) -> None:
"""Fill historical bars into shared mem / storage afap. """Fill historical bars into shared mem / storage afap.
@ -864,6 +863,25 @@ async def fill_bars(
await tractor.breakpoint() await tractor.breakpoint()
asset_type_map = {
'STK': 'stock',
'OPT': 'option',
'FUT': 'future',
'CONTFUT': 'continuous_future',
'CASH': 'forex',
'IND': 'index',
'CFD': 'cfd',
'BOND': 'bond',
'CMDTY': 'commodity',
'FOP': 'futures_option',
'FUND': 'mutual_fund',
'WAR': 'warrant',
'IOPT': 'warran',
'BAG': 'bag',
# 'NEWS': 'news',
}
# TODO: figure out how to share quote feeds sanely despite # TODO: figure out how to share quote feeds sanely despite
# the wacky ``ib_insync`` api. # the wacky ``ib_insync`` api.
# @tractor.msg.pub # @tractor.msg.pub
@ -956,9 +974,17 @@ async def stream_quotes(
syminfo.update(syminfo['contract']) syminfo.update(syminfo['contract'])
# TODO: more consistent field translation # TODO: more consistent field translation
syminfo['price_tick_size'] = syminfo['minTick'] atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
# for "traditional" assets, volume is discreet not a float
syminfo['lot_tick_size'] = 0 # for stocks it seems TWS reports too small a tick size
# such that you can't submit orders with that granularity?
min_tick = 0.01 if atype == 'stock' else 0
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
# for "traditional" assets, volume is normally discreet, not a float
syminfo['lot_tick_size'] = 0.0
# TODO: for loop through all symbols passed in # TODO: for loop through all symbols passed in
init_msgs = { init_msgs = {
@ -1138,6 +1164,7 @@ async def stream_trades(
stream = await _trio_run_client_method( stream = await _trio_run_client_method(
method='recv_trade_updates', method='recv_trade_updates',
) )
action_map = {'BOT': 'buy', 'SLD': 'sell'}
async for event_name, item in stream: async for event_name, item in stream:
@ -1164,17 +1191,19 @@ async def stream_trades(
} }
elif event_name == 'fill': elif event_name == 'fill':
trade, fill = item trade, fill = item
execu = fill.execution execu = fill.execution
msg = { msg = {
'reqid': execu.orderId, 'reqid': execu.orderId,
'execid': execu.execId, 'execid': execu.execId,
# supposedly IB server fill time # supposedly IB server fill time
'broker_time': execu.time, # converted to float by us 'broker_time': execu.time, # converted to float by us
'time': fill.time, # ns in main TCP handler by us 'time': fill.time, # ns from main TCP handler by us inside ``ib_insync`` override
'time_ns': time.time_ns(), # cuz why not 'time_ns': time.time_ns(), # cuz why not
'action': {'BOT': 'buy', 'SLD': 'sell'}[execu.side], 'action': action_map[execu.side],
'size': execu.shares, 'size': execu.shares,
'price': execu.price, 'price': execu.price,
} }