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piker/piker/brokers/ib
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Tyler Goodlet 218d0d6a69 ib: add venue-hours checking 
Such that we can avoid other (pretty unreliable) "alternative" checks to
determine whether a real-time quote should be waited on or (when venue
is closed) we should just signal that historical backfilling can
commence immediately.

This has been a todo for a very long time and it turned out to be much
easier to accomplish than anticipated..

Deats,
- add a new `is_current_time_in_range()` dt range checker to predicate
  whether an input range contains `datetime.now(start_dt.tzinfo)`.
- in `.ib.feed.stream_quotes()` add a `venue_is_open: bool` which uses
  all of the new ^^ to determine whether to branch for the
  short-circuit-and-do-history-now-case or the std real-time-quotes
  should-be-awaited-since-venue-is-open, case; drop all the old hacks
  trying to workaround not figuring that venue state stuff..

Other,
- also add a gpt5 composed parser to `._util` for the
  `ib_insync.ContractDetails.tradingHours: str` for before i realized
  there was a `.tradingSessions` property XD
- in `.ib_feed`,
  * add various EG-collapsings per recent tractor/trio updates.
  * better logging / exc-handling around ticker quote pushes.
  * stop clearing `Ticker.ticks` each quote iteration; not sure if this
    is needed/correct tho?
  * add masked `Ticker.ticks` poll loop that logs.
- fix some `str.format()` usage in `._util.try_xdo_manual()`
 		2026-01-01 17:22:19 -05:00
..
README.rst Handle read and write of `pps.toml` using `MktPair` 2023-05-09 14:49:25 -04:00
__init__.py ib: more fixes to try and get positioning correct.. 2023-07-19 16:46:36 -04:00
_flex_reports.py Pass sync code flag in flex report processor 2023-08-01 09:12:52 -04:00
_util.py ib: add venue-hours checking 2026-01-01 17:22:19 -05:00
api.py Spurious first-draft of EG collapsing 2026-01-01 17:17:40 -05:00
broker.py ib: never relay "Warning:" errors to EMS.. 2026-01-01 17:17:51 -05:00
feed.py ib: add venue-hours checking 2026-01-01 17:22:19 -05:00
ledger.py ib: more trade record edge case handling 2025-02-11 14:56:17 -05:00
symbols.py ib: `.api` mod and log-fmt cleaning 2025-02-11 14:56:17 -05:00

README.rst

ib backend

more or less the "everything broker" for traditional and international markets. they are the "go to" provider for automatic retail trading and we interface to their APIs using the ib_insync project.

status

current support is production grade and both real-time data and order management should be correct and fast. this backend is used by core devs for live trading.

currently there is not yet full support for: - options charting and trading - paxos based crypto rt feeds and trading

config

In order to get order mode support your brokers.toml needs to have something like the following:

[ib]
hosts = [
 "127.0.0.1",
]
# TODO: when we eventually spawn gateways in our
# container, we can just dynamically allocate these
# using IBC.
ports = [
    4002,
    4003,
    4006,
    4001,
    7497,
]

# XXX: for a paper account the flex web query service
# is not supported so you have to manually download
# and XML report and put it in a location that can be
# accessed by the ``brokerd.ib`` backend code for parsing.
flex_token = '1111111111111111'
flex_trades_query_id = '6969696'  # live accounts only?

# 3rd party web-api token
# (XXX: not sure if this works yet)
trade_log_token = '111111111111111'

# when clients are being scanned this determines
# which clients are preferred to be used for data feeds
# based on account names which are detected as active
# on each client.
prefer_data_account = [
    # this has to be first in order to make data work with dual paper + live
    'main',
    'algopaper',
]

[ib.accounts]
main = 'U69696969'
algopaper = 'DU9696969'

If everything works correctly you should see any current positions loaded in the pps pane on chart load and you should also be able to check your trade records in the file:

<pikerk_conf_dir>/ledgers/trades_ib_algopaper.toml

An example ledger file will have entries written verbatim from the trade events schema:

["0000e1a7.630f5e5a.01.01"]
secType = "FUT"
conId = 515416577
symbol = "MNQ"
lastTradeDateOrContractMonth = "20221216"
strike = 0.0
right = ""
multiplier = "2"
exchange = "GLOBEX"
primaryExchange = ""
currency = "USD"
localSymbol = "MNQZ2"
tradingClass = "MNQ"
includeExpired = false
secIdType = ""
secId = ""
comboLegsDescrip = ""
comboLegs = []
execId = "0000e1a7.630f5e5a.01.01"
time = 1661972086.0
acctNumber = "DU69696969"
side = "BOT"
shares = 1.0
price = 12372.75
permId = 441472655
clientId = 6116
orderId = 985
liquidation = 0
cumQty = 1.0
avgPrice = 12372.75
orderRef = ""
evRule = ""
evMultiplier = 0.0
modelCode = ""
lastLiquidity = 1
broker_time = 1661972086.0
name = "ib"
commission = 0.57
realizedPNL = 243.41
yield_ = 0.0
yieldRedemptionDate = 0
listingExchange = "GLOBEX"
date = "2022-08-31T18:54:46+00:00"

your pps.toml file will have position entries like,

[ib.algopaper."mnq.globex.20221216"]
size = -1.0
ppu = 12423.630576923071
bs_mktid = 515416577
expiry = "2022-12-16T00:00:00+00:00"
clears = [
 { dt = "2022-08-31T18:54:46+00:00", ppu = 12423.630576923071, accum_size = -19.0, price = 12372.75, size = 1.0, cost = 0.57, tid = "0000e1a7.630f5e5a.01.01" },
]