deephaven_ib¶

time

class BarDataType(value)[source]¶

Bases: enum.Enum

Bar data type.

ADJUSTED_LAST = 6¶: Bid/Ask prices.

AGGTRADES = 15¶: Aggregate trade prices.

ASK = 4¶: Ask prices.

BID = 3¶: Bid prices.

BID_ASK = 5¶: Bid/Ask prices.

FEE_RATE = 10¶: Fee rate.

HISTORICAL_VOLATILITY = 7¶: Historical volatility.

MIDPOINT = 2¶: Midpoint prices.

OPTION_IMPLIED_VOLATILITY = 8¶: Option implied volatility.

REBATE_RATE = 9¶: Rebate rate.

TRADES = 1¶: Trade prices.

YIELD_ASK = 12¶: Ask yield.

YIELD_BID = 11¶: Bid yield.

YIELD_BID_ASK = 13¶: Bid/Ask yield.

YIELD_LAST = 14¶: Last yield.

class BarSize(value)[source]¶

Bases: enum.Enum

Bar data sizes.

DAY_1 = '1 day'¶: 1 day bar.

HOUR_1 = '1 hour'¶: 1 hour bar.

HOUR_2 = '2 hour'¶: 2 hour bar.

HOUR_3 = '3 hour'¶: 3 hour bar.

HOUR_4 = '4 hour'¶: 4 hour bar.

HOUR_8 = '8 hour'¶: 8 hour bar.

MIN_1 = '1 min'¶: 1 minute bar.

MIN_10 = '10 mins'¶: 10 minute bar.

MIN_15 = '15 mins'¶: 15 minute bar.

MIN_2 = '2 mins'¶: 2 minute bar.

MIN_20 = '20 mins'¶: 20 minute bar.

MIN_3 = '3 mins'¶: 3 minute bar.

MIN_30 = '30 mins'¶: 30 minute bar.

MIN_5 = '5 mins'¶: 5 minute bar.

MONTH_1 = '1M'¶: 1 month bar.

SEC_1 = '1 sec'¶: 1 second bar.

SEC_10 = '10 secs'¶: 10 second bar.

SEC_15 = '15 secs'¶: 15 second bar.

SEC_30 = '30 secs'¶: 30 second bar.

SEC_5 = '5 secs'¶: 5 second bar.

WEEK_1 = '1W'¶: 1 week bar.

class Duration(value)[source]¶

Bases: object

Time period to request data for.

static days(value)[source]¶

Create a duration of a specified number of days.

Parameters: value (int) – number of days
Return type: Duration
Returns: A duration.

static months(value)[source]¶

Create a duration of a specified number of months.

Parameters: value (int) – number of months
Return type: Duration
Returns: A duration.

static seconds(value)[source]¶

Create a duration of a specified number of seconds.

Parameters: value (int) – number of seconds
Return type: Duration
Returns: A duration.

static weeks(value)[source]¶

Create a duration of a specified number of weeks.

Parameters: value (int) – number of weeks
Return type: Duration
Returns: A duration.

static years(value)[source]¶

Create a duration of a specified number of years.

Parameters: value (int) – number of years
Return type: Duration
Returns: A duration.

class IbSessionTws(host='', port=7497, client_id=0, download_short_rates=True, order_id_strategy=OrderIdStrategy.INCREMENT, read_only=True, is_fa=False)[source]¶

Bases: object

IB TWS session.

NOTE: Some tables are data specific to the current client_id (e.g. orders_submitted). A client_id of 0 includes data manually entered into the TWS session. For example, orders entered by hand.

Parameters

host (str) – The host name or IP address of the machine where TWS is running. Leave blank to connect to the local host. When run inside docker, you probably want host.docker.internal.
port (int) – TWS port, specified in TWS on the Configure->API->Socket Port field. By default production trading uses port 7496 and paper trading uses port 7497.
client_id (int) –
A number used to identify this client connection. All orders placed/modified from this client will be associated with this client identifier.

NOTE: Each client MUST connect with a unique clientId.
download_short_rates (bool) – True to download a short rates table.
order_id_strategy (OrderIdStrategy) – strategy for obtaining new order ids.
read_only (bool) – True to create a read only client that can not trade; false to create a read-write client that can trade. Default is true.
is_fa (bool) – True for financial advisor accounts; false otherwise. Default is false.

Tables:

errors: an error log.
requests: requests to IB.

contract_details: details describing contracts of interest. Automatically populated.
contracts_matching: contracts matching query strings provided to request_contracts_matching.
market_rules: market rules indicating the price increment a contract can trade in. Automatically populated.
short_rates: interest rates for shorting securities. Automatically populated if download_short_rates=True.

accounts_managed: accounts managed by the TWS session login. Automatically populated.
accounts_family_codes: account family. Automatically populated.
accounts_groups: account groups. Automatically populated.
accounts_allocation_profiles: allocation profiles for accounts. Automatically populated.
accounts_value: account values. Automatically populated.
accounts_overview: overview of account details. Automatically populated.
accounts_summary: account summary. Automatically populated.
accounts_positions: account positions. Automatically populated.
accounts_pnl: account PNL. Automatically populated.

news_providers: currently subscribed news sources. Automatically populated.
news_bulletins: news bulletins. Automatically populated.
news_articles: the content of news articles requested via request_news_article.
news_historical: historical news headlines requested via request_news_historical.

ticks_price: real-time tick market data of price values requested via request_market_data.
ticks_size: real-time tick market data of size values requested via request_market_data.
ticks_string: real-time tick market data of string values requested via request_market_data.
ticks_efp: real-time tick market data of exchange for physical (EFP) values requested via request_market_data.
ticks_generic: real-time tick market data of generic floating point values requested via request_market_data.
ticks_option_computation: real-time tick market data of option computations requested via request_market_data.
ticks_trade: real-time tick market data of trade prices requested via request_tick_data_historical or request_tick_data_realtime.
ticks_bid_ask: real-time tick market data of bid and ask prices requested via request_tick_data_historical or request_tick_data_realtime.
ticks_mid_point: real-time tick market data of mid-point prices requested via request_tick_data_historical or request_tick_data_realtime.
bars_historical: historical price bars requested via request_bars_historical.
bars_realtime: real-time price bars requested via request_bars_realtime.

orders_submitted: submitted orders FOR THE THE CLIENT ID. A client ID of 0 contains manually entered orders. Automatically populated.
orders_status: order statuses. Automatically populated.
orders_completed: completed orders. Automatically populated.
orders_exec_details: order execution details. Automatically populated.
orders_exec_commission_report: order execution commission report. Automatically populated.

property client_id¶

Client ID.

Returns: Client ID.

connect()[source]¶

Connect to an IB TWS session. Raises an exception if already connected.

Return type: None
Returns: None
Raises: Exception – problem executing action.

disconnect()[source]¶

Disconnect from an IB TWS session.

Return type: None
Returns: None

get_registered_contract(contract)[source]¶

Gets a contract that has been registered in the framework. The registered contract is confirmed to exist in the IB system and contains a complete description of the contract.

Parameters: contract (Contract) – contract to search for
Return type: RegisteredContract
Returns: A contract that has been registered with deephaven-ib.
Raises: Exception – problem executing action.

property host¶

Client host.

Returns: Client host.

is_connected()[source]¶

Is there a connection with TWS?

Return type: bool
Returns: an indication if the client is connected to TWS.

order_cancel(order_id)[source]¶

Cancels an order.

Parameters: order_id (int) – order ID
Return type: None
Returns: None
Raises: Exception – problem executing action.

order_cancel_all()[source]¶

Cancel all open orders.

Return type: None
Returns: None
Raises: Exception – problem executing action.

order_place(contract, order)[source]¶

Places an order.

Parameters

contract (RegisteredContract) – contract to place an order on
order (Order) – order to place

Return type

Request

Returns

A Request.

Raises

Exception – problem executing action.

property port¶

Client port.

Returns: Client port.

property read_only¶

Is the client read only?

Returns: a boolean indicating if the client is read only.

request_account_overview(account, model_code='')[source]¶

Request portfolio overview updates. Results are returned in the accounts_overview table.

Parameters

account (str) – Account to request an overview for. “All” requests for all accounts.
model_code (str) – Model portfolio code to request an overview for.

Return type

Request

Returns

A Request.

Raises

Exception – problem executing action.

request_account_pnl(account='All', model_code='')[source]¶

Request PNL updates. Results are returned in the accounts_pnl table.

Parameters

account (str) – Account to request PNL for. “All” requests for all accounts.
model_code (str) – Model portfolio code to request PNL for.

Return type

Request

Returns

A Request.

Raises

Exception – problem executing action.

request_account_positions(account, model_code='')[source]¶

Request portfolio position updates. Results are returned in the accounts_positions table.

Parameters

account (str) – Account to request positions for. “All” requests for all accounts.
model_code (str) – Model portfolio code to request positions for.

Return type

Request

Returns

A Request.

Raises

Exception – problem executing action.

request_bars_historical(contract, duration, bar_size, bar_type, end=None, market_data_type=MarketDataType.FROZEN, keep_up_to_date=True)[source]¶

Requests historical bars for a contract. Results are returned in the bars_historical table.

Registered contracts that are associated with multiple contract details produce multiple requests.

Parameters

contract (RegisteredContract) – contract data is requested for
end (DateTime) – Ending timestamp of the requested data.
duration (Duration) – Duration of data being requested by the query.
bar_size (BarSize) – Size of the bars that will be returned.
bar_type (BarDataType) – Type of bars that will be returned.
market_data_type (MarketDataType) – Type of market data to return after the close.
keep_up_to_date (bool) – True to continuously update bars

Return type

List[Request]

Returns

All of the requests created by this action.

Raises

Exception – problem executing action.

request_bars_realtime(contract, bar_type, bar_size=5, market_data_type=MarketDataType.FROZEN)[source]¶

Requests real time bars for a contract. Results are returned in the bars_realtime table.

Registered contracts that are associated with multiple contract details produce multiple requests.

Parameters

contract (RegisteredContract) – contract data is requested for
bar_type (BarDataType) – Type of bars that will be returned.
bar_size (int) – Bar size in seconds.
market_data_type (MarketDataType) – Type of market data to return after the close.

Return type

List[Request]

Returns

All of the requests created by this action.

Raises

Exception – problem executing action.

request_contracts_matching(pattern)[source]¶

Request contracts matching a pattern. Results are returned in the contracts_matching table.

Parameters: pattern (str) – pattern to search for. Can include part of a ticker or part of the company name.
Return type: Request
Returns: A Request.
Raises: Exception – problem executing action.

request_market_data(contract, generic_tick_types=[], snapshot=False, regulatory_snapshot=False)[source]¶

Request market data for a contract. Results are returned in the ticks_price, ticks_size, ticks_string, ticks_efp, ticks_generic, and ticks_option_computation tables.

Registered contracts that are associated with multiple contract details produce multiple requests.

Parameters

contract (RegisteredContract) – contract data is requested for
generic_tick_types (List[GenericTickType]) – generic tick types being requested
snapshot (bool) – True to return a single snapshot of Market data and have the market data subscription cancel. Do not enter any genericTicklist values if you use snapshots.
regulatory_snapshot (bool) – True to get a regulatory snapshot. Requires the US Value Snapshot Bundle for stocks.

Return type

List[Request]

Returns

A Request.

Raises

Exception – problem executing action.

request_news_article(provider_code, article_id)[source]¶

Request the text of a news article. Results are returned in the news_articles table.

Parameters

provider_code (str) – short code indicating news provider, e.g. FLY
article_id (str) – id of the specific article

Return type

Request

Returns

A Request.

Raises

Exception – problem executing action.

request_news_historical(contract, start, end, provider_codes=None, total_results=100)[source]¶

Request historical news for a contract. Results are returned in the news_historical table.

Registered contracts that are associated with multiple contract details produce multiple requests.

Parameters

contract (RegisteredContract) – contract data is requested for
provider_codes (List[str]) – a list of provider codes. By default, all subscribed codes are used.
start (DateTime) – marks the (exclusive) start of the date range.
end (DateTime) – marks the (inclusive) end of the date range.
total_results (int) – the maximum number of headlines to fetch (1 - 300)

Return type

List[Request]

Returns

All of the requests created by the action.

Raises

Exception – problem executing action.

request_tick_data_historical(contract, tick_type, number_of_ticks, start=None, end=None, market_data_type=MarketDataType.FROZEN, ignore_size=False)[source]¶

Requests historical tick-by-tick data. Results are returned in the ticks_trade, ticks_bid_ask, and ticks_mid_point tables.

Registered contracts that are associated with multiple contract details produce multiple requests.

Parameters

contract (RegisteredContract) – contract data is requested for
start (DateTime) – marks the (exclusive) start of the date range.
end (DateTime) – marks the (inclusive) end of the date range.
tick_type (TickDataType) – Type of market data to return.
number_of_ticks (int) – Number of historical ticks to request.
market_data_type (MarketDataType) – Type of market data to return after the close.
ignore_size (bool) – should size values be ignored.

Return type

List[Request]

Returns

All of the requests created by this action.

Raises

Exception – problem executing action.

request_tick_data_realtime(contract, tick_type, number_of_ticks=0, ignore_size=False)[source]¶

Requests real-time tick-by-tick data. Results are returned in the ticks_trade, ticks_bid_ask, and ticks_mid_point tables.

Registered contracts that are associated with multiple contract details produce multiple requests.

Parameters

contract (RegisteredContract) – contract data is requested for
tick_type (TickDataType) – Type of market data to return.
number_of_ticks (int) – Number of historical ticks to request.
ignore_size (bool) – should size values be ignored.

Return type

List[Request]

Returns

All of the requests created by this action.

Raises

Exception – problem executing action.

set_market_data_type(market_data_type)[source]¶

Sets the default type of market data.

Parameters: market_data_type (MarketDataType) – market data type
Return type: None
Returns: None
Raises: Exception – problem executing action.

property tables¶

Gets a dictionary of all data tables.

Returns: Dictionary of all data tables.

property tables_raw¶

Gets a dictionary of all raw data tables. Raw tables are just as the data comes from IB.

Returns: Dictionary of all raw data tables.

class MarketDataType(value)[source]¶

Bases: enum.Enum

Type of market data to use.

DELAYED = 3¶: Delayed market data.

FROZEN = 2¶: Real-time market data during regular trading hours, and frozen prices after the close.

REAL_TIME = 1¶: Real-time market data.

class OrderIdStrategy(value)[source]¶

Bases: enum.Enum

Strategy used to obtain order IDs.

BASIC = (False, True)¶: Request a new order ID from TWS every time one is needed.

INCREMENT = (False, False)¶: Use the initial order ID and increment the value upon every call. This is fast, but it may fail for multiple, concurrent sessions.

RETRY = (True, True)¶: Request a new order ID from TWS every time one is needed. Retry if TWS does not respond quickly. TWS seems to have a bug where it does not always respond.

class RegisteredContract(query_contract, contract_details)[source]¶

Bases: object

Details describing a financial instrument that has been registered in the framework. This can be a stock, bond, option, etc.

When some contracts are registered, details on multiple contracts are returned.

is_multi()[source]¶

Does the contract have multiple contract details?

Return type: bool
Returns: An indication if the requested contract is associated with multiple contract details.

class Request(request_id, cancel_func=None)[source]¶

Bases: object

IB session request.

cancel()[source]¶

Cancel the request.

Return type: None
Returns: None
Raises: Exception – request is not cancellable.

is_cancellable()[source]¶

Is the request cancellable?

Return type: bool
Returns: An indication if the request is cancellable.

class TickDataType(value)[source]¶

Bases: enum.Enum

Tick data type.

BID_ASK = 'BidAsk'¶: “Most recent bid and ask.

LAST = 'Last'¶: Most recent trade.

MIDPOINT = 'MidPoint'¶: Most recent midpoint.