234 lines
8.7 KiB
Python
234 lines
8.7 KiB
Python
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"""Lightweight IB client wrapper using ibapi.
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This wraps a minimal subset of EClient/EWrapper to subscribe to market
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data and track positions in-memory. It's designed to be used by a
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small Flask backend that serves a browser dashboard.
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Notes:
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- Keep behavior simple: subscribe to market data for provided symbols.
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- Store latest quotes in `self.quotes` and positions in `self.positions`.
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"""
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import logging
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import threading
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import time
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from typing import Dict, List
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from ibapi.client import EClient
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from ibapi.contract import Contract
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from ibapi.wrapper import EWrapper
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class IBClient(EWrapper, EClient):
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def __init__(self, host: str = "127.0.0.1", port: int = 7496, client_id: int = 1):
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EClient.__init__(self, self)
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# normalize/validate connection params
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if not host:
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host = "127.0.0.1"
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if not isinstance(port, int):
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try:
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port = int(port)
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except Exception:
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port = 7496
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self.host = host
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self.port = port
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self.client_id = client_id
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self._thread = None
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self._next_req_id = 1
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# connection sync
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self._connected_event = threading.Event()
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# subscriptions requested before connection
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self._pending_subscriptions = set()
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# in-memory stores
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self.quotes: Dict[str, Dict] = {}
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self.positions: List[Dict] = []
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# tracking for subscriptions: reqId -> symbol
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self._req_map: Dict[int, str] = {}
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self._requested_symbols = set()
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# basic logging
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logging.basicConfig(level=logging.INFO)
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def connect_and_start(self) -> None:
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if not self.isConnected():
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logging.info("Connecting to IB gateway %s:%s", self.host, self.port)
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self.connect(self.host, self.port, self.client_id)
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self._thread = threading.Thread(target=self.run, daemon=True)
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self._thread.start()
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# don't block here; nextValidId will mark connection ready
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def disconnect_and_stop(self) -> None:
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try:
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if self.isConnected():
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self.disconnect()
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except Exception:
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pass
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# ---- EWrapper overrides (minimal) ----
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def nextValidId(self, orderId: int):
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super().nextValidId(orderId)
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# ensure we start with a reasonably large req id to avoid collisions
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if orderId and orderId > self._next_req_id:
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self._next_req_id = orderId
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# mark connection as ready
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try:
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self._connected_event.set()
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except Exception:
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pass
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# process any pending subscriptions
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if self._pending_subscriptions:
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pending = list(self._pending_subscriptions)
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self._pending_subscriptions.clear()
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for s in pending:
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try:
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self.subscribe_market_data(s)
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except Exception:
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logging.exception("Failed to process pending subscription %s", s)
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def error(self, reqId, errorCode, errorString):
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logging.error("IB error (req=%s code=%s): %s", reqId, errorCode, errorString)
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def tickPrice(self, reqId, tickType, price, attrib):
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# store last price when available
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if price is None:
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return
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symbol = self._req_map.get(reqId)
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if not symbol:
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return
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data = self.quotes.setdefault(symbol, {})
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data["last"] = price
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def tickSize(self, reqId, tickType, size):
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symbol = self._req_map.get(reqId)
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if not symbol:
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return
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data = self.quotes.setdefault(symbol, {})
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data["size"] = size
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def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName):
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# simple representation of the position
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if not contract or not contract.symbol:
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return
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pos = {
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"symbol": contract.symbol,
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"position": position,
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"marketPrice": marketPrice,
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"marketValue": marketValue,
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}
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# replace existing entry for the symbol
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for i, p in enumerate(self.positions):
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if p.get("symbol") == pos["symbol"]:
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self.positions[i] = pos
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break
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else:
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self.positions.append(pos)
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def positionEnd(self):
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# called when a batch of position updates is finished
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logging.info("Position update batch complete. %d positions stored", len(self.positions))
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def position(self, account, contract, position, avgCost):
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"""Handle positions returned by `reqPositions()`.
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Signature from EWrapper: position(self, account, contract, position, avgCost)
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"""
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try:
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if not contract or not getattr(contract, 'symbol', None):
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return
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pos = {
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"symbol": contract.symbol,
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"position": position,
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"averageCost": avgCost,
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"account": account,
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}
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# replace existing entry for the symbol
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for i, p in enumerate(self.positions):
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if p.get("symbol") == pos["symbol"] and p.get("account") == account:
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self.positions[i] = pos
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break
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else:
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self.positions.append(pos)
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except Exception:
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logging.exception("Error handling position callback")
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# ---- helpers ----
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def _new_req_id(self) -> int:
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rid = self._next_req_id
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self._next_req_id += 1
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return rid
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def _make_stock_contract(self, symbol: str, exchange: str = "SMART", currency: str = "USD") -> Contract:
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c = Contract()
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c.symbol = symbol
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c.secType = "STK"
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c.exchange = exchange
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c.currency = currency
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return c
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def subscribe_market_data(self, symbol: str) -> None:
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"""Subscribe to basic market data for `symbol` (in USD on SMART exchange).
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Repeated calls for the same symbol are ignored.
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"""
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if symbol in self._requested_symbols:
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return
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# if not connected yet, queue the subscription
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if not self._connected_event.is_set():
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logging.info("Not connected yet; queuing subscription for %s", symbol)
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self._pending_subscriptions.add(symbol)
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# ensure we start connection
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try:
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self.connect_and_start()
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except Exception:
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logging.exception("Failed to start connection while queuing subscription")
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return
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req_id = self._new_req_id()
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self._req_map[req_id] = symbol
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contract = self._make_stock_contract(symbol)
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# request real-time market data (empty generic tick list)
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try:
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self.reqMarketDataType(1)
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self.reqMktData(req_id, contract, "", False, False, [])
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self._requested_symbols.add(symbol)
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logging.info("Subscribed to market data for %s (req=%s)", symbol, req_id)
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except Exception as e:
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logging.exception("Failed to subscribe to %s: %s", symbol, e)
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def request_positions(self) -> None:
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"""Ask the IB API to send current positions (triggers updatePortfolio callbacks)."""
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if not self._connected_event.is_set():
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logging.info("Not connected yet; will request positions only if connection parameters are valid")
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# validate host/port before trying to connect
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if not isinstance(self.host, str) or not isinstance(self.port, int):
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logging.error("Invalid connection parameters: host=%r port=%r", self.host, self.port)
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return
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try:
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self.connect_and_start()
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except Exception:
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logging.exception("Failed to start connection for positions request")
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# schedule a delayed reqPositions after connection is established
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def _delayed():
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if self._connected_event.wait(5):
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try:
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self.reqPositions()
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except Exception:
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logging.exception("Failed to request positions after connect")
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threading.Thread(target=_delayed, daemon=True).start()
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return
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try:
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self.reqPositions()
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except Exception:
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logging.exception("Failed to request positions")
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def get_quotes(self) -> Dict[str, Dict]:
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return self.quotes
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def get_positions(self) -> List[Dict]:
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return self.positions
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