724 lines
31 KiB
Python
724 lines
31 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: Dict[str, Dict] = {}
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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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# store executions (append as execDetails callbacks arrive)
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self.executions: List[Dict] = []
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self._execution_ids = set()
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self.historical_closes: Dict[str, float] = {}
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# tracking for subscriptions: reqId -> symbol
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self._req_map: Dict[int, str] = {}
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self._historical_req_map: Dict[int, str] = {}
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self._requested_symbols = set()
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self._requested_accounts = set()
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self._requested_historical = set()
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# basic logging
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logging.basicConfig(level=logging.INFO)
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def _normalize_expiry(self, expiry):
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expiry = str(expiry or "").strip()
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if len(expiry) == 8 and expiry.isdigit():
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return f"{expiry[0:4]}-{expiry[4:6]}-{expiry[6:8]}"
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if len(expiry) == 6 and expiry.isdigit():
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return f"{expiry[0:4]}-{expiry[4:6]}"
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return expiry
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def _contract_key(self, contract) -> str:
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if not contract:
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return ""
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con_id = getattr(contract, "conId", None)
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if con_id:
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return f"CONID:{con_id}"
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sec_type = (getattr(contract, "secType", None) or "").upper()
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symbol = getattr(contract, "symbol", None) or ""
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if sec_type == "OPT":
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expiry = self._normalize_expiry(getattr(contract, "lastTradeDateOrContractMonth", None))
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strike = getattr(contract, "strike", None)
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right = getattr(contract, "right", None) or ""
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multiplier = getattr(contract, "multiplier", None) or ""
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return f"OPT:{symbol}:{expiry}:{strike}:{right}:{multiplier}"
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return f"{sec_type or 'STK'}:{symbol}"
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def _contract_to_record(self, contract) -> Dict:
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if not contract:
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return {}
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sec_type = (getattr(contract, "secType", None) or "STK").upper()
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symbol = getattr(contract, "symbol", None) or ""
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if sec_type == "OPT":
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expiry = self._normalize_expiry(getattr(contract, "lastTradeDateOrContractMonth", None))
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strike = getattr(contract, "strike", None)
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right = (getattr(contract, "right", None) or "").upper()
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multiplier = getattr(contract, "multiplier", None)
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else:
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expiry = None
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strike = None
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right = None
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multiplier = None
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local_symbol = getattr(contract, "localSymbol", None)
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rec = {
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"instrument_key": self._contract_key(contract),
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"con_id": getattr(contract, "conId", None) or None,
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"symbol": symbol,
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"security_type": sec_type,
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"underlying_symbol": symbol,
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"expiry": expiry or None,
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"strike": float(strike) if strike not in (None, "") else None,
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"option_type": right or None,
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"multiplier": str(multiplier) if multiplier not in (None, "") else None,
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"local_symbol": local_symbol or None,
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"exchange": getattr(contract, "exchange", None) or None,
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"primary_exchange": getattr(contract, "primaryExchange", None) or None,
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"currency": getattr(contract, "currency", None) or None,
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"trading_class": getattr(contract, "tradingClass", None) or None,
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}
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rec["display_symbol"] = self._format_display_symbol(rec)
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return rec
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def _format_display_symbol(self, rec: Dict) -> str:
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sec_type = (rec.get("security_type") or "STK").upper()
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symbol = rec.get("underlying_symbol") or rec.get("symbol") or ""
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if sec_type == "OPT":
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expiry = rec.get("expiry") or "?"
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strike = rec.get("strike")
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if isinstance(strike, float) and strike.is_integer():
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strike_str = str(int(strike))
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else:
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strike_str = str(strike) if strike is not None else "?"
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option_type = rec.get("option_type") or "?"
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return f"{symbol} {expiry} {strike_str} {option_type}"
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return symbol
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def _price_multiplier(self, rec: Dict) -> float:
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sec_type = (rec.get("security_type") or "STK").upper()
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if sec_type != "OPT":
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return 1.0
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multiplier = rec.get("multiplier")
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try:
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return float(multiplier) if multiplier not in (None, "", 0, "0") else 100.0
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except Exception:
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return 100.0
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def _make_contract_from_record(self, rec: Dict) -> Contract:
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sec_type = (rec.get("security_type") or "STK").upper()
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con_id = rec.get("con_id")
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if con_id:
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c = Contract()
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c.conId = int(con_id)
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c.secType = sec_type
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c.exchange = rec.get("exchange") or "SMART"
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currency = rec.get("currency")
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if currency:
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c.currency = currency
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return c
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if sec_type == "OPT":
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c = Contract()
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c.symbol = rec.get("underlying_symbol") or rec.get("symbol")
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c.secType = "OPT"
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c.exchange = rec.get("exchange") or "SMART"
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c.currency = rec.get("currency") or "USD"
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expiry = rec.get("expiry") or ""
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c.lastTradeDateOrContractMonth = expiry.replace("-", "")
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strike = rec.get("strike")
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if strike is not None:
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c.strike = float(strike)
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option_type = rec.get("option_type")
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if option_type:
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c.right = option_type
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multiplier = rec.get("multiplier")
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if multiplier:
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c.multiplier = str(multiplier)
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local_symbol = rec.get("local_symbol")
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if local_symbol:
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c.localSymbol = local_symbol
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primary_exchange = rec.get("primary_exchange")
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if primary_exchange:
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c.primaryExchange = primary_exchange
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trading_class = rec.get("trading_class")
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if trading_class:
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c.tradingClass = trading_class
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return c
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return self._make_stock_contract(
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rec.get("symbol") or rec.get("underlying_symbol"),
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exchange=rec.get("exchange") or "SMART",
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currency=rec.get("currency") or "USD",
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)
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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.values())
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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 or closing price when available
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if price is None or price == -1:
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return
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instrument_key = self._req_map.get(reqId)
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if not instrument_key:
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return
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data = self.quotes.setdefault(instrument_key, {})
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if tickType in (4, 68):
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data["last"] = price
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elif tickType in (9, 75):
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data["close"] = price
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elif tickType in (1, 66):
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data["bid"] = price
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elif tickType in (2, 67):
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data["ask"] = price
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elif tickType == 37:
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data["mark"] = price
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def tickSize(self, reqId, tickType, size):
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instrument_key = self._req_map.get(reqId)
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if not instrument_key:
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return
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data = self.quotes.setdefault(instrument_key, {})
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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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contract_rec = self._contract_to_record(contract)
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pos = {
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**contract_rec,
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"position": position,
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"marketPrice": marketPrice,
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"marketValue": marketValue,
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"averageCost": averageCost,
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"account": accountName,
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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("instrument_key") == pos["instrument_key"] and p.get("account") == accountName:
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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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contract_rec = self._contract_to_record(contract)
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pos = {
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**contract_rec,
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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("instrument_key") == pos["instrument_key"] 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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def execDetails(self, reqId, contract, execution):
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"""Capture execution details for building lots.
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`execution` is an `Execution` object from ibapi which contains
|
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.shares, .price, .side, .execId, .time (may be empty)
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"""
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||
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try:
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symbol = getattr(contract, "symbol", None)
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if not symbol:
|
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return
|
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contract_rec = self._contract_to_record(contract)
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entry = {
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"execId": getattr(execution, "execId", None),
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**contract_rec,
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"shares": float(getattr(execution, "shares", 0)),
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"price": float(getattr(execution, "price", 0.0)),
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"side": getattr(execution, "side", ""),
|
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"time": getattr(execution, "time", None),
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"permId": getattr(execution, "permId", None),
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}
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exec_id = entry.get("execId")
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if exec_id and exec_id in self._execution_ids:
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return
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if exec_id:
|
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self._execution_ids.add(exec_id)
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self.executions.append(entry)
|
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except Exception:
|
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|
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logging.exception("Failed to record execution detail")
|
||
|
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||
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def execDetailsEnd(self, reqId):
|
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logging.info("Finished receiving executions (req=%s). %d execs total", reqId, len(self.executions))
|
||
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|
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|
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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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|
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|
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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, contract_or_record) -> None:
|
||
|
|
"""Subscribe to basic market data for a contract or simple symbol string.
|
||
|
|
|
||
|
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Repeated calls for the same symbol are ignored.
|
||
|
|
"""
|
||
|
|
if isinstance(contract_or_record, str):
|
||
|
|
contract = self._make_stock_contract(contract_or_record)
|
||
|
|
queued_record = {"symbol": contract_or_record, "security_type": "STK"}
|
||
|
|
instrument_key = self._contract_key(contract)
|
||
|
|
else:
|
||
|
|
contract = self._make_contract_from_record(contract_or_record)
|
||
|
|
queued_record = dict(contract_or_record)
|
||
|
|
instrument_key = self._contract_key(contract)
|
||
|
|
if instrument_key in self._requested_symbols:
|
||
|
|
return
|
||
|
|
# if not connected yet, queue the subscription
|
||
|
|
if not self._connected_event.is_set():
|
||
|
|
logging.info("Not connected yet; queuing subscription for %s", instrument_key)
|
||
|
|
self._pending_subscriptions[instrument_key] = queued_record
|
||
|
|
# ensure we start connection
|
||
|
|
try:
|
||
|
|
self.connect_and_start()
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to start connection while queuing subscription")
|
||
|
|
return
|
||
|
|
|
||
|
|
req_id = self._new_req_id()
|
||
|
|
self._req_map[req_id] = instrument_key
|
||
|
|
# prefer delayed data when live market data is not available
|
||
|
|
try:
|
||
|
|
self.reqMarketDataType(3)
|
||
|
|
self.reqMktData(req_id, contract, "", False, False, [])
|
||
|
|
self._requested_symbols.add(instrument_key)
|
||
|
|
logging.info("Subscribed to market data for %s (req=%s)", instrument_key, req_id)
|
||
|
|
except Exception as e:
|
||
|
|
logging.exception("Failed to subscribe to %s: %s", instrument_key, e)
|
||
|
|
|
||
|
|
def request_positions(self) -> None:
|
||
|
|
"""Ask the IB API to send current positions (triggers updatePortfolio callbacks)."""
|
||
|
|
if not self._connected_event.is_set():
|
||
|
|
logging.info("Not connected yet; will request positions only if connection parameters are valid")
|
||
|
|
# validate host/port before trying to connect
|
||
|
|
if not isinstance(self.host, str) or not isinstance(self.port, int):
|
||
|
|
logging.error("Invalid connection parameters: host=%r port=%r", self.host, self.port)
|
||
|
|
return
|
||
|
|
try:
|
||
|
|
self.connect_and_start()
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to start connection for positions request")
|
||
|
|
# schedule a delayed reqPositions after connection is established
|
||
|
|
def _delayed():
|
||
|
|
if self._connected_event.wait(5):
|
||
|
|
try:
|
||
|
|
self.reqPositions()
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to request positions after connect")
|
||
|
|
threading.Thread(target=_delayed, daemon=True).start()
|
||
|
|
return
|
||
|
|
|
||
|
|
try:
|
||
|
|
self.reqPositions()
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to request positions")
|
||
|
|
|
||
|
|
def request_account_updates(self, account: str) -> None:
|
||
|
|
"""Subscribe to portfolio/account updates for a specific account."""
|
||
|
|
if not account or account in self._requested_accounts:
|
||
|
|
return
|
||
|
|
if not self._connected_event.is_set():
|
||
|
|
try:
|
||
|
|
self.connect_and_start()
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to start connection for account updates")
|
||
|
|
return
|
||
|
|
try:
|
||
|
|
self.reqAccountUpdates(True, account)
|
||
|
|
self._requested_accounts.add(account)
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to request account updates for %s", account)
|
||
|
|
|
||
|
|
def request_executions(self, start_time: str | None = None) -> None:
|
||
|
|
"""Request executions from IB (will trigger execDetails callbacks).
|
||
|
|
|
||
|
|
Uses an empty ExecutionFilter to fetch recent executions. The results
|
||
|
|
arrive via `execDetails` callbacks.
|
||
|
|
"""
|
||
|
|
try:
|
||
|
|
# import here to avoid module-level dependency issues
|
||
|
|
from ibapi.execution import ExecutionFilter
|
||
|
|
filt = ExecutionFilter()
|
||
|
|
if start_time:
|
||
|
|
filt.time = start_time
|
||
|
|
rid = self._new_req_id()
|
||
|
|
self.reqExecutions(rid, filt)
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to request executions")
|
||
|
|
|
||
|
|
def historicalData(self, reqId, bar):
|
||
|
|
try:
|
||
|
|
instrument_key = self._historical_req_map.get(reqId)
|
||
|
|
if not instrument_key:
|
||
|
|
return
|
||
|
|
close = getattr(bar, "close", None)
|
||
|
|
if close not in (None, -1):
|
||
|
|
self.historical_closes[instrument_key] = float(close)
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to process historical data")
|
||
|
|
|
||
|
|
def historicalDataEnd(self, reqId, start, end):
|
||
|
|
self._historical_req_map.pop(reqId, None)
|
||
|
|
|
||
|
|
def request_historical_close(self, contract_or_record) -> None:
|
||
|
|
if isinstance(contract_or_record, str):
|
||
|
|
contract = self._make_stock_contract(contract_or_record)
|
||
|
|
else:
|
||
|
|
contract = self._make_contract_from_record(contract_or_record)
|
||
|
|
instrument_key = self._contract_key(contract)
|
||
|
|
if not instrument_key or instrument_key in self._requested_historical:
|
||
|
|
return
|
||
|
|
if not self._connected_event.is_set():
|
||
|
|
try:
|
||
|
|
self.connect_and_start()
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to start connection for historical close")
|
||
|
|
return
|
||
|
|
try:
|
||
|
|
req_id = self._new_req_id()
|
||
|
|
self._historical_req_map[req_id] = instrument_key
|
||
|
|
self._requested_historical.add(instrument_key)
|
||
|
|
self.reqHistoricalData(req_id, contract, "", "2 D", "1 day", "TRADES", 0, 1, False, [])
|
||
|
|
except Exception:
|
||
|
|
logging.exception("Failed to request historical close for %s", instrument_key)
|
||
|
|
|
||
|
|
def get_quotes(self):
|
||
|
|
return dict(self.quotes)
|
||
|
|
|
||
|
|
def get_positions(self):
|
||
|
|
return list(self.positions)
|
||
|
|
|
||
|
|
def compute_open_lots(self, include_position_fallback: bool = False):
|
||
|
|
"""Compute open lots using FIFO matching from recorded executions.
|
||
|
|
|
||
|
|
Returns a list of lots with: symbol, qty, cost_basis, avg_price, market_price,
|
||
|
|
market_value, gain_dollars, gain_percent, cagr_percent, buy_time
|
||
|
|
"""
|
||
|
|
# group executions by symbol
|
||
|
|
from collections import defaultdict
|
||
|
|
from datetime import datetime
|
||
|
|
|
||
|
|
by_symbol = defaultdict(list)
|
||
|
|
for e in self.executions:
|
||
|
|
by_symbol[e["instrument_key"]].append(e)
|
||
|
|
|
||
|
|
# include symbols from positions as well so we can fallback
|
||
|
|
position_symbols = set()
|
||
|
|
position_by_symbol = {}
|
||
|
|
for p in self.positions:
|
||
|
|
instrument_key = p.get("instrument_key")
|
||
|
|
if not instrument_key:
|
||
|
|
continue
|
||
|
|
position_symbols.add(instrument_key)
|
||
|
|
if instrument_key not in position_by_symbol:
|
||
|
|
position_by_symbol[instrument_key] = p
|
||
|
|
|
||
|
|
lots = []
|
||
|
|
all_symbols = set(by_symbol.keys()) | position_symbols
|
||
|
|
for instrument_key in all_symbols:
|
||
|
|
execs = by_symbol.get(instrument_key, [])
|
||
|
|
position = position_by_symbol.get(instrument_key) or {}
|
||
|
|
meta = execs[0] if execs else position
|
||
|
|
# sort by time if available, else keep order
|
||
|
|
def _time_key(x):
|
||
|
|
t = x.get("time")
|
||
|
|
if not t:
|
||
|
|
return 0
|
||
|
|
# try parsing common formats
|
||
|
|
for fmt in ("%Y%m%d %H:%M:%S", "%Y%m%d %H:%M:%S", "%Y%m%d-%H:%M:%S"):
|
||
|
|
try:
|
||
|
|
return datetime.strptime(t, fmt).timestamp()
|
||
|
|
except Exception:
|
||
|
|
continue
|
||
|
|
try:
|
||
|
|
return float(t)
|
||
|
|
except Exception:
|
||
|
|
return 0
|
||
|
|
|
||
|
|
execs_sorted = sorted(execs, key=_time_key) if execs else []
|
||
|
|
# build open lots using FIFO for both long and short positions
|
||
|
|
open_longs = []
|
||
|
|
open_shorts = []
|
||
|
|
for e in execs_sorted:
|
||
|
|
side = (e.get("side") or "").upper()
|
||
|
|
shares = abs(float(e.get("shares", 0) or 0))
|
||
|
|
price = float(e.get("price", 0.0) or 0.0)
|
||
|
|
time_str = e.get("time")
|
||
|
|
if side == "BOT" or side == "BUY":
|
||
|
|
qty_to_buy = shares
|
||
|
|
while qty_to_buy > 0 and open_shorts:
|
||
|
|
s = open_shorts[0]
|
||
|
|
matched = min(qty_to_buy, abs(s["qty"]))
|
||
|
|
s["qty"] += matched
|
||
|
|
qty_to_buy -= matched
|
||
|
|
if abs(s["qty"]) < 1e-9:
|
||
|
|
open_shorts.pop(0)
|
||
|
|
if qty_to_buy > 0:
|
||
|
|
open_longs.append({"qty": qty_to_buy, "price": price, "time": time_str})
|
||
|
|
else:
|
||
|
|
qty_to_sell = shares
|
||
|
|
while qty_to_sell > 0 and open_longs:
|
||
|
|
b = open_longs[0]
|
||
|
|
matched = min(qty_to_sell, b["qty"])
|
||
|
|
b["qty"] -= matched
|
||
|
|
qty_to_sell -= matched
|
||
|
|
if b["qty"] < 1e-9:
|
||
|
|
open_longs.pop(0)
|
||
|
|
if qty_to_sell > 0:
|
||
|
|
open_shorts.append({"qty": -qty_to_sell, "price": price, "time": time_str})
|
||
|
|
|
||
|
|
# remaining buys are open lots
|
||
|
|
# ensure market data available for symbol
|
||
|
|
if instrument_key not in self.quotes:
|
||
|
|
try:
|
||
|
|
self.subscribe_market_data(meta)
|
||
|
|
except Exception:
|
||
|
|
pass
|
||
|
|
market_price = None
|
||
|
|
q = self.quotes.get(instrument_key)
|
||
|
|
if q:
|
||
|
|
market_price = q.get("last")
|
||
|
|
if market_price is None:
|
||
|
|
market_price = q.get("close")
|
||
|
|
if market_price is None:
|
||
|
|
market_price = q.get("mark")
|
||
|
|
if market_price is None:
|
||
|
|
market_price = self.historical_closes.get(instrument_key)
|
||
|
|
if market_price is None:
|
||
|
|
market_price = position.get("marketPrice")
|
||
|
|
|
||
|
|
try:
|
||
|
|
position_qty = float(position.get("position") or 0.0)
|
||
|
|
except Exception:
|
||
|
|
position_qty = 0.0
|
||
|
|
try:
|
||
|
|
position_market_value = float(position.get("marketValue")) if position.get("marketValue") is not None else None
|
||
|
|
except Exception:
|
||
|
|
position_market_value = None
|
||
|
|
|
||
|
|
known_market_value_remaining = position_market_value
|
||
|
|
first_exec_time = execs_sorted[0].get("time") if execs_sorted else None
|
||
|
|
price_multiplier = self._price_multiplier(meta or position)
|
||
|
|
|
||
|
|
if execs_sorted:
|
||
|
|
open_lots = open_longs + open_shorts
|
||
|
|
for b in open_lots:
|
||
|
|
qty = float(b["qty"])
|
||
|
|
avg_price = float(b["price"]) * price_multiplier
|
||
|
|
cost_basis = qty * avg_price
|
||
|
|
effective_market_price = None if market_price is None else market_price * price_multiplier
|
||
|
|
market_value = None if effective_market_price is None else qty * effective_market_price
|
||
|
|
if market_value is None and known_market_value_remaining is not None and position_qty:
|
||
|
|
market_value = known_market_value_remaining * (qty / position_qty)
|
||
|
|
if known_market_value_remaining is not None and market_value is not None:
|
||
|
|
known_market_value_remaining -= market_value
|
||
|
|
gain_dollars = None if market_value is None else market_value - cost_basis
|
||
|
|
gain_percent = None
|
||
|
|
cagr_percent = None
|
||
|
|
base_cost = abs(cost_basis)
|
||
|
|
if base_cost and market_value is not None:
|
||
|
|
try:
|
||
|
|
gain_percent = (gain_dollars / base_cost) * 100
|
||
|
|
except Exception:
|
||
|
|
gain_percent = None
|
||
|
|
# estimate CAGR using buy time if available
|
||
|
|
buy_time = b.get("time")
|
||
|
|
if buy_time and market_value is not None and base_cost > 0:
|
||
|
|
try:
|
||
|
|
# parse time similar to above
|
||
|
|
for fmt in ("%Y%m%d %H:%M:%S", "%Y%m%d %H:%M:%S", "%Y%m%d-%H:%M:%S"):
|
||
|
|
try:
|
||
|
|
dt = datetime.strptime(buy_time, fmt)
|
||
|
|
break
|
||
|
|
except Exception:
|
||
|
|
dt = None
|
||
|
|
if dt is None:
|
||
|
|
# try numeric timestamp
|
||
|
|
try:
|
||
|
|
dt = datetime.fromtimestamp(float(buy_time))
|
||
|
|
except Exception:
|
||
|
|
dt = None
|
||
|
|
if dt is not None:
|
||
|
|
years = max((datetime.utcnow() - dt).days / 365.0, 1e-6)
|
||
|
|
try:
|
||
|
|
ending_value = base_cost + gain_dollars
|
||
|
|
if ending_value > 0:
|
||
|
|
cagr = (ending_value / base_cost) ** (1.0 / years) - 1.0
|
||
|
|
cagr_percent = cagr * 100.0
|
||
|
|
else:
|
||
|
|
cagr_percent = None
|
||
|
|
except Exception:
|
||
|
|
cagr_percent = None
|
||
|
|
except Exception:
|
||
|
|
cagr_percent = None
|
||
|
|
|
||
|
|
lots.append({
|
||
|
|
"symbol": meta.get("symbol"),
|
||
|
|
"display_symbol": meta.get("display_symbol") or self._format_display_symbol(meta),
|
||
|
|
"security_type": meta.get("security_type"),
|
||
|
|
"underlying_symbol": meta.get("underlying_symbol"),
|
||
|
|
"expiry": meta.get("expiry"),
|
||
|
|
"strike": meta.get("strike"),
|
||
|
|
"option_type": meta.get("option_type"),
|
||
|
|
"instrument_key": instrument_key,
|
||
|
|
"qty": qty,
|
||
|
|
"avg_price": avg_price,
|
||
|
|
"cost_basis": cost_basis,
|
||
|
|
"market_price": effective_market_price,
|
||
|
|
"market_value": market_value,
|
||
|
|
"gain_dollars": gain_dollars,
|
||
|
|
"gain_percent": gain_percent,
|
||
|
|
"cagr_percent": cagr_percent,
|
||
|
|
"buy_time": buy_time,
|
||
|
|
})
|
||
|
|
elif include_position_fallback:
|
||
|
|
# fallback: use positions data to create a single lot per symbol
|
||
|
|
for p in self.positions:
|
||
|
|
if p.get("instrument_key") != instrument_key:
|
||
|
|
continue
|
||
|
|
qty = p.get("position") or 0
|
||
|
|
avg_price = p.get("averageCost") or p.get("average_cost") or 0.0
|
||
|
|
try:
|
||
|
|
qtyf = float(qty)
|
||
|
|
except Exception:
|
||
|
|
qtyf = 0.0
|
||
|
|
try:
|
||
|
|
avg_pricef = float(avg_price)
|
||
|
|
except Exception:
|
||
|
|
avg_pricef = 0.0
|
||
|
|
cost_basis = qtyf * avg_pricef
|
||
|
|
effective_market_price = None if market_price is None else market_price * self._price_multiplier(p)
|
||
|
|
if effective_market_price is not None:
|
||
|
|
market_value = qtyf * effective_market_price
|
||
|
|
else:
|
||
|
|
market_value = position_market_value
|
||
|
|
gain_dollars = None if market_value is None else market_value - cost_basis
|
||
|
|
gain_percent = None
|
||
|
|
base_cost = abs(cost_basis)
|
||
|
|
if base_cost and market_value is not None:
|
||
|
|
try:
|
||
|
|
gain_percent = (gain_dollars / base_cost) * 100
|
||
|
|
except Exception:
|
||
|
|
gain_percent = None
|
||
|
|
lots.append({
|
||
|
|
"symbol": p.get("symbol"),
|
||
|
|
"display_symbol": p.get("display_symbol") or self._format_display_symbol(p),
|
||
|
|
"security_type": p.get("security_type"),
|
||
|
|
"underlying_symbol": p.get("underlying_symbol"),
|
||
|
|
"expiry": p.get("expiry"),
|
||
|
|
"strike": p.get("strike"),
|
||
|
|
"option_type": p.get("option_type"),
|
||
|
|
"instrument_key": instrument_key,
|
||
|
|
"qty": qtyf,
|
||
|
|
"avg_price": avg_pricef,
|
||
|
|
"cost_basis": cost_basis,
|
||
|
|
"market_price": effective_market_price,
|
||
|
|
"market_value": market_value,
|
||
|
|
"gain_dollars": gain_dollars,
|
||
|
|
"gain_percent": gain_percent,
|
||
|
|
"cagr_percent": None,
|
||
|
|
"buy_time": first_exec_time,
|
||
|
|
})
|
||
|
|
|
||
|
|
return lots
|