Interactive Brokers ¶
Provides an API integration for Interactive Brokers.
Config ¶
- class InteractiveBrokersDataClientConfig ( handle_revised_bars : bool = False , instrument_provider : InstrumentProviderConfig = InstrumentProviderConfig(load_all=False, load_ids=None, filters=None, filter_callable=None, log_warnings=True) , routing : RoutingConfig = RoutingConfig(default=False, venues=None) , username : Optional [ str ] = None , password : Optional [ str ] = None , trading_mode : Literal [ 'paper' , 'live' ] = 'paper' , account_id : Optional [ str ] = None , gateway_host : str = '127.0.0.1' , gateway_port : Optional [ int ] = None , client_id : int = 1 , start_gateway : bool = True , read_only_api : bool = True ) ¶
-
Bases:
LiveDataClientConfig
Configuration for
InteractiveBrokersDataClient
instances.- Parameters :
-
-
username ( str , optional ) – The Interactive Brokers account username. If
None
then will source the TWS_USERNAME . -
password ( str , optional ) – The Interactive Brokers account password. If
None
then will source the TWS_PASSWORD . -
account_id ( str , optional ) – The Interactive Brokers account id. If
None
then will source the TWS_ACCOUNT . -
trading_mode ( str ) – paper or live.
-
account_id – The account_id to use for Nautilus.
-
gateway_host ( str , optional ) – The hostname for the gateway server.
-
gateway_port ( int , optional ) – The port for the gateway server.
-
client_id ( int , optional ) – The client_id to be passed into connect call.
-
start_gateway ( bool , optional ) – Start or not internal tws docker container.
-
read_only_api ( bool , optional , default True ) – Read only; no execution. Set read_only_api=False to allow executing live orders.
-
- dict ( ) dict [ str , Any ] ¶
-
Return a dictionary representation of the configuration.
- Returns :
-
dict[str, Any]
- classmethod fully_qualified_name ( ) str ¶
-
Return the fully qualified name for the NautilusConfig class.
- Returns :
-
str
References
- json ( ) bytes ¶
-
Return serialized JSON encoded bytes.
- Returns :
-
bytes
- classmethod parse ( raw : bytes ) Any ¶
-
Return a decoded object of the given cls .
- Parameters :
-
-
cls ( type ) – The type to decode to.
-
raw ( bytes ) – The raw bytes to decode.
-
- Returns :
-
Any
- validate ( ) bool ¶
-
Return whether the configuration can be represented as valid JSON.
- Returns :
-
bool
- class InteractiveBrokersExecClientConfig ( instrument_provider : InstrumentProviderConfig = InstrumentProviderConfig(load_all=False, load_ids=None, filters=None, filter_callable=None, log_warnings=True) , routing : RoutingConfig = RoutingConfig(default=False, venues=None) , username : Optional [ str ] = None , password : Optional [ str ] = None , account_id : Optional [ str ] = None , trading_mode : Literal [ 'paper' , 'live' ] = 'paper' , gateway_host : str = '127.0.0.1' , gateway_port : Optional [ int ] = None , client_id : int = 1 , start_gateway : bool = True , read_only_api : bool = True ) ¶
-
Bases:
LiveExecClientConfig
Configuration for
InteractiveBrokersExecClient
instances.- Parameters :
-
-
username ( str , optional ) – The Interactive Brokers account username. If
None
then will source the TWS_USERNAME . -
password ( str , optional ) – The Interactive Brokers account password. If
None
then will source the TWS_PASSWORD . -
account_id ( str , optional ) – The Interactive Brokers account ID. If
None
then will source the TWS_ACCOUNT . -
trading_mode ( str ) – paper or live.
-
account_id – The account_id to use for Nautilus.
-
gateway_host ( str , optional ) – The hostname for the gateway server.
-
gateway_port ( int , optional ) –
The port for the gateway server. client_id: int, optional
The client_id to be passed into connect call.
-
start_gateway ( bool , optional ) – Start or not internal tws docker container.
-
read_only_api ( bool , optional , default True ) – Read only; no execution. Set read_only_api=False to allow executing live orders.
-
- dict ( ) dict [ str , Any ] ¶
-
Return a dictionary representation of the configuration.
- Returns :
-
dict[str, Any]
- classmethod fully_qualified_name ( ) str ¶
-
Return the fully qualified name for the NautilusConfig class.
- Returns :
-
str
References
- json ( ) bytes ¶
-
Return serialized JSON encoded bytes.
- Returns :
-
bytes
- classmethod parse ( raw : bytes ) Any ¶
-
Return a decoded object of the given cls .
- Parameters :
-
-
cls ( type ) – The type to decode to.
-
raw ( bytes ) – The raw bytes to decode.
-
- Returns :
-
Any
- validate ( ) bool ¶
-
Return whether the configuration can be represented as valid JSON.
- Returns :
-
bool
Data ¶
- class InteractiveBrokersDataClient ( loop : AbstractEventLoop , client : IB , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , instrument_provider : InteractiveBrokersInstrumentProvider , handle_revised_bars : bool ) ¶
-
Bases:
LiveMarketDataClient
Provides a data client for the InteractiveBrokers exchange.
- Parameters :
-
-
loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
-
client ( IB ) – The ib_insync IB client.
-
msgbus ( MessageBus ) – The message bus for the client.
-
cache ( Cache ) – The cache for the client.
-
clock ( LiveClock ) – The clock for the client.
-
logger ( Logger ) – The logger for the client.
-
instrument_provider ( InteractiveBrokersInstrumentProvider ) – The instrument provider.
-
handle_revised_bars ( bool ) – If DataClient will emit bar updates as soon new bar opens.
-
- connect ( ) None ¶
-
Connect the client.
- create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) Task ¶
-
Run the given coroutine with error handling and optional callback actions when done.
- Parameters :
-
-
coro ( Coroutine ) – The coroutine to run.
-
log_msg ( str , optional ) – The log message for the task.
-
actions ( Callable , optional ) – The actions callback to run when the coroutine is done.
-
success ( str , optional ) – The log message to write on actions success.
-
- Returns :
-
asyncio.Task
- degrade ( self ) void ¶
-
Degrade the component.
While executing on_degrade() , any exception will be logged and reraised. The component will remain in a
DEGRADING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- disconnect ( ) None ¶
-
Disconnect the client.
- dispose ( self ) void ¶
-
Dispose of the component.
While executing on_dispose() , any exception will be logged and reraised. The component will remain in a
DISPOSING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- fault ( self ) void ¶
-
Fault the component.
This method is idempotent and irreversible. No other methods should be called after faulting.
While executing on_fault() , any exception will be logged and reraised. The component will remain in a
FAULTING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- classmethod fully_qualified_name ( type cls ) str ¶
-
Return the fully qualified name for the components class.
- Returns :
-
str
References
- id ¶
-
The components ID.
- Returns :
-
ComponentId
- is_connected ¶
-
If the client is connected.
- Returns :
-
bool
- is_degraded ¶
-
Return whether the current component state is
DEGRADED
.- Returns :
-
bool
- is_disposed ¶
-
Return whether the current component state is
DISPOSED
.- Returns :
-
bool
- is_faulted ¶
-
Return whether the current component state is
FAULTED
.- Returns :
-
bool
- is_initialized ¶
-
Return whether the component has been initialized (component.state >=
INITIALIZED
).- Returns :
-
bool
- is_running ¶
-
Return whether the current component state is
RUNNING
.- Returns :
-
bool
- is_stopped ¶
-
Return whether the current component state is
STOPPED
.- Returns :
-
bool
- request ( self , DataType data_type , UUID4 correlation_id ) void ¶
-
Request data for the given data type.
- request_bars ( self , BarType bar_type , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) void ¶
-
Request historical Bar data.
- Parameters :
-
-
bar_type ( BarType ) – The bar type for the request.
-
limit ( int ) – The limit for the number of returned bars.
-
correlation_id ( UUID4 ) – The correlation ID for the request.
-
start ( datetime , optional ) – The specified from datetime for the data.
-
end ( datetime , optional ) – The specified to datetime for the data. If
None
then will default to the current datetime.
-
- request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id ) void ¶
-
Request Instrument data for the given instrument ID.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID for the request.
-
correlation_id ( UUID4 ) – The correlation ID for the request.
-
- request_instruments ( self , Venue venue , UUID4 correlation_id ) void ¶
-
Request all Instrument data for the given venue.
- request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) void ¶
-
Request historical QuoteTick data.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The tick instrument ID for the request.
-
limit ( int ) – The limit for the number of returned ticks.
-
correlation_id ( UUID4 ) – The correlation ID for the request.
-
start ( datetime , optional ) – The specified from datetime for the data.
-
end ( datetime , optional ) – The specified to datetime for the data. If
None
then will default to the current datetime.
-
- request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) void ¶
-
Request historical TradeTick data.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The tick instrument ID for the request.
-
limit ( int ) – The limit for the number of returned ticks.
-
correlation_id ( UUID4 ) – The correlation ID for the request.
-
start ( datetime , optional ) – The specified from datetime for the data.
-
end ( datetime , optional ) – The specified to datetime for the data. If
None
then will default to the current datetime.
-
- reset ( self ) void ¶
-
Reset the component.
All stateful fields are reset to their initial value.
While executing on_reset() , any exception will be logged and reraised. The component will remain in a
RESETTING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- resume ( self ) void ¶
-
Resume the component.
While executing on_resume() , any exception will be logged and reraised. The component will remain in a
RESUMING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- async run_after_delay ( delay : float , coro : Coroutine ) None ¶
-
Run the given coroutine after a delay.
- Parameters :
-
-
delay ( float ) – The delay (seconds) before running the coroutine.
-
coro ( Coroutine ) – The coroutine to run after the initial delay.
-
- start ( self ) void ¶
-
Start the component.
While executing on_start() , any exception will be logged and reraised. The component will remain in a
STARTING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- state ¶
-
Return the components current state.
- Returns :
-
ComponentState
- stop ( self ) void ¶
-
Stop the component.
While executing on_stop() , any exception will be logged and reraised. The component will remain in a
STOPPING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- subscribe ( self , DataType data_type ) void ¶
-
Subscribe to data for the given data type.
- Parameters :
-
data_type ( DataType ) – The data type for the subscription.
- subscribe_bars ( self , BarType bar_type ) void ¶
-
Subscribe to Bar data for the given bar type.
- Parameters :
-
bar_type ( BarType ) – The bar type to subscribe to.
- subscribe_instrument ( self , InstrumentId instrument_id ) void ¶
-
Subscribe to the Instrument with the given instrument ID.
- subscribe_instrument_close ( self , InstrumentId instrument_id ) void ¶
-
Subscribe to InstrumentClose updates for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
- subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) void ¶
-
Subscribe to InstrumentStatusUpdates data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
- subscribe_instruments ( self ) void ¶
-
Subscribe to all Instrument data.
- subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) void ¶
-
Subscribe to OrderBookDeltas data for the given instrument ID.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The order book instrument to subscribe to.
-
book_type (BookType {
L1_TBBO
,L2_MBP
,L3_MBO
}) – The order book type. -
depth ( int , optional , default None ) – The maximum depth for the subscription.
-
kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.
-
- subscribe_order_book_snapshots ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) void ¶
-
Subscribe to OrderBookSnapshot data for the given instrument ID.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The order book instrument to subscribe to.
-
book_type (BookType {
L1_TBBO
,L2_MBP
,L3_MBO
}) – The order book level. -
depth ( int , optional ) – The maximum depth for the order book. A depth of 0 is maximum depth.
-
kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.
-
- subscribe_quote_ticks ( self , InstrumentId instrument_id ) void ¶
-
Subscribe to QuoteTick data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
- subscribe_ticker ( self , InstrumentId instrument_id ) void ¶
-
Subscribe to Ticker data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The ticker instrument to subscribe to.
- subscribe_trade_ticks ( self , InstrumentId instrument_id ) void ¶
-
Subscribe to TradeTick data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
- subscribe_venue_status_updates ( self , Venue venue ) void ¶
-
Subscribe to InstrumentStatusUpdate data for the venue.
- Parameters :
-
venue ( Venue ) – The venue to subscribe to.
- subscribed_bars ( self ) list ¶
-
Return the bar types subscribed to.
- Returns :
-
list[BarType]
- subscribed_generic_data ( self ) list ¶
-
Return the generic data types subscribed to.
- Returns :
-
list[DataType]
- subscribed_instrument_close ( self ) list ¶
-
Return the instrument closes subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_instrument_status_updates ( self ) list ¶
-
Return the status update instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_instruments ( self ) list ¶
-
Return the instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_order_book_deltas ( self ) list ¶
-
Return the order book delta instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_order_book_snapshots ( self ) list ¶
-
Return the order book snapshot instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_quote_ticks ( self ) list ¶
-
Return the quote tick instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_tickers ( self ) list ¶
-
Return the ticker instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_trade_ticks ( self ) list ¶
-
Return the trade tick instruments subscribed to.
- Returns :
-
list[InstrumentId]
- subscribed_venue_status_updates ( self ) list ¶
-
Return the status update instruments subscribed to.
- Returns :
-
list[InstrumentId]
- trader_id ¶
-
The trader ID associated with the component.
- Returns :
-
TraderId
- type ¶
-
The components type.
- Returns :
-
type
- unsubscribe ( self , DataType data_type ) void ¶
-
Unsubscribe from data for the given data type.
- Parameters :
-
data_type ( DataType ) – The data type for the subscription.
- unsubscribe_bars ( self , BarType bar_type ) void ¶
-
Unsubscribe from Bar data for the given bar type.
- Parameters :
-
bar_type ( BarType ) – The bar type to unsubscribe from.
- unsubscribe_instrument ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from Instrument data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The instrument to unsubscribe from.
- unsubscribe_instrument_close ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from InstrumentClose data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to unsubscribe from.
- unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from InstrumentStatusUpdate data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The instrument status updates to unsubscribe from.
- unsubscribe_instruments ( self ) void ¶
-
Unsubscribe from all Instrument data.
- unsubscribe_order_book_deltas ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from OrderBookDeltas data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The order book instrument to unsubscribe from.
- unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from OrderBookSnapshot data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The order book instrument to unsubscribe from.
- unsubscribe_quote_ticks ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from QuoteTick data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to unsubscribe from.
- unsubscribe_ticker ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from Ticker data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The ticker instrument to unsubscribe from.
- unsubscribe_trade_ticks ( self , InstrumentId instrument_id ) void ¶
-
Unsubscribe from TradeTick data for the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The tick instrument to unsubscribe from.
- unsubscribe_venue_status_updates ( self , Venue venue ) void ¶
-
Unsubscribe from InstrumentStatusUpdate data for the given venue.
- Parameters :
-
venue ( Venue ) – The venue to unsubscribe from.
- venue ¶
-
The clients venue ID (if not a routing client).
- Returns :
-
Venue or
None
Execution ¶
- class InteractiveBrokersExecutionClient ( loop : AbstractEventLoop , client : IB , account_id : AccountId , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , instrument_provider : InteractiveBrokersInstrumentProvider ) ¶
-
Bases:
LiveExecutionClient
Provides an execution client for Interactive Brokers TWS API.
- Parameters :
-
-
loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
-
client ( IB ) – The ib_insync IB client.
-
msgbus ( MessageBus ) – The message bus for the client.
-
cache ( Cache ) – The cache for the client.
-
clock ( LiveClock ) – The clock for the client.
-
logger ( Logger ) – The logger for the client.
-
instrument_provider ( InteractiveBrokersInstrumentProvider ) – The instrument provider.
-
- async generate_order_status_report ( instrument_id : InstrumentId , client_order_id : Optional [ ClientOrderId ] = None , venue_order_id : Optional [ VenueOrderId ] = None ) Optional [ OrderStatusReport ] ¶
-
Generate an OrderStatusReport for the given order identifier parameter(s).
If the order is not found, or an error occurs, then logs and returns
None
.- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID for the report.
-
client_order_id ( ClientOrderId , optional ) – The client order ID for the report.
-
venue_order_id ( VenueOrderId , optional ) – The venue order ID for the report.
-
- Returns :
-
OrderStatusReport or
None
- Raises :
-
ValueError – If both the client_order_id and venue_order_id are
None
.
- async generate_order_status_reports ( instrument_id : Optional [ InstrumentId ] = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None , open_only : bool = False ) list [ nautilus_trader.execution.reports.OrderStatusReport ] ¶
-
Generate a list of ` OrderStatusReport`s with optional query filters.
The returned list may be empty if no orders match the given parameters.
- Parameters :
-
-
instrument_id ( InstrumentId , optional ) – The instrument ID query filter.
-
start ( pd.Timestamp , optional ) – The start datetime query filter.
-
end ( pd.Timestamp , optional ) – The end datetime query filter.
-
open_only ( bool , default False ) – If the query is for open orders only.
-
- Returns :
-
list[OrderStatusReport]
- async generate_trade_reports ( instrument_id : Optional [ InstrumentId ] = None , venue_order_id : Optional [ VenueOrderId ] = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) list [ nautilus_trader.execution.reports.TradeReport ] ¶
-
Generate a list of ` TradeReport`s with optional query filters.
The returned list may be empty if no trades match the given parameters.
- Parameters :
-
-
instrument_id ( InstrumentId , optional ) – The instrument ID query filter.
-
venue_order_id ( VenueOrderId , optional ) – The venue order ID (assigned by the venue) query filter.
-
start ( pd.Timestamp , optional ) – The start datetime query filter.
-
end ( pd.Timestamp , optional ) – The end datetime query filter.
-
- Returns :
-
list[TradeReport]
- async generate_position_status_reports ( instrument_id : Optional [ InstrumentId ] = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) list [ nautilus_trader.execution.reports.PositionStatusReport ] ¶
-
Generate a list of ` PositionStatusReport`s with optional query filters.
The returned list may be empty if no positions match the given parameters.
- Parameters :
-
-
instrument_id ( InstrumentId , optional ) – The instrument ID query filter.
-
start ( pd.Timestamp , optional ) – The start datetime query filter.
-
end ( pd.Timestamp , optional ) – The end datetime query filter.
-
- Returns :
-
list[PositionStatusReport]
- submit_order ( self , SubmitOrder command ) void ¶
-
Submit the order contained in the given command for execution.
- Parameters :
-
command ( SubmitOrder ) – The command to execute.
- modify_order ( self , ModifyOrder command ) void ¶
-
Modify the order with parameters contained in the command.
- Parameters :
-
command ( ModifyOrder ) – The command to execute.
- cancel_order ( self , CancelOrder command ) void ¶
-
Cancel the order with the client order ID contained in the given command.
- Parameters :
-
command ( CancelOrder ) – The command to execute.
- account_id ¶
-
The clients account ID.
- Returns :
-
AccountId or
None
- account_type ¶
-
The clients account type.
- Returns :
-
AccountType
- base_currency ¶
-
The clients account base currency (None for multi-currency accounts).
- Returns :
-
Currency or
None
- cancel_all_orders ( self , CancelAllOrders command ) void ¶
-
Cancel all orders for the instrument ID contained in the given command.
- Parameters :
-
command ( CancelAllOrders ) – The command to execute.
- connect ( ) None ¶
-
Connect the client.
- create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) Task ¶
-
Run the given coroutine with error handling and optional callback actions when done.
- Parameters :
-
-
coro ( Coroutine ) – The coroutine to run.
-
log_msg ( str , optional ) – The log message for the task.
-
actions ( Callable , optional ) – The actions callback to run when the coroutine is done.
-
success ( str , optional ) – The log message to write on actions success.
-
- Returns :
-
asyncio.Task
- degrade ( self ) void ¶
-
Degrade the component.
While executing on_degrade() , any exception will be logged and reraised. The component will remain in a
DEGRADING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- disconnect ( ) None ¶
-
Disconnect the client.
- dispose ( self ) void ¶
-
Dispose of the component.
While executing on_dispose() , any exception will be logged and reraised. The component will remain in a
DISPOSING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- fault ( self ) void ¶
-
Fault the component.
This method is idempotent and irreversible. No other methods should be called after faulting.
While executing on_fault() , any exception will be logged and reraised. The component will remain in a
FAULTING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- classmethod fully_qualified_name ( type cls ) str ¶
-
Return the fully qualified name for the components class.
- Returns :
-
str
References
- generate_account_state ( self , list balances , list margins , bool reported , uint64_t ts_event , dict info=None ) void ¶
-
Generate an AccountState event and publish on the message bus.
- Parameters :
-
-
balances ( list [ AccountBalance ] ) – The account balances.
-
margins ( list [ MarginBalance ] ) – The margin balances.
-
reported ( bool ) – If the balances are reported directly from the exchange.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the account state event occurred.
-
info ( dict [ str , object ] ) – The additional implementation specific account information.
-
- async generate_mass_status ( lookback_mins : Optional [ int ] = None ) ExecutionMassStatus ¶
-
Generate an ExecutionMassStatus report.
- Parameters :
-
lookback_mins ( int , optional ) – The maximum lookback for querying closed orders, trades and positions.
- Returns :
-
ExecutionMassStatus
- generate_order_accepted ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) void ¶
-
Generate an OrderAccepted event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order accepted event occurred.
-
- generate_order_cancel_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , unicode reason , uint64_t ts_event ) void ¶
-
Generate an OrderCancelRejected event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
reason ( str ) – The order cancel rejected reason.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.
-
- generate_order_canceled ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) void ¶
-
Generate an OrderCanceled event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when order canceled event occurred.
-
- generate_order_expired ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) void ¶
-
Generate an OrderExpired event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order expired event occurred.
-
- generate_order_filled ( self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: Optional[PositionId], TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event ) void ¶
-
Generate an OrderFilled event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
trade_id ( TradeId ) – The trade ID.
-
venue_position_id (PositionId, optional with no default so
None
must be passed explicitly) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise passNone
and the execution engine OMS will handle position ID resolution. -
order_side (OrderSide {
BUY
,SELL
}) – The execution order side. -
order_type ( OrderType ) – The execution order type.
-
last_qty ( Quantity ) – The fill quantity for this execution.
-
last_px ( Price ) – The fill price for this execution (not average price).
-
quote_currency ( Currency ) – The currency of the price.
-
commission ( Money ) – The fill commission.
-
liquidity_side (LiquiditySide {
NO_LIQUIDITY_SIDE
,MAKER
,TAKER
}) – The execution liquidity side. -
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order filled event occurred.
-
- generate_order_modify_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , unicode reason , uint64_t ts_event ) void ¶
-
Generate an OrderModifyRejected event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
reason ( str ) – The order update rejected reason.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update rejection event occurred.
-
- generate_order_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , unicode reason , uint64_t ts_event ) void ¶
-
Generate an OrderRejected event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
reason ( datetime ) – The order rejected reason.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order rejected event occurred.
-
- generate_order_submitted ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , uint64_t ts_event ) void ¶
-
Generate an OrderSubmitted event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order submitted event occurred.
-
- generate_order_triggered ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) void ¶
-
Generate an OrderTriggered event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order triggered event occurred.
-
- generate_order_updated ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , Quantity quantity , Price price , Price trigger_price , uint64_t ts_event , bool venue_order_id_modified=False ) void ¶
-
Generate an OrderUpdated event and send it to the ExecutionEngine .
- Parameters :
-
-
strategy_id ( StrategyId ) – The strategy ID associated with the event.
-
instrument_id ( InstrumentId ) – The instrument ID.
-
client_order_id ( ClientOrderId ) – The client order ID.
-
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
-
quantity ( Quantity ) – The orders current quantity.
-
price ( Price ) – The orders current price.
-
trigger_price (Price, optional with no default so
None
must be passed explicitly) – The orders current trigger price. -
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update event occurred.
-
venue_order_id_modified ( bool ) – If the ID was modified for this event.
-
- get_account ( self ) Account ¶
-
Return the account for the client (if registered).
- Returns :
-
Account or
None
- id ¶
-
The components ID.
- Returns :
-
ComponentId
- is_connected ¶
-
If the client is connected.
- Returns :
-
bool
- is_degraded ¶
-
Return whether the current component state is
DEGRADED
.- Returns :
-
bool
- is_disposed ¶
-
Return whether the current component state is
DISPOSED
.- Returns :
-
bool
- is_faulted ¶
-
Return whether the current component state is
FAULTED
.- Returns :
-
bool
- is_initialized ¶
-
Return whether the component has been initialized (component.state >=
INITIALIZED
).- Returns :
-
bool
- is_running ¶
-
Return whether the current component state is
RUNNING
.- Returns :
-
bool
- is_stopped ¶
-
Return whether the current component state is
STOPPED
.- Returns :
-
bool
- oms_type ¶
-
The venues order management system type.
- Returns :
-
OmsType
- query_order ( self , QueryOrder command ) void ¶
-
Initiate a reconciliation for the queried order which will generate an OrderStatusReport .
- Parameters :
-
command ( QueryOrder ) – The command to execute.
- reset ( self ) void ¶
-
Reset the component.
All stateful fields are reset to their initial value.
While executing on_reset() , any exception will be logged and reraised. The component will remain in a
RESETTING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- resume ( self ) void ¶
-
Resume the component.
While executing on_resume() , any exception will be logged and reraised. The component will remain in a
RESUMING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- async run_after_delay ( delay : float , coro : Coroutine ) None ¶
-
Run the given coroutine after a delay.
- Parameters :
-
-
delay ( float ) – The delay (seconds) before running the coroutine.
-
coro ( Coroutine ) – The coroutine to run after the initial delay.
-
- start ( self ) void ¶
-
Start the component.
While executing on_start() , any exception will be logged and reraised. The component will remain in a
STARTING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- state ¶
-
Return the components current state.
- Returns :
-
ComponentState
- stop ( self ) void ¶
-
Stop the component.
While executing on_stop() , any exception will be logged and reraised. The component will remain in a
STOPPING
state.Warning
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
- submit_order_list ( self , SubmitOrderList command ) void ¶
-
Submit the order list contained in the given command for execution.
- Parameters :
-
command ( SubmitOrderList ) – The command to execute.
- trader_id ¶
-
The trader ID associated with the component.
- Returns :
-
TraderId
- type ¶
-
The components type.
- Returns :
-
type
- venue ¶
-
The clients venue ID (if not a routing client).
- Returns :
-
Venue or
None
Factories ¶
- get_cached_ib_client ( username : str , password : str , host : str = '127.0.0.1' , port : Optional [ int ] = None , trading_mode : Literal [ 'paper' , 'live' ] = 'paper' , connect : bool = True , timeout : int = 300 , client_id : int = 1 , start_gateway : bool = True , read_only_api : bool = True ) IB ¶
-
Cache and return a InteractiveBrokers HTTP client with the given key and secret.
If a cached client with matching key and secret already exists, then that cached client will be returned.
- Parameters :
-
-
username ( str ) – Interactive Brokers account username
-
password ( str ) – Interactive Brokers account password
-
trading_mode ( str ) – paper or live
-
host ( str , optional ) – The IB host to connect to
-
port ( int , optional ) – The IB port to connect to
-
connect ( bool , optional ) – Whether to connect to IB.
-
timeout ( int , optional ) – The timeout for trying to establish a connection
-
client_id ( int , optional ) – The client_id to connect with
-
start_gateway ( bool ) – Start the IB Gateway docker container
-
read_only_api ( bool ) – Set read-only (no execution) when starting the gateway.
-
- Returns :
-
ib_insync.IB
- get_cached_interactive_brokers_instrument_provider ( client : IB , config : InstrumentProviderConfig , logger : Logger ) InteractiveBrokersInstrumentProvider ¶
-
Cache and return a InteractiveBrokersInstrumentProvider.
If a cached provider already exists, then that cached provider will be returned.
- Parameters :
-
-
client ( InteractiveBrokersHttpClient ) – The client for the instrument provider.
-
config ( InstrumentProviderConfig ) – The instrument provider config
-
logger ( Logger ) – The logger for the instrument provider.
-
- Returns :
-
InteractiveBrokersInstrumentProvider
- class InteractiveBrokersLiveDataClientFactory ¶
-
Bases:
LiveDataClientFactory
Provides a InteractiveBrokers live data client factory.
- static create ( loop : AbstractEventLoop , name : str , config : InteractiveBrokersDataClientConfig , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger ) InteractiveBrokersDataClient ¶
-
Create a new InteractiveBrokers data client.
- Parameters :
-
-
loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
-
name ( str ) – The client name.
-
config ( dict ) – The configuration dictionary.
-
msgbus ( MessageBus ) – The message bus for the client.
-
cache ( Cache ) – The cache for the client.
-
clock ( LiveClock ) – The clock for the client.
-
logger ( Logger ) – The logger for the client.
-
- Returns :
-
InteractiveBrokersDataClient
- class InteractiveBrokersLiveExecClientFactory ¶
-
Bases:
LiveExecClientFactory
Provides a InteractiveBrokers live execution client factory.
- static create ( loop : AbstractEventLoop , name : str , config : InteractiveBrokersExecClientConfig , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger ) InteractiveBrokersExecutionClient ¶
-
Create a new InteractiveBrokers execution client.
- Parameters :
-
-
loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
-
name ( str ) – The client name.
-
config ( dict [ str , object ] ) – The configuration for the client.
-
msgbus ( MessageBus ) – The message bus for the client.
-
cache ( Cache ) – The cache for the client.
-
clock ( LiveClock ) – The clock for the client.
-
logger ( Logger ) – The logger for the client.
-
- Returns :
-
InteractiveBrokersSpotExecutionClient
Providers ¶
- class InteractiveBrokersInstrumentProvider ( client : IB , config : InstrumentProviderConfig , logger : Logger , host : str = '127.0.0.1' , port : int = 7497 , client_id : int = 1 ) ¶
-
Bases:
InstrumentProvider
Provides a means of loading Instrument objects through Interactive Brokers.
- Parameters :
-
-
client ( ib_insync.IB ) – The Interactive Brokers client.
-
config ( InstrumentProviderConfig ) – The instrument provider config
-
logger ( Logger ) – The logger for the instrument provider.
-
host ( str ) – The client host name or IP address.
-
port ( str ) – The client port number.
-
client_id ( int ) – The unique client ID number for the connection.
-
- async load_all_async ( filters : Optional [ dict ] = None ) None ¶
-
Load the latest instruments into the provider asynchronously, optionally applying the given filters.
- async load_ids_async ( instrument_ids : list [ nautilus_trader.model.identifiers.InstrumentId ] , filters : Optional [ dict ] = None ) None ¶
-
Load the instruments for the given IDs into the provider, optionally applying the given filters.
- Parameters :
-
-
instrument_ids ( list [ InstrumentId ] ) – The instrument IDs to load.
-
filters ( dict , optional ) – The venue specific instrument loading filters to apply.
-
- Raises :
-
ValueError – If any instrument_id.venue is not equal to self.venue .
- async load ( build_options_chain = False , option_kwargs = None , ** kwargs ) None ¶
-
Search and load the instrument for the given symbol, exchange and (optional) kwargs.
- Parameters :
-
-
build_options_chain ( bool , default False ) – Search for full option chain.
-
option_kwargs ( str , default False ) – JSON string for options filtering, available fields: min_expiry, max_expiry, min_strike, max_strike, kind.
-
kwargs ( ** kwargs) –
- Optional extra kwargs to search for, examples:
-
secType, conId, symbol, lastTradeDateOrContractMonth, strike, right, multiplier, exchange, primaryExchange, currency, localSymbol, tradingClass, includeExpired, secIdType, secId, comboLegsDescrip, comboLegs, deltaNeutralContract.
-
- add ( instrument : Instrument ) None ¶
-
Add the given instrument to the provider.
- Parameters :
-
instrument ( Instrument ) – The instrument to add.
- add_bulk ( instruments : list [ nautilus_trader.model.instruments.base.Instrument ] ) None ¶
-
Add the given instruments bulk to the provider.
- Parameters :
-
instruments ( list [ Instrument ] ) – The instruments to add.
- add_currency ( currency : Currency ) None ¶
-
Add the given currency to the provider.
- Parameters :
-
currency ( Currency ) – The currency to add.
- property count : int ¶
-
Return the count of instruments held by the provider.
- Returns :
-
int
- currencies ( ) dict [ str , nautilus_trader.model.currency.Currency ] ¶
-
Return all currencies held by the instrument provider.
- Returns :
-
dict[str, Currency]
- currency ( code : str ) Optional [ Currency ] ¶
-
Return the currency with the given code (if found).
- Parameters :
-
code ( str ) – The currency code.
- Returns :
-
Currency or
None
- Raises :
-
ValueError – If code is not a valid string.
- find ( instrument_id : InstrumentId ) Optional [ Instrument ] ¶
-
Return the instrument for the given instrument ID (if found).
- Parameters :
-
instrument_id ( InstrumentId ) – The ID for the instrument
- Returns :
-
Instrument or
None
- get_all ( ) dict [ nautilus_trader.model.identifiers.InstrumentId , nautilus_trader.model.instruments.base.Instrument ] ¶
-
Return all loaded instruments as a map keyed by instrument ID.
If no instruments loaded, will return an empty dict.
- Returns :
-
dict[InstrumentId, Instrument]
- async initialize ( ) None ¶
-
Initialize the instrument provider.
If initialize() then will immediately return.
- list_all ( ) list [ nautilus_trader.model.instruments.base.Instrument ] ¶
-
Return all loaded instruments.
- Returns :
-
list[Instrument]
- load_all ( filters : Optional [ dict ] = None ) None ¶
-
Load the latest instruments into the provider, optionally applying the given filters.
- Parameters :
-
filters ( dict , optional ) – The venue specific instrument loading filters to apply.
- async load_async ( instrument_id : InstrumentId , filters : Optional [ dict ] = None ) None ¶
-
Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID to load.
-
filters ( dict , optional ) – The venue specific instrument loading filters to apply.
-
- Raises :
-
ValueError – If instrument_id.venue is not equal to self.venue .
- load_ids ( instrument_ids : list [ nautilus_trader.model.identifiers.InstrumentId ] , filters : Optional [ dict ] = None ) None ¶
-
Load the instruments for the given IDs into the provider, optionally applying the given filters.
- Parameters :
-
-
instrument_ids ( list [ InstrumentId ] ) – The instrument IDs to load.
-
filters ( dict , optional ) – The venue specific instrument loading filters to apply.
-