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

https://www.python.org/dev/peps/pep-3155/

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

https://www.python.org/dev/peps/pep-3155/

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.

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

https://www.python.org/dev/peps/pep-3155/

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.

Parameters :
  • data_type ( DataType ) – The data type for the subscription.

  • correlation_id ( UUID4 ) – The correlation ID for the response.

request_bars ( self , BarType bar_type , int limit , UUID4 correlation_id , datetime from_datetime=None , datetime to_datetime=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.

  • from_datetime ( datetime , optional ) – The specified from datetime for the data.

  • to_datetime ( 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.

Parameters :
  • venue ( Venue ) – The venue for the request.

  • correlation_id ( UUID4 ) – The correlation ID for the request.

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime from_datetime=None , datetime to_datetime=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.

  • from_datetime ( datetime , optional ) – The specified from datetime for the data.

  • to_datetime ( 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 from_datetime=None , datetime to_datetime=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.

  • from_datetime ( datetime , optional ) – The specified from datetime for the data.

  • to_datetime ( 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.

  • instrument_provider – 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 order status report 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 order status reports 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 trade reports 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 position status reports 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

https://www.python.org/dev/peps/pep-3155/

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 execution mass status 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 pass None 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_pending_cancel ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) void

Generate an OrderPendingCancel 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 pending cancel event occurred.

generate_order_pending_update ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) void

Generate an OrderPendingUpdate 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 pending update 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 : LiveLogger ) 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 ( LiveLogger ) – 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 : LiveLogger ) 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 ( LiveLogger ) – 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.

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 )

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 )

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 )

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.

property venue : Venue

Return the providers venue.

Returns :

Venue