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IB utli to create orders
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class Utils(object): | |
months=['','F','G','H','J','K','M','N','Q','U','V','X','Z'] | |
@staticmethod | |
def localsymbol (expiry,right,strike): | |
exp = Utils.months[1+ int(expiry)/100%100 ] | |
s= strike*1000 | |
sym="ON%s2 %s%s" %(exp,right,str(s)[:-2]) | |
return sym | |
@staticmethod | |
def makeOptContract(sym, exp, right, strike,mult=1000,**kwargs): | |
newOptContract = Contract() | |
newOptContract.m_symbol = sym | |
newOptContract.m_secType = 'FOP' | |
newOptContract.m_right = right | |
newOptContract.m_expiry = exp | |
newOptContract.m_strike = float(strike) | |
if kwargs.has_key("exchange"): | |
newOptContract.m_exchange = kwargs["exchange"] | |
else: | |
newOptContract.m_exchange = 'NYMEX' | |
newOptContract.m_currency = 'USD' | |
if kwargs.has_key("mult"): | |
newOptContract.m_multiplier = kwargs["mult"] | |
if kwargs.has_key("localsymbol"): | |
newOptContract.m_localSymbol = kwargs["localsymbol"] #'ONU2 C2700' | |
return newOptContract | |
@staticmethod | |
def makeContract(sym, exchange,sectype,exp=None): | |
newContract = Contract() | |
newContract.m_symbol = sym | |
newContract.m_secType = sectype | |
newContract.m_expiry = exp | |
newContract.m_exchange = exchange | |
newContract.m_currency = 'USD' | |
return newContract | |
@staticmethod | |
def makeOptOrder(action, oID, tif, orderType,price,qty): | |
newOptOrder = Order() | |
newOptOrder.m_orderId = oID | |
newOptOrder.m_clientId = 0 | |
newOptOrder.m_permid = 0 | |
newOptOrder.m_action = action | |
newOptOrder.m_lmtPrice = price | |
newOptOrder.m_auxPrice = 0 | |
newOptOrder.m_tif = tif | |
newOptOrder.m_transmit = True | |
newOptOrder.m_orderType = orderType | |
#newOptOrder.m_goodTillDate= '20120702 08:27:22' | |
#newOptOrder.m_ocaType = 0 | |
#newOptOrder.m_ocaGroup = "nernygrp" | |
newOptOrder.m_totalQuantity = qty | |
#newOptOrder.m_hidden= True | |
return newOptOrder | |
@staticmethod | |
def createBag( conidOne, conidTwo, symbol, exchange='NYMEX'): | |
leg1 = ComboLeg() | |
leg2 = ComboLeg() | |
addAllLegs = [] | |
print "conid in bag %s" % (conidOne) | |
leg1.m_conId = conidOne | |
leg1.m_ratio = 1 | |
leg1.m_action = "BUY" | |
leg1.m_exchange = exchange | |
leg1.m_openClose = 0 | |
leg1.m_shortSaleSlot = 0 | |
leg1.m_designatedLocation = "" | |
leg2.m_conId = conidTwo | |
leg2.m_ratio = 1 | |
leg2.m_action = "SELL" | |
leg2.m_exchange = exchange | |
leg2.m_openClose = 0 | |
leg2.m_shortSaleSlot = 0 | |
leg2.m_designatedLocation = "" | |
addAllLegs.append(leg1) | |
addAllLegs.append(leg2) | |
contract = Contract() | |
contract.m_symbol = "USD" # For combo order use ?USD? as the symbol value all the time | |
contract.m_secType = "BAG" # BAG is the security type for COMBO order | |
contract.m_exchange = exchange | |
contract.m_currency = "USD" | |
contract.m_comboLegs = addAllLegs #including combo order in contract object | |
contract.m_symbol = symbol | |
return contract | |
@staticmethod | |
def createBracketOrder(origOrder, oID, tif, orderType,price): | |
#cc = copy.copy(origContract) | |
bracketoptOrder = Utils.makeOptOrder( Side.flipside(origOrder.m_action), oID, tif, orderType,price,origOrder.m_totalQuantity) | |
bracketoptOrder.m_parentId = origOrder.m_orderId | |
return bracketoptOrder | |
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