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a Pythonic Client for Interactive Brokers API

Project description

ezIBpy: Pythonic Wrapper for IbPy

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ezIBpy is a Pythonic wrapper for the IbPy library by @blampe, that was developed to speed up the development of trading software that relies on Interactive Brokers for market data and order execution.

Changelog »


Version 1.12.67 now supports multiple/FA accounts!

  • Option to specify IB account upon connect. Alternatively, you can…

  • Get info using getAccount('DUXXXXXX'), getPositions('DUXXXXXX'), getPortfolio('DUXXXXXX'), or getOrders('DUXXXXXX')

  • Submit order to a specific account by specifing account=DUXXXXXX in createOrder(), placeOrder(), createBracketOrder(), createTrailingStopOrder(), createStopOrder(), and createTargetOrder() methods


NOTE

Starting with release 9.73, Interactive Brokers is officially supporting a new Python 3 API client. Although this is great news, I don’t see ezIBpy becoming obsolete anytime soon since IB’s API isn’t Pythonic or or abstracted enough IMO. I do have plans to drop IbPy in favor of IB’s official Python API, although I don’t have a timetable for this transision.

If you’re a developer and interested in helping converting ezIBpy to work with IB’s Python API - please let me know :)


Code Examples

* Make sure you have the latest version of Interactive Brokers’ TWS or IB Gateway installed and running on the machine.

Market Data

*** YOU MUST HAVE ACTIVE MARKET DATA SUBSCRIPTION TO USE THESE METHODS ***

Order Execution

Other Stuff

Request Market Data:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()

# connect to IB (7496/7497 = TWS, 4001 = IBGateway)
ibConn.connect(clientId=100, host="localhost", port=4001)

# create some contracts using dedicated methods
stk_contract = ibConn.createStockContract("AAPL")
fut_contract = ibConn.createFuturesContract("ES", expiry="201606")
csh_contract = ibConn.createCashContract("EUR", currency="USD")
opt_contract = ibConn.createOptionContract("AAPL", expiry="20160425", strike=105.0, otype="PUT")

# ...or using a contract tuple
oil_contract = ibConn.createContract(("CL", "FUT", "NYMEX", "USD", "201606", 0.0, ""))

# request market data for all created contracts
ibConn.requestMarketData()

# wait 30 seconds
time.sleep(30)

# cancel market data request & disconnect
ibConn.cancelMarketData()
ibConn.disconnect()

Request Market Depth:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create a contract & request market depth
contract = ibConn.createCashContract("EUR", currency="USD")
ibConn.requestMarketDepth()

# wait 30 seconds
time.sleep(30)

# cancel market data request & disconnect
ibConn.cancelMarketData()
ibConn.disconnect()

Request Historical Data:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create a contract
contract = ibConn.createStockContract("AAPL")

# request 30 days of 1 minute data and save it to ~/Desktop
ibConn.requestHistoricalData(resolution="1 min", lookback="2 D", csv_path='~/Desktop/')

# wait until stopped using Ctrl-c
try:
    while True:
        time.sleep(1)

except (KeyboardInterrupt, SystemExit):
    # cancel request & disconnect
    ibConn.cancelHistoricalData()
    ibConn.disconnect()

Submit an Order:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create a contract
contract = ibConn.createFuturesContract("ES", exchange="GLOBEX", expiry="201609")

# create an order
order = ibConn.createOrder(quantity=1) # use price=X for LMT orders

# submit an order (returns order id)
orderId = ibConn.placeOrder(contract, order)

# to submit an order to a specific account (ie DUXXXXXX), use:
# orderId = ibConn.placeOrder(contract, order, account="DUXXXXXX")

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# disconnect
ibConn.disconnect()

Submit a Bracket Order:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create a contract
contract = ibConn.createFuturesContract("ES", exchange="GLOBEX", expiry="201609")

# submit a bracket order (entry=0 = MKT order)
order = ibConn.createBracketOrder(contract, quantity=1, entry=0, target=2200., stop=1900.)

# to submit bracket order to a specific account (ie DUXXXXXX), use:
# order = ibConn.createBracketOrder(contract, quantity=1, entry=0, target=2200., stop=1900., account="DUXXXXXX")

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# disconnect
ibConn.disconnect()

Submit a Bracket Order & Move Stop Manually:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create a contract
contract = ibConn.createFuturesContract("ES", exchange="GLOBEX", expiry="201609")

# submit a bracket order (entry=0 = MKT order)
order = ibConn.createBracketOrder(contract, quantity=1, entry=0, target=2200., stop=1900.)

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# move the stop
order['stopOrderId'] = ibConn.modifyStopOrder(orderId=order['stopOrderId'],
            parentId=order['entryOrderId'], newStop=2000, quantity=-1)


# disconnect
ibConn.disconnect()

Submit a Bracket Order with a Trailing Stop:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create a contract
contract = ibConn.createFuturesContract("ES", exchange="GLOBEX", expiry="201609")

# submit a bracket order (entry=0 = MKT order)
order = ibConn.createBracketOrder(contract, quantity=1, entry=0, target=2200., stop=1900.)

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# create a trailing stop that's triggered at 2190
symbol = ibConn.contractString(contract)

ibConn.createTriggerableTrailingStop(symbol, -1,
            triggerPrice  = 2190,
            trailAmount   = 10, # for trail using fixed amount
            # trailPercent  = 10, # for trail using percentage
            parentId      = order['entryOrderId'],
            stopOrderId   = order["stopOrderId"],
            ticksize      = 0.25 # see note
        )

# ticksize is needed to rounds the stop price to nearest allowed tick size,
# so you won't try to buy ES at 2200.128230 :)

# NOTE: the stop trigger/trailing is done by the software,
# so your script needs to keep running for this functionality to work

# disconnect
# ibConn.disconnect()

Submit a Combo Orders:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# create contracts for an bear call spread
contract_to_sell = ibConn.createOptionContract("AAPL", expiry=20161118, strike=105., otype="CALL")
contract_to_buy  = ibConn.createOptionContract("AAPL", expiry=20161118, strike=100., otype="CALL")

# create combo legs
leg1 = ibConn.createComboLeg(contract_to_sell, "SELL", ratio=1)
leg2 = ibConn.createComboLeg(contract_to_buy, "BUY", ratio=1)

# build a bag contract with these legs
contract = ibConn.createComboContract("AAPL", [leg1, leg2])

# create & place order (negative price means this is a credit spread)
order = ibConn.createOrder(quantity=1, price=-0.25)
orderId = ibConn.placeOrder(contract, order)

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# disconnect
ibConn.disconnect()

Custom Callback:

import ezibpy
import time

# define custom callback
def ibCallback(caller, msg, **kwargs):
    if caller == "handleOrders":
        order = ibConn.orders[msg.orderId]
        if order["status"] == "FILLED":
            print(">>> ORDER FILLED")

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# assign the custom callback
ibConn.ibCallback = ibCallback

# create a contract
contract = ibConn.createStockContract("AAPL")

# create & place order
order = ibConn.createOrder(quantity=100)
orderId = ibConn.placeOrder(contract, order)

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# disconnect
ibConn.disconnect()

* See This Gist for more examples.

Account Information:

import ezibpy
import time

# initialize ezIBpy
ibConn = ezibpy.ezIBpy()
ibConn.connect(clientId=100, host="localhost", port=4001)

# subscribe to account/position updates
ibConn.requestPositionUpdates(subscribe=True)
ibConn.requestAccountUpdates(subscribe=True)

# wait 30 seconds
time.sleep(30)

# available variables (auto-updating)
print("Market Data")
print(ibConn.marketData)

print("Market Depth")
print(ibConn.marketDepthData)

print("Account Information")
print(ibConn.account)

print("Positions")
print(ibConn.positions)

print("Portfolio")
print(ibConn.portfolio)

print("Contracts")
print(ibConn.contracts)

print("Orders (by TickId)")
print(ibConn.orders)

print("Orders (by Symbol)")
print(ibConn.symbol_orders)

# subscribe to account/position updates
ibConn.requestPositionUpdates(subscribe=False)
ibConn.requestAccountUpdates(subscribe=False)

# disconnect
ibConn.disconnect()

Logging:

ezIBpy logs via the standard Python logging facilities under the logger name ezibpy at the level of ERROR by default.

You can change the log level:

import logging
import ezibpy

# after ezibpy is imported, we can silence error logging
logging.getLogger('ezibpy').setLevel(logging.CRITICAL)

# initialize with new logging configration
ibConn = ezibpy.ezIBpy()
...

Or log to a file:

import logging
import ezibpy

# after ezibpy is imported, we can change the logging handler to file
logger = logging.getLogger('ezibpy')
logger.addHandler(logging.FileHandler('path/to/ezibpy.log'))
logger.setLevel(logging.INFO)
logger.propagate = False # do not also log to stderr

# initialize with new logging configration
ibConn = ezibpy.ezIBpy()
...

Installation

Install ezIBpy using pip:

$ pip install ezibpy --upgrade --no-cache-dir

Requirements

  • Python >=3.4

  • Pandas (tested to work with >=0.23.0)

  • dateutil (tested to with with >=2.5.1)

  • IbPy2 (tested to work with >=0.8.0)

  • Latest Interactive Brokers’ TWS or IB Gateway installed and running on the machine

To-Do:

In regards to Options, ezIBpy currently supports market data retrieval and order execution.

If you want to add more functionality (such as news retreival, etc) be my guest and please submit a pull request.

P.S.

I’m very interested in your experience with ezIBpy. Please drop me an note with any feedback you have.

Ran Aroussi

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