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Official Interactive Brokers API

Project description

A couple of things/definitions/conventions:

  • a low level message is some data prefixed with its size

  • a high level message is a list of fields separated by the NULL character; the fields are all strings; the message ID is the first field, the come others whose number and semantics depend on the message itself

  • a request is a message from client to TWS/IBGW (IB Gateway)

  • an answer is a message from TWS/IBGW to client

How the code is organized:

  • comm module: has tools that know how to handle (eg: encode/decode) low and high level messages

  • Connection: glorified socket

  • Reader: thread that uses Connection to read packets, transform to low level messages and put in a Queue

  • Decoder: knows how to take a low level message and decode into high level message

  • Client:

  • knows to send requests

  • has the message loop which takes low level messages from Queue and uses Decoder to tranform into high level message with which it then calls the corresponding Wrapper method

  • Wrapper: class that needs to be subclassed by the user so that it can get the incoming messages

The info/data flow is:

  • receiving:

  • Connection.recv_msg() (which is essentially a socket) receives the packets

    • uses Connection.*recvall_msgs()* which tries to combine smaller packets into bigger ones based on some trivial heuristic

  • uses Connection.recv_msg() to get a packet and then uses comm.read_msg() to try to make it a low level message. If that can’t be done yet (size prefix says so) then it waits for more packets

  • if a full low level message is received then it is placed in the Queue (remember this is a standalone thread)

  • the main thread runs the loop which:

    • gets a low level message from Queue

    • uses to translate into high level message (fields)

    • uses Decoder.interpret() to act based on that message

  • Decoder.interpret() will translate the fields into function parameters of the correct type and call with the correct/corresponding method of Wrapper class

  • sending:

  • Client class has methods that implement the requests. The user will call those request methods with the needed parameters and Client will send them to the TWS/IBGW.

Implementation notes:

  • the Decoder has two ways of handling a message (esentially decoding the fields)

    • some message very neatly map to a function call; meaning that the number of fields and order are the same as the method parameters. For example: Wrapper.tickSize(). In this case a simple mapping is made between the incoming msg id and the Wrapper method:

    IN.TICK_SIZE: HandleInfo(wrap=Wrapper.tickSize),

    • other messages are more complex, depend on version number heavily or need field massaging. In this case the incoming message id is mapped to a processing function that will do all that and call the Wrapper method at the end. For example:

    IN.TICK_PRICE: HandleInfo(proc=processTickPriceMsg),

Instalation notes:

  • you can use this to build a source distribution

python3 sdist

  • you can use this to build a wheel

python3 bdist_wheel

  • you can use this to install the wheel

python3 -m pip install –user –upgrade dist/ibapi-9.75.1-py3-none-any.whl

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