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('Parse Interactive Brokers Flex XML reports and convert to Python types',)

Project description

ibflex is a Python library for converting brokerage statement data in Interactive Brokers’ Flex XML format into standard Python data structures, so it can be conveniently processed and analyzed with Python scripts.

N.B. This module has nothing to do with programmatic trading. It’s about reading brokerage reports.

ibflex is compatible with Python version 3.7+. The parser has no dependencies beyond the Python standard library (although the optional client for fetching Flex Statements from Interactive Brokers’ server does depend on requests ).

This module is alpha software! It works and it’s useful, but the API, data structures, etc. are likely to see major changes. Several XML schemata are missing, and a few of the more newly-introduced attributes for the existing schemata. There are probably bugs.

Pull requests are welcome. If you’re submitting a pull request for an updated type, please do me a favor and include a test case based on your real-world data (censored to remove any personal information) in tests.test_types.py. You should easily be able to cut&paste one of the existing unittest.TestCase subclasses in that file and adapt it to your own data. Thanks very much; my own datastream does not have full coverage of the object model!

Installation

pip install ibflex

Flex Parser

The primary facility provided is the ibflex.parser module, which parses Flex-format XML data into a hierarchy of Python objects whose structure corresponds to that of the original Flex statements, with the data converted into appropriate Python types (datetime.datetime, decimal.Decimal, etc.)

Usage example:

In [1]: from ibflex import parser

In [2]: response = parser.parse("2017-01_ibkr.xml")

In [3]: response
Out[3]: FlexQueryResponse(queryName='SCP Everything', type='AF', len(FlexStatements)=1)

In [4]: stmt = response.FlexStatements[0]

In [5]: stmt
Out[5]: FlexStatement(accountId='U770993', fromDate=datetime.date(2017, 1, 2), toDate=datetime.date(2017, 1, 31), period=None, whenGenerated=datetime.datetime(2017, 5, 10, 11, 41, 38), len(CashReport)=3, len(EquitySummaryInBase)=23, len(StmtFunds)=344, len(ChangeInPositionValues)=2, len(OpenPositions)=2140, len(FxPositions)=1, len(Trades)=339, len(CorporateActions)=1, len(CashTransactions)=4, len(InterestAccruals)=1, len(ChangeInDividendAccruals)=5, len(OpenDividendAccruals)=2, len(SecuritiesInfo)=30, len(ConversionRates)=550)

In [6]: trade = stmt.Trades[-1]

In [7]: trade
Out[7]: Trade(transactionType=<TradeType.EXCHTRADE: 'ExchTrade'>, openCloseIndicator=<OpenClose.CLOSE: 'C'>, buySell=<BuySell.SELL: 'SELL'>, orderType=<OrderType.LIMIT: 'LMT'>, assetCategory=<AssetClass.STOCK: 'STK'>, accountId='U770993', currency='USD', fxRateToBase=Decimal('1'), symbol='WMIH', description='WMIH CORP', conid='105068604', cusip=None, isin=None, listingExchange=None, multiplier=Decimal('1'), strike=None, expiry=None, putCall=None, tradeID='1742757182', reportDate=datetime.date(2017, 1, 30), tradeDate=datetime.date(2017, 1, 30), tradeTime=datetime.time(15, 39, 36), settleDateTarget=datetime.date(2017, 2, 2), exchange='BYX', quantity=Decimal('-8'), tradePrice=Decimal('1.4'), tradeMoney=Decimal('-11.2'), taxes=Decimal('0'), ibCommission=Decimal('-0.00680792'), ibCommissionCurrency='USD', netCash=Decimal('11.19319208'), netCashInBase=None, closePrice=Decimal('1.4'), notes=(<Code.PARTIAL: 'P'>,), cost=Decimal('-10.853621'), mtmPnl=Decimal('0'), origTradePrice=Decimal('0'), origTradeDate=None, origTradeID=None, origOrderID='0', openDateTime=None, fifoPnlRealized=Decimal('0.339571'), capitalGainsPnl=None, levelOfDetail='EXECUTION', ibOrderID='865480117', orderTime=datetime.datetime(2017, 1, 30, 15, 39, 36), changeInPrice=Decimal('0'), changeInQuantity=Decimal('0'), proceeds=Decimal('11.2'), fxPnl=Decimal('0'), clearingFirmID=None, transactionID='7248583136', holdingPeriodDateTime=None, ibExecID='0001090f.588f449a.01.01', brokerageOrderID=None, orderReference=None, volatilityOrderLink=None, exchOrderId=None, extExecID='S2367553204796', traderID=None, isAPIOrder=False, acctAlias='SCP 0-0', model=None, securityID=None, securityIDType=None, principalAdjustFactor=None, dateTime=None, underlyingConid=None, underlyingSecurityID=None, underlyingSymbol=None, underlyingListingExchange=None, issuer=None, sedol=None, whenRealized=None, whenReopened=None)

In [8]: print(f"{trade.tradeDate} {trade.buySell.name} {abs(trade.quantity)} {trade.symbol} @ {trade.tradePrice} {trade.currency}")
2017-01-30 SELL 8 WMIH @ 1.4 USD

In [9]: pos = stmt.OpenPositions[-1]

In [10]: pos
Out[10]: OpenPosition(side=<LongShort.SHORT: 'Short'>, assetCategory=<AssetClass.STOCK: 'STK'>, accountId='U770993', currency='USD', fxRateToBase=Decimal('1'), reportDate=datetime.date(2017, 1, 31), symbol='VXX', description='IPATH S&P 500 VIX S/T FU ETN', conid='242500577', securityID=None, cusip=None, isin=None, multiplier=Decimal('1'), position=Decimal('-75'), markPrice=Decimal('19.42'), positionValue=Decimal('-1456.5'), openPrice=Decimal('109.210703693'), costBasisPrice=Decimal('109.210703693'), costBasisMoney=Decimal('-8190.802777'), fifoPnlUnrealized=Decimal('6734.302777'), levelOfDetail='LOT', openDateTime=datetime.datetime(2015, 8, 24, 9, 28, 9), holdingPeriodDateTime=datetime.datetime(2015, 8, 24, 9, 28, 9), securityIDType=None, issuer=None, underlyingConid=None, underlyingSymbol=None, code=(), originatingOrderID='699501861', originatingTransactionID='5634129129', accruedInt=None, acctAlias='SCP 0-0', model=None, sedol=None, percentOfNAV=None, strike=None, expiry=None, putCall=None, principalAdjustFactor=None, listingExchange=None, underlyingSecurityID=None, underlyingListingExchange=None, positionValueInBase=None, unrealizedCapitalGainsPnl=None, unrealizedlFxPnl=None)

In [11]: print(f"{trade.tradeDate} {trade.buySell.name} {abs(trade.quantity)} {trade.symbol} @ {trade.tradePrice} {trade.currency}")
2017-01-30 SELL 8 WMIH @ 1.4 USD

In [12]: [sec for sec in stmt.SecuritiesInfo if sec.conid == trade.conid][0]
Out[12]: SecurityInfo(assetCategory=<AssetClass.STOCK: 'STK'>, symbol='WMIH', description='WMIH CORP', conid='105068604', securityID=None, cusip=None, isin=None, listingExchange=None, underlyingSecurityID=None, underlyingListingExchange=None, underlyingConid=None, underlyingCategory=None, subCategory=None, multiplier=Decimal('1'), strike=None, expiry=None, maturity=None, issueDate=None, type=None, sedol=None, securityIDType=None, underlyingSymbol=None, issuer=None, putCall=None, principalAdjustFactor=Decimal('1'), code=())

Flex Query Report Configuration

Configure Flex statements through Interactive Brokers account management . Reports > Flex Queries > Custom Flex Queries > Configure

You can configure whatever you like and ibflex should parse it, with these exceptions:

  • You can’t use European-style date formats (dd/MM/yy or dd/MM/yyyy). Just accept the default (yyyyMMdd) or get with the program and use ISO-8601 (yyyy-MM-dd).
  • You should use some delimiter between dates & times. The default delimiter (semicolon) is fastest to process.
  • For the Trades section of the statement, you can’t select the options at the top for “Symbol Summary”, “Asset Class”, or “Orders”. These will blow up the parser. It’s fine to check the box for “Asset Class” down below, along with the other selections for XML attributes.

Flex Client

Once you’ve defined various Flex queries, you can generate an access token that will allow you to generate statements and download them through the web API, instead of logging in to get them.

Reports > Settings > FlexWeb Service

Once you’ve got that set up - armed with the token, and the ID# of the desired Flex query - ibflex.client contains the facilities necessary to retrieve them:

In [1]: from ibflex import client
In [2]: token = '111111111111111111111111'
In [3]: query_id = '111111'
In [4]: response = client.download(token, query_id)
In [5]: response[:215]
Out[5]: b'<FlexQueryResponse queryName="Get Everything" type="AF">\n<FlexStatements count="1">\n<FlexStatement accountId="U111111" fromDate="2018-01-01" toDate="2018-01-31" period="LastMonth" whenGenerated="2018-02-01;211353">\n'

You can also just execute client.main() as a script:

$ python client.py -t 111111111111111111111111 -q 111111 > 2018-01_ibkr.xml

Finally, setup.py installs a script at ~/.local/bin/flexget… cron-tastic!

$ flexget -t 111111111111111111111111 -q 111111 > 2018-01_ibkr.xml

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