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Parse Interactive Brokers Flex XML reports and convert to Python data 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 accounting.

ibflex is compatible with Python version 3.4+. 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.

Installation

pip install ibflex

Flex Parser

The primary facility provided is the ibflex.parser module, which parses Flex-format XML data, converts the parsed data into normal Python types (e.g. datetime.datetime, list), and exposes them as a nested dictionary whose structure corresponds to that of the original Flex statements.

Usage example:

In [1]: from ibflex import parser

In [2]: with open('/home/user/Downloads/2017-08_ibkr.xml', 'r') as xmlfile:
   ...:     response = parser.parse(xmlfile)
   ...:

In [3]: stmt = response['FlexStatements'][0]

In [4]: trades = stmt['Trades']

In [5]: {k:v for k,v in trades[-1] if v is not None}
Out[5]:
{'accountId': 'U1111111',
 'acctAlias': 'Test Account',
 'assetCategory': 'STK',
 'buySell': 'BUY',
 'changeInPrice': Decimal('0'),
 'changeInQuantity': Decimal('0'),
 'closePrice': Decimal('4.66'),
 'conid': '148510778',
 'cost': Decimal('369.3162058'),
 'currency': 'USD',
 'description': 'HC2 HOLDINGS INC',
 'exchOrderId': 'N/A',
 'exchange': 'NYSE',
 'extExecID': 'L|AAA 9683/08152017|0000100001',
 'fifoPnlRealized': Decimal('0'),
 'fxPnl': Decimal('0'),
 'fxRateToBase': Decimal('1'),
 'ibCommission': Decimal('-0.5162058'),
 'ibCommissionCurrency': 'USD',
 'ibExecID': '0000e352.5992e388.01.01',
 'ibOrderID': '931273568',
 'isAPIOrder': False,
 'levelOfDetail': 'EXECUTION',
 'mtmPnl': Decimal('4'),
 'multiplier': Decimal('1'),
 'netCash': Decimal('-369.3162058'),
 'notes': ['P'],
 'openCloseIndicator': 'O',
 'orderTime': datetime.datetime(2017, 8, 15, 11, 53, 18),
 'orderType': 'LMT',
 'origOrderID': '0',
 'origTradePrice': Decimal('0'),
 'proceeds': Decimal('-368.8'),
 'quantity': Decimal('80'),
 'reportDate': datetime.date(2017, 8, 15),
 'settleDateTarget': datetime.date(2017, 8, 18),
 'symbol': 'HCHC',
 'taxes': Decimal('0'),
 'tradeDate': datetime.date(2017, 8, 15),
 'tradeID': '1885957768',
 'tradeMoney': Decimal('368.8'),
 'tradePrice': Decimal('4.61'),
 'tradeTime': datetime.time(11, 53, 18),
 'transactionID': '7933669307',
 'transactionType': 'ExchTrade'}

Flex Data Format

Generate Flex statements through Interactive Brokers account management . Reports > Activities > Flex Queries

ibflex is designed to parse whatever you throw at it without additional configuration, with one major shortcoming: without providing additional information out of band, it is difficult to distinguish US-style date formats (mm/dd) from European-style date formats (dd/mm).

** DO YOURSELF A FAVOR: CONFIGURE FLEX QUERIES TO USE ISO8601 EXTENDED FORMATS FOR DATE (YYYY-mm-dd) AND TIME (HH:MM:SS) **

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

Resources

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