nautilus-ibapi 10.19.4

Python IB API

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._recv_all_msgs() which tries to combine smaller packets into bigger ones based on some trivial heuristic
  • Reader.run() 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 Client.run() loop which:
    • gets a low level message from Queue
    • uses comm.py 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 setup.py sdist

• you can use this to build a wheel

python3 setup.py 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