ezIBpy: Pythonic Wrapper for IbPy

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ezIBpy is a Pythonic wrapper for the IbPy <https://github.com/blampe/IbPy> library by @blampe <https://github.com/blampe/IbPy>, that was developed to speed up the development of trading software that relies on Interactive Brokers <https://www.interactivebrokers.com>_ for market data and order execution.

Changelog » <./CHANGELOG.rst>__

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 <https://interactivebrokers.github.io/tws-api/#gsc.tab=0>_. 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 <https://www.interactivebrokers.com/en/index.php?f=15875> or IB Gateway <https://www.interactivebrokers.com/en/index.php?f=16457> installed and running on the machine.

Market Data

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

Request Market Data <#request-market-data>_
Request Market Depth <#request-market-depth>_
Request Historical Data <#request-historical-data>_

Order Execution

Submit an Order <#submit-an-order>_
Submit a Bracket Order <#submit-a-bracket-order>_
Moving Stop Manually <#submit-a-bracket-order-&-move-stop-manually>_
Bracket Order with Trailing Stop <#submit-a-bracket-order-with-a-trailing-stop>_
Combo Orders <#submit-a-combo-orders>_

Other Stuff

Using Custom Callbacks <#custom-callback>_
Account Information <#account-information>_
Logging <#logging>_

Request Market Data:

.. code:: python

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")
cont_fut_contract = ibConn.createContinuousFuturesContract("CL", "NYMEX")
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:

.. code:: python

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:

.. code:: python

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:

.. code:: python

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:

.. code:: python

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:

.. code:: python

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:

.. code:: python

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:

.. code:: python

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:

.. code:: python

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 <https://gist.github.com/ranaroussi/cc2072e5f2cb2b83514fceaeb4b0ca2e>_ for more examples.

Account Information:

.. code:: python

import ezibpy
import time

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

# 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 <https://docs.python.org/3/howto/logging.html#logging-basic-tutorial>__ under the logger name ezibpy at the level of ERROR by default.

You can change the log level:

.. code:: python

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:

.. code:: python

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:

.. code:: bash

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

Requirements

Python <https://www.python.org>_ >=3.4
Pandas <https://github.com/pydata/pandas>_ (tested to work with >=0.23.0)
dateutil <https://pypi.python.org/pypi/python-dateutil>_ (tested to with with >=2.5.1)
IbPy2 <https://github.com/blampe/IbPy>_ (tested to work with >=0.8.0)
Latest Interactive Brokers’ TWS <https://www.interactivebrokers.com/en/index.php?f=15875> or IB Gateway <https://www.interactivebrokers.com/en/index.php?f=16457> 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.

Legal Stuff

ezIBpy is licensed under the Apache License, Version 2.0. A copy of which is included in LICENSE.txt. ezIBpy is not a product of Interactive Brokers, nor is it affiliated with Interactive Brokers.

P.S.

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

Ran Aroussi

ranaroussi / ezibpy

readme

ezIBpy: Pythonic Wrapper for IbPy

NOTE

Code Examples

Request Market Data:

Request Market Depth:

Request Historical Data:

Submit an Order:

Submit a Bracket Order:

Submit a Bracket Order & Move Stop Manually:

Submit a Bracket Order with a Trailing Stop:

Submit a Combo Orders:

Custom Callback:

Account Information:

Logging:

Installation

Requirements

To-Do:

Legal Stuff

P.S.