'iSddlmZmZmZmZddlZddlmZddlmZmZm Z ddl Z ddl Z ddl Z ddlmZddlmZddlmZmZmZmZmZmZmZddlmZmZmZmZm Z ddl!m"Z"dd l#m$Z$dd l%m&Z&dd l'm(Z(dd l)m*Z*m+Z+dd l#m$Z$eZGd de,Z-Gddee j\j0j0Z/Gdde$Z0GddejbZ2Gddee2eZ3y))absolute_importdivisionprint_functionunicode_literalsN)copy)datedatetime timedelta)DataBase) TimeFramenum2datedate2num BrokerBaseOrder OrderBase OrderData)bytesbstrwith_metaclassqueueMAXFLOAT) MetaParams) CommInfoBase)Position)ibstore)AutoDictAutoOrderedDictc eZdZgdZdZdZy) IBOrderState) status initMargin maintMarginequityWithLoan commission minCommission maxCommissioncommissionCurrency warningTextc ^|jD]}d|z}t||t|| y)Nm_)_fieldssetattrgetattr)self orderstateffnames Y/var/www/app/trading-bot/venv/lib/python3.12/site-packages/backtrader/brokers/ibbroker.py__init__zIBOrderState.__init__5s1 =A1HE D%U!; < =c t}|jd|jD]@}d|z}|jdj|j t ||B|jddj |S)Nz--- ORDERSTATE BEGINr*z{}: {}z--- ORDERSTATE END )listappendr+format capitalizer-join)r.txtr0r1s r2__str__zIBOrderState.__str__:suf )* NA1HE JJxq||~wtU7KL M N '(yy~r4N)__name__ __module__ __qualname__r+r3r=r4r2rr/s4G= r4rc<eZdZdZfdZdedejedejedejedejedejedejed ejed iZfd ZxZS) IBOrdera Subclasses the IBPy order to provide the minimum extra functionality needed to be compatible with the internally defined orders Once ``OrderBase`` has processed the parameters, the __init__ method takes over to use the parameter values and set the appropriate values in the ib.ext.Order.Order object Any extra parameters supplied with kwargs are applied directly to the ib.ext.Order.Order object, which could be used as follows:: Example: if the 4 order execution types directly supported by ``backtrader`` are not enough, in the case of for example *Interactive Brokers* the following could be passed as *kwargs*:: orderType='LIT', lmtPrice=10.0, auxPrice=9.8 This would override the settings created by ``backtrader`` and generate a ``LIMIT IF TOUCHED`` order with a *touched* price of 9.8 and a *limit* price of 10.0. This would be done almost always from the ``Buy`` and ``Sell`` methods of the ``Strategy`` subclass being used in ``Cerebro`` cDtt| }|g}|jdj |j |jdj |j |jdj |j|jdj |j|jdj |j|jdj |j|jdj |j|jdj |j|jd j |jd j|S) zRGet the printout from the base class and add some ib.Order specific fieldszRef: {}z orderId: {}z Action: {}z Size (ib): {}z Lmt Price: {}z Aux Price: {}z OrderType: {}zTif (Time in Force): {}zGoodTillDate: {}r6)superrCr=r8r9ref m_orderIdm_actionm_totalQuantity m_lmtPrice m_auxPrice m_orderTypem_tifm_goodTillDater;)r.basetxttojoin __class__s r2r=zIBOrder.__str__]s%.0 i&&txx01 m**4>>:; l))$--89 o,,T-A-ABC o,,T__=> o,,T__=> o,,T-=-=>? /66tzzBC (//0C0CDEyy  r4NMKTLMTMOCSTPSTPLMTTRAILz TRAIL LIMITc d|_|dk(r |jn |j|_tt |tjjjj ||j|j|_ d|_ t||_d|_d|_|j|j$k(rn|j|j&k(rnl|j|j(k(r|j*|_n@|j|j,k(r|j*|_n|j|j.k(r#|j0|_|j*|_n|j|j2k(r?|j4|j4|_n|j6|j6dz|_n|j|j:k(rg|j*x|_|_|j0|_|j4|j4|_n |j6|j6dz|_t?|j@|_!|jD|_#|jH|jHjJ|_&|jNd}ntQ|jNtRtTfr,d}t|jNjWd|_,ntQ|jNtZfr_|jN|j\k(rd }nd}tSj^|jNz}t|jWd|_,nH|jNdk(rd }n6d}ta|jN}t|jWd|_,t||_1d |_2|D]#}tg|ti|| d z|z||%y) NFBUYrgY@GTCGTDz%Y%m%d %H:%M:%SDAYr*)5 _willexpireBuySellordtyperErCr3ibextr _IBOrdTypesexectyperLm_permidrrHrJrKMarketCloseLimitpriceStop StopLimit pricelimit StopTrail trailamount trailpercentm_trailingPercentStopTrailLimitm_trailStopPriceabssizerItransmit m_transmitparentrG m_parentIdvalid isinstancer rstrftimerNr r]nowr rM m_ocaTyper,hasattr)r.actionkwargstifr{krQs r2r3zIBOrder.__init__ys !#)U?txx   gt%'  ##D) ++DMM: f   ==DKK '  ]]djj (  ]]djj ("jjDO ]]dii '"jjDO ]]dnn ,"ooDO"jjDO ]]dnn ,+"&"2"2"".)-):):U)B& ]]d11 16:jj @D !DO"ooDO+"&"2"2"".)-):):U)B&"499~-- ;; ""kk33DO :: C  Xt$4 5C"' (;(;r?r@__doc__r=rrrhrjrirlrmrorsrer3 __classcell__rQs@r2rCrCDs0!$ eEl eEl U5\ U5\ E%L x w eM2 KTHTHr4rCceZdZdZdZdZy) IBCommInfoae Commissions are calculated by ib, but the trades calculations in the ```Strategy`` rely on the order carrying a CommInfo object attached for the calculation of the operation cost and value. These are non-critical informations, but removing them from the trade could break existing usage and it is better to provide a CommInfo objet which enables those calculations even if with approvimate values. The margin calculation is not a known in advance information with IB (margin impact can be gotten from OrderState objects) and therefore it is left as future exercise to get itct||zSNrur.rvrks r2 getvaluesizezIBCommInfo.getvaluesizes4y5  r4ct||zS)z9Returns the needed amount of cash an operation would costrrs r2getoperationcostzIBCommInfo.getoperationcosts4y5  r4N)r>r?r@rrrrAr4r2rrs )!!r4rceZdZfdZxZS) MetaIBBrokercZtt| ||||tj_y)z+Class has already been created ... registerN)rErr3rIBStore BrokerCls)clsnamebasesdctrQs r2r3zMetaIBBroker.__init__s$ lC)$s;$'!r4)r>r?r@r3rrs@r2rrs ((r4rceZdZdZdZfdZfdZfdZdZddZ ddZ d Z d Z d Z d Z dd Z ddZ ddZdZdZdZd\ZZZZZZZdZdZdZdZdZ dZ!xZ"S)IBBrokeraBroker implementation for Interactive Brokers. This class maps the orders/positions from Interactive Brokers to the internal API of ``backtrader``. Notes: - ``tradeid`` is not really supported, because the profit and loss are taken directly from IB. Because (as expected) calculates it in FIFO manner, the pnl is not accurate for the tradeid. - Position If there is an open position for an asset at the beginning of operaitons or orders given by other means change a position, the trades calculated in the ``Strategy`` in cerebro will not reflect the reality. To avoid this, this broker would have to do its own position management which would also allow tradeid with multiple ids (profit and loss would also be calculated locally), but could be considered to be defeating the purpose of working with a live broker rAc tt| tjdi||_dx|_|_dx|_|_ tj|_ t|_t|_t!j"t|_t'j(|_t!j,|_y)NrZrA)rErr3rrrc startingcashcash startingvaluevalue threadingLock _lock_ordersdict orderbyid executions collections defaultdict ordstatusrQueuenotifsdequetonotify)r.rrQs r2r3zIBBroker.__init__ s h&(//+F+(++DI*--TZ%NN,&$006kkm #))+ r4ctt| |jj||jj rg|jj |jj x|_|_|jjx|_ |_ ydx|_|_dx|_ |_ y)N)brokerrZ) rErstartrc connectedreqAccountUpdates get_acc_cashrr get_acc_valuerrr.rQs r2rzIBBroker.starts h#%  T " 77    GG % % ',0GG,@,@,B BD  .2gg.C.C.E ED ,/ /D  .1 1D r4c^tt| |jjyr)rErstoprcrs r2rz IBBroker.stop$s h"$  r4cX|jj|_|jSr)rcrrr.s r2getcashzIBBroker.getcash(s GG((* yyr4cX|jj|_|jSr)rcrr)r.datass r2getvaluezIBBroker.getvalue-s WW**, zzr4cP|jj|j|S)Nclone)rc getposition tradecontract)r.datars r2rzIBBroker.getposition1s"ww""4#5#5U"CCr4c |j|j}|jt j k(ry|jj|jy#ttf$rYywxYwr) rrG ValueErrorKeyErrorr r Cancelledrc cancelOrderr.orderos r2cancelzIBBroker.cancel4s] u/A <<5?? *  EOO, H%   sAA10A1c |j|j}|jS#ttf$r|}Y|jSwxYwr)rrGrrr rs r2 orderstatuszIBBroker.orderstatus?sH u/AxxH% Axx s'AAc|j||j#ttj|_n2|j |jjj |_||j |j<|jj|j|jj||j||Sr) submitocoruuiduuid4 m_ocaGrouprrGrc placeOrderrrnotifyr.rs r2rzIBBroker.submitGs T 99 $TZZ\2E #~~eii.A.ABMME */u' 5??EJJ,D,DeL E r4c|j} t|j}|j dv}t ||S#ttf$rd}Y.wxYw)Ng?)FUTOPTFOP)mult stocklike)rfloat m_multiplierr TypeError m_secTyper)r.rcontractrrs r2getcommissioninfozIBBroker.getcommissioninfoVs]%% ../D&&.DD ty99 I& D s>AAc  t|f|||||||| |jj|jjd | } | j |j || S)N) ownerrrvrkrnrfr{tradeid m_clientIdrG)rCrcclientId nextOrderId addcomminfor) r.rrrrvrkplimitrfr{rrrs r2 _makeorderzIBBroker._makeorderaso "e$!6!) '#'77#3#3"&''"5"5"7 " ! " $0067 r4c Z|jd||||||||f i| } |j| S)NrYrr r.rrrvrkrrfr{rrrs r2buyz IBBroker.buyqsC    4ufhw {{5!!r4c Z|jd||||||||f i| } |j| S)NSELLrrs r2sellz IBBroker.sell}sC    4ufhw {{5!!r4cV|jj|jyr)rputrrs r2rzIBBroker.notifys  &r4cl |jjdS#tj$rYywxYw)NF)rgetrEmptyrs r2get_notificationzIBBroker.get_notifications3 ;;??5) ){{   s 33c:|jjdyr)rrrs r2nextz IBBroker.nexts r4) SubmittedFilledrInactive PendingSubmit PendingCancel PreSubmittedct |j|j}|j|jk(rL|j dk(r=|j|j k(ry|j||j|y|j|jk(rd|j|j|jfvry|jr|jn|j|j|y|j|jk(r|j|jk(ryy|j|j k(r=|j|j"k(ry|j%||j|y|j|j|j&fvr'||j(|j|j <y|j|j*|j,fvr4|j r'||j(|j|j <yyy#t$rYywxYw)Nr)rorderIdrr SUBMITTEDfilledAcceptedacceptr CANCELLEDrExpiredr_expirer PENDINGCANCELINACTIVERejectedrejectFILLEDr PENDINGSUBMIT PRESUBMITTEDr.msgrs r2push_orderstatuszIBBroker.push_orderstatuss NN3;;/E :: 'CJJ!O||u~~- LL  KK  ZZ4>> )||??     KK  ZZ4-- -||u./ZZ4== (||u~~- LL  KK  ZZDNNDKK8 87:DNN3;; ' 3 ZZD..0A0AB Bzz:=s{{+CJJ7 u   sH++ H76H7c6||j|j<yr)rm_execId)r.exs r2push_executionzIBBroker.push_executions') $r4cp|j5|jj|j}|j}|j |}|j |j|j}|j|jd}|j}|jddk(r |jn |j }|j} |j|| \} } } } |j}|| z|z }||z }|j }|j#| |}|j#| | }| r |j$nd}t't)j*|j,d}|jj.d}|j1||| | ||| ||||| | |j2|j4k(r,|j7|j j|n|j9||j:vr|j:j=|dddy#1swYyxYw)NFrrBrZz%Y%m%d %H:%M:%S)rrpoprrGrrm_cumQtyrrrkm_sidem_sharesm_priceupdate m_commissioncomminfor m_realizedPNLrr strptimem_timecloseexecuter r completedpartialrr8)r.crroidrostatusposition pprice_origrvrkpsizeppriceopenedclosedcomm closedcomm openedcommr" closedvalue openedvaluepnldtmargins r2push_commissionreportzIBBroker.push_commissionreports   1 *$$R[[1B,,CNN3'EnnS)--bkk:G'' %'@H"..K"$))A,#"52;;BKK>1     KK '  n-       s9C,C C,:C,2C,C)C,(C))C,,C5c|j5 |j|j}|j j dvrd|_dddy#ttf$r YdddywxYw#1swYyxYw)N)rrCanceledT)rrrrrC orderStatem_statusr_rs r2push_orderstatezIBBroker.push_orderstate5s    ) s{{3~~&&+77%)! ) )n-  ) )  ) )s-A-AA-A*A-)A**A--A6r)T)NNNNr)#r>r?r@rparamsr3rrrrrrrrrrrrrrrrrrr rr rrrr;r>rFrKrrs@r2rrs,F , 2 D -  :-1(,"&*/0 "'+01 "' 4<1Y 8M<>@*2*h #, )r4r)4 __future__rrrrrrr rr rr ib.ext.Orderrcib.optoptiboptbacktrader.feedr backtraderr r rrrrrbacktrader.utils.py3rrrrrbacktrader.metabaserbacktrader.comminforbacktrader.positionrbacktrader.storesrbacktrader.utilsrrobjectrrdrCrrQrrrAr4r2r[s***.. $555MM*,(%6, 6*IHi++IHX!!0(:''(O)~lJ7O)r4