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VeighNa框架的InteractiveBrokers交易接口

Home Page: https://www.vnpy.com

License: MIT License

Python 100.00%

python interactivebrokers vnpy veighna

vnpy_ib's Introduction

VeighNa框架的InteractiveBrokers交易接口

说明

基于ibapi的10.19.1版本开发的InteractiveBrokers交易接口。

IbGateway中的合约代码支持两种风格：数字代码和字符串代码。

数字代码基于IB平台的ConId，查询方式：在TWS软件中【右键点击任意合约】->【金融产品信息】->【详情】，然后在弹出的网页上即可找到合约的ConId。

字符串代码基于合约的具体描述信息，命名规则和举例：

合约类型	代码规则	代码（symbol）	交易所（exchange）
股票	名称-货币-类别	SPY-USD-STK	SMART
外汇	名称-货币-类别	EUR-USD-CASH	IDEALPRO
贵金属	名称-货币-类别	XAUUSD-USD-CMDTY	SMART
期货	名称-到期年月-货币-类别	ES-202002-USD-FUT	GLOBEX
期货（指定乘数）	名称-到期年月-合约乘数-类别	SI-202006-1000-USD-FUT	NYMEX
期货期权	名称-到期年月-期权类型-行权价-合约乘数-货币-类别	ES-2020006-C-2430-50-USD-FOP	GLOBEX

委托、成交、持仓信息中的合约代码，默认采用数字代码。如果用户使用字符串代码订阅过行情，则使用字符串代码。

安装

安装环境推荐基于3.9.0版本以上的【VeighNa Studio】。

安装ibapi

在IB官网下载TWS API的msi安装文件，并运行安装。

找到安装目录下的source\pythonclient文件夹，在cmd中运行下述命令安装：

python setup.py install

安装vnpy_ib

直接使用pip命令：

pip install vnpy_ib

或者下载源代码后，解压后在cmd中运行：

pip install .

使用

以脚本方式启动（script/run.py）：

from vnpy.event import EventEngine
from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import MainWindow, create_qapp

from vnpy_ib import IbGateway


def main():
    """主入口函数"""
    qapp = create_qapp()

    event_engine = EventEngine()
    main_engine = MainEngine(event_engine)
    main_engine.add_gateway(IbGateway)

    main_window = MainWindow(main_engine, event_engine)
    main_window.showMaximized()

    qapp.exec()


if __name__ == "__main__":
    main()

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vnpy_ib's Issues

交易所信息不全；没必要在openOrder时发送on_order事件

参考：
https://github.com/jasonhit/vnpy_ib

main...jasonhit:vnpy_ib:main

https://github.githistory.xyz/jasonhit/vnpy_ib/blob/main/vnpy_ib/ib_gateway.py

ERROR 4 10285 您的API版本不支持小数股数量规则。请至少更新至版本至163

复现方式：订阅IDEALPRO交易所的EUR-USD-CASH品种行情。

CTA策略初始化錯誤

TWS:10.19.1j

CTA策略初始化出現異常訊號:Your API version does not support fractional share size rules. Please upgrade to a minimum version 163. Trimmed value 79.76 to 79
Exception in thread Thread-24 (run):

PRODUCT_IB2VT: Dict[str, Product] = {
"STK": Product.EQUITY,
"CASH": Product.FOREX,
"CMDTY": Product.SPOT,
"FUT": Product.FUTURES,
"OPT": Product.OPTION,
"FOT": Product.OPTION,
"CONTFUT": Product.FUTURES
}

查了下ib的文档
指数应该是
"IND": Product.INDEX

没有的话会导致在录入指数数据时报错

ibapi内contractDetails字段未更新minSize

时间格式

ERROR 1 2174 警告: 您提交的请求包含日期-时间属性，但未明确指定时区。请切换以使用格式为yyyymmdd-hh:mm:ss的协调世界时或使用产品的时区（如US/Eastern）。隐含时区的功能将在下一次API发布时被移除。

这个似乎是新格式，目前代码中是 yyyymmdd hh:mm:ss

window VeighNa Station 启动 Trader 时，盈透启动报错

2024-05-12 21:54:31	--------------------------------------------------
2024-05-12 21:54:31	VeighNa Trader进程启动
2024-05-12 21:54:34	Traceback (most recent call last):
  File "C:\veighna_studio\lib\runpy.py", line 196, in _run_module_as_main
2024-05-12 21:54:34	    return _run_code(code, main_globals, None,
  File "C:\veighna_studio\lib\runpy.py", line 86, in _run_code
    exec(code, run_globals)
  File "build\bdist.win-amd64\egg\veighna_station\trader.py", line 39, in <module>
2024-05-12 21:54:34	  File "build\bdist.win-amd64\egg\veighna_station\trader.py", line 23, in run_trader
  File "C:\veighna_studio\lib\importlib\__init__.py", line 126, in import_module
    return _bootstrap._gcd_import(name[level:], package, level)
  File "<frozen importlib._bootstrap>", line 1050, in _gcd_import
  File "<frozen importlib._bootstrap>", line 1027, in _find_and_load
  File "<frozen importlib._bootstrap>", line 1006, in _find_and_load_unlocked
  File "<frozen importlib._bootstrap>", line 688, in _load_unlocked
  File "<frozen importlib._bootstrap_external>", line 883, in exec_module
  File "<frozen importlib._bootstrap>", line 241, in _call_with_frames_removed
  File "C:\veighna_studio\lib\site-packages\vnpy_ib\__init__.py", line 25, in <module>
    from .ib_gateway import IbGateway
  File "C:\veighna_studio\lib\site-packages\vnpy_ib\ib_gateway.py", line 24, in <module>
    from ibapi.client import EClient
ModuleNotFoundError: No module named 'ibapi'
2024-05-12 21:54:50	VeighNa Trader进程终止

IB对历史数据的6个月硬限制似乎改成了软限制

main...seraphium:vnpy_ib:main

好像不支持OTC市场的subscribe

TCEHY的订阅没有成功

应为self.gateway.write_log

vnpy_ib/vnpy_ib/ib_gateway.py

Line 988 in 09e8dc5

self.write_log(f"找不到合约：{req.vt_symbol}，请先订阅")

HistoryRequest 是None

Exception in thread Thread-9 (run): Traceback (most recent call last): File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/threading.py", line 1016, in _bootstrap_inner self.run() File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/threading.py", line 953, in run self._target(*self._args, **self._kwargs) File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/ibapi/client.py", line 263, in run self.decoder.interpret(fields) File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/ibapi/decoder.py", line 1296, in interpret handleInfo.processMeth(self, iter(fields)) File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/ibapi/decoder.py", line 519, in processHistoricalDataMsg self.wrapper.historicalData(reqId, bar) File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/vnpy_ib/ib_gateway.py", line 619, in historicalData symbol=self.history_req.symbol, AttributeError: 'NoneType' object has no attribute 'symbol'

这个应该是api返回了None或者是还没有等到返回值？

ConId合约代码合法性检查

当用户输入的代码时Conid类型的时候，如果里面有非数字（比如尾部有空格或者其他），会导致与TWS或者IbGateway之间的连接断开，必须重启vnpy。所以优化方向有两个：

Conid发送前检查是否是纯数字
2.代码symbol应该去掉两侧可能出现的空格

timezone问题

有好意思又开一个

更新数据时候

ib_gateway.py

Traceback (most recent call last):
  File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/vnpy_datamanager/ui/widget.py", line 384, in update_data
    self.engine.download_bar_data(
  File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/vnpy_datamanager/engine.py", line 206, in download_bar_data
    data: List[BarData] = self.main_engine.query_history(
  File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/vnpy/trader/engine.py", line 223, in query_history
    return gateway.query_history(req)
  File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/vnpy_ib/ib_gateway.py", line 232, in query_history
    return self.api.query_history(req)
  File "/opt/homebrew/Caskroom/miniforge/base/envs/py310/lib/python3.10/site-packages/vnpy_ib/ib_gateway.py", line 773, in query_history
    delta: timedelta = end - req.start
TypeError: can't subtract offset-naive and offset-aware datetimes

换掉pytz的原因？
`@dataclass
class HistoryRequest:
"""
Request sending to specific gateway for querying history data.
"""

symbol: str
exchange: Exchange
start: datetime
end: datetime = None
interval: Interval = None

def __post_init__(self) -> None:
    """"""
    self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"`

TimeZone parsing not resilient

I received following execution.time in execDetails: "'20230928 11:17:24 MET'"

in this case condition if "/" in execution.time: is not executed and exception is thrown during datetime.strptime(time_str, "%Y%m%d %H:%M:%S") -> sth like "MET not expected"

Not all TimeZones have "/" in the name: https://www.dataquest.io/blog/python-datetime/

提交委托订单失败，显示：ERROR 19 10268 不支持“EtradeOnly”委托单属性

原帖链接

Spelling error

vnpy_ib/vnpy_ib/ib_gateway.py

Line 117 in d85e13d

"FOT": Product.OPTION,

FOT -> FOP

https://github.com/jasonhit/vnpy_ib/blob/main/vnpy_ib/ib_gateway_jason.py

generate_symbol always uses numeric code

generate_symbol seems to be misimplemented now:

if symbol not in self.contracts: symbol = str(ib_contract.conId)

this condition is always true because self.contracts keys contains Exchange, e.g. 'BAS-EUR-STK.SMART'. while symbol does not have exchange information

IB外汇成交后保存状态报错

错误信息如下。委托成交后同步数据时json保存出错。

Traceback (most recent call last):
File "C:\Softwares\veighna_studio\lib\threading.py", line 1016, in _bootstrap_inner
self.run()
File "C:\Softwares\veighna_studio\lib\threading.py", line 953, in run
self._target(*self._args, **self._kwargs)
File "C:\Softwares\veighna_studio\lib\site-packages\vnpy\event\engine.py", line 60, in _run
self._process(event)
File "C:\Softwares\veighna_studio\lib\site-packages\vnpy\event\engine.py", line 73, in _process
[handler(event) for handler in self._handlers[event.type]]
File "C:\Softwares\veighna_studio\lib\site-packages\vnpy\event\engine.py", line 73, in
[handler(event) for handler in self.handlers[event.type]]
File "C:\Softwares\veighna_studio\lib\site-packages\vnpy_ctastrategy\engine.py", line 211, in process_trade_event
self.sync_strategy_data(strategy)
File "C:\Softwares\veighna_studio\lib\site-packages\vnpy_ctastrategy\engine.py", line 842, in sync_strategy_data
save_json(self.data_filename, self.strategy_data)
File "C:\Softwares\veighna_studio\lib\site-packages\vnpy\trader\utility.py", line 119, in save_json
json.dump(
File "C:\Softwares\veighna_studio\lib\json_init.py", line 179, in dump
for chunk in iterable:
File "C:\Softwares\veighna_studio\lib\json\encoder.py", line 431, in _iterencode
yield from _iterencode_dict(o, _current_indent_level)
File "C:\Softwares\veighna_studio\lib\json\encoder.py", line 405, in _iterencode_dict
yield from chunks
File "C:\Softwares\veighna_studio\lib\json\encoder.py", line 405, in _iterencode_dict
yield from chunks
File "C:\Softwares\veighna_studio\lib\json\encoder.py", line 438, in _iterencode
o = _default(o)
File "C:\Softwares\veighna_studio\lib\json\encoder.py", line 179, in default
raise TypeError(f'Object of type {o.class.name} '
TypeError: Object of type int32 is not JSON serializable

请问可以支持一下 cfd差价合约的交易吗？

比如美股特斯拉的cfd 合约id 131067756，最新版的vnpy 我在gui中输入 id无法查询到相应的行情信息。
cfd 差价合约就是带杠杠的交易品种而已。

vnpy / vnpy_ib Goto Github PK

vnpy_ib's Introduction

VeighNa框架的InteractiveBrokers交易接口

说明

安装

安装ibapi

安装vnpy_ib

使用

vnpy_ib's People

Contributors

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Watchers

Forkers

vnpy_ib's Issues

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