herrold / ezibpy

ezIBpy, a Pythonic Wrapper for IbPy (Python + Interactive Brokers made easy)

ezIBpy: Pythonic Wrapper for IbPy

ezIBpy is a Pythonic wrapper for the IbPy library by @blampe, that was developed to speed up the development of trading software that relies on Interactive Brokers for market data and order execution.

Code Examples

* Make sure you have the latest version of Interactive Brokers’ TWS or IB Gateway installed and running on the machine.

Market Data

• Request Market Data
• Request Market Depth
• Request Historical Data

Order Execution

• Submit an Order
• Submit a Bracket Order
• Moving Stop Manually
• Bracket Order with Trailing Stop

Other Stuff

• Using Custom Callbacks
• Account Information

Request Market Data:

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")
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:

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:

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:

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)

# let order fill
time.sleep(1)

# see the positions
print("Positions")
print(ibConn.positions)

# disconnect
ibConn.disconnect()

Submit a Bracket Order:

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)

# disconnect
ibConn.disconnect()

Submit a Bracket Order & Move Stop Manually:

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:

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()

Custom Callback:

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()

Account Information:

import ezibpy
import time

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

# subscribe to account/position updates
ibConn.requestPositionUpdates(subscribe=True)
ibConn.requestAccountUpdates(subscribe=True)

# wait 30 seconds
time.sleep(30)

# 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()

Installation

First, install IbPy:

$ pip install git+git://github.com/blampe/IbPy --user

Then, install ezIBpy using pip:

$ pip install ezibpy

Requirements

• Python >=3.4
• Pandas (tested to work with >=0.18.1)
• IbPy (tested to work with >=0.7.2-9.00)
• Latest Interactive Brokers’ TWS or IB Gateway installed and running on the machine

To-Do:

In regards to Options, ezIBpy currently supports market data retrieval and order execution. IV, Greeks, and other Option-related data isn't being procesed by ezIBpy.

If you want to add this functionality, be my guest and please submit a pull request.

Legal Stuff

ezIBpy is distributed under the GNU Lesser General Public License v3.0. See the LICENSE.txt file in the release for details. 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