TIANHE
524 lines
16 KiB
Python
524 lines
16 KiB
Python
"""
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Interactive Brokers Trading Client
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Uses ib_insync library to connect to TWS or IB Gateway for trading.
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"""
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import time
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import threading
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from dataclasses import dataclass, field
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from typing import Optional, Dict, Any, List
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from app.utils.logger import get_logger
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from app.services.ibkr_trading.symbols import normalize_symbol, format_display_symbol
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logger = get_logger(__name__)
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# Lazy import ib_insync to allow other features to work without it installed
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ib_insync = None
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def _ensure_ib_insync():
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"""Ensure ib_insync is imported."""
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global ib_insync
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if ib_insync is None:
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try:
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import ib_insync as _ib
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ib_insync = _ib
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except ImportError:
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raise ImportError(
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"ib_insync is not installed. Run: pip install ib_insync"
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)
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return ib_insync
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@dataclass
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class IBKRConfig:
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"""IBKR connection configuration."""
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host: str = "127.0.0.1"
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port: int = 7497 # TWS Live:7497, TWS Paper:7496, Gateway Live:4001, Gateway Paper:4002
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client_id: int = 1
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readonly: bool = False
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account: str = "" # Leave empty to auto-select first account
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timeout: float = 20.0 # Connection timeout in seconds
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@dataclass
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class OrderResult:
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"""Order execution result."""
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success: bool
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order_id: int = 0
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filled: float = 0.0
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avg_price: float = 0.0
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status: str = ""
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message: str = ""
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raw: Dict[str, Any] = field(default_factory=dict)
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class IBKRClient:
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"""
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Interactive Brokers Trading Client
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Usage:
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config = IBKRConfig(port=7497) # TWS Live
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client = IBKRClient(config)
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if client.connect():
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# Place order
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result = client.place_market_order("AAPL", "buy", 10, "USStock")
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# Get positions
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positions = client.get_positions()
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client.disconnect()
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"""
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def __init__(self, config: Optional[IBKRConfig] = None):
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self.config = config or IBKRConfig()
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self._ib = None
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self._connected = False
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self._lock = threading.Lock()
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self._account = ""
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@property
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def connected(self) -> bool:
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"""Check if connected."""
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if self._ib is None:
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return False
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return self._ib.isConnected()
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def connect(self) -> bool:
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"""
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Connect to TWS or IB Gateway.
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Returns:
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True if connected successfully
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"""
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with self._lock:
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if self.connected:
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return True
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try:
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_ensure_ib_insync()
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if self._ib is None:
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self._ib = ib_insync.IB()
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logger.info(f"Connecting to IBKR: {self.config.host}:{self.config.port} (clientId={self.config.client_id})")
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self._ib.connect(
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host=self.config.host,
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port=self.config.port,
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clientId=self.config.client_id,
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readonly=self.config.readonly,
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timeout=self.config.timeout
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)
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self._connected = True
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# Get account
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accounts = self._ib.managedAccounts()
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if accounts:
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self._account = self.config.account or accounts[0]
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logger.info(f"IBKR connected, account: {self._account}")
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else:
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logger.warning("IBKR connected but no account info retrieved")
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return True
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except Exception as e:
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logger.error(f"IBKR connection failed: {e}")
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self._connected = False
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return False
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def disconnect(self):
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"""Disconnect from IBKR."""
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with self._lock:
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if self._ib is not None:
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try:
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self._ib.disconnect()
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except Exception as e:
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logger.warning(f"IBKR disconnect exception: {e}")
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finally:
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self._connected = False
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logger.info("IBKR disconnected")
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def _ensure_connected(self):
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"""Ensure connection is established."""
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if not self.connected:
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if not self.connect():
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raise ConnectionError("Cannot connect to IBKR")
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def _create_contract(self, symbol: str, market_type: str):
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"""
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Create IB contract object.
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Args:
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symbol: Symbol code
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market_type: Market type (USStock, HShare)
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"""
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_ensure_ib_insync()
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ib_symbol, exchange, currency = normalize_symbol(symbol, market_type)
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contract = ib_insync.Stock(
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symbol=ib_symbol,
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exchange=exchange,
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currency=currency
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)
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return contract
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def _qualify_contract(self, contract) -> bool:
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"""Validate contract."""
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try:
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qualified = self._ib.qualifyContracts(contract)
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return len(qualified) > 0
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except Exception as e:
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logger.warning(f"Contract qualification failed: {e}")
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return False
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# ==================== Order Methods ====================
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def place_market_order(
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self,
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symbol: str,
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side: str,
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quantity: float,
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market_type: str = "USStock",
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) -> OrderResult:
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"""
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Place a market order.
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Args:
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symbol: Symbol code (e.g., AAPL, 0700.HK)
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side: Direction ("buy" or "sell")
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quantity: Number of shares
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market_type: Market type ("USStock" or "HShare")
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Returns:
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OrderResult
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"""
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try:
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self._ensure_connected()
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_ensure_ib_insync()
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contract = self._create_contract(symbol, market_type)
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if not self._qualify_contract(contract):
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return OrderResult(
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success=False,
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message=f"Invalid contract: {symbol}"
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)
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order = ib_insync.MarketOrder(
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action="BUY" if side.lower() == "buy" else "SELL",
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totalQuantity=quantity,
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account=self._account
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)
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trade = self._ib.placeOrder(contract, order)
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# Wait for order status update
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self._ib.sleep(2)
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return OrderResult(
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success=True,
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order_id=trade.order.orderId,
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filled=float(trade.orderStatus.filled or 0),
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avg_price=float(trade.orderStatus.avgFillPrice or 0),
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status=trade.orderStatus.status,
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message="Order submitted",
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raw={
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"orderId": trade.order.orderId,
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"status": trade.orderStatus.status,
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"filled": float(trade.orderStatus.filled or 0),
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"remaining": float(trade.orderStatus.remaining or 0),
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}
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)
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except Exception as e:
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logger.error(f"Order failed: {e}")
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return OrderResult(
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success=False,
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message=str(e)
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)
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def place_limit_order(
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self,
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symbol: str,
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side: str,
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quantity: float,
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price: float,
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market_type: str = "USStock",
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) -> OrderResult:
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"""
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Place a limit order.
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Args:
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symbol: Symbol code
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side: Direction ("buy" or "sell")
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quantity: Number of shares
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price: Limit price
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market_type: Market type
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Returns:
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OrderResult
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"""
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try:
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self._ensure_connected()
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_ensure_ib_insync()
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contract = self._create_contract(symbol, market_type)
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if not self._qualify_contract(contract):
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return OrderResult(
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success=False,
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message=f"Invalid contract: {symbol}"
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)
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order = ib_insync.LimitOrder(
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action="BUY" if side.lower() == "buy" else "SELL",
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totalQuantity=quantity,
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lmtPrice=price,
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account=self._account
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)
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trade = self._ib.placeOrder(contract, order)
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self._ib.sleep(1)
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return OrderResult(
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success=True,
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order_id=trade.order.orderId,
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filled=float(trade.orderStatus.filled or 0),
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avg_price=float(trade.orderStatus.avgFillPrice or 0),
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status=trade.orderStatus.status,
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message="Limit order submitted",
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raw={
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"orderId": trade.order.orderId,
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"status": trade.orderStatus.status,
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"limitPrice": price,
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}
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)
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except Exception as e:
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logger.error(f"Limit order failed: {e}")
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return OrderResult(
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success=False,
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message=str(e)
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)
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def cancel_order(self, order_id: int) -> bool:
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"""
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Cancel an order.
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Args:
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order_id: Order ID
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Returns:
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True if cancelled successfully
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"""
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try:
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self._ensure_connected()
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for trade in self._ib.openTrades():
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if trade.order.orderId == order_id:
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self._ib.cancelOrder(trade.order)
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logger.info(f"Order {order_id} cancelled")
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return True
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logger.warning(f"Order not found: {order_id}")
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return False
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except Exception as e:
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logger.error(f"Cancel order failed: {e}")
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return False
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# ==================== Query Methods ====================
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def get_account_summary(self) -> Dict[str, Any]:
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"""
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Get account summary.
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Returns:
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Account info dictionary
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"""
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try:
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self._ensure_connected()
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summary = self._ib.accountSummary(self._account)
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result = {}
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for item in summary:
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result[item.tag] = {
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"value": item.value,
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"currency": item.currency
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}
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return {
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"account": self._account,
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"summary": result,
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"success": True
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}
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except Exception as e:
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logger.error(f"Get account summary failed: {e}")
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return {"success": False, "error": str(e)}
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def get_positions(self) -> List[Dict[str, Any]]:
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"""
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Get current positions.
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Returns:
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List of positions
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"""
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try:
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self._ensure_connected()
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positions = self._ib.positions(self._account)
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result = []
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for pos in positions:
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contract = pos.contract
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exchange = contract.exchange or contract.primaryExchange or "SMART"
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result.append({
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"symbol": format_display_symbol(contract.symbol, exchange),
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"ib_symbol": contract.symbol,
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"secType": contract.secType,
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"exchange": exchange,
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"currency": contract.currency,
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"quantity": float(pos.position),
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"avgCost": float(pos.avgCost),
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"marketValue": float(pos.position) * float(pos.avgCost),
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})
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return result
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except Exception as e:
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logger.error(f"Get positions failed: {e}")
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return []
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def get_open_orders(self) -> List[Dict[str, Any]]:
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"""
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Get open orders.
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Returns:
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List of orders
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"""
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try:
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self._ensure_connected()
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trades = self._ib.openTrades()
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result = []
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for trade in trades:
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order = trade.order
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contract = trade.contract
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status = trade.orderStatus
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result.append({
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"orderId": order.orderId,
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"symbol": contract.symbol,
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"action": order.action,
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"quantity": float(order.totalQuantity),
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"orderType": order.orderType,
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"limitPrice": getattr(order, 'lmtPrice', None),
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"status": status.status,
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"filled": float(status.filled or 0),
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"remaining": float(status.remaining or 0),
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"avgFillPrice": float(status.avgFillPrice or 0),
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})
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return result
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except Exception as e:
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logger.error(f"Get orders failed: {e}")
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return []
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def get_quote(self, symbol: str, market_type: str = "USStock") -> Dict[str, Any]:
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"""
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Get real-time quote.
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Args:
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symbol: Symbol code
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market_type: Market type
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Returns:
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Quote data
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"""
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try:
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self._ensure_connected()
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contract = self._create_contract(symbol, market_type)
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if not self._qualify_contract(contract):
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return {"success": False, "error": f"Invalid contract: {symbol}"}
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# Request market data
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ticker = self._ib.reqMktData(contract, '', False, False)
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# Wait for data
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self._ib.sleep(2)
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result = {
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"success": True,
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"symbol": symbol,
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"bid": ticker.bid if ticker.bid and ticker.bid > 0 else None,
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"ask": ticker.ask if ticker.ask and ticker.ask > 0 else None,
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"last": ticker.last if ticker.last and ticker.last > 0 else None,
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"high": ticker.high if ticker.high and ticker.high > 0 else None,
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"low": ticker.low if ticker.low and ticker.low > 0 else None,
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"volume": ticker.volume if ticker.volume and ticker.volume > 0 else None,
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"close": ticker.close if ticker.close and ticker.close > 0 else None,
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}
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# Cancel subscription
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self._ib.cancelMktData(contract)
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return result
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except Exception as e:
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logger.error(f"Get quote failed: {e}")
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return {"success": False, "error": str(e)}
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def get_connection_status(self) -> Dict[str, Any]:
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"""Get connection status."""
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return {
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"connected": self.connected,
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"host": self.config.host,
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"port": self.config.port,
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"clientId": self.config.client_id,
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"account": self._account,
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"readonly": self.config.readonly,
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}
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# Global singleton (optional)
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_global_client: Optional[IBKRClient] = None
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_global_lock = threading.Lock()
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def get_ibkr_client(config: Optional[IBKRConfig] = None) -> IBKRClient:
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"""
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Get global IBKR client singleton.
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Args:
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config: Configuration (only effective on first call)
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Returns:
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IBKRClient instance
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"""
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global _global_client
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with _global_lock:
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if _global_client is None:
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_global_client = IBKRClient(config)
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return _global_client
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def reset_ibkr_client():
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"""Reset global client (disconnect and clear instance)."""
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global _global_client
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with _global_lock:
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if _global_client is not None:
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_global_client.disconnect()
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_global_client = None
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