"""Deserialize and dispatch messages.""" import dataclasses import logging from datetime import datetime, timezone from typing import Any, cast from .contract import ( ComboLeg, Contract, ContractDescription, ContractDetails, DeltaNeutralContract) from .objects import ( BarData, CommissionReport, DepthMktDataDescription, Execution, FamilyCode, HistogramData, HistoricalSession, HistoricalTick, HistoricalTickBidAsk, HistoricalTickLast, NewsProvider, PriceIncrement, SmartComponent, SoftDollarTier, TagValue, TickAttribBidAsk, TickAttribLast) from .order import Order, OrderComboLeg, OrderCondition, OrderState from .util import UNSET_DOUBLE, ZoneInfo, parseIBDatetime from .wrapper import Wrapper class Decoder: """Decode IB messages and invoke corresponding wrapper methods.""" def __init__(self, wrapper: Wrapper, serverVersion: int): self.wrapper = wrapper self.serverVersion = serverVersion self.logger = logging.getLogger('ib_insync.Decoder') self.handlers = { 1: self.priceSizeTick, 2: self.wrap( 'tickSize', [int, int, float]), 3: self.wrap( 'orderStatus', [ int, str, float, float, float, int, int, float, int, str, float], skip=1), 4: self.errorMsg, 5: self.openOrder, 6: self.wrap( 'updateAccountValue', [str, str, str, str]), 7: self.updatePortfolio, 8: self.wrap( 'updateAccountTime', [str]), 9: self.wrap( 'nextValidId', [int]), 10: self.contractDetails, 11: self.execDetails, 12: self.wrap( 'updateMktDepth', [int, int, int, int, float, float]), 13: self.wrap( 'updateMktDepthL2', [int, int, str, int, int, float, float, bool]), 14: self.wrap( 'updateNewsBulletin', [int, int, str, str]), 15: self.wrap( 'managedAccounts', [str]), 16: self.wrap( 'receiveFA', [int, str]), 17: self.historicalData, 18: self.bondContractDetails, 19: self.wrap( 'scannerParameters', [str]), 20: self.scannerData, 21: self.tickOptionComputation, 45: self.wrap( 'tickGeneric', [int, int, float]), 46: self.wrap( 'tickString', [int, int, str]), 47: self.wrap( 'tickEFP', [int, int, float, str, float, int, str, float, float]), 49: self.wrap( 'currentTime', [int]), 50: self.wrap( 'realtimeBar', [int, int, float, float, float, float, float, float, int]), 51: self.wrap( 'fundamentalData', [int, str]), 52: self.wrap( 'contractDetailsEnd', [int]), 53: self.wrap( 'openOrderEnd', []), 54: self.wrap( 'accountDownloadEnd', [str]), 55: self.wrap( 'execDetailsEnd', [int]), 56: self.deltaNeutralValidation, 57: self.wrap( 'tickSnapshotEnd', [int]), 58: self.wrap( 'marketDataType', [int, int]), 59: self.commissionReport, 61: self.position, 62: self.wrap( 'positionEnd', []), 63: self.wrap( 'accountSummary', [int, str, str, str, str]), 64: self.wrap( 'accountSummaryEnd', [int]), 65: self.wrap( 'verifyMessageAPI', [str]), 66: self.wrap( 'verifyCompleted', [bool, str]), 67: self.wrap( 'displayGroupList', [int, str]), 68: self.wrap( 'displayGroupUpdated', [int, str]), 69: self.wrap( 'verifyAndAuthMessageAPI', [str, str]), 70: self.wrap( 'verifyAndAuthCompleted', [bool, str]), 71: self.positionMulti, 72: self.wrap( 'positionMultiEnd', [int]), 73: self.wrap( 'accountUpdateMulti', [int, str, str, str, str, str]), 74: self.wrap( 'accountUpdateMultiEnd', [int]), 75: self.securityDefinitionOptionParameter, 76: self.wrap( 'securityDefinitionOptionParameterEnd', [int], skip=1), 77: self.softDollarTiers, 78: self.familyCodes, 79: self.symbolSamples, 80: self.mktDepthExchanges, 81: self.wrap( 'tickReqParams', [int, float, str, int], skip=1), 82: self.smartComponents, 83: self.wrap( 'newsArticle', [int, int, str], skip=1), 84: self.wrap( 'tickNews', [int, int, str, str, str, str], skip=1), 85: self.newsProviders, 86: self.wrap( 'historicalNews', [int, str, str, str, str], skip=1), 87: self.wrap( 'historicalNewsEnd', [int, bool], skip=1), 88: self.wrap( 'headTimestamp', [int, str], skip=1), 89: self.histogramData, 90: self.historicalDataUpdate, 91: self.wrap( 'rerouteMktDataReq', [int, int, str], skip=1), 92: self.wrap( 'rerouteMktDepthReq', [int, int, str], skip=1), 93: self.marketRule, 94: self.wrap( 'pnl', [int, float, float, float], skip=1), 95: self.wrap( 'pnlSingle', [int, float, float, float, float, float], skip=1), 96: self.historicalTicks, 97: self.historicalTicksBidAsk, 98: self.historicalTicksLast, 99: self.tickByTick, 100: self.wrap( 'orderBound', [int, int, int], skip=1), 101: self.completedOrder, 102: self.wrap( 'completedOrdersEnd', [], skip=1), 103: self.wrap( 'replaceFAEnd', [int, str], skip=1), 104: self.wrap( 'wshMetaData', [int, str], skip=1), 105: self.wrap( 'wshEventData', [int, str], skip=1), 106: self.historicalSchedule, 107: self.wrap( 'userInfo', [int, str], skip=1) } def wrap(self, methodName, types, skip=2): """ Create a message handler that invokes a wrapper method with the in-order message fields as parameters, skipping over the first ``skip`` fields, and parsed according to the ``types`` list. """ def handler(fields): method = getattr(self.wrapper, methodName, None) if method: try: args = [ field if typ is str else int(field or 0) if typ is int else float(field or 0) if typ is float else bool(int(field or 0)) for (typ, field) in zip(types, fields[skip:])] method(*args) except Exception: self.logger.exception(f'Error for {methodName}:') return handler def interpret(self, fields): """Decode fields and invoke corresponding wrapper method.""" try: msgId = int(fields[0]) handler = self.handlers[msgId] handler(fields) except Exception: self.logger.exception(f'Error handling fields: {fields}') def parse(self, obj): """Parse the object's properties according to its default types.""" for field in dataclasses.fields(obj): typ = type(field.default) if typ is str: continue v = getattr(obj, field.name) if typ is int: setattr(obj, field.name, int(v) if v else field.default) elif typ is float: setattr(obj, field.name, float(v) if v else field.default) elif typ is bool: setattr(obj, field.name, bool(int(v)) if v else field.default) def priceSizeTick(self, fields): _, _, reqId, tickType, price, size, _ = fields if price: self.wrapper.priceSizeTick( int(reqId), int(tickType), float(price), float(size or 0)) def errorMsg(self, fields): _, _, reqId, errorCode, errorString, *fields = fields advancedOrderRejectJson = '' if self.serverVersion >= 166: advancedOrderRejectJson, *fields = fields self.wrapper.error( int(reqId), int(errorCode), errorString, advancedOrderRejectJson) def updatePortfolio(self, fields): c = Contract() ( _, _, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.multiplier, c.primaryExchange, c.currency, c.localSymbol, c.tradingClass, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName) = fields self.parse(c) self.wrapper.updatePortfolio( c, float(position), float(marketPrice), float(marketValue), float(averageCost), float(unrealizedPNL), float(realizedPNL), accountName) def contractDetails(self, fields): cd = ContractDetails() cd.contract = c = Contract() if self.serverVersion < 164: fields.pop(0) ( _, reqId, c.symbol, c.secType, lastTimes, c.strike, c.right, c.exchange, c.currency, c.localSymbol, cd.marketName, c.tradingClass, c.conId, cd.minTick, *fields) = fields if self.serverVersion < 164: fields.pop(0) # obsolete mdSizeMultiplier ( c.multiplier, cd.orderTypes, cd.validExchanges, cd.priceMagnifier, cd.underConId, cd.longName, c.primaryExchange, cd.contractMonth, cd.industry, cd.category, cd.subcategory, cd.timeZoneId, cd.tradingHours, cd.liquidHours, cd.evRule, cd.evMultiplier, numSecIds, *fields) = fields numSecIds = int(numSecIds) if numSecIds > 0: cd.secIdList = [] for _ in range(numSecIds): tag, value, *fields = fields cd.secIdList += [TagValue(tag, value)] ( cd.aggGroup, cd.underSymbol, cd.underSecType, cd.marketRuleIds, cd.realExpirationDate, cd.stockType, *fields) = fields if self.serverVersion == 163: cd.suggestedSizeIncrement, *fields = fields if self.serverVersion >= 164: ( cd.minSize, cd.sizeIncrement, cd.suggestedSizeIncrement, # cd.minCashQtySize, *fields) = fields times = lastTimes.split('-' if '-' in lastTimes else None) if len(times) > 0: c.lastTradeDateOrContractMonth = times[0] if len(times) > 1: cd.lastTradeTime = times[1] cd.longName = cd.longName.encode().decode('unicode-escape') self.parse(cd) self.parse(c) self.wrapper.contractDetails(int(reqId), cd) def bondContractDetails(self, fields): cd = ContractDetails() cd.contract = c = Contract() if self.serverVersion < 164: fields.pop(0) ( _, reqId, c.symbol, c.secType, cd.cusip, cd.coupon, lastTimes, cd.issueDate, cd.ratings, cd.bondType, cd.couponType, cd.convertible, cd.callable, cd.putable, cd.descAppend, c.exchange, c.currency, cd.marketName, c.tradingClass, c.conId, cd.minTick, *fields) = fields if self.serverVersion < 164: fields.pop(0) # obsolete mdSizeMultiplier ( cd.orderTypes, cd.validExchanges, cd.nextOptionDate, cd.nextOptionType, cd.nextOptionPartial, cd.notes, cd.longName, cd.evRule, cd.evMultiplier, numSecIds, *fields) = fields numSecIds = int(numSecIds) if numSecIds > 0: cd.secIdList = [] for _ in range(numSecIds): tag, value, *fields = fields cd.secIdList += [TagValue(tag, value)] cd.aggGroup, cd.marketRuleIds, *fields = fields if self.serverVersion >= 164: ( cd.minSize, cd.sizeIncrement, cd.suggestedSizeIncrement, # cd.minCashQtySize, *fields) = fields times = lastTimes.split('-' if '-' in lastTimes else None) if len(times) > 0: cd.maturity = times[0] if len(times) > 1: cd.lastTradeTime = times[1] if len(times) > 2: cd.timeZoneId = times[2] self.parse(cd) self.parse(c) self.wrapper.bondContractDetails(int(reqId), cd) def execDetails(self, fields): c = Contract() ex = Execution() ( _, reqId, ex.orderId, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.multiplier, c.exchange, c.currency, c.localSymbol, c.tradingClass, ex.execId, timeStr, ex.acctNumber, ex.exchange, ex.side, ex.shares, ex.price, ex.permId, ex.clientId, ex.liquidation, ex.cumQty, ex.avgPrice, ex.orderRef, ex.evRule, ex.evMultiplier, ex.modelCode, ex.lastLiquidity) = fields self.parse(c) self.parse(ex) time = cast(datetime, parseIBDatetime(timeStr)) if not time.tzinfo: tz = self.wrapper.ib.TimezoneTWS if tz: time = time.replace(tzinfo=ZoneInfo(str(tz))) ex.time = time.astimezone(timezone.utc) self.wrapper.execDetails(int(reqId), c, ex) def historicalData(self, fields): _, reqId, startDateStr, endDateStr, numBars, *fields = fields get = iter(fields).__next__ for _ in range(int(numBars)): bar = BarData( date=get(), open=float(get()), high=float(get()), low=float(get()), close=float(get()), volume=float(get()), average=float(get()), barCount=int(get())) self.wrapper.historicalData(int(reqId), bar) self.wrapper.historicalDataEnd(int(reqId), startDateStr, endDateStr) def historicalDataUpdate(self, fields): _, reqId, *fields = fields get = iter(fields).__next__ bar = BarData( barCount=int(get() or 0), date=get(), open=float(get() or 0), close=float(get() or 0), high=float(get() or 0), low=float(get() or 0), average=float(get() or 0), volume=float(get() or 0)) self.wrapper.historicalDataUpdate(int(reqId), bar) def scannerData(self, fields): _, _, reqId, n, *fields = fields for _ in range(int(n)): cd = ContractDetails() cd.contract = c = Contract() ( rank, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.exchange, c.currency, c.localSymbol, cd.marketName, c.tradingClass, distance, benchmark, projection, legsStr, *fields) = fields self.parse(cd) self.parse(c) self.wrapper.scannerData( int(reqId), int(rank), cd, distance, benchmark, projection, legsStr) self.wrapper.scannerDataEnd(int(reqId)) def tickOptionComputation(self, fields): _, reqId, tickTypeInt, tickAttrib, *fields = fields impliedVol, delta, optPrice, pvDividend, \ gamma, vega, theta, undPrice = fields self.wrapper.tickOptionComputation( int(reqId), int(tickTypeInt), int(tickAttrib), float(impliedVol), float(delta), float(optPrice), float(pvDividend), float(gamma), float(vega), float(theta), float(undPrice)) def deltaNeutralValidation(self, fields): _, _, reqId, conId, delta, price = fields self.wrapper.deltaNeutralValidation( int(reqId), DeltaNeutralContract( int(conId), float(delta or 0), float(price or 0))) def commissionReport(self, fields): _, _, execId, commission, currency, realizedPNL, \ yield_, yieldRedemptionDate = fields self.wrapper.commissionReport( CommissionReport( execId, float(commission or 0), currency, float(realizedPNL or 0), float(yield_ or 0), int(yieldRedemptionDate or 0))) def position(self, fields): c = Contract() ( _, _, account, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.multiplier, c.exchange, c.currency, c.localSymbol, c.tradingClass, position, avgCost) = fields self.parse(c) self.wrapper.position( account, c, float(position or 0), float(avgCost or 0)) def positionMulti(self, fields): c = Contract() ( _, _, reqId, account, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.multiplier, c.exchange, c.currency, c.localSymbol, c.tradingClass, position, avgCost, modelCode) = fields self.parse(c) self.wrapper.positionMulti( int(reqId), account, modelCode, c, float(position or 0), float(avgCost or 0)) def securityDefinitionOptionParameter(self, fields): _, reqId, exchange, underlyingConId, tradingClass, multiplier, \ n, *fields = fields n = int(n) expirations = fields[:n] strikes = [float(field) for field in fields[n + 1:]] self.wrapper.securityDefinitionOptionParameter( int(reqId), exchange, underlyingConId, tradingClass, multiplier, expirations, strikes) def softDollarTiers(self, fields): _, reqId, n, *fields = fields get = iter(fields).__next__ tiers = [ SoftDollarTier( name=get(), val=get(), displayName=get()) for _ in range(int(n))] self.wrapper.softDollarTiers(int(reqId), tiers) def familyCodes(self, fields): _, n, *fields = fields get = iter(fields).__next__ familyCodes = [ FamilyCode( accountID=get(), familyCodeStr=get()) for _ in range(int(n))] self.wrapper.familyCodes(familyCodes) def symbolSamples(self, fields): _, reqId, n, *fields = fields cds = [] for _ in range(int(n)): cd = ContractDescription() cd.contract = c = Contract() c.conId, c.symbol, c.secType, c.primaryExchange, c.currency, \ m, *fields = fields c.conId = int(c.conId) m = int(m) cd.derivativeSecTypes = fields[:m] fields = fields[m:] if self.serverVersion >= 176: ( cd.contract.description, cd.contract.issuerId, *fields) = fields cds.append(cd) self.wrapper.symbolSamples(int(reqId), cds) def smartComponents(self, fields): _, reqId, n, *fields = fields get = iter(fields).__next__ components = [ SmartComponent( bitNumber=int(get()), exchange=get(), exchangeLetter=get()) for _ in range(int(n))] self.wrapper.smartComponents(int(reqId), components) def mktDepthExchanges(self, fields): _, n, *fields = fields get = iter(fields).__next__ descriptions = [ DepthMktDataDescription( exchange=get(), secType=get(), listingExch=get(), serviceDataType=get(), aggGroup=int(get())) for _ in range(int(n))] self.wrapper.mktDepthExchanges(descriptions) def newsProviders(self, fields): _, n, *fields = fields get = iter(fields).__next__ providers = [ NewsProvider( code=get(), name=get()) for _ in range(int(n))] self.wrapper.newsProviders(providers) def histogramData(self, fields): _, reqId, n, *fields = fields get = iter(fields).__next__ histogram = [ HistogramData( price=float(get()), count=int(get())) for _ in range(int(n))] self.wrapper.histogramData(int(reqId), histogram) def marketRule(self, fields): _, marketRuleId, n, *fields = fields get = iter(fields).__next__ increments = [ PriceIncrement( lowEdge=float(get()), increment=float(get())) for _ in range(int(n))] self.wrapper.marketRule(int(marketRuleId), increments) def historicalTicks(self, fields): _, reqId, n, *fields = fields get = iter(fields).__next__ ticks = [] for _ in range(int(n)): time = int(get()) get() price = float(get()) size = float(get()) dt = datetime.fromtimestamp(time, timezone.utc) ticks.append( HistoricalTick(dt, price, size)) done = bool(int(get())) self.wrapper.historicalTicks(int(reqId), ticks, done) def historicalTicksBidAsk(self, fields): _, reqId, n, *fields = fields get = iter(fields).__next__ ticks = [] for _ in range(int(n)): time = int(get()) mask = int(get()) attrib = TickAttribBidAsk( askPastHigh=bool(mask & 1), bidPastLow=bool(mask & 2)) priceBid = float(get()) priceAsk = float(get()) sizeBid = float(get()) sizeAsk = float(get()) dt = datetime.fromtimestamp(time, timezone.utc) ticks.append( HistoricalTickBidAsk( dt, attrib, priceBid, priceAsk, sizeBid, sizeAsk)) done = bool(int(get())) self.wrapper.historicalTicksBidAsk(int(reqId), ticks, done) def historicalTicksLast(self, fields): _, reqId, n, *fields = fields get = iter(fields).__next__ ticks = [] for _ in range(int(n)): time = int(get()) mask = int(get()) attrib = TickAttribLast( pastLimit=bool(mask & 1), unreported=bool(mask & 2)) price = float(get()) size = float(get()) exchange = get() specialConditions = get() dt = datetime.fromtimestamp(time, timezone.utc) ticks.append( HistoricalTickLast( dt, attrib, price, size, exchange, specialConditions)) done = bool(int(get())) self.wrapper.historicalTicksLast(int(reqId), ticks, done) def tickByTick(self, fields): _, reqId, tickType, time, *fields = fields reqId = int(reqId) tickType = int(tickType) time = int(time) if tickType in (1, 2): price, size, mask, exchange, specialConditions = fields mask = int(mask) attrib: Any = TickAttribLast( pastLimit=bool(mask & 1), unreported=bool(mask & 2)) self.wrapper.tickByTickAllLast( reqId, tickType, time, float(price), float(size), attrib, exchange, specialConditions) elif tickType == 3: bidPrice, askPrice, bidSize, askSize, mask = fields mask = int(mask) attrib = TickAttribBidAsk( bidPastLow=bool(mask & 1), askPastHigh=bool(mask & 2)) self.wrapper.tickByTickBidAsk( reqId, time, float(bidPrice), float(askPrice), float(bidSize), float(askSize), attrib) elif tickType == 4: midPoint, = fields self.wrapper.tickByTickMidPoint(reqId, time, float(midPoint)) def openOrder(self, fields): o = Order() c = Contract() st = OrderState() ( _, o.orderId, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.multiplier, c.exchange, c.currency, c.localSymbol, c.tradingClass, o.action, o.totalQuantity, o.orderType, o.lmtPrice, o.auxPrice, o.tif, o.ocaGroup, o.account, o.openClose, o.origin, o.orderRef, o.clientId, o.permId, o.outsideRth, o.hidden, o.discretionaryAmt, o.goodAfterTime, _, o.faGroup, o.faMethod, o.faPercentage, o.faProfile, o.modelCode, o.goodTillDate, o.rule80A, o.percentOffset, o.settlingFirm, o.shortSaleSlot, o.designatedLocation, o.exemptCode, o.auctionStrategy, o.startingPrice, o.stockRefPrice, o.delta, o.stockRangeLower, o.stockRangeUpper, o.displaySize, o.blockOrder, o.sweepToFill, o.allOrNone, o.minQty, o.ocaType, o.eTradeOnly, o.firmQuoteOnly, o.nbboPriceCap, o.parentId, o.triggerMethod, o.volatility, o.volatilityType, o.deltaNeutralOrderType, o.deltaNeutralAuxPrice, *fields) = fields if o.deltaNeutralOrderType: ( o.deltaNeutralConId, o.deltaNeutralSettlingFirm, o.deltaNeutralClearingAccount, o.deltaNeutralClearingIntent, o.deltaNeutralOpenClose, o.deltaNeutralShortSale, o.deltaNeutralShortSaleSlot, o.deltaNeutralDesignatedLocation, *fields) = fields ( o.continuousUpdate, o.referencePriceType, o.trailStopPrice, o.trailingPercent, o.basisPoints, o.basisPointsType, c.comboLegsDescrip, *fields) = fields numLegs = int(fields.pop(0)) c.comboLegs = [] for _ in range(numLegs): leg: Any = ComboLeg() ( leg.conId, leg.ratio, leg.action, leg.exchange, leg.openClose, leg.shortSaleSlot, leg.designatedLocation, leg.exemptCode, *fields) = fields self.parse(leg) c.comboLegs.append(leg) numOrderLegs = int(fields.pop(0)) o.orderComboLegs = [] for _ in range(numOrderLegs): leg = OrderComboLeg() leg.price = fields.pop(0) self.parse(leg) o.orderComboLegs.append(leg) numParams = int(fields.pop(0)) if numParams > 0: o.smartComboRoutingParams = [] for _ in range(numParams): tag, value, *fields = fields o.smartComboRoutingParams.append( TagValue(tag, value)) ( o.scaleInitLevelSize, o.scaleSubsLevelSize, increment, *fields) = fields o.scalePriceIncrement = float(increment or UNSET_DOUBLE) if 0 < o.scalePriceIncrement < UNSET_DOUBLE: ( o.scalePriceAdjustValue, o.scalePriceAdjustInterval, o.scaleProfitOffset, o.scaleAutoReset, o.scaleInitPosition, o.scaleInitFillQty, o.scaleRandomPercent, *fields) = fields o.hedgeType = fields.pop(0) if o.hedgeType: o.hedgeParam = fields.pop(0) ( o.optOutSmartRouting, o.clearingAccount, o.clearingIntent, o.notHeld, dncPresent, *fields) = fields if int(dncPresent): conId, delta, price, *fields = fields c.deltaNeutralContract = DeltaNeutralContract( int(conId or 0), float(delta or 0), float(price or 0)) o.algoStrategy = fields.pop(0) if o.algoStrategy: numParams = int(fields.pop(0)) if numParams > 0: o.algoParams = [] for _ in range(numParams): tag, value, *fields = fields o.algoParams.append( TagValue(tag, value)) ( o.solicited, o.whatIf, st.status, st.initMarginBefore, st.maintMarginBefore, st.equityWithLoanBefore, st.initMarginChange, st.maintMarginChange, st.equityWithLoanChange, st.initMarginAfter, st.maintMarginAfter, st.equityWithLoanAfter, st.commission, st.minCommission, st.maxCommission, st.commissionCurrency, st.warningText, o.randomizeSize, o.randomizePrice, *fields) = fields if o.orderType == 'PEG BENCH': ( o.referenceContractId, o.isPeggedChangeAmountDecrease, o.peggedChangeAmount, o.referenceChangeAmount, o.referenceExchangeId, *fields) = fields numConditions = int(fields.pop(0)) if numConditions > 0: for _ in range(numConditions): condType = int(fields.pop(0)) condCls = OrderCondition.createClass(condType) n = len(dataclasses.fields(condCls)) - 1 cond = condCls(condType, *fields[:n]) self.parse(cond) o.conditions.append(cond) fields = fields[n:] ( o.conditionsIgnoreRth, o.conditionsCancelOrder, *fields) = fields ( o.adjustedOrderType, o.triggerPrice, o.trailStopPrice, o.lmtPriceOffset, o.adjustedStopPrice, o.adjustedStopLimitPrice, o.adjustedTrailingAmount, o.adjustableTrailingUnit, o.softDollarTier.name, o.softDollarTier.val, o.softDollarTier.displayName, o.cashQty, o.dontUseAutoPriceForHedge, o.isOmsContainer, o.discretionaryUpToLimitPrice, o.usePriceMgmtAlgo, *fields) = fields if self.serverVersion >= 159: o.duration = fields.pop(0) if self.serverVersion >= 160: o.postToAts = fields.pop(0) if self.serverVersion >= 162: o.autoCancelParent = fields.pop(0) if self.serverVersion >= 170: ( o.minTradeQty, o.minCompeteSize, o.competeAgainstBestOffset, o.midOffsetAtWhole, o.midOffsetAtHalf, *fields) = fields self.parse(c) self.parse(o) self.parse(st) self.wrapper.openOrder(o.orderId, c, o, st) def completedOrder(self, fields): o = Order() c = Contract() st = OrderState() ( _, c.conId, c.symbol, c.secType, c.lastTradeDateOrContractMonth, c.strike, c.right, c.multiplier, c.exchange, c.currency, c.localSymbol, c.tradingClass, o.action, o.totalQuantity, o.orderType, o.lmtPrice, o.auxPrice, o.tif, o.ocaGroup, o.account, o.openClose, o.origin, o.orderRef, o.permId, o.outsideRth, o.hidden, o.discretionaryAmt, o.goodAfterTime, o.faGroup, o.faMethod, o.faPercentage, o.faProfile, o.modelCode, o.goodTillDate, o.rule80A, o.percentOffset, o.settlingFirm, o.shortSaleSlot, o.designatedLocation, o.exemptCode, o.startingPrice, o.stockRefPrice, o.delta, o.stockRangeLower, o.stockRangeUpper, o.displaySize, o.sweepToFill, o.allOrNone, o.minQty, o.ocaType, o.triggerMethod, o.volatility, o.volatilityType, o.deltaNeutralOrderType, o.deltaNeutralAuxPrice, *fields) = fields if o.deltaNeutralOrderType: ( o.deltaNeutralConId, o.deltaNeutralShortSale, o.deltaNeutralShortSaleSlot, o.deltaNeutralDesignatedLocation, *fields) = fields ( o.continuousUpdate, o.referencePriceType, o.trailStopPrice, o.trailingPercent, c.comboLegsDescrip, *fields) = fields numLegs = int(fields.pop(0)) c.comboLegs = [] for _ in range(numLegs): leg: Any = ComboLeg() ( leg.conId, leg.ratio, leg.action, leg.exchange, leg.openClose, leg.shortSaleSlot, leg.designatedLocation, leg.exemptCode, *fields) = fields self.parse(leg) c.comboLegs.append(leg) numOrderLegs = int(fields.pop(0)) o.orderComboLegs = [] for _ in range(numOrderLegs): leg = OrderComboLeg() leg.price = fields.pop(0) self.parse(leg) o.orderComboLegs.append(leg) numParams = int(fields.pop(0)) if numParams > 0: o.smartComboRoutingParams = [] for _ in range(numParams): tag, value, *fields = fields o.smartComboRoutingParams.append( TagValue(tag, value)) ( o.scaleInitLevelSize, o.scaleSubsLevelSize, increment, *fields) = fields o.scalePriceIncrement = float(increment or UNSET_DOUBLE) if 0 < o.scalePriceIncrement < UNSET_DOUBLE: ( o.scalePriceAdjustValue, o.scalePriceAdjustInterval, o.scaleProfitOffset, o.scaleAutoReset, o.scaleInitPosition, o.scaleInitFillQty, o.scaleRandomPercent, *fields) = fields o.hedgeType = fields.pop(0) if o.hedgeType: o.hedgeParam = fields.pop(0) ( o.clearingAccount, o.clearingIntent, o.notHeld, dncPresent, *fields) = fields if int(dncPresent): conId, delta, price, *fields = fields c.deltaNeutralContract = DeltaNeutralContract( int(conId or 0), float(delta or 0), float(price or 0)) o.algoStrategy = fields.pop(0) if o.algoStrategy: numParams = int(fields.pop(0)) if numParams > 0: o.algoParams = [] for _ in range(numParams): tag, value, *fields = fields o.algoParams.append( TagValue(tag, value)) ( o.solicited, st.status, o.randomizeSize, o.randomizePrice, *fields) = fields if o.orderType == 'PEG BENCH': ( o.referenceContractId, o.isPeggedChangeAmountDecrease, o.peggedChangeAmount, o.referenceChangeAmount, o.referenceExchangeId, *fields) = fields numConditions = int(fields.pop(0)) if numConditions > 0: for _ in range(numConditions): condType = int(fields.pop(0)) condCls = OrderCondition.createClass(condType) n = len(dataclasses.fields(condCls)) - 1 cond = condCls(condType, *fields[:n]) self.parse(cond) o.conditions.append(cond) fields = fields[n:] ( o.conditionsIgnoreRth, o.conditionsCancelOrder, *fields) = fields ( o.trailStopPrice, o.lmtPriceOffset, o.cashQty, o.dontUseAutoPriceForHedge, o.isOmsContainer, o.autoCancelDate, o.filledQuantity, o.refFuturesConId, o.autoCancelParent, o.shareholder, o.imbalanceOnly, o.routeMarketableToBbo, o.parentPermId, st.completedTime, st.completedStatus, *fields) = fields if self.serverVersion >= 170: ( o.minTradeQty, o.minCompeteSize, o.competeAgainstBestOffset, o.midOffsetAtWhole, o.midOffsetAtHalf, *fields) = fields self.parse(c) self.parse(o) self.parse(st) self.wrapper.completedOrder(c, o, st) def historicalSchedule(self, fields): ( _, reqId, startDateTime, endDateTime, timeZone, count, *fields) = fields get = iter(fields).__next__ sessions = [HistoricalSession( startDateTime=get(), endDateTime=get(), refDate=get()) for _ in range(int(count))] self.wrapper.historicalSchedule( int(reqId), startDateTime, endDateTime, timeZone, sessions)