Sometimes it's nice to have a simple template to work from. Hope this helps someone get started with their very own automated execution program.
It uses the ibPy module and Python 2.7 (although it probably works on previous versions). I tried commenting the most important aspects.
What it does is send you a quote of the last price of the 'YM' 20130315 contract as long as that contract is between 13070 and 13100. Furthermore, (assuming you remove the '##'s) it will make a purchase if the contract is above 13083 and a sale if the contract is below 13082.
I recommend using a paper trading account while testing trade execution code. Also, the strategy within the code, if you were curious, has no quantitative backing. It's merely an example. The point is, you can add your own system in place of the one in the code.
I tried to comment on everything important in the code. If anything doesn't work or doesn't make sense, let me know! I'll try to reply quickly.
Here's the code:
from ib.ext.Contract import Contract
from ib.ext.Order import Order
from ib.opt import ibConnection, message
from time import sleep, strftime, localtime
from datetime import datetime
## Global variables
shares = 3
action = 'BUY'
orderID = 30
last = 0
prev_last = 0
sym = 'YM'
## Contract Creation Function
def makeStkContract(sym):
contract = Contract()
contract.m_symbol = 'YM'
contract.m_secType = 'FUT'
contract.m_expiry = '20130315'
contract.m_exchange = 'ECBOT'
contract.m_currency = 'USD'
return contract
## Order Creation Function
def makeStkOrder(shares,action):
order = Order()
order.m_minQty = shares
# order.m_lmtPrice = limit_price
order.m_orderType = 'MKT'
order.m_totalQuantity = shares
order.m_action = str(action).upper()
return order
## Tick Handler
def my_tick_handler(msg):
global last
global prev_last
#print msg
if msg.field == 4:
prev_last = last
last = float(msg.price)
print msg
##Connect
con = ibConnection()
con.register(my_tick_handler, message.TickSize, message.TickPrice)
con.connect()
## Make your contract
stkContract = makeStkContract(sym)
## Request tick data
con.reqMktData(orderID, stkContract, '', False)
sleep(1)
print last
## Prints last price as long as between 13070 and 13100
while (last > 13070 and last < 13100):
print last
#### A possible execution plan. Remove '##' to initiate.
#### A paper trading account is recommended for testing and debugging trade execution code.
## if (last > 13083):
## action = 'BUY'
## stkOrder = makeStkOrder(shares,action)
## con.placeOrder(orderID,stkContract,stkOrder)
## elif (last < 13082):
## action = 'SELL'
## stkOrder = makeStkOrder(shares,action)
## con.placeOrder(orderID,stkContract,stkOrder)
sleep(.5)
##Stop receiving tick values
con.cancelMktData(orderID)
##Disconnect from TWS
con.disconnect()
