IB TWS Trading Platform in Python 3 part 7 - profit and loss
In this tutorial lesson you will add labels and textboxes to hold the unrealized, realized, and total profit and loss
add code to calculate the marked profit and loss for both a long position and a short position
Add these variables to your project
self.unrealized = 0 # used in monitor position
self.realized = 0 # used in monitor position
self.unrealized_pnl = 0
self.realized_pnl = 0
self.marked_pnl = 0
Add this to the bottom of the create_widgets() function
add this code to the bottom of the cbSymbol_onEnter() function
they set the text boxes for Position, average price, unrealized, realized, and marked to zero, also the 2 variables realized_pnl, and marked_pnl to zero
In this tutorial you will understand more about what goes into the code to request historical data for certain trading instruments. Check out the other properties for Options, Futures, and Forex at the end of the page. In the video example we will request data for stocks. This only works with Interactive Brokers Paste this call to a function at the end of the connect_to_tws function (The highlighted text in yellow below)
# make sure this is included in the connect_to_tws functionself.register_callback_functions()
Paste this code after the connect_to_tws function and make sure all your indents are correct
defcontract_creation(self):
self.listbox1.delete(0,END) # clears contents of the listbox
self.tws_conn.cancelHistoricalData(5) #cancels historical data
mySymbol = varSymbol.get() # get the symbol from the combobox
contract = self.create_contract(mySymbol,
'STK', # security STK = stock 'SMART', # exchange'NASDAQ',# primary exchange'USD') # currency
now = strftime('%Y%m%d %H:%M:%S', localtime(int(time())))
duration = varDuration.get() # get the duration ie. 1 D, 1 M, 1 Y
bar_size = varBarSize.get() # get the bar size ie. 5 mins, 2 mins, 1 day
self.tws_conn.reqHistoricalData(tickerId = 5, # contract number can be any number
contract=contract, # contract detail from above
endDateTime=now, # end date and time
durationStr=duration,
barSizeSetting=bar_size,
whatToShow='TRADES', # what to show ie. MIDPOINT, BID, ASK,
useRTH=1, # Regular trading hours 1 = RTH, 0 = all data
formatDate=1) # 1 = 20161021 09:30:00 2 = Unix time (Epoch)defregister_callback_functions(self):
# Assign server messages handling function.
self.tws_conn.registerAll(self.server_handler)
# Assign error handling function.
self.tws_conn.register(self.error_handler, 'Error')
deferror_handler(self, msg):
if msg.typeName == 'error'and msg.id != -1:
print ('Server Error:', msg)
defserver_handler(self, msg):
if msg.typeName == 'historicalData':
hd_date = msg.date
hd_open = msg.open
hd_high = msg.high
hd_low = msg.low
hd_close = msg.close
hd_volume = msg.volume
str_date = str(hd_date)
str_open = str(hd_open)
str_high = str(hd_high)
str_low = str(hd_low)
str_close = str(hd_close)
str_volume = str(hd_volume)
# creates a string containing date, open, high, low, close, volume
priceData2 = hd_date+","+str_open+","+str_high+","+str_low+","+str_close+","+str_volume
if'finished'in hd_date:
passelse:
str_data = hd_date, hd_open, hd_high, hd_low, hd_close, hd_volume
print (str_data) # prints info to the Python shell
self.listbox1.insert(END, priceData2) # adds info to the listboxelif msg.typeName == "error"and msg.id != -1:
returndef create_contract(self, symbol, sec_type, exch, prim_exch, curr):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = sec_type
contract.m_exchange = exch
contract.m_primaryExch = prim_exch
contract.m_currency = curr
return contract
Interactive Brokers API identifies a financial instrument using an object class named contract.
The properties for contract are as follows:
Property
Description
conId
Contract id for the financial instrument.
symbol
Stock symbol or symbol for Options or Futures
secType
Type of instrument: Stock=STK, Option=OPT, Future=FUT, etc.
expiry
used with Options or Futures: The expiration date format YYYYMMDD
strike
Options: The Options Strike Price
right
Options: The Options “PUT” or “CALL”
multiplier
Contract multiplier for Futures or Options "100"
exchange
Destination of order or requested. “SMART” = IB smart order router
primaryExchange
Primary listing exchange where the instrument trades. NYSE, NASDAQ, AMEX, BATS, ARCA, etc.
currency
Currency of the exchange USD or GBP or CAD or EUR, etc.
http://interactivebrokers.github.io/tws-api/classIBApi_1_1Contract.html#gsc.tab=0 Examples, before a data request is made or before an order is submitted, an object of class contract will be created and its attributes will be populated with appropriate values used to identify the financial instrument. For example, to access market data for Netflix stock, set the properties:
To access a September 2016 $40 Call option on Netflix : I believe there is a data fee for options. You need to pay for a data feed for the options in order to request data through the API
conID = 3
# Contract ID
symbol = "NFLX"
# Netflix’s stock symbol
secType = "OPT"
# Security type is an Option (OPT)
expiry = "20170120"
# January 20, 2017 Expiry YYYYMMDD
strike = 90
# $90.00 strike price
right = "CALL"
# Call option
multiplier = "100"
# multiplier 100 shares per contract for options
exchange = "SMART"
# Use IB’s Smart Order router to get the prices
currency = "USD"
# USD Currency
To access a June 2017 Crude Oil Futures contract set the properties:
conID = 2
# Contract Id
symbol = "CL"
# Crude Oil underlying symbol (CL)
secType = "FUT"
# Security type is an Future (FUT)
expiry = "20170120"
# January 20, 2017 Expiry third Friday of month
exchange = "NYMEX"
# Use IB’s Smart Order router to get the prices
To access a foreign exchange quote such as Euro/USD:
conID = 6
# Contract Id
symbol = "EUR"
# Euro underlying (base currency) symbol (EUR/USD quote)
This will be a demo, I created an application on what the different attributes that you will need, and what data you can show with live examples.
The data that you can show is not the same for all securities for example the list below shows you can only request what is highlighted in yellow.
for a completes list of what to show and the times for requesting historical data you can use go to the following link below:
https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm
In this tutorial we will request account updates and receive the position size and average price of our position.
Create 2 labels and 2 text boxes (entry box)
#create label for Average Price
self.label22 = Label(f1, font=myFont, text='Avg Price', width=8 )
self.label22.grid(row=6, column=3)
#create label for Position
self.label23 = Label(f1, font=myFont, text='Position', width=8)
self.label23.grid(row=7, column=3)
#create entrybox (textbox) for Average Price
self.tbAvgPrice = Entry(f1, font=myFont, width=7, textvariable=varAvgPrice)
self.tbAvgPrice.grid(row=6, column=4)
#create entrybox (textbox) for Position size
self.tbPosition = Entry(f1, font=myFont, width=7, textvariable=varPosition)
self.tbPosition.grid(row=7, column=4)
Add this to the server_handler function under "updatePortfolio"
Add this near the bottom with the rest of the StringVar variables
varAvgPrice = StringVar(root, value='0.00') # variable for average price
varPosition = StringVar(root, value='0') # variable for Position and set default to zero
All of the code up to tutorial 6
# Craig Hammond 2017 www.sharpertradingimage.comfrom ib.ext.Contract import Contract
from ib.ext.Order import Order
from ib.opt import Connection, message
from tkinter import *
from tkinter import ttk
import time
from msvcrt import getch
class Application(Frame):
def__init__(self, master):
"""Initialize the Frame"""
ttk.Frame.__init__(self, master)
self.port=7496
self.client_id = 82 # this can be any number
self.grid()
self.create_widgets()
self.account_code = None
self.symbol_id, self.symbol = 0, 'AAPL'
self.order_id = 555
def create_widgets(self): # Method or function""" create the window layout. """
myFont = ('Lucida Grande', 12)
# create connect button widget
self.btnConnect = ttk.Button(self, text='Connect', command=self.connect_to_tws)
self.btnConnect.grid(row=0, column=0)
self.btnDisconnect = ttk.Button(self, text = "Disconnect", command=self.disconnect_it).grid(row=0, column=1, sticky=W)
#notebook
n = ttk.Notebook(root, width=550, height=350)
f1 = ttk.Frame(n) # first page, which would get widgets gridded into it
f2 = ttk.Frame(n) # second page
n.add(f1, text='One')
n.add(f2, text='Two')
n.grid(row=3, column=0, padx=5, pady=5, sticky=W)
#create listbox
self.listbox1 = Listbox(f1, font=('Lucida Grande',9), width=7)
#self.listbox1.bind('', self.OnDoubleClick_listbox)
self.listbox1.insert(1, 'NFLX')
self.listbox1.insert(2, 'AAPL')
self.listbox1.insert(3, 'FB')
self.listbox1.grid(row=0, rowspan=5, column=0, padx=5)
#create Label Symbol
self.label4 = Label(f1, font=myFont, text="Symbol").grid(row=0, column =1)
#create Label Quantity
self.label5 = Label(f1, font=myFont, text="Quantity").grid(row=0, column =2)
#create Label Limit Price
self.label6 = Label(f1, font=myFont, text="Limit Price").grid(row=0, column =3)
#create Label Market
self.label7 = Label(f1, font=myFont, text="Market").grid(row=0, column =4)
#create combo box for the Symbol
self.cbSymbol = ttk.Combobox(f1, font=myFont, width=6, textvariable = varSymbol)
self.cbSymbol.bind("<Return>", self.cbSymbol_onEnter) #when the enter key is press an event happens
self.cbSymbol.bind('<<ComboboxSelected>>',self.cbSymbol_onEnter)
self.cbSymbol['values'] = ('AAPL','FB','NFLX')
self.cbSymbol.grid(row=1, column =1,sticky = W)
#create spinbox (numericUpDown) for Limit Price
self.spinQuantity = Spinbox(f1, font=myFont, increment=100, from_=0, to=10000, width=7,
textvariable=varQuantity).grid(row=1, column=2)
#create spinbox (numericUpDown) for Limit Price
self.spinLimitPrice = Spinbox(f1, font=myFont, format='%8.2f', increment=.01, from_=0.0, to=1000.0, width=7,
textvariable=varLimitPrice)
# when control and up or down arrow are pressed call spenLimitDime()#self.spinLimitPrice.bind('', self.spinLimitDime)# when Alt and up or down arrow are pressed call spenLimitPenny()#self.spinLimitPrice.bind('', self.spinLimitPenny)
self.spinLimitPrice.grid(row=1, column=3)
#create textbox(Entry box) for the Market
self.cbMarket = ttk.Combobox(f1, font=myFont, width=7, textvariable=varMarket).grid(row=1, column=4, sticky = W)
#create Label OrderType ********-3-****
self.label8 = Label(f1, font=myFont, text="OrderType").grid(row=2, column =1, sticky=W)
#create Label Visible
self.label9 = Label(f1, font=myFont, text="Visible").grid(row=2, column =2)
#create Label Primary Exchange
self.labe20 = Label(f1, font=myFont, text="Primary Ex.").grid(row=2, column =3)
#create Label Time in Force
self.labe21 = Label(f1, font=myFont, text="TIF").grid(row=2, column =4)
#create textbox(Entry box) for the Order Type ****4****
self.cbOrderType = ttk.Combobox(f1, font=myFont, width=6, textvariable=varOrderType)
self.cbOrderType['values'] = ('LMT','MKT','STP', 'STP LMT', 'TRAIL', 'MOC', 'LOC')
self.cbOrderType.grid(row=3, column =1,sticky = W)
#create textbox(Entry box) for the Primary Exchange
self.tbPrimaryEx = Entry(f1, font=myFont, width=8, textvariable=varPrimaryEx).grid(row=3, column =3,sticky = W)
#create textbox(Entry box) for the Time in Force
self.cbTIF = ttk.Combobox(f1, font=myFont, width=7, textvariable=varTIF)
self.cbTIF['values'] = ('DAY','GTC')
self.cbTIF.grid(row=3, column =4,sticky = W)
#create Bid Label
self.label2 = Label(f1, font=myFont, text="Bid", width=7).grid(row=4, column=2)
#create Ask Label
self.label3 = Label(f1, font=myFont, text="Ask", width=7).grid(row=4, column=3)
#create textbox(Entry box) for the Bid price
self.tbBid = Entry(f1, font=myFont, width=7, textvariable = varBid)
self.tbBid.bind("<Button-1>", self.tbBid_Click)
self.tbBid.grid(row=5, column =2, sticky=E)
#create textbox(Entry box) for the Ask price
self.tbAsk = Entry(f1, font=myFont, width=7, textvariable = varAsk)
self.tbAsk.bind("<Button-1>", self.tbAsk_Click)
self.tbAsk.grid(row=5, column=3)
#create a sell button
self.btnSell = Button(f1, font=('',10,'bold'), text="SELL", width=9, bg="red", fg="white", command=self.sell)
self.btnSell.grid(row=5, column=1, sticky=W)
#create a buy button
self.btnBuy = Button(f1, font=('',10,'bold'), text="BUY", width=9, bg="green", fg="white", command=self.buy)
self.btnBuy.grid(row=5, column=4, sticky=E)
#create Label
self.label1 = Label(f1, font=myFont, width=8, text="Last").grid(row=6, column =1)
#create textbox(Entry box) for the last price
self.tbLast = Entry(f1, font=myFont, width=8, textvariable = varLast)
self.tbLast.bind("<Button-1>", self.tbLast_Click)
self.tbLast.grid(row=6, column =2,sticky = W)
# create button for cancel all
self.btnCancelAll = Button(f1, font= ('', 10), text= 'Cancel All',
width=8, bg="blue", fg="white", command=self.cancel_all)
self.btnCancelAll.grid(row=7, column=2)
#create label for Average Price
self.label22 = Label(f1, font=myFont, text='Avg Price', width=8 )
self.label22.grid(row=6, column=3)
#create label for Position
self.label23 = Label(f1, font=myFont, text='Position', width=8)
self.label23.grid(row=7, column=3)
#create entrybox (textbox) for Average Price
self.tbAvgPrice = Entry(f1, font=myFont, width=7, textvariable=varAvgPrice)
self.tbAvgPrice.grid(row=6, column=4)
#create entrybox (textbox) for Position size
self.tbPosition = Entry(f1, font=myFont, width=7, textvariable=varPosition)
self.tbPosition.grid(row=7, column=4)
deftbBid_Click(self, event):
LimitPrice = varBid.get()
varLimitPrice.set(LimitPrice)
deftbAsk_Click(self, event):
LimitPrice = varAsk.get()
varLimitPrice.set(LimitPrice)
deftbLast_Click(self, event):
LimitPrice = varLast.get()
varLimitPrice.set(LimitPrice)
defcancel_all(self):
self.tws_conn.reqGlobalCancel()
defconnect_to_tws(self):
self.tws_conn = Connection.create(port=self.port,
clientId=self.client_id)
self.tws_conn.connect()
self.register_callback_functions()
defdisconnect_it(self):
self.tws_conn.disconnect()
defbuy(self):
self.symbol = varSymbol.get() # gets the symbol string from the symbol combo box
self.quantity = varQuantity.get() # gets the share size from the quantity spinbox
self.order_type = varOrderType.get() # gets the order type for the order type combobox
self.limit_price = varLimitPrice.get() # gets the limit price from the limit price spinbox # calls the function place_market order passes variables# symbol, quantity, order type, buy or sell represeted by true or false, and limit price
self.place_market_order(self.symbol, self.quantity, self.order_type, True, self.limit_price)
defsell(self):
self.symbol = varSymbol.get()
self.quantity = varQuantity.get()
self.order_type = varOrderType.get()
self.limit_price = varLimitPrice.get()
self.place_market_order(self.symbol, self.quantity, self.order_type, False, self.limit_price)
# Place order ********************************************************************************place orderdefplace_market_order(self, symbol, quantity, order_type, is_buy, limit_price):
print (symbol, quantity, order_type, is_buy, limit_price)
contract = self.create_contract(symbol,
'STK',
'SMART',
'NASDAQ',
'USD')
# tests if is buy or sell
buysell = 'BUY' if is_buy else 'SELL'
order = self.create_order(order_type, quantity, buysell, limit_price)
self.tws_conn.placeOrder(self.order_id, contract, order)
# increses the order id by one
self.order_id += 1
defcbSymbol_onEnter(self, event):
# cancels Account updates
self.tws_conn.reqAccountUpdates(False, self.account_code)
# changes characters to upper case
varSymbol.set(varSymbol.get().upper())
# gets the value of the text from the combobox. cbSymbol# and adds it to the variable mytext
mytext = varSymbol.get()
# gets list of values from dropdwn list of# cbSymbol combobox
vals = self.cbSymbol.cget('values')
# selects all in the combobox. cbSymbol
self.cbSymbol.select_range(0, END)
# checks of symbol exists in the combobox if not it adds it# to the dropdown listif not vals:
self.cbSymbol.configure(values = (mytext, ))
elif mytext not in vals:
self.cbSymbol.configure(values = vals + (mytext, ))
mySymbol = varSymbol.get()
self.symbol = mySymbol
# calls the cancel_market_data() method
self.cancel_market_data()
# calls the method to request streaming data
self.request_market_data(self.symbol_id, self.symbol)
# calls method to request account updates
self.request_account_updates(self.account_code)
# sets bid and ask price to zero
varBid.set('0.00')
varAsk.set('0.00')
varPosition.set('0')
varAvgPrice.set('0.00')
defrequest_account_updates(self, account_code):
self.tws_conn.reqAccountUpdates(True, self.account_code)
defcancel_market_data(self):
self.tws_conn.cancelMktData(self.symbol_id)
defrequest_market_data(self, symbol_id, symbol):
contract = self.create_contract(symbol,
'STK',
'SMART',
'NASDAQ',
'USD')
self.tws_conn.reqMktData(symbol_id, contract, '', False)
deftick_event(self, msg):
if msg.tickerId == 0:
if msg.field == 1: # 1 is for the bid price
self.bid_price = msg.price
elif msg.field == 2: # 2 is for the ask price
self.ask_price = msg.price
elif msg.field == 4: # 4 represents the last price
self.last_prices = msg.price
self.monitor_position(msg)
def create_contract(self, symbol, sec_type, exch, prim_exch, curr):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = sec_type
contract.m_exchange = exch
contract.m_primaryExch = prim_exch
contract.m_currency = curr
return contract
defcreate_order(self, order_type, quantity, action, limit_price):
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_lmtPrice = limit_price
return order
defregister_callback_functions(self):
# Assign server messages handling function.
self.tws_conn.registerAll(self.server_handler)
# Assign error handling function.
self.tws_conn.register(self.error_handler, 'Error')
# Register market data events.
self.tws_conn.register(self.tick_event,
message.tickPrice,
message.tickSize)
defserver_handler(self, msg):
if msg.typeName == "nextValidId":
self.order_id = msg.orderId
elif msg.typeName == "managedAccounts":
self.account_code = msg.accountsList
elif msg.typeName == "updatePortfolio" \
and msg.contract.m_symbol == self.symbol \
and msg.contract.m_secType == 'STK':
self.unrealized_pnl = msg.unrealizedPNL
self.realized_pnl = msg.realizedPNL
self.position = msg.position
self.average_price = msg.averageCost
elif msg.typeName == "error" and msg.id != -1:
returndeferror_handler(self, msg):
if msg.typeName == 'error'and msg.id != -1:
print ('Server Error:', msg)
def monitor_position(self, msg): #*print ('Last Price = %s' % (self.last_prices))
varLast.set(self.last_prices)
varBid.set(self.bid_price)
varAsk.set(self.ask_price)
# '%.2f' = formats to 2 decimal places
varAvgPrice.set('%.2f' % self.average_price)
varPosition.set(self.position)
root = Tk()
root.title("Connect to IB TWS with Python")
root.geometry('600x480')
root.attributes('-topmost', True)
varSymbol = StringVar(root, value='NFLX')
varQuantity = StringVar(root, value='100')
varLimitPrice = StringVar()
varMarket = StringVar(root, value='SMART')
varOrderType = StringVar(root, value='LMT')
varPrimaryEx = StringVar(root, value='NASDAQ')
varTIF = StringVar(root, value='DAY')
varLast = StringVar()
varBid = StringVar()
varAsk = StringVar()
varAvgPrice = StringVar(root, value='0.00')
varPosition = StringVar(root, value='0')
app = Application(root)
root.mainloop()
