Merge pull request #5 from chicago-joe/master

Updated to IB API version 9.76 and Python 3 syntax

.gitignore

@@ -1,2 +1,214 @@
-
-*.pyc
+# Created by .ignore support plugin (hsz.mobi)
+### Example user template template
+### Example user template
+
+# IntelliJ project files
+.idea
+*.iml
+out
+gen
+### VisualStudioCode template
+.vscode/*
+!.vscode/settings.json
+!.vscode/tasks.json
+!.vscode/launch.json
+!.vscode/extensions.json
+
+### Python template
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+pip-wheel-metadata/
+share/python-wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+MANIFEST
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.nox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+.hypothesis/
+.pytest_cache/
+
+# Translations
+*.mo
+*.pot
+
+# Django stuff:
+*.log
+local_settings.py
+db.sqlite3
+
+# Flask stuff:
+instance/
+.webassets-cache
+
+# Scrapy stuff:
+.scrapy
+
+# Sphinx documentation
+docs/_build/
+
+# PyBuilder
+target/
+
+# Jupyter Notebook
+.ipynb_checkpoints
+
+# IPython
+profile_default/
+ipython_config.py
+
+# pyenv
+.python-version
+
+# pipenv
+#   According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
+#   However, in case of collaboration, if having platform-specific dependencies or dependencies
+#   having no cross-platform support, pipenv may install dependencies that don't work, or not
+#   install all needed dependencies.
+#Pipfile.lock
+
+# celery beat schedule file
+celerybeat-schedule
+
+# SageMath parsed files
+*.sage.py
+
+# Environments
+.env
+.venv
+env/
+venv/
+ENV/
+env.bak/
+venv.bak/
+
+# Spyder project settings
+.spyderproject
+.spyproject
+
+# Rope project settings
+.ropeproject
+
+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/
+.dmypy.json
+dmypy.json
+
+# Pyre type checker
+.pyre/
+
+### JetBrains template
+# Covers JetBrains IDEs: IntelliJ, RubyMine, PhpStorm, AppCode, PyCharm, CLion, Android Studio and WebStorm
+# Reference: https://intellij-support.jetbrains.com/hc/en-us/articles/206544839
+
+# User-specific stuff
+.idea/**/workspace.xml
+.idea/**/tasks.xml
+.idea/**/usage.statistics.xml
+.idea/**/dictionaries
+.idea/**/shelf
+
+# Generated files
+.idea/**/contentModel.xml
+
+# Sensitive or high-churn files
+.idea/**/dataSources/
+.idea/**/dataSources.ids
+.idea/**/dataSources.local.xml
+.idea/**/sqlDataSources.xml
+.idea/**/dynamic.xml
+.idea/**/uiDesigner.xml
+.idea/**/dbnavigator.xml
+
+# Gradle
+.idea/**/gradle.xml
+.idea/**/libraries
+
+# Gradle and Maven with auto-import
+# When using Gradle or Maven with auto-import, you should exclude module files,
+# since they will be recreated, and may cause churn.  Uncomment if using
+# auto-import.
+# .idea/modules.xml
+# .idea/*.iml
+# .idea/modules
+# *.iml
+# *.ipr
+
+# CMake
+cmake-build-*/
+
+# Mongo Explorer plugin
+.idea/**/mongoSettings.xml
+
+# File-based project format
+*.iws
+
+# IntelliJ
+out/
+
+# mpeltonen/sbt-idea plugin
+.idea_modules/
+
+# JIRA plugin
+atlassian-ide-plugin.xml
+
+# Cursive Clojure plugin
+.idea/replstate.xml
+
+# Crashlytics plugin (for Android Studio and IntelliJ)
+com_crashlytics_export_strings.xml
+crashlytics.properties
+crashlytics-build.properties
+fabric.properties
+
+# Editor-based Rest Client
+.idea/httpRequests
+
+# Android studio 3.1+ serialized cache file
+.idea/caches/build_file_checksums.ser
+
+.gitignore
+IB PairsTrading Algo
+IB PairsTrading Algo.pub

classes/__init__.py

@@ -1 +1,2 @@
 __author__ = 'jamesma'
+__author__ = 'chicago-joe'

classes/chart.py

@@ -1,12 +1,9 @@
-"""
-Author: James Ma
-Email stuff here: jamesmawm@gmail.com
-"""
 import pandas as pd
 import matplotlib.pyplot as plt
 import datetime as dt
 import threading
-
+from pandas.plotting import register_matplotlib_converters
+register_matplotlib_converters()
 
 class Chart:
 

classes/stock_data.py → classes/contract_data.py

@@ -1,33 +1,27 @@
-"""
-Author: James Ma
-Email stuff here: jamesmawm@gmail.com
-"""
-
-
-class StockData:
-
-    def __init__(self, contract):
-        self.contract = contract
-        self.position = 0
-        self.is_storing_data = False
-
-        self.market_price = 0
-        self.market_value = 0
-        self.average_cost = 0
-        self.unrealized_pnl = 0
-        self.realized_pnl = 0
-        self.account_name = ""
-
-    def add_to_position(self, position):
-        self.position += position
-
-    def update_position(self, position, market_price,
-                        market_value, average_cost, unrealized_pnl,
-                        realized_pnl, account_name):
-        self.position = position
-        self.market_price = float(market_price)
-        self.market_value = float(market_value)
-        self.average_cost = float(average_cost)
-        self.unrealized_pnl = float(unrealized_pnl)
-        self.realized_pnl = float(realized_pnl)
+
+class ContractData:
+
+    def __init__(self, contract):
+        self.contract = contract
+        self.position = 0
+        self.is_storing_data = True
+        self.market_price = 0
+        self.market_value = 0
+        self.average_cost = 0
+        self.unrealized_pnl = 0
+        self.realized_pnl = 0
+        self.account_name = ""
+
+    def add_to_position(self, position):
+        self.position += position
+
+    def update_position(self, position, market_price,
+                        market_value, average_cost, unrealized_pnl,
+                        realized_pnl, account_name):
+        self.position = position
+        self.market_price = float(market_price)
+        self.market_value = float(market_value)
+        self.average_cost = float(average_cost)
+        self.unrealized_pnl = float(unrealized_pnl)
+        self.realized_pnl = float(realized_pnl)
         self.account_name = account_name

classes/ib_util.py

@@ -1,41 +1,56 @@
-"""
-Author: James Ma
-Email stuff here: jamesmawm@gmail.com
-"""
-from ib.ext.Contract import Contract
-from ib.ext.Order import Order
-import params.ib_data_types as DataType
-
-
-class IBUtil:
-
-    def __init__(self):
-        pass
-
-    def create_stock_contract(self, stock):
-        contract_tuple = (stock, 'STK', 'SMART', 'USD', '', 0.0, '')
-        stock_contract = self.__make_ib_contract(contract_tuple)
-        return stock_contract
-
-    @staticmethod
-    def __make_ib_contract(contract_tuple):
-        new_contract = Contract()
-        new_contract.m_symbol = contract_tuple[0]
-        new_contract.m_secType = contract_tuple[1]
-        new_contract.m_exchange = contract_tuple[2]
-        new_contract.m_currency = contract_tuple[3]
-        new_contract.m_expiry = contract_tuple[4]
-        new_contract.m_strike = contract_tuple[5]
-        new_contract.m_right = contract_tuple[6]
-        return new_contract
-
-    def create_stock_order(self, quantity, is_buy, is_market_order=True):
-        order = Order()
-        order.m_totalQuantity = quantity
-        order.m_orderType = \
-            DataType.ORDER_TYPE_MARKET if is_market_order else \
-            DataType.ORDER_TYPE_LIMIT
-        order.m_action = \
-            DataType.ORDER_ACTION_BUY if is_buy else \
-            DataType.ORDER_ACTION_SELL
-        return order
+from ib.ext.Contract import Contract
+from ib.ext.Order import Order
+import ib_data_types as DataType
+
+
+class IBUtil:
+
+    def __init__(self):
+        pass
+
+    def create_stock_contract(self, stock):
+        contract_tuple = (stock, 'STK', 'SMART', 'USD', '', 0.0, '')
+        stock_contract = self.__make_ib_contract(contract_tuple)
+        return stock_contract
+
+
+    def create_stock_order(self, quantity, is_buy, is_market_order=True):
+        order = Order()
+        order.m_totalQuantity = quantity
+        order.m_orderType = \
+            DataType.ORDER_TYPE_MARKET if is_market_order else \
+            DataType.ORDER_TYPE_LIMIT
+        order.m_action = \
+            DataType.ORDER_ACTION_BUY if is_buy else \
+            DataType.ORDER_ACTION_SELL
+        return order
+
+    @staticmethod
+    def __make_ib_contract(contract_tuple):
+        new_contract = Contract()
+        new_contract.m_symbol = contract_tuple[0]
+        new_contract.m_secType = contract_tuple[1]
+        new_contract.m_exchange = contract_tuple[2]
+        new_contract.m_currency = contract_tuple[3]
+        new_contract.m_expiry = contract_tuple[4]
+        new_contract.m_strike = contract_tuple[5]
+        new_contract.m_right = contract_tuple[6]
+        return new_contract
+
+    @staticmethod
+    def create_generic_contract(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
+
+    @staticmethod
+    def create_generic_order(order_type, quantity, action):
+        order = Order()
+        order.m_orderType = order_type
+        order.m_totalQuantity = quantity
+        order.m_action = action
+        return order