public void InitializeBrokerage()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.Get("ib-trading-mode"),
Config.GetBool("ib-use-tws")
);
// grabs account info from configuration
var securityProvider = new SecurityProvider();
securityProvider[Symbols.USDJPY] = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.USDJPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(_orders), securityProvider);
_interactiveBrokersBrokerage.Connect();
}
public void GetsTickData()
{
InteractiveBrokersGatewayRunner.StartFromConfiguration();
var ib = new InteractiveBrokersBrokerage(new OrderProvider());
ib.Connect();
ib.Subscribe(null, new Dictionary <SecurityType, List <string> >
{
{ SecurityType.Forex, new List <string> {
"USDJPY", "EURGBP"
} }
});
Thread.Sleep(1000);
for (int i = 0; i < 10; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
}
}
InteractiveBrokersGatewayRunner.Stop();
}
public void GetsTickData()
{
InteractiveBrokersGatewayRunner.StartFromConfiguration();
var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider());
ib.Connect();
ib.Subscribe(null, new List <Symbol> {
Symbols.USDJPY, Symbols.EURGBP
});
Thread.Sleep(1000);
var gotUsdData = false;
var gotEurData = false;
for (int i = 0; i < 20; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
gotUsdData |= tick.Symbol == Symbols.USDJPY;
gotEurData |= tick.Symbol == Symbols.EURGBP;
}
}
Assert.IsTrue(gotUsdData);
Assert.IsTrue(gotEurData);
InteractiveBrokersGatewayRunner.Stop();
}
public void StressTestGetUsdConversion()
{
var brokerage = GetBrokerage();
Assert.IsTrue(brokerage.IsConnected);
// private method testing hack :)
var method = brokerage.GetType().GetMethod("GetUsdConversion", BindingFlags.NonPublic | BindingFlags.Instance);
const string currency = "SEK";
const int count = 20;
for (var i = 1; i <= count; i++)
{
var value = (decimal)method.Invoke(brokerage, new object[] { currency });
Console.WriteLine(i + " - GetUsdConversion({0}) = {1}", currency, value);
Assert.IsTrue(value > 0);
}
brokerage.Disconnect();
brokerage.Dispose();
InteractiveBrokersGatewayRunner.Stop();
}
public void TestRateLimiting()
{
using (var brokerage = GetBrokerage())
{
Assert.IsTrue(brokerage.IsConnected);
var method = brokerage.GetType().GetMethod("GetContractDetails", BindingFlags.NonPublic | BindingFlags.Instance);
var contract = new Contract
{
Symbol = "EUR",
Exchange = "IDEALPRO",
SecType = "CASH",
Currency = Currencies.USD
};
var parameters = new object[] { contract };
var result = Parallel.For(1, 100, x =>
{
var stopwatch = Stopwatch.StartNew();
var value = (ContractDetails)method.Invoke(brokerage, parameters);
stopwatch.Stop();
Console.WriteLine($"{DateTime.UtcNow:O} Response time: {stopwatch.Elapsed}");
});
while (!result.IsCompleted)
{
Thread.Sleep(1000);
}
}
InteractiveBrokersGatewayRunner.Stop();
}
public void InitializeBrokerage()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-account"));
// grabs account info from configuration
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new OrderMapping(_orders));
_interactiveBrokersBrokerage.Connect();
}
public void IsConnectedAfterReset()
{
var ib = _interactiveBrokersBrokerage;
Assert.IsTrue(ib.IsConnected);
ib.ResetGatewayConnection();
Assert.IsTrue(InteractiveBrokersGatewayRunner.IsRunning());
Assert.IsTrue(ib.IsConnected);
ib.CheckIbGateway();
Assert.IsTrue(ib.IsConnected);
}
public void InitializeBrokerage()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.GetBool("ib-use-tws")
);
// grabs account info from configuration
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new OrderProvider(_orders));
_interactiveBrokersBrokerage.Connect();
}
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
if (!_manualGatewayControl && !_gatewayLaunched)
{
_gatewayLaunched = true;
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.GetBool("ib-use-tws")
);
}
return(new InteractiveBrokersBrokerage(orderProvider, securityProvider));
}
protected override IBrokerage CreateBrokerage(IOrderMapping orderMapping, IHoldingsProvider holdingsProvider)
{
if (!_gatewayLaunched)
{
_gatewayLaunched = true;
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.GetBool("ib-use-tws")
);
}
return(new InteractiveBrokersBrokerage(orderMapping));
}
public void InitializesInstanceFromComposer()
{
var composer = Composer.Instance;
var factory = composer.Single <IBrokerageFactory>(instance => instance.BrokerageType == typeof(InteractiveBrokersBrokerage));
Assert.IsNotNull(factory);
var job = new LiveNodePacket {
Brokerage = "Interactive Brokers"
};
var brokerage = factory.CreateBrokerage(job, null); // IB factory doesn't use IAlgorithm instance
Assert.IsNotNull(brokerage);
Assert.IsInstanceOf <InteractiveBrokersBrokerage>(brokerage);
brokerage.Connect();
Assert.IsTrue(brokerage.IsConnected);
// this was launched by the factory
InteractiveBrokersGatewayRunner.Stop();
}
public void GetsHistoryWithMultipleApiCalls()
{
using (var brokerage = GetBrokerage())
{
Assert.IsTrue(brokerage.IsConnected);
// request a week of historical data (including a weekend)
var request = new HistoryRequest(
new DateTime(2018, 2, 1, 9, 30, 0).ConvertToUtc(TimeZones.NewYork),
new DateTime(2018, 2, 7, 16, 0, 0).ConvertToUtc(TimeZones.NewYork),
typeof(TradeBar),
Symbols.SPY,
Resolution.Minute,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
null,
false,
false,
DataNormalizationMode.Raw,
TickType.Trade);
var history = brokerage.GetHistory(request).ToList();
// check if data points are in chronological order
var previousEndTime = DateTime.MinValue;
foreach (var bar in history)
{
Assert.IsTrue(bar.EndTime > previousEndTime);
previousEndTime = bar.EndTime;
}
// should return 5 days of data (Thu-Fri-Mon-Tue-Wed)
// each day has 390 minute bars for equities
Assert.AreEqual(5 * 390, history.Count);
}
InteractiveBrokersGatewayRunner.Stop();
}
public void KillGateway()
{
InteractiveBrokersGatewayRunner.Stop();
Thread.Sleep(250);
}
public void InitializeGateway()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-account"));
}
/// <summary>
/// Primary entry point to the program. This program only supports FOREX for now.
/// </summary>
static void Main(string[] args)
{
if (args.Length != 5)
{
Console.WriteLine("Usage: QuantConnect.ToolBox SYMBOLS RESOLUTION FROMDATE TODATE");
Console.WriteLine("SYMBOLS = eg EURUSD,USDJPY");
Console.WriteLine("RESOLUTION = Second/Minute/Hour/Daily/All");
Console.WriteLine("FROMDATE = yyyymmdd");
Console.WriteLine("TODATE = yyyymmdd");
Environment.Exit(1);
}
try
{
// Load settings from command line
var tickers = args[1].Split(',');
var allResolutions = args[2].ToLower() == "all";
var resolution = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), args[2]);
var startDate = DateTime.ParseExact(args[3], "yyyyMMdd", CultureInfo.InvariantCulture).ConvertToUtc(TimeZones.NewYork);
var endDate = DateTime.ParseExact(args[4], "yyyyMMdd", CultureInfo.InvariantCulture).ConvertToUtc(TimeZones.NewYork);
// fix end date
endDate = new DateTime(Math.Min(endDate.Ticks, DateTime.Now.AddDays(-1).Ticks));
// Max number of histoy days
int maxDays = 1;
if (!allResolutions)
{
switch (resolution)
{
case Resolution.Daily:
maxDays = 365;
break;
case Resolution.Hour:
maxDays = 30;
break;
case Resolution.Minute:
maxDays = 10;
break;
}
}
// Load settings from config.json
var dataDirectory = Config.Get("data-folder", "../../../Data");
// Create IB Broker Gateway Runner
InteractiveBrokersGatewayRunner.StartFromConfiguration();
// Only FOREX for now
SecurityType securityType = SecurityType.Forex;
string market = Market.FXCM;
using (var downloader = new IBDataDownloader())
{
foreach (var ticker in tickers)
{
// Download the data
var symbol = Symbol.Create(ticker, securityType, market);
var auxEndDate = startDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
while (startDate < auxEndDate)
{
var data = downloader.Get(symbol, resolution, startDate, auxEndDate);
var bars = data.Cast <QuoteBar>().ToList();
if (allResolutions)
{
// Save the data (second resolution)
var writer = new LeanDataWriter(resolution, symbol, dataDirectory);
writer.Write(bars);
// Save the data (other resolutions)
foreach (var res in new[] { Resolution.Minute, Resolution.Hour, Resolution.Daily })
{
var resData = downloader.AggregateBars(symbol, bars, res.ToTimeSpan());
writer = new LeanDataWriter(res, symbol, dataDirectory);
writer.Write(resData);
}
}
else
{
// Save the data (single resolution)
var writer = new LeanDataWriter(resolution, symbol, dataDirectory);
writer.Write(data);
}
startDate = auxEndDate;
auxEndDate = auxEndDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
}
}
}
}
catch (Exception err)
{
Log.Error(err);
}
finally
{
if (InteractiveBrokersGatewayRunner.IsRunning())
{
InteractiveBrokersGatewayRunner.Stop();
}
}
}
public void Teardown()
{
try
{ // give the tear down a header so we can easily find it in the logs
Log.Trace("-----");
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Starting teardown...");
Log.Trace("-----");
var canceledResetEvent = new ManualResetEvent(false);
var filledResetEvent = new ManualResetEvent(false);
_interactiveBrokersBrokerage.OrderStatusChanged += (sender, orderEvent) =>
{
if (orderEvent.Status == OrderStatus.Filled)
{
filledResetEvent.Set();
}
if (orderEvent.Status == OrderStatus.Canceled)
{
canceledResetEvent.Set();
}
};
// cancel all open orders
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Canceling open orders...");
var orders = _interactiveBrokersBrokerage.GetOpenOrders();
foreach (var order in orders)
{
_interactiveBrokersBrokerage.CancelOrder(order);
canceledResetEvent.WaitOne(3000);
canceledResetEvent.Reset();
}
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Liquidating open positions...");
// liquidate all positions
var holdings = _interactiveBrokersBrokerage.GetAccountHoldings();
foreach (var holding in holdings.Where(x => x.Quantity != 0))
{
//var liquidate = new MarketOrder(holding.Symbol, (int) -holding.Quantity, DateTime.UtcNow, type: holding.Type);
//_interactiveBrokersBrokerage.PlaceOrder(liquidate);
//filledResetEvent.WaitOne(3000);
//filledResetEvent.Reset();
}
var openOrdersText = _interactiveBrokersBrokerage.GetOpenOrders().Select(x => x.Symbol.ToString() + " " + x.Quantity);
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Open orders: " + string.Join(", ", openOrdersText));
//Assert.AreEqual(0, actualOpenOrderCount, "Failed to verify that there are zero open orders.");
var holdingsText = _interactiveBrokersBrokerage.GetAccountHoldings().Where(x => x.Quantity != 0).Select(x => x.Symbol.ToString() + " " + x.Quantity);
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Account holdings: " + string.Join(", ", holdingsText));
//Assert.AreEqual(0, holdingsCount, "Failed to verify that there are zero account holdings.");
_interactiveBrokersBrokerage.Dispose();
_interactiveBrokersBrokerage = null;
_orders.Clear();
}
finally
{
InteractiveBrokersGatewayRunner.Stop();
}
}
public void DisposeBrokerage()
{
InteractiveBrokersGatewayRunner.Stop();
}
/// <summary>
/// Primary entry point to the program. This program only supports FOREX for now.
/// </summary>
public static void IBDownloader(IList <string> tickers, string resolution, DateTime fromDate, DateTime toDate)
{
if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
{
Console.WriteLine("IBDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
Console.WriteLine("--tickers=eg EURUSD,USDJPY");
Console.WriteLine("--resolution=Second/Minute/Hour/Daily/All");
Environment.Exit(1);
}
try
{
var allResolutions = resolution.ToLower() == "all";
var castResolution = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), resolution);
var startDate = fromDate.ConvertToUtc(TimeZones.NewYork);
var endDate = toDate.ConvertToUtc(TimeZones.NewYork);
// fix end date
endDate = new DateTime(Math.Min(endDate.Ticks, DateTime.Now.AddDays(-1).Ticks));
// Max number of histoy days
int maxDays = 1;
if (!allResolutions)
{
switch (castResolution)
{
case Resolution.Daily:
maxDays = 365;
break;
case Resolution.Hour:
maxDays = 30;
break;
case Resolution.Minute:
maxDays = 10;
break;
}
}
// Load settings from config.json
var dataDirectory = Config.Get("data-folder", "../../../Data");
// Create IB Broker Gateway Runner
InteractiveBrokersGatewayRunner.StartFromConfiguration();
// Only FOREX for now
SecurityType securityType = SecurityType.Forex;
string market = Market.FXCM;
using (var downloader = new IBDataDownloader())
{
foreach (var ticker in tickers)
{
// Download the data
var symbol = Symbol.Create(ticker, securityType, market);
var auxEndDate = startDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
while (startDate < auxEndDate)
{
var data = downloader.Get(symbol, castResolution, startDate, auxEndDate);
var bars = data.Cast <QuoteBar>().ToList();
if (allResolutions)
{
// Save the data (second resolution)
var writer = new LeanDataWriter(castResolution, symbol, dataDirectory);
writer.Write(bars);
// Save the data (other resolutions)
foreach (var res in new[] { Resolution.Minute, Resolution.Hour, Resolution.Daily })
{
var resData = downloader.AggregateBars(symbol, bars, res.ToTimeSpan());
writer = new LeanDataWriter(res, symbol, dataDirectory);
writer.Write(resData);
}
}
else
{
// Save the data (single resolution)
var writer = new LeanDataWriter(castResolution, symbol, dataDirectory);
writer.Write(data);
}
startDate = auxEndDate;
auxEndDate = auxEndDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
}
}
}
}
catch (Exception err)
{
Log.Error(err);
}
finally
{
if (InteractiveBrokersGatewayRunner.IsRunning())
{
InteractiveBrokersGatewayRunner.Stop();
}
}
}
