Removed IBKR related code
This commit is contained in:
@@ -1,228 +0,0 @@
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{
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"cells": [
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{
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"cell_type": "markdown",
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"id": "cd849b8e",
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"metadata": {},
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"source": [
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"# IBKR scratch notebook\n",
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"\n",
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"This notebook is for quick manual testing of the IBKR gateway connection, portfolio lookup, and a simple SPY order flow.\n",
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"\n",
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"> Use this only with a paper-trading or test setup unless you explicitly intend to submit a live order.\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "543426a2",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Connecting to IBKR Gateway at 127.0.0.1:4002 with client id 101...\n",
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"Failed to connect to IBKR Gateway: This event loop is already running\n"
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]
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},
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{
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"name": "stderr",
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"output_type": "stream",
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"text": [
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"Error 200, reqId 9: No security definition has been found for the request, contract: Stock(symbol='VUAA', exchange='SMART', currency='USD')\n",
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"Error 200, reqId 10: No security definition has been found for the request\n",
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"Canceled order: Trade(contract=Stock(symbol='VUAA', exchange='SMART', currency='USD'), order=MarketOrder(orderId=10, clientId=101, action='BUY', totalQuantity=0.7), orderStatus=OrderStatus(orderId=10, status='Cancelled', filled=0.0, remaining=0.0, avgFillPrice=0.0, permId=0, parentId=0, lastFillPrice=0.0, clientId=0, whyHeld='', mktCapPrice=0.0), fills=[], log=[TradeLogEntry(time=datetime.datetime(2026, 7, 30, 19, 36, 57, 539380, tzinfo=datetime.timezone.utc), status='PendingSubmit', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2026, 7, 30, 19, 36, 57, 743208, tzinfo=datetime.timezone.utc), status='Cancelled', message='Error 200, reqId 10: No security definition has been found for the request', errorCode=200)], advancedError='')\n",
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"Peer closed connection.\n"
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]
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}
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],
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"source": [
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"import sys\n",
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"from pathlib import Path\n",
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"\n",
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"from ib_insync import IB, Stock\n",
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"\n",
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"# Allow the notebook to import local source code from the repository.\n",
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"repo_root = Path.cwd().resolve()\n",
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"if (repo_root / \"src\").exists():\n",
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" repo_root = repo_root\n",
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"else:\n",
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" repo_root = repo_root.parent\n",
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"\n",
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"src_path = repo_root / \"src\"\n",
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"if str(src_path) not in sys.path:\n",
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" sys.path.insert(0, str(src_path))\n",
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"\n",
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"IBKR_HOST = \"127.0.0.1\"\n",
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"IBKR_PORT = 4002\n",
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"IBKR_CLIENT_ID = 101\n",
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"IBKR_CONNECT_TIMEOUT_SECONDS = 10\n",
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"\n",
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"ib = IB()\n",
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"print(f\"Connecting to IBKR Gateway at {IBKR_HOST}:{IBKR_PORT} with client id {IBKR_CLIENT_ID}...\")\n",
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"try:\n",
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" ib.connect(IBKR_HOST, IBKR_PORT, clientId=IBKR_CLIENT_ID, timeout=IBKR_CONNECT_TIMEOUT_SECONDS)\n",
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" print(\"Connection established.\")\n",
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"except Exception as e:\n",
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" print(f\"Failed to connect to IBKR Gateway: {e}\")\n",
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" ib.disconnect()\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 7,
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"id": "ecdc721f",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Connected: True\n",
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"Client ID: 101\n"
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]
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}
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],
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"source": [
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"print(f\"Connected: {ib.isConnected()}\")\n",
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"print(f\"Client ID: {ib.client.clientId}\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"id": "10ebc240",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"No open portfolio positions were returned.\n"
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]
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}
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],
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"source": [
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"portfolio = ib.portfolio()\n",
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"if not portfolio:\n",
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" print(\"No open portfolio positions were returned.\")\n",
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"else:\n",
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" for item in portfolio:\n",
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" print(\n",
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" f\"{item.contract.symbol}: position={item.position}, \"\n",
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" f\"market_value={item.marketValue}, unrealized_pnl={item.unrealizedPNL}\"\n",
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" )\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 23,
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"id": "fed654ec",
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"metadata": {},
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"outputs": [
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{
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"name": "stderr",
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"output_type": "stream",
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"text": [
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"Unknown contract: Stock(symbol='VUAA', exchange='SMART', currency='USD')\n"
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]
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},
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Submitted order for VUAA: Trade(contract=Stock(symbol='VUAA', exchange='SMART', currency='USD'), order=MarketOrder(orderId=10, clientId=101, action='BUY', totalQuantity=0.7), orderStatus=OrderStatus(orderId=10, status='PendingSubmit', filled=0.0, remaining=0.0, avgFillPrice=0.0, permId=0, parentId=0, lastFillPrice=0.0, clientId=0, whyHeld='', mktCapPrice=0.0), fills=[], log=[TradeLogEntry(time=datetime.datetime(2026, 7, 30, 19, 36, 57, 539380, tzinfo=datetime.timezone.utc), status='PendingSubmit', message='', errorCode=0)], advancedError='')\n"
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]
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}
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],
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"source": [
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"from ib_insync import MarketOrder\n",
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"\n",
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"contract = Stock(\"VUAA\", \"SMART\", \"USD\")\n",
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"await ib.qualifyContractsAsync(contract)\n",
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"\n",
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"# Adjust the quantity as needed before running this cell.\n",
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"order = MarketOrder(\"BUY\", 0.70)\n",
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"trade = ib.placeOrder(contract, order)\n",
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"\n",
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"print(f\"Submitted order for {contract.symbol}: {trade}\")\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 34,
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"id": "06881101",
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"metadata": {},
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"outputs": [],
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"source": [
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"trds = ib.trades()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 42,
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"id": "08663602",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"['Cancelled', 'Cancelled', 'Cancelled']"
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]
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},
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"execution_count": 42,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"list(map(lambda x: x.orderStatus.status, trds))"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 43,
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"id": "2c7abf23",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"[Trade(contract=Stock(conId=756733, symbol='SPY', right='?', exchange='SMART', currency='USD', localSymbol='SPY', tradingClass='SPY'), order=Order(permId=1578393268, action='BUY', totalQuantity=1.0, orderType='MKT', lmtPrice=0.0, auxPrice=0.0, tif='DAY', ocaType=3, displaySize=2147483647, rule80A='0', openClose='', volatilityType=0, deltaNeutralOrderType='None', referencePriceType=0, account='DUR281921', clearingIntent='IB', cashQty=0.0, dontUseAutoPriceForHedge=True, filledQuantity=0.0, refFuturesConId=2147483647, shareholder='Not an insider or substantial shareholder'), orderStatus=OrderStatus(orderId=0, status='Cancelled', filled=0.0, remaining=0.0, avgFillPrice=0.0, permId=0, parentId=0, lastFillPrice=0.0, clientId=0, whyHeld='', mktCapPrice=0.0), fills=[], log=[], advancedError=''),\n",
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" Trade(contract=Stock(conId=756733, symbol='SPY', right='?', exchange='SMART', currency='USD', localSymbol='SPY', tradingClass='SPY'), order=Order(permId=24474350, action='BUY', totalQuantity=0.1345, orderType='MKT', lmtPrice=0.0, auxPrice=0.0, tif='DAY', ocaType=3, displaySize=2147483647, rule80A='0', openClose='', volatilityType=0, deltaNeutralOrderType='None', referencePriceType=0, account='DUR281921', clearingIntent='IB', cashQty=0.0, dontUseAutoPriceForHedge=True, filledQuantity=0.0, refFuturesConId=2147483647, shareholder='Not an insider or substantial shareholder'), orderStatus=OrderStatus(orderId=0, status='Cancelled', filled=0.0, remaining=0.0, avgFillPrice=0.0, permId=0, parentId=0, lastFillPrice=0.0, clientId=0, whyHeld='', mktCapPrice=0.0), fills=[], log=[], advancedError=''),\n",
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" Trade(contract=Stock(symbol='VUAA', exchange='SMART', currency='USD'), order=MarketOrder(orderId=10, clientId=101, action='BUY', totalQuantity=0.7), orderStatus=OrderStatus(orderId=10, status='Cancelled', filled=0.0, remaining=0.0, avgFillPrice=0.0, permId=0, parentId=0, lastFillPrice=0.0, clientId=0, whyHeld='', mktCapPrice=0.0), fills=[], log=[TradeLogEntry(time=datetime.datetime(2026, 7, 30, 19, 36, 57, 539380, tzinfo=datetime.timezone.utc), status='PendingSubmit', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2026, 7, 30, 19, 36, 57, 743208, tzinfo=datetime.timezone.utc), status='Cancelled', message='Error 200, reqId 10: No security definition has been found for the request', errorCode=200)], advancedError='')]"
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]
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},
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"execution_count": 43,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"trds"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.11.15"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 5
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}
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@@ -87,16 +87,16 @@
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"output_type": "stream",
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"text": [
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"<class 'pandas.DataFrame'>\n",
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"DatetimeIndex: 1255 entries, 2021-08-02 to 2026-07-31\n",
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"DatetimeIndex: 1258 entries, 2021-08-02 to 2026-08-05\n",
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"Data columns (total 4 columns):\n",
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" # Column Non-Null Count Dtype \n",
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"--- ------ -------------- ----- \n",
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" 0 SPY_close 1255 non-null float64\n",
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" 1 VIX_close 1255 non-null float64\n",
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" 2 TLT_close 1255 non-null float64\n",
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" 3 USO_close 1255 non-null float64\n",
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" 0 SPY_close 1258 non-null float64\n",
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" 1 VIX_close 1258 non-null float64\n",
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" 2 TLT_close 1258 non-null float64\n",
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" 3 USO_close 1258 non-null float64\n",
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"dtypes: float64(4)\n",
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"memory usage: 49.0 KB\n"
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"memory usage: 49.1 KB\n"
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]
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},
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{
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@@ -234,7 +234,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"execution_count": 3,
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"metadata": {},
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"outputs": [
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{
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@@ -364,7 +364,7 @@
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"2021-10-15 -0.002202 0.030287 -0.003823 1.0 "
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]
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},
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"execution_count": 4,
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"execution_count": 3,
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"metadata": {},
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"output_type": "execute_result"
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}
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@@ -418,7 +418,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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@@ -458,24 +458,24 @@
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" <tbody>\n",
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" <tr>\n",
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" <th>train</th>\n",
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" <td>840</td>\n",
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" <td>842</td>\n",
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" <td>2021-10-11</td>\n",
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" <td>2025-02-13</td>\n",
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" <td>0.583333</td>\n",
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" <td>2025-02-18</td>\n",
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" <td>0.581948</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>validation</th>\n",
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" <td>180</td>\n",
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" <td>2025-02-14</td>\n",
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" <td>2025-10-31</td>\n",
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||||
" <td>0.633333</td>\n",
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||||
" <td>2025-02-19</td>\n",
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||||
" <td>2025-11-04</td>\n",
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" <td>0.638889</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>test</th>\n",
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" <td>181</td>\n",
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" <td>2025-11-03</td>\n",
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" <td>2026-07-24</td>\n",
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||||
" <td>0.569061</td>\n",
|
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" <td>182</td>\n",
|
||||
" <td>2025-11-05</td>\n",
|
||||
" <td>2026-07-29</td>\n",
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||||
" <td>0.576923</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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@@ -484,12 +484,12 @@
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"text/plain": [
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" rows start_date end_date target_mean\n",
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"split \n",
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"train 840 2021-10-11 2025-02-13 0.583333\n",
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"validation 180 2025-02-14 2025-10-31 0.633333\n",
|
||||
"test 181 2025-11-03 2026-07-24 0.569061"
|
||||
"train 842 2021-10-11 2025-02-18 0.581948\n",
|
||||
"validation 180 2025-02-19 2025-11-04 0.638889\n",
|
||||
"test 182 2025-11-05 2026-07-29 0.576923"
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||||
]
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||||
},
|
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"execution_count": 5,
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"execution_count": 4,
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"metadata": {},
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"output_type": "execute_result"
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}
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@@ -543,17 +543,17 @@
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},
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||||
{
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"cell_type": "code",
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||||
"execution_count": 6,
|
||||
"execution_count": 5,
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||||
"metadata": {},
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"outputs": [
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||||
{
|
||||
"name": "stdout",
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||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Rows: 1,201\n",
|
||||
"Rows: 1,204\n",
|
||||
"Feature columns: ['SPY_ret_5', 'SPY_ret_20', 'SPY_dist_sma50', 'VIX_change_5', 'VIX_rank_20', 'TLT_ret_10', 'USO_ret_5', 'SPY_TLT_ratio_ret']\n",
|
||||
"Target column: spy_up_5d\n",
|
||||
"Training matrix shape: (840, 8)\n"
|
||||
"Training matrix shape: (842, 8)\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -592,16 +592,16 @@
|
||||
" <tbody>\n",
|
||||
" <tr>\n",
|
||||
" <th>count</th>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201.000000</td>\n",
|
||||
" <td>1201</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204.000000</td>\n",
|
||||
" <td>1204</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>unique</th>\n",
|
||||
@@ -640,32 +640,32 @@
|
||||
" <td>NaN</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" <td>840</td>\n",
|
||||
" <td>842</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>mean</th>\n",
|
||||
" <td>0.002502</td>\n",
|
||||
" <td>0.009848</td>\n",
|
||||
" <td>0.011028</td>\n",
|
||||
" <td>0.017763</td>\n",
|
||||
" <td>0.403476</td>\n",
|
||||
" <td>-0.004099</td>\n",
|
||||
" <td>0.005024</td>\n",
|
||||
" <td>0.004880</td>\n",
|
||||
" <td>0.588676</td>\n",
|
||||
" <td>0.002464</td>\n",
|
||||
" <td>0.009816</td>\n",
|
||||
" <td>0.010973</td>\n",
|
||||
" <td>0.017820</td>\n",
|
||||
" <td>0.404506</td>\n",
|
||||
" <td>-0.004103</td>\n",
|
||||
" <td>0.004938</td>\n",
|
||||
" <td>0.004838</td>\n",
|
||||
" <td>0.589701</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>std</th>\n",
|
||||
" <td>0.023057</td>\n",
|
||||
" <td>0.043558</td>\n",
|
||||
" <td>0.037315</td>\n",
|
||||
" <td>0.299417</td>\n",
|
||||
" <td>0.337501</td>\n",
|
||||
" <td>0.028502</td>\n",
|
||||
" <td>0.052628</td>\n",
|
||||
" <td>0.027606</td>\n",
|
||||
" <td>0.492279</td>\n",
|
||||
" <td>0.023044</td>\n",
|
||||
" <td>0.043515</td>\n",
|
||||
" <td>0.037287</td>\n",
|
||||
" <td>0.299050</td>\n",
|
||||
" <td>0.337773</td>\n",
|
||||
" <td>0.028469</td>\n",
|
||||
" <td>0.052606</td>\n",
|
||||
" <td>0.027586</td>\n",
|
||||
" <td>0.492092</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
@@ -683,40 +683,40 @@
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>25%</th>\n",
|
||||
" <td>-0.009601</td>\n",
|
||||
" <td>-0.016509</td>\n",
|
||||
" <td>-0.008656</td>\n",
|
||||
" <td>-0.056615</td>\n",
|
||||
" <td>-0.009749</td>\n",
|
||||
" <td>-0.016557</td>\n",
|
||||
" <td>-0.008704</td>\n",
|
||||
" <td>-0.056606</td>\n",
|
||||
" <td>0.100000</td>\n",
|
||||
" <td>-0.023304</td>\n",
|
||||
" <td>-0.025866</td>\n",
|
||||
" <td>-0.010013</td>\n",
|
||||
" <td>-0.023139</td>\n",
|
||||
" <td>-0.025950</td>\n",
|
||||
" <td>-0.010029</td>\n",
|
||||
" <td>0.000000</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>50%</th>\n",
|
||||
" <td>0.003798</td>\n",
|
||||
" <td>0.015725</td>\n",
|
||||
" <td>0.017802</td>\n",
|
||||
" <td>-0.018570</td>\n",
|
||||
" <td>0.003749</td>\n",
|
||||
" <td>0.015639</td>\n",
|
||||
" <td>0.017755</td>\n",
|
||||
" <td>-0.018430</td>\n",
|
||||
" <td>0.300000</td>\n",
|
||||
" <td>-0.004435</td>\n",
|
||||
" <td>0.004950</td>\n",
|
||||
" <td>0.005537</td>\n",
|
||||
" <td>-0.004429</td>\n",
|
||||
" <td>0.004869</td>\n",
|
||||
" <td>0.005508</td>\n",
|
||||
" <td>1.000000</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>75%</th>\n",
|
||||
" <td>0.015955</td>\n",
|
||||
" <td>0.038179</td>\n",
|
||||
" <td>0.038282</td>\n",
|
||||
" <td>0.030814</td>\n",
|
||||
" <td>0.015950</td>\n",
|
||||
" <td>0.038167</td>\n",
|
||||
" <td>0.038124</td>\n",
|
||||
" <td>0.030815</td>\n",
|
||||
" <td>0.750000</td>\n",
|
||||
" <td>0.014227</td>\n",
|
||||
" <td>0.032486</td>\n",
|
||||
" <td>0.021390</td>\n",
|
||||
" <td>0.014188</td>\n",
|
||||
" <td>0.032295</td>\n",
|
||||
" <td>0.021358</td>\n",
|
||||
" <td>1.000000</td>\n",
|
||||
" <td>NaN</td>\n",
|
||||
" </tr>\n",
|
||||
@@ -739,33 +739,33 @@
|
||||
],
|
||||
"text/plain": [
|
||||
" SPY_ret_5 SPY_ret_20 SPY_dist_sma50 VIX_change_5 VIX_rank_20 \\\n",
|
||||
"count 1201.000000 1201.000000 1201.000000 1201.000000 1201.000000 \n",
|
||||
"count 1204.000000 1204.000000 1204.000000 1204.000000 1204.000000 \n",
|
||||
"unique NaN NaN NaN NaN NaN \n",
|
||||
"top NaN NaN NaN NaN NaN \n",
|
||||
"freq NaN NaN NaN NaN NaN \n",
|
||||
"mean 0.002502 0.009848 0.011028 0.017763 0.403476 \n",
|
||||
"std 0.023057 0.043558 0.037315 0.299417 0.337501 \n",
|
||||
"mean 0.002464 0.009816 0.010973 0.017820 0.404506 \n",
|
||||
"std 0.023044 0.043515 0.037287 0.299050 0.337773 \n",
|
||||
"min -0.114962 -0.123975 -0.141995 -0.387709 0.050000 \n",
|
||||
"25% -0.009601 -0.016509 -0.008656 -0.056615 0.100000 \n",
|
||||
"50% 0.003798 0.015725 0.017802 -0.018570 0.300000 \n",
|
||||
"75% 0.015955 0.038179 0.038282 0.030814 0.750000 \n",
|
||||
"25% -0.009749 -0.016557 -0.008704 -0.056606 0.100000 \n",
|
||||
"50% 0.003749 0.015639 0.017755 -0.018430 0.300000 \n",
|
||||
"75% 0.015950 0.038167 0.038124 0.030815 0.750000 \n",
|
||||
"max 0.082843 0.157566 0.088105 3.846154 1.000000 \n",
|
||||
"\n",
|
||||
" TLT_ret_10 USO_ret_5 SPY_TLT_ratio_ret spy_up_5d split \n",
|
||||
"count 1201.000000 1201.000000 1201.000000 1201.000000 1201 \n",
|
||||
"count 1204.000000 1204.000000 1204.000000 1204.000000 1204 \n",
|
||||
"unique NaN NaN NaN NaN 3 \n",
|
||||
"top NaN NaN NaN NaN train \n",
|
||||
"freq NaN NaN NaN NaN 840 \n",
|
||||
"mean -0.004099 0.005024 0.004880 0.588676 NaN \n",
|
||||
"std 0.028502 0.052628 0.027606 0.492279 NaN \n",
|
||||
"freq NaN NaN NaN NaN 842 \n",
|
||||
"mean -0.004103 0.004938 0.004838 0.589701 NaN \n",
|
||||
"std 0.028469 0.052606 0.027586 0.492092 NaN \n",
|
||||
"min -0.092880 -0.196652 -0.117208 0.000000 NaN \n",
|
||||
"25% -0.023304 -0.025866 -0.010013 0.000000 NaN \n",
|
||||
"50% -0.004435 0.004950 0.005537 1.000000 NaN \n",
|
||||
"75% 0.014227 0.032486 0.021390 1.000000 NaN \n",
|
||||
"25% -0.023139 -0.025950 -0.010029 0.000000 NaN \n",
|
||||
"50% -0.004429 0.004869 0.005508 1.000000 NaN \n",
|
||||
"75% 0.014188 0.032295 0.021358 1.000000 NaN \n",
|
||||
"max 0.091322 0.327273 0.129204 1.000000 NaN "
|
||||
]
|
||||
},
|
||||
"execution_count": 6,
|
||||
"execution_count": 5,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@@ -787,14 +787,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 7,
|
||||
"execution_count": 6,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"(PosixPath('/home/jarno/repos/trading-bot/data/training/spy_direction_5d.parquet'),\n",
|
||||
" (1201, 11),\n",
|
||||
" (1204, 11),\n",
|
||||
" date SPY_ret_5 SPY_ret_20 SPY_dist_sma50 VIX_change_5 \\\n",
|
||||
" 0 2021-10-11 0.014114 -0.026625 -0.018145 -0.090869 \n",
|
||||
" 1 2021-10-12 0.001201 -0.023752 -0.020386 -0.074091 \n",
|
||||
@@ -810,7 +810,7 @@
|
||||
" 4 0.05 -0.002202 0.030287 -0.003823 1.0 train )"
|
||||
]
|
||||
},
|
||||
"execution_count": 7,
|
||||
"execution_count": 6,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
|
||||
@@ -6,7 +6,6 @@ readme = "README.md"
|
||||
requires-python = ">=3.11,<3.12"
|
||||
dependencies = [
|
||||
"alpaca-py>=0.43.5",
|
||||
"ib-insync>=0.9.86",
|
||||
"matplotlib>=3.11.1",
|
||||
"pandas>=2.3.0",
|
||||
"pyarrow>=20.0.0",
|
||||
|
||||
@@ -98,6 +98,7 @@ def main() -> None:
|
||||
api_key=args.api_key,
|
||||
secret_key=args.secret_key,
|
||||
)
|
||||
print(f"Fetched {len(candles)} daily candles for {symbol}.")
|
||||
stored = write_candles(output_path, symbol, candles)
|
||||
print(f"Wrote {len(stored)} total daily rows to {output_path}")
|
||||
|
||||
|
||||
@@ -1,293 +0,0 @@
|
||||
"""IBKR daily candle fetcher."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import argparse
|
||||
import re
|
||||
from dataclasses import dataclass
|
||||
from datetime import date, datetime, timedelta
|
||||
from pathlib import Path
|
||||
from zoneinfo import ZoneInfo
|
||||
|
||||
import pandas as pd
|
||||
|
||||
DEFAULT_OUTPUT_DIR = Path("data/ibkr/daily")
|
||||
DEFAULT_DURATION = "1 W"
|
||||
EASTERN_TZ = ZoneInfo("America/New_York")
|
||||
DURATION_PATTERN = re.compile(r"^\d+\s+[SDWMY]$")
|
||||
|
||||
IBKR_HOST = "127.0.0.1"
|
||||
IBKR_PORT = 4002
|
||||
IBKR_CLIENT_ID = 101
|
||||
IBKR_CONNECT_TIMEOUT_SECONDS = 10
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
class DailyCandle:
|
||||
"""Daily OHLCV market data for one trading session."""
|
||||
|
||||
trading_day: date
|
||||
open: float
|
||||
high: float
|
||||
low: float
|
||||
close: float
|
||||
volume: int
|
||||
|
||||
|
||||
def default_end_date() -> date:
|
||||
"""Return yesterday's date in the US/Eastern market timezone."""
|
||||
|
||||
return datetime.now(EASTERN_TZ).date() - timedelta(days=1)
|
||||
|
||||
|
||||
def current_market_date() -> date:
|
||||
"""Return today's date in the US/Eastern market timezone."""
|
||||
|
||||
return datetime.now(EASTERN_TZ).date()
|
||||
|
||||
|
||||
def parse_end_date(value: str) -> date:
|
||||
"""Parse an end date in IBKR-friendly YYYYMMDD form."""
|
||||
|
||||
try:
|
||||
return datetime.strptime(value, "%Y%m%d").date()
|
||||
except ValueError as exc:
|
||||
raise argparse.ArgumentTypeError(
|
||||
"end date must use YYYYMMDD format, such as 20250605"
|
||||
) from exc
|
||||
|
||||
|
||||
def parse_duration(value: str) -> str:
|
||||
"""Normalize and validate an IBKR duration string like '1 W' or '1 M'."""
|
||||
|
||||
normalized = " ".join(value.upper().split())
|
||||
if not DURATION_PATTERN.fullmatch(normalized):
|
||||
raise argparse.ArgumentTypeError(
|
||||
"duration must look like an IBKR value, such as '1 W' or '1 M'"
|
||||
)
|
||||
return normalized
|
||||
|
||||
|
||||
def format_ibkr_end_datetime(end_date: date) -> str:
|
||||
"""Convert a date to the US/Eastern end datetime string IBKR expects."""
|
||||
|
||||
return f"{end_date:%Y%m%d} 23:59:59 US/Eastern"
|
||||
|
||||
|
||||
def normalize_bar_date(value: date | datetime | str) -> date:
|
||||
"""Normalize an IBKR historical bar date value."""
|
||||
|
||||
if isinstance(value, datetime):
|
||||
return value.date()
|
||||
if isinstance(value, date):
|
||||
return value
|
||||
return parse_end_date(value)
|
||||
|
||||
|
||||
def fetch_daily_candles(
|
||||
symbol: str, end_date: date, duration: str
|
||||
) -> list[DailyCandle]:
|
||||
"""Fetch daily candles for a symbol from IBKR."""
|
||||
|
||||
try:
|
||||
from ib_insync import IB, Stock # type: ignore[import-not-found]
|
||||
except ImportError as exc:
|
||||
raise SystemExit(
|
||||
"Missing dependency: ib_insync. Install it before running the "
|
||||
"IBKR fetcher."
|
||||
) from exc
|
||||
|
||||
ib = IB()
|
||||
try:
|
||||
print(
|
||||
f"Connecting to IBKR Gateway at {IBKR_HOST}:{IBKR_PORT} "
|
||||
f"with client id {IBKR_CLIENT_ID}"
|
||||
)
|
||||
ib.connect(
|
||||
IBKR_HOST,
|
||||
IBKR_PORT,
|
||||
clientId=IBKR_CLIENT_ID,
|
||||
timeout=IBKR_CONNECT_TIMEOUT_SECONDS,
|
||||
)
|
||||
|
||||
contract = Stock(symbol, "SMART", "USD")
|
||||
ib.qualifyContracts(contract)
|
||||
bars = ib.reqHistoricalData(
|
||||
contract,
|
||||
endDateTime=format_ibkr_end_datetime(end_date),
|
||||
durationStr=duration,
|
||||
barSizeSetting="1 day",
|
||||
whatToShow="TRADES",
|
||||
useRTH=True,
|
||||
formatDate=1,
|
||||
)
|
||||
|
||||
if not bars:
|
||||
print(f"IBKR returned no historical bars for {symbol}.")
|
||||
|
||||
candles: list[DailyCandle] = []
|
||||
for bar in bars:
|
||||
trading_day = normalize_bar_date(bar.date)
|
||||
candles.append(
|
||||
DailyCandle(
|
||||
trading_day=trading_day,
|
||||
open=float(bar.open),
|
||||
high=float(bar.high),
|
||||
low=float(bar.low),
|
||||
close=float(bar.close),
|
||||
volume=int(bar.volume),
|
||||
)
|
||||
)
|
||||
|
||||
return candles
|
||||
finally:
|
||||
if ib.isConnected():
|
||||
ib.disconnect()
|
||||
|
||||
|
||||
def candles_to_frame(symbol: str, candles: list[DailyCandle]) -> pd.DataFrame:
|
||||
"""Convert candles to a date-indexed dataframe ready for Parquet storage."""
|
||||
|
||||
rows = [
|
||||
{
|
||||
"date": candle.trading_day,
|
||||
"symbol": symbol,
|
||||
"open": candle.open,
|
||||
"high": candle.high,
|
||||
"low": candle.low,
|
||||
"close": candle.close,
|
||||
"volume": candle.volume,
|
||||
}
|
||||
for candle in candles
|
||||
]
|
||||
frame = pd.DataFrame.from_records(rows)
|
||||
if frame.empty:
|
||||
return pd.DataFrame(
|
||||
columns=["symbol", "open", "high", "low", "close", "volume"],
|
||||
index=pd.Index([], name="date"),
|
||||
)
|
||||
|
||||
frame["date"] = pd.to_datetime(frame["date"]).dt.date
|
||||
return frame.set_index("date")
|
||||
|
||||
|
||||
def read_existing_candles(path: Path) -> pd.DataFrame:
|
||||
"""Read an existing candle Parquet file as a date-indexed dataframe."""
|
||||
|
||||
if not path.exists():
|
||||
return pd.DataFrame(
|
||||
columns=["symbol", "open", "high", "low", "close", "volume"],
|
||||
index=pd.Index([], name="date"),
|
||||
)
|
||||
|
||||
frame = pd.read_parquet(path)
|
||||
if "date" in frame.columns:
|
||||
frame["date"] = pd.to_datetime(frame["date"]).dt.date
|
||||
frame = frame.set_index("date")
|
||||
|
||||
frame.index = pd.to_datetime(frame.index).date
|
||||
frame.index.name = "date"
|
||||
return frame
|
||||
|
||||
|
||||
def oldest_stored_date_or_today(path: Path) -> date:
|
||||
"""Return the oldest stored candle date, or today if no data exists yet."""
|
||||
|
||||
existing = read_existing_candles(path)
|
||||
if existing.empty:
|
||||
return current_market_date()
|
||||
return min(existing.index)
|
||||
|
||||
|
||||
def write_candles(path: Path, symbol: str, candles: list[DailyCandle]) -> pd.DataFrame:
|
||||
"""Append candles to a ticker Parquet file, keeping one row per date."""
|
||||
|
||||
existing = read_existing_candles(path)
|
||||
fetched = candles_to_frame(symbol, candles)
|
||||
combined = pd.concat([existing, fetched])
|
||||
if not combined.empty:
|
||||
combined = combined[~combined.index.duplicated(keep="last")]
|
||||
combined = combined.sort_index()
|
||||
|
||||
path.parent.mkdir(parents=True, exist_ok=True)
|
||||
combined.to_parquet(path, index=True)
|
||||
return combined
|
||||
|
||||
|
||||
def print_candles(symbol: str, candles: list[DailyCandle]) -> None:
|
||||
"""Print candles in a compact table."""
|
||||
|
||||
print("date,symbol,open,high,low,close,volume")
|
||||
for candle in candles:
|
||||
print(
|
||||
f"{candle.trading_day.isoformat()},"
|
||||
f"{symbol},"
|
||||
f"{candle.open:.2f},"
|
||||
f"{candle.high:.2f},"
|
||||
f"{candle.low:.2f},"
|
||||
f"{candle.close:.2f},"
|
||||
f"{candle.volume}"
|
||||
)
|
||||
|
||||
|
||||
def parse_args() -> argparse.Namespace:
|
||||
"""Parse command line arguments."""
|
||||
|
||||
parser = argparse.ArgumentParser(description="Fetch daily IBKR candles.")
|
||||
parser.add_argument("symbol", help="Ticker symbol to fetch, such as SPY.")
|
||||
end_date_group = parser.add_mutually_exclusive_group()
|
||||
end_date_group.add_argument(
|
||||
"--end-date",
|
||||
type=parse_end_date,
|
||||
help="Request end date in YYYYMMDD format. Defaults to yesterday.",
|
||||
)
|
||||
end_date_group.add_argument(
|
||||
"--end-date-from-parquet",
|
||||
action="store_true",
|
||||
help=(
|
||||
"Use the oldest date from the symbol Parquet file as the request "
|
||||
"end date. Defaults to today if the file is missing or empty."
|
||||
),
|
||||
)
|
||||
parser.add_argument(
|
||||
"--duration",
|
||||
type=parse_duration,
|
||||
default=DEFAULT_DURATION,
|
||||
help=(
|
||||
"IBKR duration string, such as '1 W' or '1 M'. "
|
||||
f"Defaults to {DEFAULT_DURATION}."
|
||||
),
|
||||
)
|
||||
parser.add_argument(
|
||||
"--output-dir",
|
||||
type=Path,
|
||||
default=DEFAULT_OUTPUT_DIR,
|
||||
help=f"Directory for Parquet files. Defaults to {DEFAULT_OUTPUT_DIR}.",
|
||||
)
|
||||
return parser.parse_args()
|
||||
|
||||
|
||||
def main() -> None:
|
||||
"""Run the daily candle fetcher."""
|
||||
|
||||
args = parse_args()
|
||||
symbol = args.symbol.upper()
|
||||
output_path = args.output_dir / f"{symbol}.parquet"
|
||||
end_date = (
|
||||
oldest_stored_date_or_today(output_path)
|
||||
if args.end_date_from_parquet
|
||||
else args.end_date or default_end_date()
|
||||
)
|
||||
|
||||
print(
|
||||
f"Fetching {symbol} daily candles ending {end_date:%Y-%m-%d} "
|
||||
f"for duration {args.duration}"
|
||||
)
|
||||
candles = fetch_daily_candles(symbol, end_date, args.duration)
|
||||
print_candles(symbol, candles)
|
||||
stored = write_candles(output_path, symbol, candles)
|
||||
print(f"Wrote {len(stored)} total daily rows to {output_path}")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
@@ -183,18 +183,6 @@ wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/05/7f/798705f5296a58ca505d600456748d1be48078eac8a7050d8a98bc9edb89/decorator-5.3.1-py3-none-any.whl", hash = "sha256:f47fe6fdbd2edd623ecfe36875d37aba411624e2670dd395dddae1358689bb3c", size = 10365, upload-time = "2026-05-18T06:03:26.517Z" },
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "eventkit"
|
||||
version = "1.0.3"
|
||||
source = { registry = "https://pypi.org/simple" }
|
||||
dependencies = [
|
||||
{ name = "numpy" },
|
||||
]
|
||||
sdist = { url = "https://files.pythonhosted.org/packages/16/1e/0fac4e45d71ace143a2673ec642701c3cd16f833a0e77a57fa6a40472696/eventkit-1.0.3.tar.gz", hash = "sha256:99497f6f3c638a50ff7616f2f8cd887b18bbff3765dc1bd8681554db1467c933", size = 28320, upload-time = "2023-12-11T11:41:35.339Z" }
|
||||
wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/93/d9/7497d650b69b420e1a913329a843e16c715dac883750679240ef00a921e2/eventkit-1.0.3-py3-none-any.whl", hash = "sha256:0e199527a89aff9d195b9671ad45d2cc9f79ecda0900de8ecfb4c864d67ad6a2", size = 31837, upload-time = "2023-12-11T11:41:33.358Z" },
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "executing"
|
||||
version = "2.2.1"
|
||||
@@ -221,19 +209,6 @@ wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/2c/47/c99d5268f354002ce80f8d029cd9d7d872969da1de8b93d32de4dc56d6f4/fonttools-4.63.0-py3-none-any.whl", hash = "sha256:445af2eab030a16b9171ea8bdda7ebf7d96bda2df88ee182a464252f6e05e20d", size = 1164562, upload-time = "2026-05-14T12:04:29.092Z" },
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "ib-insync"
|
||||
version = "0.9.86"
|
||||
source = { registry = "https://pypi.org/simple" }
|
||||
dependencies = [
|
||||
{ name = "eventkit" },
|
||||
{ name = "nest-asyncio" },
|
||||
]
|
||||
sdist = { url = "https://files.pythonhosted.org/packages/55/bb/733d5c81c8c2f54e90898afc7ff3a99f4d53619e6917c848833f9cc1ab56/ib_insync-0.9.86.tar.gz", hash = "sha256:73af602ca2463f260999970c5bd937b1c4325e383686eff301743a4de08d381e", size = 69859, upload-time = "2023-07-02T12:43:31.968Z" }
|
||||
wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/8f/f3/28ea87be30570f4d6b8fd24380d12fa74e59467ee003755e76aeb29082b8/ib_insync-0.9.86-py3-none-any.whl", hash = "sha256:a61fbe56ff405d93d211dad8238d7300de76dd6399eafc04c320470edec9a4a4", size = 72980, upload-time = "2023-07-02T12:43:29.928Z" },
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "idna"
|
||||
version = "3.18"
|
||||
@@ -459,15 +434,6 @@ wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/7e/85/a5bfaebfd305ac18b57b0854d74e37e586809061a91fda62f0bd50c8518e/narwhals-2.24.0-py3-none-any.whl", hash = "sha256:42fdedf44e5b2ca7505630d45b4ac3058f38d8485cba9fe1652ca23152df7489", size = 461030, upload-time = "2026-07-13T10:49:17.571Z" },
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "nest-asyncio"
|
||||
version = "1.6.0"
|
||||
source = { registry = "https://pypi.org/simple" }
|
||||
sdist = { url = "https://files.pythonhosted.org/packages/83/f8/51569ac65d696c8ecbee95938f89d4abf00f47d58d48f6fbabfe8f0baefe/nest_asyncio-1.6.0.tar.gz", hash = "sha256:6f172d5449aca15afd6c646851f4e31e02c598d553a667e38cafa997cfec55fe", size = 7418, upload-time = "2024-01-21T14:25:19.227Z" }
|
||||
wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/a0/c4/c2971a3ba4c6103a3d10c4b0f24f461ddc027f0f09763220cf35ca1401b3/nest_asyncio-1.6.0-py3-none-any.whl", hash = "sha256:87af6efd6b5e897c81050477ef65c62e2b2f35d51703cae01aff2905b1852e1c", size = 5195, upload-time = "2024-01-21T14:25:17.223Z" },
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "nest-asyncio2"
|
||||
version = "1.7.2"
|
||||
@@ -946,7 +912,6 @@ version = "0.1.0"
|
||||
source = { editable = "." }
|
||||
dependencies = [
|
||||
{ name = "alpaca-py" },
|
||||
{ name = "ib-insync" },
|
||||
{ name = "matplotlib" },
|
||||
{ name = "pandas" },
|
||||
{ name = "pyarrow" },
|
||||
@@ -964,7 +929,6 @@ dev = [
|
||||
[package.metadata]
|
||||
requires-dist = [
|
||||
{ name = "alpaca-py", specifier = ">=0.43.5" },
|
||||
{ name = "ib-insync", specifier = ">=0.9.86" },
|
||||
{ name = "matplotlib", specifier = ">=3.11.1" },
|
||||
{ name = "pandas", specifier = ">=2.3.0" },
|
||||
{ name = "pyarrow", specifier = ">=20.0.0" },
|
||||
|
||||
Reference in New Issue
Block a user