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Async server with socketio and Ib_insync
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import math | |
import asyncio | |
import logging, sys | |
import sqlite3 | |
from asyncio import sleep | |
from logging.handlers import TimedRotatingFileHandler | |
import aiohttp_cors | |
import aiosqlite | |
import socketio | |
from aiohttp import web | |
from dateutil import tz | |
from ib_insync import * | |
from sys import platform | |
from aiogram import Bot | |
# initialization of the differents modules | |
if platform == "linux" or platform == "linux2": | |
import uvloop | |
uvloop.install() | |
sio = socketio.AsyncServer(async_mode='aiohttp') | |
app = web.Application() | |
sio.attach(app) | |
routes = web.RouteTableDef() | |
API_TOKEN = '' | |
CHATROOM_ID = | |
bot = Bot(token=API_TOKEN) | |
logname = "logs/my_app.log" | |
FORMAT = '%(asctime)s|%(name)s|%(levelname)s: %(message)s' | |
logger = logging.getLogger() | |
logger.setLevel(logging.INFO) | |
handler = TimedRotatingFileHandler(logname, when="midnight", interval=1) | |
formatter = logging.Formatter(FORMAT) | |
handler.setFormatter(formatter) | |
logger.addHandler(handler) | |
local_tz = tz.tzlocal() | |
# live update setup | |
@sio.on('connect') | |
async def connect(sid, message): | |
logging.info('Client connected') | |
@sio.on('disconnect') | |
async def disconnect(sid): | |
logging.info('Client disconnected') | |
# different function to get parameters and information | |
@routes.get('/position') | |
async def get_position(request): | |
resp = web.json_response(positions()) | |
return resp | |
@routes.get('/get_open_trades') | |
async def get_open_trades(request): | |
open_trades = [] | |
for open_trade in app['ib'].openTrades(): | |
open_trades.append({'orderId': open_trade.order.orderId, | |
'quantity': open_trade.order.totalQuantity, | |
'action': open_trade.order.action, | |
'limitPrice': open_trade.order.lmtPrice}) | |
return web.json_response(open_trades) | |
@routes.get('/cancel_all') | |
async def login(request): | |
logging.info('cancel_all') | |
await cancel_all() | |
return web.json_response({'success': True}) | |
def round_limit_order(x): | |
return round(x * 4) / 4 | |
def positions(): | |
pos = app['ib'].positions() | |
if pos: | |
return {'avgCost': pos[0].avgCost / float(app['mesInfo'].contract.multiplier), | |
'position': int(pos[0].position)} | |
else: | |
return {'avgCost': 0.0, | |
'position': 0} | |
async def cancel_all(): | |
for open_trade in app['ib'].openTrades(): | |
app['ib'].cancelOrder(open_trade.order) | |
logging.info('cancel all done') | |
await sio.emit('open_trade', {}) | |
async def send_message_to_telegram_room(message): | |
await bot.send_message(CHATROOM_ID, message) | |
# functions that listen to live events from IB | |
async def ticker_listener(app): | |
async for q in app['ib'].pendingTickersEvent.aiter(skip_to_last=True): | |
t = next(iter(q)) | |
# logging.info(t) | |
openT = t.last | |
close = t.last | |
if not math.isnan(t.open): | |
openT = t.open | |
if not math.isnan(t.close): | |
close = t.close | |
await sio.emit('quote', | |
{'bid': t.bid, 'bidSize': t.bidSize, | |
'ask': t.ask, 'askSize': t.askSize, 'last': t.last, | |
'open': openT, 'close': close}) | |
async def pnl_listener(app): | |
async for pnl in app['ib'].pnlEvent.aiter(skip_to_last=True): | |
# logging.info(pnl) | |
await sio.emit('pnl', | |
{'dailyPnL': pnl.dailyPnL, 'unrealizedPnL': pnl.unrealizedPnL, | |
'realizedPnL': pnl.realizedPnL}) | |
async def exec_listener(app): | |
async for trade in app['ib'].orderStatusEvent: | |
if trade.orderStatus.status == 'Submitted': | |
logging.info('order submitted: {}'.format(trade.order)) | |
await sio.emit('open_trade', | |
{'orderId': trade.order.orderId, | |
'quantity': trade.order.totalQuantity, | |
'action': trade.order.action, | |
'limitPrice': trade.order.lmtPrice}) | |
if trade.orderStatus.status == 'Cancelled': | |
logging.info('order cancelled: {}'.format(trade)) | |
if trade.orderStatus.status == 'Filled': | |
logging.info('order Filled: {}'.format(trade.order)) | |
position = positions() | |
await sio.emit('new_trade', trade) | |
await sio.emit('position', position) | |
await bot.send_message(CHATROOM_ID, | |
f"new trade: " | |
f"\nposition: {position['position']}) | |
# initialization functions | |
async def startup_tasks(app): | |
app['db'] = await aiosqlite.connect('database.db') | |
app['quote_listener'] = asyncio.create_task(ticker_listener(app)) | |
app['pnl_listener'] = asyncio.create_task(pnl_listener(app)) | |
app['exec_listener'] = asyncio.create_task(exec_listener(app)) | |
async def shutdown_tasks(app): | |
logging.info('shutdown_tasks cancelling all orders') | |
await cancel_all() | |
async def start(): | |
if not app['app_params']['started']: | |
logging.info('start function') | |
if not app['ib'].isConnected(): | |
logging.info('connect to IB') | |
await app['ib'].connectAsync('127.0.0.1', 7497, clientId=0) | |
mes_contract = await app['ib'].reqContractDetailsAsync(, 'GLOBEX')) | |
app['mesInfo'] = mes_contract[0] | |
app['ib'].reqMktData(app['mesInfo'].contract, '', False, False) | |
app['ib'].reqPnL(app['ACCOUNT_NUMBER']) | |
await app['ib'].reqAccountSummaryAsync() | |
app['app_params']['started'] = True | |
await send_launch_orders() | |
async def stop(): | |
if app['app_params']['started']: | |
logging.info('stopping') | |
app['ib'].cancelMktData(contract=app['mesInfo'].contract) | |
app['ib'].cancelPnL(app['ACCOUNT_NUMBER']) | |
await cancel_all() | |
app['app_params']['started'] = False | |
def init_parameters(): | |
logging.info('init_parameters') | |
def init_ib(): | |
logging.info('init_ib') | |
app['ib'] = IB() | |
app['ib'].connect('127.0.0.1', 4003, clientId=0) | |
app['ib'].reqMarketDataType(3) | |
app['mesInfo'] = app['ib'].reqContractDetails(, 'GLOBEX'))[0] | |
app['ib'].reqMktData(app['mesInfo'].contract, '', False, False) | |
app['app_params'] = {} | |
app['app_params']['started'] = False | |
# Configure default CORS settings. | |
cors = aiohttp_cors.setup(app, defaults={ | |
"*": aiohttp_cors.ResourceOptions( | |
allow_credentials=True, | |
expose_headers="*", | |
allow_headers="*", | |
allow_methods=["POST", "PUT", "GET"] | |
) | |
}) | |
if __name__ == '__main__': | |
app.router.add_routes(routes) | |
for route in list(app.router.routes()): | |
if route.resource.canonical != '/socket.io/': | |
cors.add(route) | |
logging.info('starting') | |
init_parameters() | |
init_ib() | |
app.on_startup.append(startup_tasks) | |
app.on_shutdown.append(shutdown_tasks) | |
web.run_app(app, port=5000, access_log=None) |
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