GOOG_five_percent.py

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.order import *

import pandas as pd
import threading
import time


class IBapi(EWrapper, EClient):
	def __init__(self):
		EClient.__init__(self, self)
		self.bardata = {} #Initialize dictionary to store bar data
	
	def nextValidId(self, orderId: int):
		super().nextValidId(orderId)
		self.nextorderId = orderId
		print('The next valid order id is: ', self.nextorderId)

	def tick_df(self, reqId, contract):
		''' custom function to init DataFrame and request Tick Data '''
		self.bardata[reqId] = pd.DataFrame(columns=['time', 'price'])
		self.bardata[reqId].set_index('time', inplace=True)
		self.reqTickByTickData(reqId, contract, "Last", 0, True)
		return self.bardata[reqId]

	def tickByTickAllLast(self, reqId, tickType, time, price, size, tickAtrribLast, exchange, specialConditions):
		if tickType == 1:
			self.bardata[reqId].loc[pd.to_datetime(time, unit='s')] = price
	
	def Stock_contract(self, symbol, secType='STK', exchange='SMART', currency='USD'):
		''' custom function to create contract '''
		contract = Contract()
		contract.symbol = symbol
		contract.secType = secType
		contract.exchange = exchange
		contract.currency = currency
		return contract


		
def run_loop():
	app.run()

def submit_order(contract, direction, qty=100, ordertype='MKT', transmit=True):
	#Create order object
	order = Order()
	order.action = direction
	order.totalQuantity = qty
	order.orderType = ordertype
	order.transmit = transmit
	#submit order
	app.placeOrder(app.nextorderId, contract, order)
	app.nextorderId += 1

def check_for_trade(df, contract):
	start_time = df.index[-1] - pd.Timedelta(minutes=5)
	min_value = df[start_time:].price.min()
	max_value = df[start_time:].price.max()

	if df.price.iloc[-1] < max_value * 0.95:
		submit_order(contract, 'SELL')
		return True

	elif df.price.iloc[-1] > min_value * 1.05:
		submit_order(contract, 'BUY')
		return True

#Main
app = IBapi()
app.nextorderId = None
app.connect('127.0.0.1', 7496, 123)

#Start the socket in a thread
api_thread = threading.Thread(target=run_loop)
api_thread.start()

#Check if the API is connected via orderid
while True:
	if isinstance(app.nextorderId, int):
		print('connected')
		break
	else:
		print('waiting for connection')
		time.sleep(1)

#Create contract object
google_contract = app.Stock_contract('GOOG')
apple_contract = app.Stock_contract('AAPL')
#-----------------------------------------------------------#

#Reqest tick data for google using custom function
df = app.tick_df(401, google_contract)

#Verify data stream
time.sleep(10)
for i in range(100):
	if len(df) > 0:
		break
	time.sleep(0.3)
	
if i == 99:
	app.disconnect()
	raise Exception ('Error with Tick data stream')

#Check if there is enough data
data_length = df.index[-1] - df.index[0]
if data_length.seconds < 300:
	time.sleep(300 - data_length.seconds)

#Main loop
while True:
	if check_for_trade(df, apple_contract): break
	time.sleep(0.1)

app.disconnect()