init: The initial commit for files on the grafana machine
This commit is contained in:
Danny
commit
7336651692
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import sys
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import signal
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import datetime
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from ibapi.client import EClient, Order
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from ibapi.wrapper import EWrapper
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from ibapi.utils import iswrapper
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#tgtAccts = [ 'DU7991273' ] # "real" paper
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#tgtAccts = [ 'DU7991274' ] # test paper
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tgtAccts = [ 'U13232746' ] # LIVE
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#tgtTags = [ 'NetLiquidationByCurrency', 'UnrealizedPnL' ]
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class IBapi(EWrapper, EClient):
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def __init__(self):
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EClient.__init__(self, self)
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self.pos = {}
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self.ctracts = {}
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self.fooID = None
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@iswrapper
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def nextValidId(self, orderId:int):
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print('set next order id to %s' % orderId)
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self.fooID = orderId
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self.reqPositions()
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@iswrapper
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def position(self, account, contract, pos, avgCost):
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if account in tgtAccts:# and pos > 0:
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#print('position: account %s contract %s pos %s avgCost %s' % (account, contract, pos, avgCost))
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if contract.secType == 'STK':
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#print('contract symbol %s sectype %s pos %s' % (contract.symbol, contract.secType, pos))
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self.pos[contract.symbol] = pos
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self.ctracts[contract.symbol] = contract
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@iswrapper
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def positionEnd(self):
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print('close out these guys:')
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print(str(self.pos))
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for sym, amt in self.pos.items():
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order = Order()
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order.action = 'SELL' if amt > 0 else 'BUY'
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order.orderType = 'MOC'
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order.totalQuantity = amt
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order.account = tgtAccts[0]
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self.ctracts[sym].exchange = 'SMART'
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self.placeOrder(self.fooID, self.ctracts[sym], order)
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self.fooID += 1
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app = IBapi()
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def signal_handler(sig, frame):
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print('You pressed Ctrl+C!')
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app.disconnect()
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sys.exit(0)
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signal.signal(signal.SIGINT, signal_handler)
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app.connect('tws2', 7496, 223)
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app.run()
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import sys
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import argparse
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import datetime
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import psycopg2
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from pytz import timezone
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CUT_HOUR=16
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#CUT_MINUTE=0
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TZ_CUT = timezone('US/Eastern')
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parser = argparse.ArgumentParser(description='Generate daily returns entries in DB')
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#parser.add_argument('--sloppy', action='store_true')
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args = parser.parse_args()
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def get_db_connection():
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return psycopg2.connect(host='127.0.0.1', database='crypto_paper', user='joseph')
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dbconn = get_db_connection()
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# get latest daily pnl creation date and trading date
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cur = dbconn.cursor()
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cur.execute('SELECT created_at, trading_date FROM pnl_daily ORDER BY id DESC LIMIT 1')
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res = cur.fetchone()
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checkAfter = None
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lastTradingDate = None
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if res is not None:
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# there are rows
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checkAfter = res[0]
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lastTradingDate = res[1]
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print('checkAfter: %s, lastTradingDate: %s' % (checkAfter, lastTradingDate))
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#import sys
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#sys.exit(0)
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if checkAfter is None:
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cur.execute('SELECT * FROM acctval ORDER BY created_at')
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else:
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cur.execute('SELECT * FROM acctval WHERE created_at > %s ORDER BY created_at', (checkAfter,))
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print("checkAfter filtered query is: SELECT * FROM acctval WHERE created_at > '%s' ORDER BY created_at" % (checkAfter,))
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valRows = cur.fetchall()
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#print(str(valRows))
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print('got %s rows' % len(valRows))
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thisDate = None
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dayStart = None
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dayStartTime = None
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dayLast = None
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for row in valRows:
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#print(str(row))
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rowDate = TZ_CUT.fromutc(row[1])
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#print('rowDate: %s' % rowDate)
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if rowDate.date() != thisDate:
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print('LIVE new date: %s' % rowDate.date())
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if thisDate is not None and dayStart is not None and dayLast is not None:# and thisDate.weekday() < 5:
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# we can write out to DB
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pnl = dayLast - dayStart
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pnl_pct = pnl / dayStart
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#markTime = TZ_CUT.localize(datetime.datetime.combine(rowDate.date(), datetime.datetime.min.time().replace(hour=CUT_HOUR, minute=CUT_MINUTE)))
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markTime = TZ_CUT.localize(datetime.datetime.combine(thisDate, datetime.datetime.min.time())).date()
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if lastTradingDate is None or markTime > lastTradingDate:
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print('can mark it for %s, dayLast = %s, dayStart = %s, pnl = %s, pnl_pct = %s, markTime = %s' % (thisDate, dayLast, dayStart, pnl, pnl_pct, markTime))
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cur.execute('INSERT INTO pnl_daily (created_at, trading_date, starting_value, pnl, pnl_pct) VALUES (%s, %s, %s, %s, %s)', ('NOW()', markTime, dayStart, pnl, pnl_pct))
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thisDate = rowDate.date()
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#print('set thisDate to %s' % thisDate)
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dayStart = row[2]
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dayStartTime = row[1]
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dayLast = None
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else:
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dayLast = row[2]
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# try to close "yesterday" even if we don't have records for "today" yet
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if len(valRows) > 0:
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now = TZ_CUT.fromutc(datetime.datetime.now())
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print('now %s' % now)
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print('rowDate %s' % rowDate)
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if rowDate.date() != now.date() or now.hour >= CUT_HOUR:
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if thisDate is not None and dayStart is not None and dayLast is not None:# and thisDate.weekday() < 5:
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# we can write out to DB
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pnl = dayLast - dayStart
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pnl_pct = pnl / dayStart
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#markTime = TZ_CUT.localize(datetime.datetime.combine(rowDate.date(), datetime.datetime.min.time().replace(hour=CUT_HOUR, minute=CUT_MINUTE)))
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markTime = TZ_CUT.localize(datetime.datetime.combine(thisDate, datetime.datetime.min.time())).date()
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if lastTradingDate is None or markTime > lastTradingDate:
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print('can mark it for %s, dayLast = %s, dayStart = %s, pnl = %s, pnl_pct = %s, markTime = %s' % (thisDate, dayLast, dayStart, pnl, pnl_pct, markTime))
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cur.execute('INSERT INTO pnl_daily (created_at, trading_date, starting_value, pnl, pnl_pct) VALUES (%s, %s, %s, %s, %s)', ('NOW()', markTime, dayStart, pnl, pnl_pct))
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dbconn.commit()
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cur.close()
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dbconn.close()
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import sys
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import argparse
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import datetime
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import psycopg2
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from pytz import timezone
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CUT_HOUR=16
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#CUT_MINUTE=0
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TZ_CUT = timezone('US/Eastern')
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parser = argparse.ArgumentParser(description='Generate daily returns entries in DB')
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#parser.add_argument('--sloppy', action='store_true')
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args = parser.parse_args()
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def get_db_connection():
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return psycopg2.connect(host='127.0.0.1', database='live_acctval', user='joseph')
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dbconn = get_db_connection()
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# get latest daily pnl creation date and trading date
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cur = dbconn.cursor()
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cur.execute('SELECT created_at, trading_date FROM pnl_daily ORDER BY id DESC LIMIT 1')
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res = cur.fetchone()
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checkAfter = None
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lastTradingDate = None
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if res is not None:
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# there are rows
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checkAfter = res[0]
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lastTradingDate = res[1]
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print('checkAfter: %s, lastTradingDate: %s' % (checkAfter, lastTradingDate))
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#import sys
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#sys.exit(0)
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if checkAfter is None:
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cur.execute('SELECT * FROM acctval ORDER BY created_at')
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else:
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cur.execute('SELECT * FROM acctval WHERE created_at > %s ORDER BY created_at', (checkAfter,))
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print("checkAfter filtered query is: SELECT * FROM acctval WHERE created_at > '%s' ORDER BY created_at" % (checkAfter,))
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valRows = cur.fetchall()
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#print(str(valRows))
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print('got %s rows' % len(valRows))
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thisDate = None
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dayStart = None
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dayStartTime = None
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dayLast = None
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for row in valRows:
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#print(str(row))
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rowDate = TZ_CUT.fromutc(row[1])
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#print('rowDate: %s' % rowDate)
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if rowDate.date() != thisDate:
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print('LIVE new date: %s' % rowDate.date())
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if thisDate is not None and dayStart is not None and dayLast is not None and thisDate.weekday() < 5:
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# we can write out to DB
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pnl = dayLast - dayStart
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pnl_pct = pnl / dayStart
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#markTime = TZ_CUT.localize(datetime.datetime.combine(rowDate.date(), datetime.datetime.min.time().replace(hour=CUT_HOUR, minute=CUT_MINUTE)))
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markTime = TZ_CUT.localize(datetime.datetime.combine(thisDate, datetime.datetime.min.time())).date()
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if lastTradingDate is None or markTime > lastTradingDate:
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print('can mark it for %s, dayLast = %s, dayStart = %s, pnl = %s, pnl_pct = %s, markTime = %s' % (thisDate, dayLast, dayStart, pnl, pnl_pct, markTime))
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cur.execute('INSERT INTO pnl_daily (created_at, trading_date, starting_value, pnl, pnl_pct) VALUES (%s, %s, %s, %s, %s)', ('NOW()', markTime, dayStart, pnl, pnl_pct))
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thisDate = rowDate.date()
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#print('set thisDate to %s' % thisDate)
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dayStart = row[2]
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dayStartTime = row[1]
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dayLast = None
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else:
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dayLast = row[2]
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# try to close "yesterday" even if we don't have records for "today" yet
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if len(valRows) > 0:
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now = TZ_CUT.fromutc(datetime.datetime.now())
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print('now %s' % now)
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print('rowDate %s' % rowDate)
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if rowDate.date() != now.date() or now.hour >= CUT_HOUR:
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if thisDate is not None and dayStart is not None and dayLast is not None and thisDate.weekday() < 5:
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# we can write out to DB
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pnl = dayLast - dayStart
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pnl_pct = pnl / dayStart
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#markTime = TZ_CUT.localize(datetime.datetime.combine(rowDate.date(), datetime.datetime.min.time().replace(hour=CUT_HOUR, minute=CUT_MINUTE)))
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markTime = TZ_CUT.localize(datetime.datetime.combine(thisDate, datetime.datetime.min.time())).date()
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if lastTradingDate is None or markTime > lastTradingDate:
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print('can mark it for %s, dayLast = %s, dayStart = %s, pnl = %s, pnl_pct = %s, markTime = %s' % (thisDate, dayLast, dayStart, pnl, pnl_pct, markTime))
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cur.execute('INSERT INTO pnl_daily (created_at, trading_date, starting_value, pnl, pnl_pct) VALUES (%s, %s, %s, %s, %s)', ('NOW()', markTime, dayStart, pnl, pnl_pct))
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dbconn.commit()
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cur.close()
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dbconn.close()
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@ -0,0 +1,19 @@
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import time
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import psycopg2
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SLEEP=5
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def get_db_connection_live():
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return psycopg2.connect(host='127.0.0.1', database='live_acctval', user='joseph')
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dbconn = get_db_connection_live()
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cur = dbconn.cursor()
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try:
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while True:
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cur.execute('SELECT pnl FROM pnl_intra ORDER BY id DESC LIMIT 1')
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bleh = cur.fetchone()
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print(round(bleh[0], 2), flush=True)
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time.sleep(SLEEP)
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finally:
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cur.close()
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dbconn.close()
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@ -0,0 +1,80 @@
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# Copyright 2022-present Coinbase Global, Inc.
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#
|
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# Licensed under the Apache License, Version 2.0 (the "License");
|
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# you may not use this file except in compliance with the License.
|
||||||
|
# You may obtain a copy of the License at
|
||||||
|
#
|
||||||
|
# http://www.apache.org/licenses/LICENSE-2.0
|
||||||
|
#
|
||||||
|
# Unless required by applicable law or agreed to in writing, software
|
||||||
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
||||||
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||||
|
# See the License for the specific language governing permissions and
|
||||||
|
# limitations under the License.
|
||||||
|
|
||||||
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from urllib.parse import urlparse
|
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import json, hmac, hashlib, time, os, base64, requests, time, datetime
|
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import psycopg2
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from pytz import timezone
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|
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SLEEP=5
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|
||||||
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#API_KEY = os.environ.get('ACCESS_KEY')
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||||||
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#SECRET_KEY = os.environ.get('SIGNING_KEY')
|
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#PASSPHRASE = os.environ.get('PASSPHRASE')
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||||||
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#PORTFOLIO_ID = os.environ.get('PORTFOLIO_ID')
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||||||
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PASSPHRASE = '5Rb5KFBCGLQ=aaJvs7jo8bBSLPFS5rWT0w=='
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API_KEY = 'ZdlFsitVWo4=fEcyG3K5zeUZb7931FVSiWTO+rOgizJeuzP9uCuy9M0='
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SECRET_KEY = '/NqFL5Fk4qM=0sm9mnMqB0cz4+MSKgEQ1Th2lPqMBpYjY5dZTGSlix5jBBodmxfi0jTwDfEcjhoUM0jqrTtgqQCLlSpRetEqOg=='
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||||||
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PORTFOLIO_ID = 'a2005845-db3c-4300-be3f-f5edba80d377'
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||||||
|
|
||||||
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def get_db_connection():
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||||||
|
return psycopg2.connect(host='127.0.0.1', database='crypto_acctval', user='joseph')
|
||||||
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|
||||||
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def get_it():
|
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uri = f'https://api.prime.coinbase.com/v1/portfolios/{PORTFOLIO_ID}/balances'
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url_path = urlparse(uri).path
|
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timestamp = str(int(time.time()))
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message = timestamp + 'GET' + url_path
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signature_b64 = base64.b64encode(hmac.digest(SECRET_KEY.encode(), message.encode(), hashlib.sha256))
|
||||||
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|
||||||
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headers = {
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||||||
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'X-CB-ACCESS-SIGNATURE': signature_b64,
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||||||
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'X-CB-ACCESS-TIMESTAMP': timestamp,
|
||||||
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'X-CB-ACCESS-KEY': API_KEY,
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||||||
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'X-CB-ACCESS-PASSPHRASE': PASSPHRASE,
|
||||||
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'Accept': 'application/json'
|
||||||
|
}
|
||||||
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|
||||||
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response = requests.get(uri, headers=headers)
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||||||
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parsed_response = json.loads(response.text)
|
||||||
|
#balances = [ x for x in parsed_response['balances'] if float(x['amount']) > 0 ]
|
||||||
|
if 'balances' in parsed_response:
|
||||||
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balances = { x['symbol']: x for x in parsed_response['balances'] if float(x['amount']) > 0 }
|
||||||
|
#nw = sum([ float(x['fiat_amount']) for x in balances ])
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||||||
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nw = sum([ float(x['fiat_amount']) for x in balances.values() ]) + float(balances['usd']['holds'])
|
||||||
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return(nw)
|
||||||
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|
||||||
|
if __name__ == '__main__':
|
||||||
|
TZ_CUT = timezone('US/Eastern')
|
||||||
|
TZ_UTC = timezone('UTC')
|
||||||
|
dbconn = get_db_connection()
|
||||||
|
while True:
|
||||||
|
nw = get_it()
|
||||||
|
print(str(nw))
|
||||||
|
if nw is not None:
|
||||||
|
cur = dbconn.cursor()
|
||||||
|
cur.execute("INSERT INTO acctval (created_at, val) VALUES (%s, %s)", ('NOW()', nw))
|
||||||
|
dbconn.commit()
|
||||||
|
|
||||||
|
now_utc = datetime.datetime.now(TZ_CUT).replace(hour=0, minute=0, second=0, microsecond=0).astimezone(TZ_UTC)
|
||||||
|
cur.execute('SELECT val FROM acctval WHERE created_at > %s ORDER BY created_at LIMIT 1', (now_utc,))
|
||||||
|
resrow = cur.fetchone()
|
||||||
|
if resrow is not None:
|
||||||
|
pnl = nw - float(resrow[0])
|
||||||
|
print('pnl %s' % pnl)
|
||||||
|
cur.execute("INSERT INTO pnl_intra (created_at, pnl) VALUES (%s, %s)", ('NOW()', pnl))
|
||||||
|
dbconn.commit()
|
||||||
|
|
||||||
|
cur.close()
|
||||||
|
time.sleep(SLEEP)
|
||||||
|
|
@ -0,0 +1,111 @@
|
||||||
|
import sys
|
||||||
|
import signal
|
||||||
|
import logging
|
||||||
|
import datetime
|
||||||
|
import subprocess
|
||||||
|
from threading import Timer
|
||||||
|
|
||||||
|
from ibapi.client import EClient, ExecutionFilter, Contract
|
||||||
|
from ibapi.wrapper import EWrapper, CommissionReport, Execution
|
||||||
|
from ibapi.utils import iswrapper
|
||||||
|
|
||||||
|
import psycopg2
|
||||||
|
from pytz import timezone
|
||||||
|
|
||||||
|
#lfmt = '%(asctime)s.%(msecs)03d\t%(levelname)-8s\t%(message)s'
|
||||||
|
#logging.basicConfig(format=lfmt, encoding='utf-8', level=logging.INFO, datefmt='%Y-%m-%d %H:%M:%S')
|
||||||
|
|
||||||
|
tgtAccts = [ 'U13232746' ]
|
||||||
|
EVERY=5
|
||||||
|
TZ_NY = timezone('US/Eastern')
|
||||||
|
TZ_UTC = timezone('UTC')
|
||||||
|
|
||||||
|
def get_db_connection():
|
||||||
|
return psycopg2.connect(host='127.0.0.1', database='live_acctval', user='joseph')
|
||||||
|
|
||||||
|
class IBapi(EWrapper, EClient):
|
||||||
|
def __init__(self):
|
||||||
|
EClient.__init__(self, self)
|
||||||
|
self.dbconn = get_db_connection()
|
||||||
|
self.execs = {} # id -> {}
|
||||||
|
self.totalComms = 0
|
||||||
|
self.execFilter = ExecutionFilter()
|
||||||
|
#self.execFilter.time = '20240726 17:42:33' # this needs to be in UTC
|
||||||
|
#self.getInitialState()
|
||||||
|
|
||||||
|
def getInitialState(self):
|
||||||
|
#now = datetime.datetime.now().replace(hour=0, minute=0, second=0, microsecond=0)
|
||||||
|
#print('now its %s' % now)
|
||||||
|
cur = self.dbconn.cursor()
|
||||||
|
cur.execute('SELECT created_at,day_cumulative FROM comms WHERE created_at > %s ORDER BY id DESC LIMIT 1', (datetime.date.today(),))
|
||||||
|
res = cur.fetchone()
|
||||||
|
if res is not None:
|
||||||
|
# there is a row
|
||||||
|
print('last entry in comms is at %s, cumulative %s' % (res[0], res[1]))
|
||||||
|
self.execFilter.time = (res[0] + datetime.timedelta(seconds=1)).strftime('%Y%m%d-%H:%M:%S')
|
||||||
|
self.totalComms = float(res[1])
|
||||||
|
cur.close()
|
||||||
|
self.requestExecs() # NOW do this
|
||||||
|
|
||||||
|
def shipExec(self, execId):
|
||||||
|
if self.execs[execId]['comms'] <= 0:
|
||||||
|
return
|
||||||
|
self.totalComms += self.execs[execId]['comms']
|
||||||
|
print('shipped exec %s for trade @ %s, comms %s, total %s' % (execId, self.execs[execId]['date'], self.execs[execId]['comms'], self.totalComms))
|
||||||
|
#print('type of time is %s' % type(self.execs[execId]['date'])) # 20240726 13:15:56 US/Eastern
|
||||||
|
timeOfExec = datetime.datetime.strptime(self.execs[execId]['date'], '%Y%m%d %H:%M:%S US/Eastern')
|
||||||
|
tzLocal = TZ_NY.localize(timeOfExec)
|
||||||
|
print('datetime+localize = %s' % tzLocal)
|
||||||
|
cur = self.dbconn.cursor()
|
||||||
|
cur.execute('INSERT INTO comms (created_at, amount, day_cumulative) VALUES (%s, %s, %s)', (tzLocal, self.execs[execId]['comms'], self.totalComms))
|
||||||
|
self.dbconn.commit()
|
||||||
|
cur.close()
|
||||||
|
#self.execFilter.time = (timeOfExec - datetime.timedelta(seconds=1)).strftime('%Y%m%d %H:%M:%S')
|
||||||
|
self.execFilter.time = tzLocal.astimezone(TZ_UTC).strftime('%Y%m%d-%H:%M:%S')
|
||||||
|
print('set execFilter time to %s' % self.execFilter.time)
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def nextValidId(self, orderId:int):
|
||||||
|
#self.requestExecs()
|
||||||
|
self.getInitialState()
|
||||||
|
|
||||||
|
def requestExecs(self):
|
||||||
|
print('request executions after time %s' % self.execFilter.time)
|
||||||
|
now = datetime.datetime.now()
|
||||||
|
nowNY = now.astimezone(TZ_NY)
|
||||||
|
#print('in NY rn its %s' % nowNY)
|
||||||
|
self.reqExecutions(10001, self.execFilter)
|
||||||
|
self.t = Timer(EVERY, self.requestExecs)
|
||||||
|
self.t.start()
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def execDetails(self, reqId: int, contract: Contract, execution: Execution):
|
||||||
|
if execution.execId not in self.execs:
|
||||||
|
self.execs[execution.execId] = { 'date': execution.time,
|
||||||
|
'comms': None }
|
||||||
|
elif self.execs[execution.execId]['date'] is None:
|
||||||
|
self.execs[execution.execId]['date'] = execution.time
|
||||||
|
print('ship exec %s from ED' % execution.execId)
|
||||||
|
self.shipExec(execution.execId)
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def commissionReport(self, commissionReport: CommissionReport):
|
||||||
|
super().commissionReport(commissionReport)
|
||||||
|
#print("CommissionReport.", commissionReport)
|
||||||
|
if commissionReport.execId not in self.execs:
|
||||||
|
self.execs[commissionReport.execId] = { 'date': None,
|
||||||
|
'comms': commissionReport.commission }
|
||||||
|
elif self.execs[commissionReport.execId]['comms'] is None:
|
||||||
|
self.execs[commissionReport.execId]['comms'] = commissionReport.commission
|
||||||
|
print('ship exec %s from CR' % commissionReport.execId)
|
||||||
|
self.shipExec(commissionReport.execId)
|
||||||
|
|
||||||
|
app = IBapi()
|
||||||
|
def signal_handler(sig, frame):
|
||||||
|
print('You pressed Ctrl+C!')
|
||||||
|
app.disconnect()
|
||||||
|
sys.exit(0)
|
||||||
|
signal.signal(signal.SIGINT, signal_handler)
|
||||||
|
#app.connect('127.0.0.1', 7497, 123)
|
||||||
|
app.connect('tws2', 7496, 523)
|
||||||
|
app.run()
|
||||||
|
|
@ -0,0 +1,85 @@
|
||||||
|
import sys
|
||||||
|
import signal
|
||||||
|
import datetime
|
||||||
|
import subprocess
|
||||||
|
|
||||||
|
from ibapi.client import EClient
|
||||||
|
from ibapi.wrapper import EWrapper
|
||||||
|
from ibapi.utils import iswrapper
|
||||||
|
|
||||||
|
import psycopg2
|
||||||
|
|
||||||
|
tgtAccts = [ 'U13232746' ]
|
||||||
|
tgtTags = [ 'NetLiquidationByCurrency', 'UnrealizedPnL' ]
|
||||||
|
|
||||||
|
maxLoss = -4000 # NOTE: WARNING: signed! do not put a positive number here!
|
||||||
|
if maxLoss is not None and maxLoss > 0:
|
||||||
|
raise Exception('maxLoss cannot be positive!')
|
||||||
|
#maxLossScript = '/home/joseph/mon/closeout_mkt.py' # NOTE: this script must be runnable by 'python'
|
||||||
|
maxLossScript = '/home/joseph/mon/closeout_fake.py' # NOTE: this script must be runnable by 'python'
|
||||||
|
|
||||||
|
def get_db_connection():
|
||||||
|
return psycopg2.connect(host='127.0.0.1', database='live_acctval', user='joseph')
|
||||||
|
|
||||||
|
class IBapi(EWrapper, EClient):
|
||||||
|
def __init__(self):
|
||||||
|
EClient.__init__(self, self)
|
||||||
|
self.dbconn = get_db_connection()
|
||||||
|
self.got = 0
|
||||||
|
self.maxLossHit = False
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def nextValidId(self, orderId:int):
|
||||||
|
self.reqAccountSummary(9002, 'All', '$LEDGER')
|
||||||
|
for i, acct in enumerate(tgtAccts):
|
||||||
|
self.reqPnL(i, acct, '');
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def accountSummary(self, reqId:int, account:str, tag:str, value:str, currency:str):
|
||||||
|
print('account summary for %s' % account)
|
||||||
|
tagged = {}
|
||||||
|
if account in tgtAccts:
|
||||||
|
if tag in tgtTags:
|
||||||
|
#print('reqID %s account %s tag %s value %s currency %s' % (reqId, account, tag, value, currency))
|
||||||
|
tagged[tag] = value
|
||||||
|
if len(tagged) > 0:
|
||||||
|
taggedSorted = sorted(tagged.items())
|
||||||
|
print('accountSummary %s %s' % (datetime.datetime.now(), taggedSorted))
|
||||||
|
if taggedSorted[0][0] == 'NetLiquidationByCurrency':
|
||||||
|
cur = self.dbconn.cursor()
|
||||||
|
cur.execute("INSERT INTO acctval (created_at, val) VALUES (%s, %s)", ('NOW()', taggedSorted[0][1]))
|
||||||
|
self.dbconn.commit()
|
||||||
|
cur.close()
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def accountSummaryEnd(self, reqId:int):
|
||||||
|
print('account summary done, reqID %s' % reqId)
|
||||||
|
|
||||||
|
@iswrapper
|
||||||
|
def pnl(self, reqId:int, dailyPnL, unrealizedPnL, realizedPnL):
|
||||||
|
if self.got < 2:
|
||||||
|
self.got += 1
|
||||||
|
return
|
||||||
|
elif dailyPnL == 0 and unrealizedPnL == 0 and realizedPnL == 0:
|
||||||
|
return
|
||||||
|
print('%s LIVE pnl! %s %s %s %s' % (datetime.datetime.now(), reqId, dailyPnL, unrealizedPnL, realizedPnL))
|
||||||
|
if maxLoss is not None and dailyPnL <= maxLoss and (not self.maxLossHit):
|
||||||
|
# we hit maxLoss
|
||||||
|
print('*** WE HIT MAXLOSS, RUNNING SCRIPT ***')
|
||||||
|
subprocess.run('python ' + maxLossScript, shell=True)
|
||||||
|
self.maxLossHit = True
|
||||||
|
cur = self.dbconn.cursor()
|
||||||
|
cur.execute("INSERT INTO pnl_intra (created_at, pnl, pnl_unrealized, pnl_realized) VALUES (%s, %s, %s, %s)", ('NOW()', dailyPnL, unrealizedPnL, realizedPnL))
|
||||||
|
self.dbconn.commit()
|
||||||
|
cur.close()
|
||||||
|
|
||||||
|
print('PNL script starting at %s (UTC)' % datetime.datetime.now())
|
||||||
|
app = IBapi()
|
||||||
|
def signal_handler(sig, frame):
|
||||||
|
print('You pressed Ctrl+C!')
|
||||||
|
app.disconnect()
|
||||||
|
sys.exit(0)
|
||||||
|
signal.signal(signal.SIGINT, signal_handler)
|
||||||
|
#app.connect('127.0.0.1', 7497, 123)
|
||||||
|
app.connect('tws2', 7496, 123)
|
||||||
|
app.run()
|
||||||
|
|
@ -0,0 +1,196 @@
|
||||||
|
SET statement_timeout = 0;
|
||||||
|
SET lock_timeout = 0;
|
||||||
|
SET idle_in_transaction_session_timeout = 0;
|
||||||
|
SET client_encoding = 'UTF8';
|
||||||
|
SET standard_conforming_strings = on;
|
||||||
|
SELECT pg_catalog.set_config('search_path', '', false);
|
||||||
|
SET check_function_bodies = false;
|
||||||
|
SET xmloption = content;
|
||||||
|
SET client_min_messages = warning;
|
||||||
|
SET row_security = off;
|
||||||
|
|
||||||
|
SET default_tablespace = '';
|
||||||
|
|
||||||
|
SET default_table_access_method = heap;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: acctval; Type: TABLE; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE TABLE public.acctval (
|
||||||
|
id integer NOT NULL,
|
||||||
|
created_at timestamp without time zone NOT NULL,
|
||||||
|
val numeric
|
||||||
|
);
|
||||||
|
|
||||||
|
|
||||||
|
ALTER TABLE public.acctval OWNER TO joseph;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: acctval_id_seq; Type: SEQUENCE; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE SEQUENCE public.acctval_id_seq
|
||||||
|
AS integer
|
||||||
|
START WITH 1
|
||||||
|
INCREMENT BY 1
|
||||||
|
NO MINVALUE
|
||||||
|
NO MAXVALUE
|
||||||
|
CACHE 1;
|
||||||
|
|
||||||
|
|
||||||
|
ALTER SEQUENCE public.acctval_id_seq OWNER TO joseph;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: acctval_id_seq; Type: SEQUENCE OWNED BY; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER SEQUENCE public.acctval_id_seq OWNED BY public.acctval.id;
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_daily; Type: TABLE; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE TABLE public.pnl_daily (
|
||||||
|
id integer NOT NULL,
|
||||||
|
created_at timestamp without time zone NOT NULL,
|
||||||
|
trading_date timestamp without time zone NOT NULL,
|
||||||
|
starting_value numeric,
|
||||||
|
pnl numeric,
|
||||||
|
pnl_pct numeric
|
||||||
|
);
|
||||||
|
|
||||||
|
|
||||||
|
ALTER TABLE public.pnl_daily OWNER TO joseph;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_daily_id_seq; Type: SEQUENCE; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE SEQUENCE public.pnl_daily_id_seq
|
||||||
|
AS integer
|
||||||
|
START WITH 1
|
||||||
|
INCREMENT BY 1
|
||||||
|
NO MINVALUE
|
||||||
|
NO MAXVALUE
|
||||||
|
CACHE 1;
|
||||||
|
|
||||||
|
|
||||||
|
ALTER SEQUENCE public.pnl_daily_id_seq OWNER TO joseph;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_daily_id_seq; Type: SEQUENCE OWNED BY; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER SEQUENCE public.pnl_daily_id_seq OWNED BY public.pnl_daily.id;
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_intra; Type: TABLE; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE TABLE public.pnl_intra (
|
||||||
|
id integer NOT NULL,
|
||||||
|
created_at timestamp without time zone NOT NULL,
|
||||||
|
pnl numeric,
|
||||||
|
pnl_unrealized numeric,
|
||||||
|
pnl_realized numeric
|
||||||
|
);
|
||||||
|
|
||||||
|
|
||||||
|
ALTER TABLE public.pnl_intra OWNER TO joseph;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_intra_id_seq; Type: SEQUENCE; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE SEQUENCE public.pnl_intra_id_seq
|
||||||
|
AS integer
|
||||||
|
START WITH 1
|
||||||
|
INCREMENT BY 1
|
||||||
|
NO MINVALUE
|
||||||
|
NO MAXVALUE
|
||||||
|
CACHE 1;
|
||||||
|
|
||||||
|
|
||||||
|
ALTER SEQUENCE public.pnl_intra_id_seq OWNER TO joseph;
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_intra_id_seq; Type: SEQUENCE OWNED BY; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER SEQUENCE public.pnl_intra_id_seq OWNED BY public.pnl_intra.id;
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: acctval id; Type: DEFAULT; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER TABLE ONLY public.acctval ALTER COLUMN id SET DEFAULT nextval('public.acctval_id_seq'::regclass);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_daily id; Type: DEFAULT; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER TABLE ONLY public.pnl_daily ALTER COLUMN id SET DEFAULT nextval('public.pnl_daily_id_seq'::regclass);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_intra id; Type: DEFAULT; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER TABLE ONLY public.pnl_intra ALTER COLUMN id SET DEFAULT nextval('public.pnl_intra_id_seq'::regclass);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: acctval acctval_pkey; Type: CONSTRAINT; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER TABLE ONLY public.acctval
|
||||||
|
ADD CONSTRAINT acctval_pkey PRIMARY KEY (id);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_daily pnl_daily_pkey; Type: CONSTRAINT; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER TABLE ONLY public.pnl_daily
|
||||||
|
ADD CONSTRAINT pnl_daily_pkey PRIMARY KEY (id);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: pnl_intra pnl_intra_pkey; Type: CONSTRAINT; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
ALTER TABLE ONLY public.pnl_intra
|
||||||
|
ADD CONSTRAINT pnl_intra_pkey PRIMARY KEY (id);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: idx_acctval_created_at; Type: INDEX; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE INDEX idx_acctval_created_at ON public.acctval USING btree (created_at);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: idx_pnl_daily_created_at; Type: INDEX; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE INDEX idx_pnl_daily_created_at ON public.pnl_daily USING btree (created_at);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: idx_pnl_daily_trading_date; Type: INDEX; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE INDEX idx_pnl_daily_trading_date ON public.pnl_daily USING btree (trading_date);
|
||||||
|
|
||||||
|
|
||||||
|
--
|
||||||
|
-- Name: idx_pnl_intra_created_at; Type: INDEX; Schema: public; Owner: joseph
|
||||||
|
--
|
||||||
|
|
||||||
|
CREATE INDEX idx_pnl_intra_created_at ON public.pnl_intra USING btree (created_at);
|
||||||
Loading…
Reference in New Issue