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ib futes contract consolidation fixes #421

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Merged
guilledk merged 3 commits into from
Nov 17, 2022
Merged

ib futes contract consolidation fixes #421

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af9c30c
Handle futes venue remaps as per oct-nov 2022 rollout
goodboy Nov 13, 2022
a0ce9ec
Only append con suffix if not empty
goodboy Nov 17, 2022
243d032
Client.get_head_time()` seems unsupported for forex?
goodboy Nov 17, 2022
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35 changes: 19 additions & 16 deletions piker/brokers/ib/api.py
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Original file line number Diff line number Diff line change
Expand Up @@ -167,35 +167,35 @@ def __init__(self):
_adhoc_futes_set = {

# equities
'nq.globex',
'mnq.globex', # micro
'nq.cme',
'mnq.cme', # micro

'es.globex',
'mes.globex', # micro
'es.cme',
'mes.cme', # micro

# cypto$
'brr.cmecrypto',
'ethusdrr.cmecrypto',
'brr.cme',
'ethusdrr.cme',

# agriculture
'he.nymex', # lean hogs
'le.nymex', # live cattle (geezers)
'gf.nymex', # feeder cattle (younguns)
'he.comex', # lean hogs
'le.comex', # live cattle (geezers)
'gf.comex', # feeder cattle (younguns)

# raw
'lb.nymex', # random len lumber
'lb.comex', # random len lumber

# metals
# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
'xauusd.cmdty', # london gold spot ^
'gc.nymex',
'mgc.nymex', # micro
'gc.comex',
'mgc.comex', # micro

# oil & gas
'cl.nymex',
'cl.comex',

'xagusd.cmdty', # silver spot
'ni.nymex', # silver futes
'ni.comex', # silver futes
'qi.comex', # mini-silver futes
}

Expand Down Expand Up @@ -1031,7 +1031,7 @@ def con2fqsn(
case ibis.Forex() | ibis.Contract(secType='CASH'):
dst, src = con.localSymbol.split('.')
symbol = ''.join([dst, src])
suffix = con.exchange
suffix = con.exchange or 'idealpro'

# no real volume on forex feeds..
calc_price = True
Expand All @@ -1053,7 +1053,10 @@ def con2fqsn(
if expiry:
suffix += f'.{expiry}'

fqsn_key = '.'.join((symbol, suffix)).lower()
fqsn_key = symbol.lower()
if suffix:
fqsn_key = '.'.join((fqsn_key, suffix)).lower()

_cache[con.conId] = fqsn_key, calc_price
return fqsn_key, calc_price

Expand Down
15 changes: 12 additions & 3 deletions piker/brokers/ib/feed.py
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Original file line number Diff line number Diff line change
Expand Up @@ -130,7 +130,12 @@ async def open_history_client(
mean: float = 0
count: int = 0

head_dt = await proxy.get_head_time(fqsn=fqsn)
head_dt: None | datetime = None
if (
# fx cons seem to not provide this endpoint?
'idealpro' not in fqsn
):
head_dt = await proxy.get_head_time(fqsn=fqsn)

async def get_hist(
timeframe: float,
Expand Down Expand Up @@ -170,7 +175,9 @@ async def get_hist(
)

if (
end_dt and end_dt <= head_dt
end_dt
and head_dt
and end_dt <= head_dt
):
raise DataUnavailable(f'First timestamp is {head_dt}')

Expand Down Expand Up @@ -895,7 +902,9 @@ async def reset_on_feed():
# last = time.time()
async for ticker in stream:
quote = normalize(ticker)
await send_chan.send({quote['fqsn']: quote})
fqsn = quote['fqsn']
# print(f'sending {fqsn}:\n{quote}')
await send_chan.send({fqsn: quote})

# ugh, clear ticks since we've consumed them
ticker.ticks = []
Expand Down