无法使用ibpy在InteractiveBrokers中发送期货订单

时间:2018-10-12 19:48:59

标签: python-2.7 interactive-brokers ibpy

我正在使用ibpy将订单发送到InteractiveBrokers中的交易平台。我可以发送股票订单,例如SPY,但是我不能发送期货。这是我使用的代码,在线复制:

from ib.opt import Connection, message
from ib.ext.Contract import Contract
from ib.ext.Order import Order

def make_contract(symbol, sec_type, exch, prim_exch, curr):
    Contract.m_symbol = symbol
    Contract.m_secType = sec_type
    Contract.m_exchange = exch
    Contract.m_primaryExch = prim_exch
    Contract.m_currency = curr
    return Contract

def make_order(action,quantity, price = None):
    if price is not None:
        order = Order()
        order.m_orderType = 'LMT'
        order.m_totalQuantity = quantity
        order.m_action = action
        order.m_lmtPrice = price
    else:
        order = Order()
        order.m_orderType = 'MKT'
        order.m_totalQuantity = quantity
        order.m_action = action
    return order

orderId=300
conn = Connection.create(port=7496, clientId=999)
conn.connect()
cont = make_contract('SPY', 'STK', 'SMART', 'SMART', 'USD')
trade = make_order('BUY', 1, 273)
conn.placeOrder(orderId, cont, trade)
conn.disconnect()

上面的代码运行良好。我可以在SPY出价273。

但是,我想购买E-迷你期货S&P 500 Dec合约。我做了以下定义合同:

def make_fut():
    Contract.m_symbol = 'ES'
    Contract.m_secType = 'FUT'
    Contract.m_exchange = 'GLOBEX'
    Contract.m_primaryExch = 'GLOBEX'
    Contract.m_currency = 'USD'
    Contract.m_lastTradeDateOrContractMonth ='201812'
    return Contract

cont = make_fut()

它没有通过,也没有返回错误消息。有人在这方面有经验吗?

2 个答案:

答案 0 :(得分:1)

查看源代码。 https://github.com/blampe/IbPy/blob/master/ib/ext/Contract.py m_expiry = "" 因此,只需使用m_expiry = '201812'

它不使用新名称lastTradeDateOrContractMonth。您标记了此python 2.7,但如果使用python 3,则可以使用IB中的python API,它将具有一些较新的功能。 https://www.interactivebrokers.com/en/index.php?f=5041。确实会使用新的字段名称(不包含m_样式)。

也不需要Contract.m_primaryExch = 'GLOBEX'。它用于您指定要交换的SMART且不明确。例如。我认为对于您的SPY示例,您应该指定ARCA,但这也是不必要的,因为只有一个SPY股票(etf)。

答案 1 :(得分:0)

这是我用来建立期货合约的方法:

def create_contract(symbol, sec_type, exch, curr, exp = None, mult = None, localsymbol=None):
    contract = Contract()
    contract.m_symbol = symbol
    contract.m_secType = sec_type
    contract.m_exchange = exch
    contract.m_currency = curr
    contract.m_expiry = exp
    contract.m_multiplier = mult
    contract.m_localSymbol = localsymbol
    return contract

对于期货,我可以使用symbolexp来解决,或者我可以设置symbol = None并设置localsymbol(例如PLJ9 =铂金2019年4月)。

我从不需要prim_exch