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rBHrSPSmBHmL
Date
1/2/2009-0.121807-0.1099310.0005-0.0695
1/3/20090.1030530.0854040.00040.0348
1/4/20090.0841980.0939250.05390.0536
1/5/2009-0.0255320.053081-0.02520.0027
1/6/2009-0.0174670.0001960.0263-0.0273
\n", + "
" + ], + "text/plain": [ + " rBH rSP SmB HmL\n", + "Date \n", + "1/2/2009 -0.121807 -0.109931 0.0005 -0.0695\n", + "1/3/2009 0.103053 0.085404 0.0004 0.0348\n", + "1/4/2009 0.084198 0.093925 0.0539 0.0536\n", + "1/5/2009 -0.025532 0.053081 -0.0252 0.0027\n", + "1/6/2009 -0.017467 0.000196 0.0263 -0.0273" + ] + }, + "execution_count": 3, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "data = pd.read_csv(\"BH2009-2022.csv\",index_col=0)\n", + "data.head()" + ] + }, + { + "cell_type": "code", + "execution_count": 4, + "id": "7fd1d118", + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(167, 4)" + ] + }, + "execution_count": 4, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "data.shape" + ] + }, + { + "cell_type": "markdown", + "id": "09cc26c8", + "metadata": {}, + "source": [ + "# Part I: CAPM model" + ] + }, + { + "cell_type": "markdown", + "id": "ebaa4598-7164-4b6c-ac8d-7d674fa4ee4f", + "metadata": {}, + "source": [ + "### Task 1: Split the data into train (first 155 observations) and test (remaining 12 observations) set" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "095d1d13", + "metadata": {}, + "outputs": [], + "source": [ + "train = $$code here$$\n", + "test = $$code here$$" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "c0a06748", + "metadata": {}, + "outputs": [], + "source": [ + "train.shape, test.shape" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "abff4aee-07cb-4ddd-8cd2-7f909b217b41", + "metadata": {}, + "outputs": [], + "source": [ + "Y = train[\"rBH\"]\n", + "X = train[\"rSP\"]" + ] + }, + { + "cell_type": "markdown", + "id": "f84493d2-6484-4e62-a196-888c72c657f4", + "metadata": {}, + "source": [ + "### Task 2: Using training set, fit a simple regression model(SLR). Report the adjusted R-square of the model." + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "76e5007b-ec3f-4271-9c25-afd7cb2bd028", + "metadata": {}, + "outputs": [], + "source": [ + "SLR = $$code here$$\n", + "print(SLR.summary())" + ] + }, + { + "cell_type": "markdown", + "id": "b9fd7ede-dabc-47d9-918f-021ee1fae9b4", + "metadata": {}, + "source": [ + "### Report the adjusted R-square of the model.\n", + " " + ] + }, + { + "cell_type": "markdown", + "id": "3af44ff8", + "metadata": {}, + "source": [ + "# Part II: Multiple Regression Model" + ] + }, + { + "cell_type": "markdown", + "id": "3f8158d8-1c42-4226-99c3-0d04a026df5b", + "metadata": {}, + "source": [ + "### Task 3: Using training set, fit a multiple regression model with SmB and HmL explanatory variables in addition to rSP (MLR). Report the adjusted R-square of the model." + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "1f2dfad6", + "metadata": {}, + "outputs": [], + "source": [ + "X = $$code here$$\n", + "MLR = $$code here$$\n", + "print(MLR.summary())" + ] + }, + { + "cell_type": "markdown", + "id": "18e59124-7f05-414a-9284-fde621aa94cc", + "metadata": {}, + "source": [ + "### Report the adjusted R-square of the model.\n", + " " + ] + }, + { + "cell_type": "markdown", + "id": "fcb66422-678b-4d10-9aea-e56ae1c0adfa", + "metadata": {}, + "source": [ + "### Task 4: Checking the multicollinearity problem among rSP, SmB and HmL by \n", + " i) Scatter plot matrix \n", + " ii) VIF. \n", + "#### Is the multicollinearity problem exist?" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "284873a2", + "metadata": {}, + "outputs": [], + "source": [ + "$$code here$$ #<--code for scatter plot matrix" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "cad9bd49-5030-4a95-a5b5-ae8677092fbe", + "metadata": {}, + "outputs": [], + "source": [ + "$$code here$$ #<--code for VIF" + ] + }, + { + "cell_type": "markdown", + "id": "aea04a9e", + "metadata": {}, + "source": [ + "### Is the multicollinearity problem exist?" + ] + }, + { + "cell_type": "markdown", + "id": "88eb43de", + "metadata": {}, + "source": [] + }, + { + "cell_type": "markdown", + "id": "ece7bda1-23e4-47e5-84ba-d0ab6eff9f06", + "metadata": { + "tags": [] + }, + "source": [ + "### Task 5: From the fitted multiple regression model in Task 3\n", + " i) Is the model as a whole useful at 5% significant level? \n", + " ii) Which of them is not an useful explanatory variable at 5% significant level?" + ] + }, + { + "cell_type": "markdown", + "id": "413b5d9a-44c6-4f4e-91c4-3f82317b2b00", + "metadata": {}, + "source": [] + }, + { + "cell_type": "markdown", + "id": "fe0773af-c6ee-4dce-97c6-fe33af6310b8", + "metadata": {}, + "source": [ + "### Task 6: Execute model diagnostic on the model fitted from Task3 using the “four_in_one” function. Comment on the normality, constant variance assumption.\n" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "0b372cd7", + "metadata": {}, + "outputs": [], + "source": [ + "$$code here$$ #<--code for “four_in_one” function" + ] + }, + { + "cell_type": "markdown", + "id": "919fcacf", + "metadata": {}, + "source": [ + "### Comment on the normality, constant variance assumption." + ] + }, + { + "cell_type": "markdown", + "id": "52ff227e", + "metadata": {}, + "source": [] + }, + { + "cell_type": "markdown", + "id": "5b40b212", + "metadata": {}, + "source": [ + "# Part IV: Model Performance" + ] + }, + { + "cell_type": "markdown", + "id": "8cc559dd-6a77-4289-a451-ede8d00bbf90", + "metadata": {}, + "source": [ + "### Task 7: Compare the predictive power between SLR and MLR using the test set. Which one perform better in prediction?" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "6e74fa4c", + "metadata": {}, + "outputs": [], + "source": [ + "Test_X_SLR = test['rSP']\n", + "Test_X_MLR = $$code here$$\n", + "\n", + "Test_Y_SLR = SLR.predict(sm.add_constant(Test_X_SLR))\n", + "Test_Y_MLR = $$code here$$" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "d5af214f", + "metadata": {}, + "outputs": [], + "source": [ + "Test_Y = test[\"rBH\"]\n", + "\n", + "from sklearn.metrics import mean_squared_error\n", + "rmse_SLR = np.sqrt(mean_squared_error(Test_Y, Test_Y_SLR))\n", + "rmse_MLR = $$code here$$\n", + "print(\"RMSE for test set (SLR): \", rmse_SLR)\n", + "print(\"RMSE for test set (MLR): \", rmse_MLR)" + ] + }, + { + "cell_type": "markdown", + "id": "bd0c8483", + "metadata": {}, + "source": [ + "### Which one perform better in prediction?" + ] + }, + { + "cell_type": "markdown", + "id": "36d05636", + "metadata": {}, + "source": [] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "f203f98c-2e57-4262-8fd8-5209825817af", + "metadata": {}, + "outputs": [], + "source": [] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3 (ipykernel)", + "language": "python", + "name": "python3" + }, + "language_info": { + "codemirror_mode": { + "name": "ipython", + "version": 3 + }, + "file_extension": ".py", + "mimetype": "text/x-python", + "name": "python", + "nbconvert_exporter": "python", + "pygments_lexer": "ipython3", + "version": "3.10.9" + } + }, + "nbformat": 4, + "nbformat_minor": 5 +} diff --git a/bettyphan789/BH2009-2022.csv b/bettyphan789/BH2009-2022.csv new file mode 100644 index 00000000..0552d13e --- /dev/null +++ b/bettyphan789/BH2009-2022.csv @@ -0,0 +1,168 @@ +Date,rBH,rSP,SmB,HmL +1/2/2009,-0.121807334,-0.109931198,0.0005,-0.0695 +1/3/2009,0.103053435,0.085404462,0.0004,0.0348 +1/4/2009,0.084198385,0.093925079,0.0539,0.0536 +1/5/2009,-0.025531915,0.053081446,-0.0252,0.0027 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+1/9/2022,-0.03521889,-0.093395672,-0.0082,0.0003 +1/10/2022,0.094914754,0.079863414,0.001,0.0805 +1/11/2022,0.079159645,0.053752893,-0.034,0.0139 +1/12/2022,-0.024088032,-0.058971474,-0.0064,0.0136 \ No newline at end of file diff --git a/bettyphan789/gitUpdate.bat b/bettyphan789/gitUpdate.bat new file mode 100644 index 00000000..3013bc02 --- /dev/null +++ b/bettyphan789/gitUpdate.bat @@ -0,0 +1,7 @@ +git status . + +@pause + +git add . +git commit -m"update bettyphan789," +start git push \ No newline at end of file diff --git a/bettyphan789/package.json b/bettyphan789/package.json new file mode 100644 index 00000000..4621d2de --- /dev/null +++ b/bettyphan789/package.json @@ -0,0 +1,23 @@ +{ + "name": "bettyphan789", + "version": "1.0.0", + "description": "", + "main": "index.js", + "directories": { + "doc": "docs" + }, + "scripts": { + "test": "echo \"Error: no test specified\" && exit 1", + "gitUpdate": "git add . && git commit -m'update bettyphan789,'" + }, + "keywords": [], + "author": "", + "license": "ISC", + "dependencies": { + "@fortawesome/free-solid-svg-icons": "^6.2.1", + "@fortawesome/react-fontawesome": "^0.2.0", + "bootstrap": "^5.2.3", + "react-bootstrap": "^2.6.0" + }, + "devDependencies": {} +} \ No newline at end of file diff --git a/calvin312321/meta.md b/calvin312321/meta.md new file mode 100644 index 00000000..66e2960b --- /dev/null +++ b/calvin312321/meta.md @@ -0,0 +1,7 @@ +--- +tags: [rude] +--- + +# calvin312321 + +02-jan-2025 rude, clever (not in a good way) and a lot of questions diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/.gitignore b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/.gitignore new file mode 100644 index 00000000..2dc53ca3 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/.gitignore @@ -0,0 +1,160 @@ +# Byte-compiled / optimized / DLL files +__pycache__/ +*.py[cod] +*$py.class + +# C extensions +*.so + +# Distribution / packaging +.Python +build/ +develop-eggs/ +dist/ +downloads/ +eggs/ +.eggs/ +lib/ +lib64/ +parts/ +sdist/ +var/ +wheels/ +share/python-wheels/ +*.egg-info/ +.installed.cfg +*.egg +MANIFEST + +# PyInstaller +# Usually these files are written by a python script from a template +# before PyInstaller builds the exe, so as to inject date/other infos into it. +*.manifest +*.spec + +# Installer logs +pip-log.txt +pip-delete-this-directory.txt + +# Unit test / coverage reports +htmlcov/ +.tox/ +.nox/ +.coverage +.coverage.* +.cache +nosetests.xml +coverage.xml +*.cover +*.py,cover +.hypothesis/ +.pytest_cache/ +cover/ + +# Translations +*.mo +*.pot + +# Django stuff: +*.log +local_settings.py +db.sqlite3 +db.sqlite3-journal + +# Flask stuff: +instance/ +.webassets-cache + +# Scrapy stuff: +.scrapy + +# Sphinx documentation +docs/_build/ + +# PyBuilder +.pybuilder/ +target/ + +# Jupyter Notebook +.ipynb_checkpoints + +# IPython +profile_default/ +ipython_config.py + +# pyenv +# For a library or package, you might want to ignore these files since the code is +# intended to run in multiple environments; otherwise, check them in: +# .python-version + +# pipenv +# According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control. +# However, in case of collaboration, if having platform-specific dependencies or dependencies +# having no cross-platform support, pipenv may install dependencies that don't work, or not +# install all needed dependencies. +#Pipfile.lock + +# poetry +# Similar to Pipfile.lock, it is generally recommended to include poetry.lock in version control. +# This is especially recommended for binary packages to ensure reproducibility, and is more +# commonly ignored for libraries. +# https://python-poetry.org/docs/basic-usage/#commit-your-poetrylock-file-to-version-control +#poetry.lock + +# pdm +# Similar to Pipfile.lock, it is generally recommended to include pdm.lock in version control. +#pdm.lock +# pdm stores project-wide configurations in .pdm.toml, but it is recommended to not include it +# in version control. +# https://pdm.fming.dev/#use-with-ide +.pdm.toml + +# PEP 582; used by e.g. github.com/David-OConnor/pyflow and github.com/pdm-project/pdm +__pypackages__/ + +# Celery stuff +celerybeat-schedule +celerybeat.pid + +# SageMath parsed files +*.sage.py + +# Environments +.env +.venv +env/ +venv/ +ENV/ +env.bak/ +venv.bak/ + +# Spyder project settings +.spyderproject +.spyproject + +# Rope project settings +.ropeproject + +# mkdocs documentation +/site + +# mypy +.mypy_cache/ +.dmypy.json +dmypy.json + +# Pyre type checker +.pyre/ + +# pytype static type analyzer +.pytype/ + +# Cython debug symbols +cython_debug/ + +# PyCharm +# JetBrains specific template is maintained in a separate JetBrains.gitignore that can +# be found at https://github.com/github/gitignore/blob/main/Global/JetBrains.gitignore +# and can be added to the global gitignore or merged into this file. For a more nuclear +# option (not recommended) you can uncomment the following to ignore the entire idea folder. +.idea/ diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/.run/webhook_app.run.xml b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/.run/webhook_app.run.xml new file mode 100644 index 00000000..668fd02f --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/.run/webhook_app.run.xml @@ -0,0 +1,26 @@ + + + + + \ No newline at end of file diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/README.md b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/README.md new file mode 100644 index 00000000..26106b74 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/README.md @@ -0,0 +1,65 @@ +## Placing orders to IB TWS via Tradingview alerts webhooks + +Connect TradingView with Interactive Brokers to process automated signals +as entries and exits in an IB brokerage account. + +#### Python version 3.10 + +### Configuring the alert Webhook and installing ngrock + +You'll need to install `ngrock` (URL to the download +page- https://ngrok.com/download) +and at least Pro TradingView subscription for placing webhooks in alerts, +and redirect them to your localhost. + +Please, do not forget to add Authtoken from ngrock + +- https://dashboard.ngrok.com/get-started/your-authtoken + +After that you'll be able to run ngrock server: + +```shell +$ ngrok http 5000 +``` + +Copy the URL from `Forwarding` line and paste it into the alert Webhook line. + +Add `/webhook` to the following URL. Note: that webhooks are now available from Premium plan on TradingView + +Then, add the message to the `Message` field in the Alert navigation and click +Save: + +```json +{ + "message": "YourMessage", + "symbol": "{{ticker}}", + "price": "{{close}}", + "timeframe": "{{interval}}" +} +``` + +--- + +### Requirements + +To run the application, please do not forget to install the following +requirements. You can do it in your terminal via the following command: + +```shell +$ pip3 install --requirement requirements.txt +``` + +--- + +### Run app + +To run the app via terminal do not forget to change the directory +to `src`. +After that you can simply type this command in your terminal: + +```shell +$ python3 app.py +# or +$ chmod +x app.py +$ ./app.py +``` diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/requirements.txt b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/requirements.txt new file mode 100644 index 00000000..225ab288 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/requirements.txt @@ -0,0 +1,5 @@ +# Core +Flask==2.1.2 +ib_insync==0.9.70 +sanic==22.3.2 +websockets==10.0 diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/__init__.py b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/__init__.py new file mode 100644 index 00000000..59961b36 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/__init__.py @@ -0,0 +1,8 @@ +""" +The flask application package. +""" +from flask import Flask + +import src.app + +app = Flask(__name__) diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/app_ib_insync.py b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/app_ib_insync.py new file mode 100644 index 00000000..4c8a1479 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/app_ib_insync.py @@ -0,0 +1,374 @@ +#!/usr/bin/env python3 + +""" +Routes and views for the application. +""" +import os +import sys +import re +import asyncio +from ib_insync import IB, MarketOrder, ExecutionFilter +from sanic import Sanic, response +from sanic.exceptions import InvalidUsage +import logging +from contract import get_next_contract_month, contract_type_check +import time + +# Create the Sanic app +app = Sanic("unique_app_name") + +# Initialize the logger +logging.basicConfig(level=logging.DEBUG) +logger = logging.getLogger(__name__) + +# IB constants +TWS_HOST = "127.0.0.1" +TWS_LIVE_PORT = 7496 +TWS_PAPER_PORT = 7497 +IBG_HOST = "127.0.0.1" +IBG_LIVE_PORT = 4001 +IBG_PAPER_PORT = 4002 + +# Configuration: Set to True for paper trading, False for live trading +USE_PAPER_TRADING = True +# Configuration: Set to True for IB Gateway, False for TWS +USE_IB_GATEWAY = True + +# Determine the correct host and port based on the configuration +if USE_IB_GATEWAY: + HOST = IBG_HOST + PORT = IBG_PAPER_PORT if USE_PAPER_TRADING else IBG_LIVE_PORT +else: + HOST = TWS_HOST + PORT = TWS_PAPER_PORT if USE_PAPER_TRADING else TWS_LIVE_PORT + +# Initialize the IB connection +app_ib = IB() + +# Check every minute if we need to reconnect to IB +async def check_if_reconnect() -> None: + global app_ib + logger.info("Checking if we need to reconnect...") + # Reconnect if needed + if app_ib is None or not app_ib.isConnected(): + try: + logger.info("Reconnecting...") + if app_ib is not None: + app_ib.disconnect() + await app_ib.connectAsync(HOST, PORT, clientId=0) # Using clientId=0 as Master Client + app_ib.errorEvent += check_on_ib_error + logger.info("Successfully reconnected to TWS") + except Exception as e: + exc_type, exc_obj, exc_tb = sys.exc_info() + file_name = os.path.split(exc_tb.tb_frame.f_code.co_filename)[1] + logger.error(f"Exception: {exc_type}, File: {file_name}, Line: {exc_tb.tb_lineno}") + logger.warning(f"Make sure TWS or Gateway is open with the correct port: {str(e)}") + +# Helper function to wait for the order to be filled +async def wait_for_order_fill(trade, timeout=60): + start_time = time.time() + while trade.orderStatus.status not in ('Filled', 'Cancelled'): + if time.time() - start_time > timeout: + raise TimeoutError("Order fill timeout") + await app_ib.sleep(1) + return trade.orderStatus.status + +# Request account updates +def request_account_updates(subscribe=True, accountCode=""): + app_ib.reqAccountUpdates(subscribe, accountCode) + +# Event handler for order status +def on_order_status(trade): + logger.info(f"Order Status: OrderId={trade.order.orderId}, Status={trade.orderStatus.status}, Filled={trade.orderStatus.filled}, Remaining={trade.orderStatus.remaining}, AvgFillPrice={trade.orderStatus.avgFillPrice}") + +# Event handler for account updates +def on_account_update(account, key, value, currency): + logger.info(f"Account update: Account={account}, Key={key}, Value={value}, Currency={currency}") + +# Event handler for portfolio updates +def on_portfolio_update(account, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL): + logger.info(f"Portfolio update: Account={account}, Contract={contract}, Position={position}, MarketPrice={marketPrice}, MarketValue={marketValue}, AverageCost={averageCost}, UnrealizedPNL={unrealizedPNL}, RealizedPNL={realizedPNL}") + +# Event handler for open orders +def on_open_order(trade): + logger.info(f"Open order: OrderId={trade.order.orderId}, Contract={trade.contract}, Order={trade.order}, OrderState={trade.orderState}") + +# Event handler for IB error +def check_on_ib_error(reqId, error_code, error_string, contract): + logger.error(f"Error code: {error_code}, Message: {error_string}") + +# Set event handlers +def set_event_handlers(): + app_ib.orderStatusEvent += on_order_status + app_ib.accountSummaryEvent += on_account_update + app_ib.updatePortfolioEvent += on_portfolio_update + app_ib.openOrderEvent += on_open_order + app_ib.errorEvent += check_on_ib_error + +# Periodic update function +async def periodic_update(): + while True: + request_account_updates() + await asyncio.sleep(60) # Update every 60 seconds + +@app.route('/portfolio', methods=['GET']) +async def portfolio(request) -> response.HTTPResponse: + if request.method == 'GET': + try: + await check_if_reconnect() + positions = await app_ib.reqPositions() # Use reqPositions to get real-time positions + + if not positions: + logger.error("No positions retrieved from IB TWS API.") + return response.json({"status": "error", "message": "Failed to retrieve positions from IB TWS API."}, status=400) + + portfolio_data = [] + for position in positions: + contract = position.contract + avg_price = position.avgCost + quantity = position.position + unrealized_pnl = position.unrealizedPNL + realized_pnl = position.realizedPNL + + portfolio_data.append({ + "Instrument": contract.symbol, + "Average Price": avg_price, + "Positions": quantity, + "Unrealized P&L": unrealized_pnl, + "Realized P&L": realized_pnl + }) + + return response.json(portfolio_data) + except Exception as e: + logger.error(f"Error retrieving portfolio: {e}") + return response.json({"status": "error", "message": "Failed to retrieve portfolio"}, status=500) + return response.json({"status": "error", "message": "Invalid request method"}, status=405) + +@app.route('/webhook', methods=['POST']) +async def webhook(request) -> response.HTTPResponse: + if request.method == 'POST': + try: + # Check if we need to reconnect with IB + await check_if_reconnect() + + # Log the raw request body for debugging + raw_body = request.body.decode('utf-8') + logger.info(f"Received raw body: {raw_body}") + + # Extract the required fields using regular expressions + action_pattern = r"order (?P\w+) (?P\d+) @ [\d\.]+ filled on (?P\w+)" + position_pattern = r"New strategy position is (?P-?\d+)" + + action_match = re.search(action_pattern, raw_body) + position_match = re.search(position_pattern, raw_body) + + if not action_match or not position_match: + logger.error("Failed to parse webhook message.") + return response.json({"status": "error", "message": "Failed to parse webhook message."}, status=400) + + action = action_match.group("action").upper() + contracts = int(action_match.group("contracts")) + ticker = action_match.group("ticker") + position_size = int(position_match.group("position_size")) + + logger.info(f"Parsed values - Action: {action}, Contracts: {contracts}, Ticker: {ticker}, Position Size: {position_size}") + + # Determine the IB ticker based on the TradingView ticker + ib_ticker = None + if ticker == "SPX": + ib_ticker = "MES" + elif ticker == "NDX": + ib_ticker = "MNQ" + elif ticker == "HSI": + ib_ticker = "MHI" + elif ticker == "TOPIX": + ib_ticker = "MNTPX" + else: + logger.error(f"Invalid ticker: {ticker}") + return response.json({"status": "error", "message": "Invalid ticker"}, status=400) + + # Map TradingView actions to IB actions + if action not in ["BUY", "SELL"]: + logger.error(f"Invalid action: {action}") + return response.json({"status": "error", "message": "Invalid action"}, status=400) + + # Get the current contract month + current_contract_month = get_next_contract_month(ib_ticker) + current_contract = contract_type_check(ib_ticker, contract_month=current_contract_month) + + if not current_contract: + return response.json({"status": "error", "message": "Invalid contract"}, status=400) + + # 1. Place Initial Order: Execute the webhook order with contract month as of today + initial_order = MarketOrder(action, contracts, account=app_ib.wrapper.accounts[0]) + logger.info(f"Placing initial order: {action} {contracts} contracts of {ib_ticker}") + + # Place the order + try: + trade = app_ib.placeOrder(current_contract, initial_order) + logger.info(f"Order placed: {trade}") + + # Log order status after placing + await asyncio.sleep(2) # Wait for a moment to allow the order to process + logger.info(f"Order status after placing: {trade.orderStatus.status}") + + # Check for errors in the IB API + if trade.orderStatus.status == 'PendingSubmit': + logger.error("Order stuck in PendingSubmit.") + return response.json({"status": "error", "message": "Order stuck in PendingSubmit."}, status=400) + + # 2. Wait for the initial order to be filled or cancelled + order_status = await wait_for_order_fill(trade) + logger.info(f"Order status after waiting: {order_status}") + + if order_status != 'Filled': + logger.error("Order was not filled.") + return response.json({"status": "error", "message": "Order was not filled."}, status=400) + + # 3. Retrieve Execution Details: Retrieve execution details for the order + exec_filter = ExecutionFilter(clientId=0) + executions = await app_ib.reqExecutions(exec_filter) + for execution in executions: + if execution.orderId == trade.order.orderId: + logger.info(f"Execution details: {execution}") + + # 4. Retrieve Latest Position Details: Retrieve the current positions from IB TWS API + positions = await app_ib.reqPositions() # Use reqPositions to get real-time positions + if not positions: + logger.error("No positions retrieved from IB TWS API.") + return response.json({"status": "error", "message": "Failed to retrieve positions from IB TWS API."}, status=400) + + current_position = sum(pos.position for pos in positions if pos.contract.symbol == ib_ticker) + ticker_positions = {pos.contract.symbol: pos.position for pos in positions} + logger.info(f"Current Positions: {ticker_positions}") + + return response.json({"status": "success", "message": "Order placed and position details retrieved."}) + + except Exception as e: + logger.error(f"Error processing webhook: {e}") + return response.json({"status": "error", "message": f"Failed to process webhook: {str(e)}"}, status=500) + except InvalidUsage as e: + logger.error(f"Invalid JSON received: {e}") + return response.json({"status": "error", "message": "Invalid JSON format"}, status=400) + except Exception as e: + logger.error(f"Error processing webhook: {e}") + return response.json({"status": "error", "message": f"Failed to process webhook: {str(e)}"}, status=500) + return response.json({"status": "error", "message": "Invalid request method"}, status=405) + +@app.route('/adjust_positions', methods=['POST']) +async def adjust_positions(request) -> response.HTTPResponse: + if request.method == 'POST': + try: + # Check if we need to reconnect with IB + await check_if_reconnect() + + # Log the raw request body for debugging + raw_body = request.body.decode('utf-8') + logger.info(f"Received raw body: {raw_body}") + + # Extract the required fields using regular expressions + action_pattern = r"order (?P\w+) (?P\d+) @ [\d\.]+ filled on (?P\w+)" + position_pattern = r"New strategy position is (?P-?\d+)" + + action_match = re.search(action_pattern, raw_body) + position_match = re.search(position_pattern, raw_body) + + if not action_match or not position_match: + logger.error("Failed to parse webhook message.") + return response.json({"status": "error", "message": "Failed to parse webhook message."}, status=400) + + action = action_match.group("action").upper() + contracts = int(action_match.group("contracts")) + ticker = action_match.group("ticker") + position_size = int(position_match.group("position_size")) + + logger.info(f"Parsed values - Action: {action}, Contracts: {contracts}, Ticker: {ticker}, Position Size: {position_size}") + + # Determine the IB ticker based on the TradingView ticker + ib_ticker = None + if ticker == "SPX": + ib_ticker = "MES" + elif ticker == "NDX": + ib_ticker = "MNQ" + elif ticker == "HSI": + ib_ticker = "MHI" + elif ticker == "TOPIX": + ib_ticker = "MNTPX" + else: + logger.error(f"Invalid ticker: {ticker}") + return response.json({"status": "error", "message": "Invalid ticker"}, status=400) + + # Get the current contract month + current_contract_month = get_next_contract_month(ib_ticker) + correct_contract = contract_type_check(ib_ticker, contract_month=current_contract_month) + rollover_needed = get_next_contract_month(ib_ticker, check_rollover=True) + + positions = await app_ib.reqPositions() + positions_in_correct_month = [pos for pos in positions if pos.contract.lastTradeDateOrContractMonth == current_contract_month] + positions_not_in_correct_month = [pos for pos in positions if pos.contract.lastTradeDateOrContractMonth != current_contract_month] + + # Contract month rollover if needed + if positions_not_in_correct_month: + logger.info(f"Contract month rollover needed: Adjusting positions to the correct contract month {current_contract_month}") + for pos in positions_not_in_correct_month: + close_action = "SELL" if pos.position > 0 else "BUY" + close_order = MarketOrder(close_action, abs(pos.position), account=app_ib.wrapper.accounts[0]) + app_ib.placeOrder(pos.contract, close_order) + logger.info(f"Closed positions for outdated contract month {pos.contract.lastTradeDateOrContractMonth}") + + # Open positions only for the difference between webhook and IB TWS positions + open_order_quantity = position_size - sum(pos.position for pos in positions_in_correct_month) + if open_order_quantity != 0: + open_order = MarketOrder("SELL" if open_order_quantity < 0 else "BUY", abs(open_order_quantity), account=app_ib.wrapper.accounts[0]) + app_ib.placeOrder(correct_contract, open_order) + logger.info(f"Opened positions for the difference: {open_order_quantity} contracts of {ib_ticker} with contract month {current_contract_month}") + else: + logger.info(f"Contract month rollover check completed: Positions in IB TWS are using the correct contract month {current_contract_month}") + + # Adjust Positions if Needed: Adjust positions to match the webhook + while True: + positions = await app_ib.reqPositions() # Use reqPositions to get real-time positions + if not positions: + logger.error("No positions retrieved from IB TWS API.") + return response.json({"status": "error", "message": "Failed to retrieve positions from IB TWS API."}, status=400) + + current_position = sum(pos.position for pos in positions if pos.contract.symbol == ib_ticker) + ticker_positions = {pos.contract.symbol: pos.position for pos in positions} + logger.info(f"Current Positions: {ticker_positions}") + + if current_position != position_size: + adjustment_quantity = position_size - current_position + adjustment_action = "SELL" if adjustment_quantity < 0 else "BUY" + adjustment_order = MarketOrder(adjustment_action, abs(adjustment_quantity), account=app_ib.wrapper.accounts[0]) + logger.info(f"Adjusting Position: {adjustment_action} {abs(adjustment_quantity)} contracts of {ib_ticker}") + app_ib.placeOrder(correct_contract, adjustment_order) + logger.info(f"Position adjusted for {ib_ticker}: Before adjustment: {current_position}, After adjustment: {position_size}") + else: + logger.info(f"Position check completed: Positions in IB TWS match the positions from the webhook for contract month {current_contract_month}") + break + + return response.json({"status": "success", "message": "Order placed and position adjusted if needed"}) + except InvalidUsage as e: + logger.error(f"Invalid JSON received: {e}") + return response.json({"status": "error", "message": "Invalid JSON format"}, status=400) + except Exception as e: + logger.error(f"Error adjusting positions: {e}") + return response.json({"status": "error", "message": f"Failed to adjust positions: {str(e)}"}, status=500) + return response.json({"status": "error", "message": "Invalid request method"}, status=405) + +if __name__ == '__main__': + try: + # Connect to IB on init + logger.info("Connecting to IB...") + app_ib.connect(HOST, PORT, clientId=0) # Using clientId=0 as Master Client + logger.info("Successfully Connected to IB") + + # Set event handlers + set_event_handlers() + + # Start the periodic update loop + asyncio.ensure_future(periodic_update()) + + app.run(port=8080) + except Exception as e: + logger.error(f"Failed to start the application: {e}") diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/contract.py b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/contract.py new file mode 100644 index 00000000..40d4d0e2 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/contract.py @@ -0,0 +1,105 @@ +from datetime import datetime, timedelta +from ib_insync import Contract +from logger import LOGGER as log + +def get_next_contract_month(ticker: str, offset=0, check_rollover=False) -> str: + """Returns the next contract month in 'YYYYMM' format based on the ticker and specified conditions.""" + now = datetime.now() + + def next_quarter_month(date, offset=0): + """Get the next quarter month (March, June, September, December) with an optional offset.""" + quarter_months = [3, 6, 9, 12] + month = date.month + year = date.year + + # Find the next quarter month + next_month = min((m for m in quarter_months if m > month), default=quarter_months[0]) + if next_month <= month: + year += 1 + next_month_index = (quarter_months.index(next_month) + offset) % len(quarter_months) + next_month = quarter_months[next_month_index] + return year, next_month + + def get_monday_before_second_friday(year, month): + """Get the Monday before the second Friday of the given month and year.""" + first_day = datetime(year, month, 1) + first_friday = first_day + timedelta(days=(4 - first_day.weekday() + 7) % 7) # First Friday + second_friday = first_friday + timedelta(days=7) + return second_friday - timedelta(days=second_friday.weekday() + 7) + + def get_monday_before_third_friday(year, month): + """Get the Monday before the third Friday of the given month and year.""" + first_day = datetime(year, month, 1) + first_friday = first_day + timedelta(days=(4 - first_day.weekday() + 7) % 7) # First Friday + third_friday = first_friday + timedelta(days=14) + return third_friday - timedelta(days=third_friday.weekday() + 7) + + def get_last_monday_before_second_last_trading_day(year, month): + """Get the last Monday before the second last trading day of the given month and year.""" + last_day = datetime(year, month + 1, 1) - timedelta(days=1) + second_last_trading_day = last_day + while second_last_trading_day.weekday() in (5, 6): # Skip weekends + second_last_trading_day -= timedelta(days=1) + second_last_trading_day -= timedelta(days=1) + while second_last_trading_day.weekday() in (5, 6): # Skip weekends + second_last_trading_day -= timedelta(days=1) + return second_last_trading_day - timedelta(days=second_last_trading_day.weekday() + 1) + + if ticker in ["ES", "MES", "NQ", "MNQ"]: + year, month = next_quarter_month(now) + monday_before_third_friday = get_monday_before_third_friday(year, month) + if now >= monday_before_third_friday: + year, month = next_quarter_month(datetime(year, month, 1), 1) + if check_rollover: + return True # Indicate rollover is needed + return f"{year}{month:02d}" + + elif ticker in ["TOPX", "MNTPX"]: + year, month = next_quarter_month(now) + monday_before_second_friday = get_monday_before_second_friday(year, month) + if now >= monday_before_second_friday: + year, month = next_quarter_month(datetime(year, month, 1), 1) + if check_rollover: + return True # Indicate rollover is needed + return f"{year}{month:02d}" + + elif ticker in ["HSI", "MHI"]: + year, month = next_quarter_month(now) + last_monday = get_last_monday_before_second_last_trading_day(year, month) + if now >= last_monday: + year, month = next_quarter_month(datetime(year, month, 1), 1) + if check_rollover: + return True # Indicate rollover is needed + return f"{year}{month:02d}" + + else: + log.error(f"Invalid ticker: {ticker}. Please check the alert message.") + return None + +def contract_type_check(ticker: str, contract_month=None) -> Contract: + contract = Contract() + contract.symbol = ticker + if not contract_month: + contract_month = get_next_contract_month(ticker) + if ticker == "SPY": + contract.secType = "STK" + contract.currency = "USD" + contract.exchange = "ARCA" + elif ticker.startswith("ETH"): + contract.secType = "CRYPTO" + contract.currency = "USD" + contract.exchange = "PAXOS" + elif ticker.startswith("EUR"): + contract.secType = "CASH" + contract.currency = "USD" + contract.exchange = "IDEALPRO" + elif ticker in ["ES", "MES", "NQ", "MNQ", "HSI", "MHI", "TOPX", "MNTPX"]: + contract.secType = "FUT" + contract.currency = "USD" if ticker in ["ES", "MES", "NQ", "MNQ"] else "HKD" if ticker in ["HSI", "MHI"] else "JPY" + contract.exchange = "CME" if ticker in ["ES", "MES", "NQ", "MNQ"] else "HKFE" if ticker in ["HSI", "MHI"] else "OSE" + contract.lastTradeDateOrContractMonth = contract_month + else: + log.error(f"Invalid ticker: {ticker}. Please check the alert message.") + return None + + return contract diff --git a/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/logger.py b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/logger.py new file mode 100644 index 00000000..abbec1f3 --- /dev/null +++ b/calvin312321/quotation1/from_customer/TWS-orders-placement-via-Tradinview-webhooks/src/logger.py @@ -0,0 +1,24 @@ +import logging + +# Create and configure logger +LOGGER = logging.getLogger(__name__) +LOGGER.setLevel(logging.INFO) + +# Create console handler and set level to INFO +ch = logging.StreamHandler() +ch.setLevel(logging.INFO) + +# Create file handler and set level to INFO +fh = logging.FileHandler('app.log') +fh.setLevel(logging.INFO) + +# Create formatter +formatter = logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s') + +# Add formatter to handlers +ch.setFormatter(formatter) +fh.setFormatter(formatter) + +# Add handlers to logger +LOGGER.addHandler(ch) +LOGGER.addHandler(fh) diff --git a/calvin312321/quotation1/notes.md b/calvin312321/quotation1/notes.md new file mode 100644 index 00000000..b32c644b --- /dev/null +++ b/calvin312321/quotation1/notes.md @@ -0,0 +1,41 @@ +--- +tags: trading view, IB +--- + +# NOTES + +```markdown +hello, 想請問搵你代寫 python 點收費？唔該 + +要求功能： +由 TradingView Webhook 轉成 Interative Broker TWS API 落 order 然後收 order confirmation, 跟住 keep 住 request and receive portfolio positions 去做 verifications (FYI 目前已有 script, 成功做到 convert from webhook to order placing, 但唔知點解做唔到 interact with IB TWS API) + +因為呢度 send 唔到 link, 請參考 GitHub + +1. TWS-orders-placement-via-Tradinview-webhooks +2. ib_insync +``` + +> 用 TWS-orders-placement-via-Tradinview-webhooks 嘅 template， +> 然後再用 copilot 嚟幫我改做我嘅要求，已成功 place order， +> 但未能收到 IB TWS API 嘅 order confirmation 嚟俾個 script run 埋下半 part， +> 即係幫我 verify IB current positions 係咪等於我 webhook 個 new positions + +> 我可以俾晒手頭上有嘅嘢俾你，你睇完先報價都冇問題， +> 但係我唔肯定係關 script 事定我自己未 install/setup 好所需要嘅嘢 + +hello, 想請問搵你代寫 python 點收費？唔該 + +要求功能： + +1. 由 TradingView Webhook 轉成 Interative Broker TWS API 落 order +2. 然後收 order confirmation +3. 跟住 keep 住 request and receive portfolio positions 去做 verifications +4. FYI 目前已有 script, 成功做到 convert from webhook to order placing, 但唔知點解做唔到 interact with IB TWS API + +因為呢度 send 唔到 link, 請參考 GitHub + +1. TWS-orders-placement-via-Tradinview-webhooks + 1. [https://github.com/EconLQ/TWS-orders-placement-via-Tradinview-webhooks](https://github.com/EconLQ/TWS-orders-placement-via-Tradinview-webhooks) +2. ib_insync(archived) + 1. [https://github.com/erdewit/ib_insync](https://github.com/erdewit/ib_insync)