commision change

sysbrokers/IB/client/ib_orders_client.py

@@ -91,6 +91,7 @@ def broker_submit_order(
         account_id: str = arg_not_supplied,
         order_type: brokerOrderType = market_order_type,
         limit_price: float = None,
+        what_if: bool = False
     ) -> tradeWithContract:
         """
 
@@ -121,7 +122,10 @@ def broker_submit_order(
             limit_price=limit_price,
         )
 
-        order_object = self.ib.placeOrder(ibcontract, ib_order)
+        if what_if:
+            order_object = self.ib.whatIfOrder(ibcontract, ib_order)
+        else:
+            order_object = self.ib.placeOrder(ibcontract, ib_order)
 
         trade_with_contract = tradeWithContract(ibcontract_with_legs, order_object)
 

sysbrokers/IB/ib_broker_commissions.py

@@ -0,0 +1,58 @@
+from sysbrokers.IB.ib_connection import connectionIB
+from sysbrokers.IB.ib_orders import ibExecutionStackData
+from sysbrokers.broker_contract_commission_data import brokerFuturesContractCommissionData
+from sysdata.data_blob import dataBlob
+from sysexecution.orders.broker_orders import brokerOrder
+from sysobjects.contracts import futuresContract
+
+from syslogging.logger import *
+
+class ibFuturesContractCommissionData(brokerFuturesContractCommissionData):
+    """
+    Extends the baseData object to a data source that reads in and writes prices for specific futures contracts
+
+    This gets HISTORIC data from interactive brokers. It is blocking code
+    In a live production system it is suitable for running on a daily basis to get end of day prices
+
+    """
+
+    def __init__(
+        self,
+        ibconnection: connectionIB,
+        data: dataBlob,
+        log=get_logger("ibFuturesContractCommissionData"),
+    ):
+        super().__init__(log=log, data=data)
+        self._ibconnection = ibconnection
+
+    def __repr__(self):
+        return "IB Futures commissions data %s" % str(self.ibconnection)
+
+    @property
+    def ibconnection(self) -> connectionIB:
+        return self._ibconnection
+
+    @property
+    def execution_stack(self) -> ibExecutionStackData:
+        return self.data.broker_execution_stack
+
+    def get_commission_for_contract(self, futures_contract: futuresContract) -> float:
+        ## FOR NOW DO NOT RUN IF ANYTHING ELSE IS RUNNING
+        ## NEEDS CODE TO TAKE THE TEST STRATEGY OFF THE STACK WHEN RETURNING ORDERS
+        size_of_test_trade = 10
+        instrument_code = futures_contract.instrument_code
+        contract_date = futures_contract.contract_date.list_of_date_str[0]
+
+        broker_order =brokerOrder(test_commission_strategy, instrument_code, contract_date,
+                    size_of_test_trade)
+
+        order = self.execution_stack.put_what_if_order_on_stack(broker_order)
+
+        while not self.execution_stack.is_completed(order.order.order_id):
+            ## could last forever!
+            continue
+
+        order_from_stack = self.execution_stack.get_order_with_id_from_stack(order_id=order.order.order_id)
+        return order_from_stack.commission / 10.0
+
+test_commission_strategy = "testCommmission"

sysbrokers/IB/ib_orders.py

@@ -266,12 +266,35 @@ def put_order_on_stack(self, broker_order: brokerOrder) -> ibOrderWithControls:
         :param broker_order: key properties are instrument_code, contract_id, quantity
         :return: ibOrderWithControls or missing_order
         """
-        trade_with_contract_from_ib = self._send_broker_order_to_IB(broker_order)
-        order_time = datetime.datetime.now()
+        trade_with_contract_from_ib = self._send_broker_order_to_IB(broker_order, what_if=False)
+
+        placed_broker_order_with_controls = self._return_place_order_given_ib_trade_with_contract(trade_with_contract_from_ib=trade_with_contract_from_ib,
+                                                                                                  broker_order=broker_order)
+
+        return placed_broker_order_with_controls
+
+    def put_what_if_order_on_stack(self, broker_order: brokerOrder) -> ibOrderWithControls:
+        """
+
+        :param broker_order: key properties are instrument_code, contract_id, quantity
+        :return: ibOrderWithControls or missing_order
+        """
+        trade_with_contract_from_ib = self._send_broker_order_to_IB(broker_order, what_if=True)
 
+        placed_broker_order_with_controls = self._return_place_order_given_ib_trade_with_contract(
+            trade_with_contract_from_ib=trade_with_contract_from_ib,
+            broker_order=broker_order)
+
+        return placed_broker_order_with_controls
+
+
+
+    def _return_place_order_given_ib_trade_with_contract(self, trade_with_contract_from_ib: tradeWithContract, broker_order: brokerOrder) -> ibOrderWithControls:
         if trade_with_contract_from_ib is missing_order:
             return missing_order
 
+        order_time = datetime.datetime.now()
+
         placed_broker_order_with_controls = ibOrderWithControls(
             trade_with_contract_from_ib,
             ibclient=self.ib_client,
@@ -288,7 +311,8 @@ def put_order_on_stack(self, broker_order: brokerOrder) -> ibOrderWithControls:
 
         return placed_broker_order_with_controls
 
-    def _send_broker_order_to_IB(self, broker_order: brokerOrder) -> tradeWithContract:
+
+    def _send_broker_order_to_IB(self, broker_order: brokerOrder, what_if: bool = False) -> tradeWithContract:
         """
 
         :param broker_order: key properties are instrument_code, contract_id, quantity
@@ -317,6 +341,7 @@ def _send_broker_order_to_IB(self, broker_order: brokerOrder) -> tradeWithContra
             account_id=account_id,
             order_type=order_type,
             limit_price=limit_price,
+            what_if=what_if
         )
         if placed_broker_trade_object is missing_order:
             self.log.warning("Couldn't submit order", **log_attrs)
@@ -326,6 +351,7 @@ def _send_broker_order_to_IB(self, broker_order: brokerOrder) -> tradeWithContra
 
         return placed_broker_trade_object
 
+
     def match_db_broker_order_to_order_from_brokers(
         self, broker_order_to_match: brokerOrder
     ) -> brokerOrder: