/interactive-brokers

Interactive Brokers API

Primary LanguageHaskellBSD 3-Clause "New" or "Revised" LicenseBSD-3-Clause

Interactive Brokers API

This library provides a Haskell wrapper for the Interactive Brokers API. It is based on version 9.70 of the IB Java API. The latest version at the time of writing is 9.72. See the IB API home page for up-to-date information.

Status

  • Work in progress (see TODO.md for planned enhancements)
  • Working sample apps that demonstrate currently supported messages
  • A test suite has not yet been developed
  • Performance analysis has not yet been conducted

API Coverage

The following messages are currently supported.

Requests

  • ReqMktData
  • CancelMktData
  • PlaceOrder
  • CancelOrder
  • ReqOpenOrders
  • ReqAccountData
  • ReqExecutions
  • ReqIds
  • ReqContractData
  • ReqAutoOpenOrders
  • ReqAllOpenOrders
  • ReqManagedAccounts
  • ReqHistoricalData
  • CancelHistoricalData
  • ReqCurrentTime
  • ReqRealTimeBars
  • CancelRealTimeBars
  • ReqGlobalCancel
  • ReqMarketDataType
  • ReqPositions
  • ReqAccountSummary
  • CancelAccountSummary
  • CancelPositions

Responses

  • TickPrice
  • TickSize
  • OrderStatus
  • ErrorMessage
  • OpenOrder
  • AccountValue
  • PortfolioValue
  • AccountUpdateTime
  • NextValidId
  • ContractData
  • ExecutionData
  • ManagedAccounts
  • HistoricalData
  • TickGeneric
  • TickString
  • CurrentTime
  • RealTimeBar
  • ContractDataEnd
  • OpenOrderEnd
  • ExecutionDataEnd
  • TickSnapshotEnd
  • MarketDataType
  • CommissionReport
  • Position
  • PositionEnd
  • AccountSummary
  • AccountSummaryEnd

Setup

Tested on GHC 7.10.3:

git clone https://github.com/cmahon/interactive-brokers.git
git clone https://github.com/cmahon/mvc-service.git
cd interactive-brokers
stack build

With IB TWS running, run the example applications:

stack exec ib contracts ES
stack exec requests-service
stack exec requests-simple
stack exec shell

Sample Output (requests-simple)

$ stack exec requests-simple
Starting
2016-03-21 20:52:54 AEDT MVC.Socket DEBUG: socketService start
ServicePending
Just (IBResponse (NextValidId {_nvId = 1}))
Just (Log "4\NUL2\NUL-1\NUL2119\NULMarket data farm is connecting:usfuture\NUL")
Just (IBResponse (Error {_errId = -1, _errCode = 2119, _errDesc = "Market data farm is connecting:usfuture"}))
Just (Log "10\NUL8\NUL1\NULES\NULFUT\NUL20161216\NUL0\NUL\NULGLOBEX\NULUSD\NULESZ6\NULES\NULES\NUL206848474\NUL0.25\NUL50\NULACTIVETIM,ADJUST,ALERT,ALGO,ALLOC,AVGCOST,BASKET,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,GAT,GTC,GTD,GTT,HID,ICE,IOC,LIT,LMT,LTH,MIT,MKT,MTL,NGCOMB,NONALGO,OCA,PEGBENCH,SCALE,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,WHATIF,\NULGLOBEX\NUL1\NUL11004968\NULE-mini S&P 500\NUL\NUL201612\NUL\NUL\NUL\NULCTT\NUL20160321:1700-1515,1530-1600;20160322:1700-1515,1530-1600\NUL20160321:0830-1515;20160322:0830-1515\NUL\NUL\NUL0\NUL52\NUL1\NUL1\NUL")
Just (IBResponse (ContractData {_cdReqId = 1, _cdContractDetails = IBContractDetails {_cdSummary = IBContract {_conId = 206848474, _conSymbol = "ES", _conSecType = IBFuture, _conExpiry = Just 2016-12-16, _conStrike = 0.0, _conRight = Nothing, _conMultiplier = Just 50.0, _conExchange = GLOBEX, _conCurrency = USD, _conLocalSymbol = "ESZ6", _conTradingClass = "ES", _conPrimaryExch = Other "", _conIncludeExpired = False, _conSecIdType = Nothing, _conSecId = "", _conComboLegsDescrip = "", _conComboLegs = [], _conUnderComp = Nothing}, _cdMarketName = "ES", _cdMinTick = 0.25, _cdPriceMagnifier = 1, _cdOrderTypes = "ACTIVETIM,ADJUST,ALERT,ALGO,ALLOC,AVGCOST,BASKET,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,GAT,GTC,GTD,GTT,HID,ICE,IOC,LIT,LMT,LTH,MIT,MKT,MTL,NGCOMB,NONALGO,OCA,PEGBENCH,SCALE,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,WHATIF,", _cdValidExchanges = [GLOBEX], _cdUnderConId = 11004968, _cdLongName = "E-mini S&P 500", _cdContractMonth = "201612", _cdIndustry = "", _cdCategory = "", _cdSubCategory = "", _cdTimeZoneId = "CTT", _cdTradingHours = "20160321:1700-1515,1530-1600;20160322:1700-1515,1530-1600", _cdLiquidHours = "20160321:0830-1515;20160322:0830-1515", _cdEvRule = "", _cdEvMultiplier = 0.0, _cdSecIds = fromList []}}))
Just (IBResponse (ContractDataEnd {_cdReqId = 1}))
Just (Log "4\NUL2\NUL-1\NUL2104\NULMarket data farm connection is OK:usfuture\NUL")
Just (IBResponse (Error {_errId = -1, _errCode = 2104, _errDesc = "Market data farm connection is OK:usfuture"}))
Just (Log "1\NUL6\NUL2\NUL9\NUL2022.50\NUL0\NUL0\NUL")
Just (IBResponse (TickPrice {_tpTickerId = 2, _tpTickType = Close, _tpPrice = 2022.5, _tpCanAutoExecute = False}))
ServiceActive
2016-03-21 20:52:57 AEDT MVC.Socket DEBUG: connectionReader stream error: threadWait: invalid argument (Bad file descriptor)
Just (IBResponse (NextValidId {_nvId = 1}))
Just (Log "4\NUL2\NUL-1\NUL2104\NULMarket data farm connection is OK:usfuture\NUL")
Just (IBResponse (Error {_errId = -1, _errCode = 2104, _errDesc = "Market data farm connection is OK:usfuture"}))
Just (Log "1\NUL6\NUL1\NUL1\NUL2025.50\NUL3\NUL1\NUL2\NUL6\NUL1\NUL0\NUL3\NUL")
Just (IBResponse (TickPrice {_tpTickerId = 1, _tpTickType = Bid, _tpPrice = 2025.5, _tpCanAutoExecute = True}))
Just (IBResponse (TickSize {_tsTickerId = 1, _tsTickType = BidSize, _tsSize = 3}))
Just (Log "1\NUL6\NUL1\NUL2\NUL2027.50\NUL4\NUL1\NUL2\NUL6\NUL1\NUL3\NUL4\NUL")
Just (IBResponse (TickPrice {_tpTickerId = 1, _tpTickType = Ask, _tpPrice = 2027.5, _tpCanAutoExecute = True}))
Just (IBResponse (TickSize {_tsTickerId = 1, _tsTickType = AskSize, _tsSize = 4}))
Just (Log "1\NUL6\NUL1\NUL9\NUL2022.50\NUL0\NUL0\NUL")
2016-03-21 20:53:08 AEDT MVC.Socket DEBUG: socketService end
2016-03-21 20:53:08 AEDT API.IB.Connection DEBUG: ibService end
2016-03-21 20:53:08 AEDT MVC.Socket DEBUG: connectionReader stream error: threadWait: invalid argument (Bad file descriptor)
ServiceTerminated
Finished
2016-03-21 20:53:08 AEDT API.IB.Connection DEBUG: withIB stop
2016-03-21 20:53:08 AEDT API.IB.Connection DEBUG: withIB error: thread killed
2016-03-21 20:53:08 AEDT MVC.Socket DEBUG: connectionReader error: thread killed

Sample Output (shell)

$ stack exec shell
IB> help
commands: help, quit, con [es|gc], price [es|gc]
IB> price es
TickPrice {_tpTickerId = 1, _tpTickType = Bid, _tpPrice = 2025.5, _tpCanAutoExecute = True}
IB> price gc
TickPrice {_tpTickerId = 2, _tpTickType = Last, _tpPrice = 1251.4, _tpCanAutoExecute = False}
IB> con es
ContractData {_cdReqId = 3, _cdContractDetails = IBContractDetails {_cdSummary = IBContract {_conId = 206848474, _conSymbol = "ES", _conSecType = IBFuture, _conExpiry = Just 2016-12-16, _conStrike = 0.0, _conRight = Nothing, _conMultiplier = Just 50.0, _conExchange = GLOBEX, _conCurrency = USD, _conLocalSymbol = "ESZ6", _conTradingClass = "ES", _conPrimaryExch = Other "", _conIncludeExpired = False, _conSecIdType = Nothing, _conSecId = "", _conComboLegsDescrip = "", _conComboLegs = [], _conUnderComp = Nothing}, _cdMarketName = "ES", _cdMinTick = 0.25, _cdPriceMagnifier = 1, _cdOrderTypes = "ACTIVETIM,ADJUST,ALERT,ALGO,ALLOC,AVGCOST,BASKET,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,GAT,GTC,GTD,GTT,HID,ICE,IOC,LIT,LMT,LTH,MIT,MKT,MTL,NGCOMB,NONALGO,OCA,PEGBENCH,SCALE,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,WHATIF,", _cdValidExchanges = [GLOBEX], _cdUnderConId = 11004968, _cdLongName = "E-mini S&P 500", _cdContractMonth = "201612", _cdIndustry = "", _cdCategory = "", _cdSubCategory = "", _cdTimeZoneId = "CTT", _cdTradingHours = "20160321:1700-1515,1530-1600;20160322:1700-1515,1530-1600", _cdLiquidHours = "20160321:0830-1515;20160322:0830-1515", _cdEvRule = "", _cdEvMultiplier = 0.0, _cdSecIds = fromList []}}
IB> quit
$

IB Installation (OS X)

IB TWS

The IB API can be accessed via the full desktop client (TWS - Trader Workstation) or the gateway client. I have only used TWS to date but will try the gateway soon - from what I can tell it only offers a restricted subset of the native IB API (e.g. orders may not be supported) but supports the full API via FIX.

Create a folder for TWS.

mkdir ~/IBJts

Download and run the latest TWS installer for OS X and run it. Copy all files from the Contents/Resources/Java subfolder of the newly created Trader_WorkStation_X.app package to ~/IBJts. For example:

cp -r /Users/<Username>/Applications/Trader_WorkStation_X.app/Contents/Resources/Java ~/IBJts

Change to the IBJts folder:

cd ~/IBJts

Run TWS:

java -cp jts.jar:total.jar -Xmx512M -XX:MaxPermSize=128M jclient.LoginFrame .

Create a shell file to launch TWS and save as 'ibtws':

#!/bin/sh
cd ~/IBjts
java -cp jts.jar:total.jar -Xmx512M -XX:MaxPermSize=128M jclient.LoginFrame .

Make ibtws executable

chmod +x ibtws

IBController

Download the latest IBController code and extract the archive in your home folder. Change to the newly created IBControllerVX-XX-X folder.

cp sampleIBControllerStart.sh ibc
chmod +x ibc

Edit ibc. Mine looks like this (note the commented-out username and password):

#!/bin/bash
TWSUSERID=<IB username>
TWSPASSWORD=<IB password>
IBCDIR=/Users/Chris/IBController/
IBCINI=/Users/Chris/IBController/IBController.ini
TWSDIR=/Users/Chris/IBJts
TWSCP=jts.jar:total.jar
JAVAOPTS="-Xmx512M -XX:MaxPermSize=128M" 
pushd $TWSDIR
java -cp  $TWSCP:$IBCDIR/IBController.jar $JAVAOPTS ibcontroller.IBController $IBCINI $TWSUSERID $TWSPASSWORD
popd

Edit the following entries in IBController.ini.

IbLoginId=<IB username>

IbPassword=<IB password>

IbDir=/Users/Chris/IBJts

Testing

Make ibtws and ibc accessible e.g. via copying to a folder in your PATH.

Running ibtws should launch the TWS client and request your login details:

ibtws

Running ibc should launch IB TWS and login automatically:

ibc

Enabling the IB API in TWS

Activate via menu / setting dialog:

Edit - Global configuration - API - Settings - Enable ActiveX and Socket Clients