/ib_gateway

An IB order gateway, order cache system and market data relayer

Primary LanguageJava

ib_gateway

IB API sucks

This is an API wrapper for place/modify order, with balance/order cache and on-req market data repeater based on Redis pub/sub channel.

Use ruby/python/nodejs to make trading bot easier, without dealing with dozens of IB API handlers, to save life, and earn life.

Underlying IB/TWS lib:

Version: API 9.76 Release Date: May 08 2019

Behaviour and configuration

  • Load TWS_API_ADDR TWS_API_PORT TWS_API_CLIENTID and TWS_GATEWAY_NAME from ENV

  • Load REDIS_HOST REDIS_PORT and REDIS_PSWD from ENV

  • Auto keep API connectivity to IB/TWS, retry every 20 seconds

  • Keep latest account balance with position updated at Redis IBGateway:{account}:balance

  • On-req orderbook subscription

    • level1/2 data is published at channel URANUS:{exchange}:{currency}-{symbol}:full_odbk_channel in format [bids, asks, timestamp]
    • latest trades is published at channel URANUS:{exchange}:{currency}-{symbol}:full_tick_channel in format [trade, timestamp]

  • On-req contract querying, hit contracts is published at keys like IBGateway:Contract:{exchange}:{secType}:{currency}-{symbol}:{expiry}:{multiplier}

    • IBGateway:Contract:FUT:CMECRYPTO:USD-BRR:20210625:5
    • IBGateway:Contract:FUT:CMECRYPTO:USD-BRR:20210625:0.1
    • IBGateway:Contract:STK:SEHK:HKD-1137

  • Market rules are placed at: IBGateway:MarketRule:{id}

    • IBGateway:MarketRule:357
    • IBGateway:MarketRule:472

  • Auto query all contract details in user portfolio at startup

  • Heartbeat every second, at channel IBGateway:{name}:ACK

  • Forward TWS message at channel IBGateway:{name}:ACK

Order Cache behaviour

Start-up:

Refresh all alive orders (complete snapshot), and history orders (may not contain those with 0 trade)

  • Setup redis hashmap at:
    • URANUS:{exchange}:{name}:O:{currency}-{symbol}
    • URANUS:{exchange}:{name}:O:{currency}-{symbol}@{expiry}
    • URANUS:{exchange}:{name}:O:{currency}-{symbol}@{expiry}@{multiplier}
  • Redis hashmap internal structure:
    • { t -> timestamp }
    • { id -> order_json }
    • { client_oid -> order_json }
  • Then, mark OMS cache running with value '1' at:
    • URANUS:{exchange}:{name}:OMS

Work:

  • Keep receiving updates from AllOrderHandler
  • Broadcast order_json string at channel:
    • URANUS:{exchange}:{name}:O_channel
  • Also write order_json at HSET:
    • URANUS:{exchange}:{name}:O:{currency}-{symbol} with key {i} and {client_oid}

Tear-down:

mark OMS cache stopped by deleting every URANUS:{exchange}:{name}:OMS

Commands and reponses

Command format: {"id":id, "cmd":command, params:{...}}

ib_gateway listens command on channel IBGateway:{name}:CMD, reply ACK with id at channel Redis/IBGateway:{name}:ACK

  • SUB_ODBK
    • {contract={}}, subscribe orderbook.
  • SUB_TOP
    • {contract={}}, subscribe level 1 data and latest trades.
  • RESET
    • reset status as new connected, restart all tasks.
  • FIND_CONTRACTS
    • {contract={}} with limit info, query all possible results.
    • secType and symbol is required in contract
  • PLACE_ORDER
    • {iborder={contract:{full_detail_contract}, order:{}}}
  • CANCEL_ORDER
    • {apiOrderId=}
  • CANCEL_ALL
    • No argument
  • ACCOUNT_LIST
    • No argument