IB adapter update v1030 (#2420)

Author: FGU1

nautilus_trader/adapters/interactive_brokers/client/client.py

@@ -24,9 +24,9 @@
 from ibapi import comm
 from ibapi.client import EClient
 from ibapi.commission_report import CommissionReport
-from ibapi.common import MAX_MSG_LEN
-from ibapi.common import NO_VALID_ID
 from ibapi.common import BarData
+from ibapi.const import MAX_MSG_LEN
+from ibapi.const import NO_VALID_ID
 from ibapi.errors import BAD_LENGTH
 from ibapi.execution import Execution
 from ibapi.utils import current_fn_name

nautilus_trader/adapters/interactive_brokers/client/connection.py

@@ -19,8 +19,8 @@
 from ibapi import comm
 from ibapi import decoder
 from ibapi.client import EClient
-from ibapi.common import NO_VALID_ID
 from ibapi.connection import Connection
+from ibapi.const import NO_VALID_ID
 from ibapi.errors import CONNECT_FAIL
 from ibapi.server_versions import MAX_CLIENT_VER
 from ibapi.server_versions import MIN_CLIENT_VER
@@ -133,8 +133,8 @@ async def _send_version_info(self) -> None:
         """
         v100prefix = "API\0"
         v100version = f"v{MIN_CLIENT_VER}..{MAX_CLIENT_VER}"
-        if self._eclient.connectionOptions:
-            v100version += f" {self._eclient.connectionOptions}"
+        if self._eclient.connectOptions:
+            v100version += f" {self._eclient.connectOptions}"
         msg = comm.make_msg(v100version)
         msg2 = str.encode(v100prefix, "ascii") + msg
         await asyncio.to_thread(functools.partial(self._eclient.conn.sendMsg, msg2))

nautilus_trader/adapters/interactive_brokers/client/market_data.py

@@ -72,7 +72,7 @@ async def set_market_data_type(self, market_data_type: MarketDataTypeEnum) -> No
             The market data type to be set
 
         """
-        self._log.info(f"Setting Market DataType to {MarketDataTypeEnum.to_str(market_data_type)}")
+        self._log.info(f"Setting Market DataType to {MarketDataTypeEnum.toStr(market_data_type)}")
         self._eclient.reqMarketDataType(market_data_type)
 
     async def _subscribe(
@@ -715,9 +715,9 @@ async def process_market_data_type(self, *, req_id: int, market_data_type: int)
         to frozen and back and from delayed to delayed-frozen and back.
         """
         if market_data_type == MarketDataTypeEnum.REALTIME:
-            self._log.debug(f"Market DataType is {MarketDataTypeEnum.to_str(market_data_type)}")
+            self._log.debug(f"Market DataType is {MarketDataTypeEnum.toStr(market_data_type)}")
         else:
-            self._log.warning(f"Market DataType is {MarketDataTypeEnum.to_str(market_data_type)}")
+            self._log.warning(f"Market DataType is {MarketDataTypeEnum.toStr(market_data_type)}")
 
     async def process_tick_by_tick_bid_ask(
         self,

nautilus_trader/adapters/interactive_brokers/client/wrapper.py

@@ -570,7 +570,6 @@ def receiveFA(self, faData: FaDataType, cxml: str) -> None:
             One of the following:
             - Groups: Offer traders a way to create a group of accounts and apply a single allocation method
             to all accounts in the group.
-            - Profiles: Let you allocate shares on an account-by-account basis using a predefined calculation value.
             - Account Aliases: Let you easily identify the accounts by meaningful names rather than account numbers.
         cxml : str
             The XML-formatted configuration.

nautilus_trader/adapters/interactive_brokers/common.py

@@ -16,7 +16,9 @@
 from decimal import Decimal
 from typing import Final, Literal
 
-from ibapi.common import UNSET_DECIMAL
+from ibapi.const import UNSET_DECIMAL
+from ibapi.contract import FundAssetType
+from ibapi.contract import FundDistributionPolicyIndicator
 from ibapi.tag_value import TagValue
 
 from nautilus_trader.config import NautilusConfig
@@ -101,6 +103,8 @@ class IBContract(NautilusConfig, frozen=True, repr_omit_defaults=True):
         Filters the options_chain and futures_chain which are expiring before number of days specified.
     lastTradeDateOrContractMonth: str (%Y%m%d or %Y%m) (default: '')
         Filters the options_chain and futures_chain specific for this expiry date
+    lastTradeDate: str (default: '')
+        The contract last trading day.
 
     """
 
@@ -127,6 +131,7 @@ class IBContract(NautilusConfig, frozen=True, repr_omit_defaults=True):
 
     # options and futures
     lastTradeDateOrContractMonth: str = ""
+    lastTradeDate: str = ""
     multiplier: str = ""
 
     # options
@@ -240,3 +245,25 @@ class IBContractDetails(NautilusConfig, frozen=True, repr_omit_defaults=True):
     nextOptionType: str = ""
     nextOptionPartial: bool = False
     notes: str = ""
+
+    # FUND values
+    fundName: str = ""
+    fundFamily: str = ""
+    fundType: str = ""
+    fundFrontLoad: str = ""
+    fundBackLoad: str = ""
+    fundBackLoadTimeInterval: str = ""
+    fundManagementFee: str = ""
+    fundClosed: bool = False
+    fundClosedForNewInvestors: bool = False
+    fundClosedForNewMoney: bool = False
+    fundNotifyAmount: str = ""
+    fundMinimumInitialPurchase: str = ""
+    fundSubsequentMinimumPurchase: str = ""
+    fundBlueSkyStates: str = ""
+    fundBlueSkyTerritories: str = ""
+    fundDistributionPolicyIndicator: FundDistributionPolicyIndicator = (
+        FundDistributionPolicyIndicator.NoneItem
+    )
+    fundAssetType: FundAssetType = FundAssetType.NoneItem
+    ineligibilityReasonList: list = None

nautilus_trader/adapters/interactive_brokers/execution.py

@@ -19,8 +19,8 @@
 from typing import Any
 
 from ibapi.commission_report import CommissionReport
-from ibapi.common import UNSET_DECIMAL
-from ibapi.common import UNSET_DOUBLE
+from ibapi.const import UNSET_DECIMAL
+from ibapi.const import UNSET_DOUBLE
 from ibapi.execution import Execution
 from ibapi.order import Order as IBOrder
 from ibapi.order_state import OrderState as IBOrderState

pyproject.toml

@@ -73,7 +73,7 @@ betfair = [
 ]
 ib = [
     "defusedxml>=0.7.1,<1.0.0",
-    "nautilus-ibapi==10.19.4",
+    "nautilus-ibapi==10.30.1",
 ]
 docker = [
     "docker>=7.1.0,<8.0.0",

tests/integration_tests/adapters/interactive_brokers/client/test_client_connection.py

@@ -3,7 +3,7 @@
 from unittest.mock import MagicMock
 
 import pytest
-from ibapi.common import NO_VALID_ID
+from ibapi.const import NO_VALID_ID
 from ibapi.errors import CONNECT_FAIL