Add support for additional market data bar types

examples/example_all_functionality.py

@@ -299,12 +299,38 @@ def get_contracts() -> Dict[str, Contract]:
                                bar_type=dhib.BarDataType.OPTION_IMPLIED_VOLATILITY, keep_up_to_date=False)
 client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
                                bar_type=dhib.BarDataType.TRADES)
+client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
+                               bar_type=dhib.BarDataType.ADJUSTED_LAST, keep_up_to_date=False)
 
 client.request_bars_realtime(rc, bar_type=dhib.BarDataType.MIDPOINT)
 client.request_bars_realtime(rc, bar_type=dhib.BarDataType.BID)
 client.request_bars_realtime(rc, bar_type=dhib.BarDataType.ASK)
 client.request_bars_realtime(rc, bar_type=dhib.BarDataType.TRADES)
 
+
+print("==============================================================================================================")
+print("==== Request bars (bonds).")
+print("==============================================================================================================")
+
+# enter CUSIP as symbol
+contract = Contract()
+contract.symbol = "IBCID411964960"
+contract.secType = "BOND"
+contract.exchange = "SMART"
+contract.currency = "USD"
+
+rc = client.get_registered_contract(contract)
+print(contract)
+
+client.request_bars_historical(rc, duration=dhib.Duration.days(22), bar_size=dhib.BarSize.DAY_1,
+                               bar_type=dhib.BarDataType.YIELD_BID, keep_up_to_date=False)
+client.request_bars_historical(rc, duration=dhib.Duration.days(22), bar_size=dhib.BarSize.DAY_1,
+                               bar_type=dhib.BarDataType.YIELD_ASK, keep_up_to_date=False)
+client.request_bars_historical(rc, duration=dhib.Duration.days(22), bar_size=dhib.BarSize.DAY_1,
+                               bar_type=dhib.BarDataType.YIELD_BID_ASK, keep_up_to_date=False)
+client.request_bars_historical(rc, duration=dhib.Duration.days(22), bar_size=dhib.BarSize.DAY_1,
+                               bar_type=dhib.BarDataType.YIELD_LAST, keep_up_to_date=False)
+
 print("==============================================================================================================")
 print("==== Request tick data.")
 print("==============================================================================================================")

examples/example_beta_calc.py

@@ -0,0 +1,274 @@
+## Set the API port. Default port numbers are:
+# 7496 - Trader Workstation, real trading
+# 4001 - IB Gateway, real trading
+# 7497 - Trader Workstation, paper trading
+# 4002 - IB Gateway, paper trading
+API_PORT = 7497
+
+import deephaven_ib as dhib
+
+# Disable read-only mode when connecting to the default ports for paper trading:
+if API_PORT == 7497 or API_PORT == 4002:
+    read_only_api = False
+else:
+    read_only_api = True
+
+client = dhib.IbSessionTws(host="host.docker.internal", port=API_PORT, read_only=read_only_api)
+client.connect()
+
+if client.is_connected():
+    print('Client connected!')
+else:
+    raise RuntimeError("Client not connected!")
+
+
+def check_table_size(dh_table, table_name, expected_size=1):
+    table_size = dh_table.size
+    if (table_size < expected_size):
+        raise RuntimeError(
+            'Table "' + table_name + '" has ' + str(table_size) + ' rows! (Expected ' + str(expected_size) + '.)')
+    else:
+        print('Found ' + str(table_size) + ' rows in table "' + table_name + '".')
+
+
+# Get the Deephaven table of position updates, and use 'last_by' to find the
+# current positions (i.e. last row for each ContractId):
+positions = client.tables['accounts_positions'].last_by(['ContractId'])
+
+positions.j_table.awaitUpdate()
+
+check_table_size(positions, "pos")
+
+##########
+##########
+##########
+
+import numpy as np
+from deephaven.pandas import to_pandas
+
+# Get a DH table containing only the distinct Symbols:
+pos_syms = positions.select_distinct(['Symbol'])
+mkt_data_syms_set = set(to_pandas(pos_syms)['Symbol'].values)
+print('Found ' + str(len(mkt_data_syms_set)) + ' position symbols: ' + str(mkt_data_syms_set))
+
+# Add SPY to the set of symbols to request data for:
+mkt_data_syms_set.add('SPY')
+
+from ibapi.contract import Contract
+
+c = Contract()
+c.secType = 'STK'
+c.exchange = 'SMART'
+c.currency = 'USD'
+
+c.symbol = None
+for sym in mkt_data_syms_set:
+    print('Requesting data for symbol=' + str(sym))
+    c.symbol = sym
+
+    rc = client.get_registered_contract(c)
+    client.request_bars_historical(
+        rc,
+        duration=dhib.Duration.days(253),
+        bar_size=dhib.BarSize.DAY_1,
+        bar_type=dhib.BarDataType.ADJUSTED_LAST,
+        keep_up_to_date=False
+    )
+
+# Retrieve the Deephaven table of historical data bars:
+hist_data_bars = client.tables['bars_historical']
+
+# Wait for data to be retrieved:
+from time import sleep
+
+sleep(5)
+
+hist_data_bars.j_table.awaitUpdate()
+hist_data_recvd_syms = hist_data_bars.select_distinct(['Symbol'])
+check_table_size(hist_data_recvd_syms, 'hist_data_recvd_syms', len(mkt_data_syms_set))
+
+##########
+##########
+##########
+
+# Use 'colname_[i-1]' to read a value from the previous row
+hist_data_with_return = hist_data_bars \
+    .update_view(formulas=[
+    'SameTickerAsPrevRow = Symbol=Symbol_[i-1]',
+    'Last   = !SameTickerAsPrevRow ? null : Close_[i-1]',
+    'Chg    = Close - Last',
+    'Return = Chg/Last',
+])
+
+# Join the SPY returns onto the returns for all stocks
+spy = hist_data_with_return.where("Symbol=`SPY`")
+hist_data_with_spy = hist_data_with_return.natural_join(spy, ['Timestamp'], ['SPY_Return=Return'])
+
+##########
+##########
+##########
+
+
+# Install sklearn and run a linear regression to calculate betas
+print("Installing sklearn...")
+import os
+
+os.system("pip install sklearn")
+from sklearn.linear_model import LinearRegression
+
+## Use a DynamicTableWriter to store regression results in a Deephaven table
+import deephaven.dtypes as dht
+from deephaven import DynamicTableWriter
+from deephaven.table import Table
+
+table_writer = DynamicTableWriter(
+    {"Symbol": dht.string,
+     "Beta": dht.double,
+     "Intercept": dht.double,
+     "R2": dht.double
+     }
+)
+regression_results = table_writer.table
+
+# Partition the table, creating a distinct table for each Symbol:
+data_partitioned = hist_data_with_spy.partition_by(['Symbol'])
+
+print('Calculating betas...')
+for symbol in mkt_data_syms_set:
+    print('Calculating beta for ' + symbol + '...')
+    returns_for_betas = data_partitioned.get_constituent(symbol) \
+        .where(['!isNull(Return)', '!isNull(SPY_Return)'])
+
+    returns_for_betas_df = to_pandas(returns_for_betas)
+
+    reg = LinearRegression()
+    X = returns_for_betas_df['SPY_Return'].values.reshape(-1, 1)
+    Y = returns_for_betas_df['Return']
+    reg.fit(X, Y)
+    r2 = reg.score(X, Y).real
+
+    print(symbol + ' coef: ' + str(reg.coef_) +
+          '; intercept: ' + str(reg.intercept_) +
+          '; R2: ', str(r2))
+
+    # Append to the 'regression_results' table:
+    table_writer.write_row(
+        symbol,
+        reg.coef_[0],
+        reg.intercept_,
+        r2
+    )
+print('Finished calculating betas!')
+
+##########
+##########
+##########
+
+
+# Request live prices:
+ticks_price = client.tables['ticks_price']
+live_prices = ticks_price.last_by(['ContractId'])
+
+for sym in mkt_data_syms_set:
+    print('Requesting data for symbol=' + str(sym))
+    c.symbol = sym
+    rc = client.get_registered_contract(c)
+    client.request_market_data(
+        rc,
+        snapshot=False
+    )
+
+sleep(2)
+live_prices.j_table.awaitUpdate()
+check_table_size(live_prices, 'live_prices', len(mkt_data_syms_set))
+
+##########
+##########
+##########
+
+# Join the table of betas onto the positions
+pos_with_beta = positions.natural_join(live_prices, ['ContractId'], ['Price']) \
+    .natural_join(regression_results, ['Symbol'], ['Beta', 'R2']) \
+    .view([
+    'Symbol',
+    'ContractId',
+    'SecType',
+    'Currency',
+    'Position',
+    'PosValue = Position * Price',
+    'Price',
+    'AvgCost',
+    'PNL = PosValue - AvgCost * Position',
+    'Beta',
+    'R2',
+    'SPYBetaValue = Beta * PosValue',
+])
+
+##########
+##########
+##########
+
+# Calculate hedge, excluding positions with a very low R2:
+hedge_shares = pos_with_beta \
+    .view([
+    'PosValue',
+    'WeightedBeta = Beta * PosValue',
+    'SPYBetaValue',
+    'SPYBetaValueForHedge = R2 > 1/5 ? SPYBetaValue : 0'
+]) \
+    .sum_by() \
+    .natural_join(live_prices.where('Symbol=`SPY`'), [], ['SPY_Price=Price']) \
+    .view([
+    'PortfolioValue = PosValue',
+    'PortfolioBeta = WeightedBeta / PosValue',
+    'SPYBetaValue',
+    'SPYBetaValueForHedge',
+    'HedgeShares = -round(SPYBetaValueForHedge / SPY_Price)',
+    'HedgeCost = HedgeShares * SPY_Price',
+    'SPY_Price'
+])
+
+##########
+##########
+##########
+
+# Set send_hedge_order to True to submit the order, not just generate it.
+# (Must also set read_only to False when creating the IbSessionTws instance.)
+send_hedge_order = False
+
+from ibapi.order import Order
+
+c.symbol = "SPY"
+rc = client.get_registered_contract(c)
+print(c)
+
+# Extract the hedge information from the hedge_shares table:
+hedge_info = hedge_shares.j_table.getRecord(0, 'HedgeShares', 'SPY_Price')
+hedge_qty = hedge_info[0]
+hedge_last_px = hedge_info[1]
+hedge_side = "BUY" if hedge_qty > 0 else "SELL"
+hedge_limit_px = hedge_last_px + 0.05 * (1 if hedge_side is "BUY" else -1)
+
+# Create an order with the IB API:
+order = Order()
+# order.account = "<account number>"
+order.action = hedge_side
+order.orderType = "LIMIT"
+order.totalQuantity = hedge_qty
+order.lmtPrice = hedge_limit_px
+order.eTradeOnly = False
+order.firmQuoteOnly = False
+
+print('Order: ' + str(order))
+
+if send_hedge_order:
+    print('***** Sending order to ' + order.action + ' ' + str(
+        order.totalQuantity) + ' shares of ' + c.symbol + '! *****')
+    req = client.order_place(rc, order)
+
+else:
+    print('Not actually sending order.')
+
+# To cancel orders:
+# req.cancel()
+# client.order_cancel_all()

src/deephaven_ib/__init__.py

@@ -132,14 +132,24 @@ class BarDataType(Enum):
     """Ask prices."""
     BID_ASK = 5
     """Bid/Ask prices."""
-    HISTORICAL_VOLATILITY = 6
+    ADJUSTED_LAST = 6
+    """Bid/Ask prices."""
+    HISTORICAL_VOLATILITY = 7
     """Historical volatility."""
-    OPTION_IMPLIED_VOLATILITY = 7
+    OPTION_IMPLIED_VOLATILITY = 8
     """Option implied volatility."""
-    FEE_RATE = 8
-    """Fee rate."""
     REBATE_RATE = 9
     """Rebate rate."""
+    FEE_RATE = 10
+    """Fee rate."""
+    YIELD_BID = 11
+    """Bid yield."""
+    YIELD_ASK = 12
+    """Ask yield."""
+    YIELD_BID_ASK = 13
+    """Bid/Ask yield."""
+    YIELD_LAST = 14
+    """Last yield."""
 
 
 class BarSize(Enum):