Jib.jl

A Julia implementation of Interactive Brokers API
Author lbilli
Popularity
26 Stars
Updated Last
1 Year Ago
Started In
April 2019

Jib

A Julia implementation of Interactive Brokers API

Jib is a native Julia client that implements Interactive Brokers API to communicate with their TWS or IBGateway.

It aims to be feature complete, however it does not support legacy versions. Currently, only API versions v100 v142+ v155+ are supported.

The package design follows the official C++/Java IB API, which is based on an asynchronous request-response communication model over TCP.

Installation

To install from GitHub:

] add https://github.com/lbilli/Jib.jl

Usage

The user interacts mainly with these two objects:

  • Connection: created after establishing a connection with the server and holding a reference to it.
  • Wrapper: containing the callbacks that are invoked when the server responses are processed.

Other data structures, such as Contract and Order, are implemented as Julia struct and mirror the respective classes in the official IB API.

A complete minimal working example is shown. For this code to work, an instance of the IB TWS or IBGateway needs to be running on the local machine, listening on port 4002. Note: demo or paper account recommended!! ๐Ÿ˜

using Jib

wrap = Jib.Wrapper(
         # Customized methods go here
         error= (id, errorCode, errorString) -> println("Error: $(something(id, "NA")) $errorCode $errorString"),

         nextValidId= (orderId) -> println("Next OrderId: $orderId"),

         managedAccounts= (accountsList) -> println("Managed Accounts: $accountsList")

         # more method overrides can go here...
       );

# Connect to the server with clientId = 1
ib = Jib.connect(4002, 1);

# Start a background Task to process the server responses
Jib.start_reader(ib, wrap);

# Define contract
contract = Jib.Contract(symbol="GOOG",
                        secType="STK",
                        exchange="SMART",
                        currency="USD");

# Define order
order = Jib.Order();
order.action        = "BUY"
order.totalQuantity = 10
order.orderType     = "LMT"
order.lmtPrice      = 1000

orderId = 1    # Should match whatever is returned by the server

# Send order
Jib.placeOrder(ib, orderId, contract, order)

# Disconnect
Jib.disconnect(ib)
Foreground vs. Background Processing

It is possible to process the server responses either within the main process or in a separate background Task:

  • foreground processing is triggered by invoking Jib.check_all(ib, wrap). It is the user's responsability to call it on a regular basis, especially when data are streaming in.
  • background processing is started by Jib.start_reader(ib, wrap). A separate Task is started in the background, which monitors the connection and processes the responses as they arrive.

To avoid undesired effects, the two approaches should not be mixed together on the same connection.

Implementation Details

The package does not export any name, therefore any functions or types described here need to be prefixed by Jib.*.

As Julia is not an object-oriented language, the functionality of the IB EClient class is provided here by regular functions. In particular:

  • connect(port, clientId, connectOptions): establish a connection and return a Connection object.
  • disconnect(::Connection): terminate the connection.
  • check_all(::Connection, ::Wrapper): process available responses, not blocking. Return the number of messages processed. Needs to be called regularly.
  • start_reader(::Connection, ::Wrapper): start a Task for background processing.
  • methods that send specific requests to the server. Refer to the official IB EClient class documentation for further details and method signatures. The only caveat is to remember to pass a Connection as first argument: e.g. reqContractDetails(ib::Connection, reqId:Int, contract::Contract)
Wrapper

Like the official IB EWrapper class, this struct holds the callbacks that are dispatched when responses are processed. By default it is filled with dummy functions. The user should override in the constructor the desired methods, as shown above.

A more comprehensive example is provided by simple_wrap(), which is used like this:

using Jib: Jib, Contract, reqContractDetails, simple_wrap, start_reader

data, wrap = simple_wrap();

ib = Jib.connect(4002, 1);
start_reader(ib, wrap);

reqContractDetails(ib, 99, Contract(conId=208813720, exchange="SMART"))

# Wait for the response and then access the "ContractDetails" result:
data[:cd]

Thanks to closures, data (a Dict in this case) is accessible by all wrap methods as well as the main program. This is one way to propagate incoming data to different parts of the program.

For more details about callback definitions and signatures, refer to the official IB EWrapper class documentation. As reference, the exact signatures used in this package are found here.

Notes

Callbacks are generally invoked with arguments and types matching the signatures as described in the official documentation. However, there are few exceptions:

  • tickPrice() has an extra size::Int argument, which is meaningful only when TickType โˆˆ {BID, ASK, LAST}. In these cases, the official IB API fires an extra tickSize() event instead.
  • historicalData() is invoked only once per request, presenting all the historical data as a single DataFrame, whereas the official IB API invokes it row-by-row.
  • scannerData() is also invoked once per request and its arguments are in fact vectors rather than single values.

These modifications make it possible to establish the rule: one callback per server response.

Consequently, historicalDataEnd() and scannerDataEnd() are redundant and are not used in this package.

DataFrame are passed to several other callbacks, such as: mktDepthExchanges(), smartComponents(), newsProviders(), histogramData(), marketRule() and the historicalTicks*() family.

Data Structures

Other classes that mainly hold data are also defined. They are implemented as Julia struct or mutable struct with names, types and default values matching the IB API counterparts: e.g. Contract, Order, ComboLeg, ExecutionFilter, ScannerSubscription and Condition*.

TagValueList are implemented as Julia NamedTuple. Wherever a TagValue is needed, something like this can be used:

tagvaluelist = (tag1="value1", tag2="value2")
# or, in case of an empty list:
emptylist = (;)

Values don't need to be of type String. Int and Float64 are also allowed.