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CHANGELOG.md

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Changelog

All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

Unreleased

v1.0.0 - 2021-02-28

v1.0.0 is the first usable release of the framework. Accounts & orders management features are now implemented, so as placing orders. It's a usable framework for actual trading as of this release. However, it's NOT compatible with pervious versions as a lot of the functions got revamped, including the functions for fetching the historical data.

Added

  • Support of requesting and managing account & portfolio data.
  • Support of requesting active orders & orders management (including order placing, cancellation, and order status updates, etc..).
  • Connection status event listener to notify the connection status between the client program and IB TWS/Gateway.
  • Handling for unexpected connection drops.
    • Resources will be released and on-going tasks will all be terminated on disconnected.
  • Corresponding interfaces for most if not all public classes for easy mocking, so it's gonna be easy to backtest the strategies and use the same set of strategy code for both backtest and live trading.

Changed

  • Reordered the grouping of packages and modules (breaking change).
  • IBBridge.req_historical_ticks now works as an async iterator.

Removed

  • All deprecated functions.
  • Deprecated script cmd/fetch_us_historical_ticks.py.

v0.2.0 - 2020-09-02

v0.2.0 is a minor release refactored most of the project to adopt async/await syntax, added support of streaming live "tick-by-tick" data from IB, and restructured the project.

Added

  • Module ibpy_native.utils.datatype to hold Enum or TypedDict for types of function arguments or return objects.
  • Listener to receive system notifications from IB (via ibpy_native.interfaces.listeners.NotificationListener) in public class ibpy_native.bridge.IBBridge.
    • Corresponding setter set_on_notify_listener(listener).
  • Function ibpy_native.bridge.IBBridge.search_detailed_contracts(contract) to search for contracts with complete details from IB's database. This newly implemented function is recommended to replace the deprecated functions get_us_stock_contract(symbol) & get_us_future_contract(symbol, contract_month) in IBBridge.
  • Feature of streaming live "tick-by-tick" data from IB via functions ibpy_native.bridge.IBBridge.stream_live_ticks(contract, listener, tick_type=ibpy_native.utils.datatype.LiveTicks.LAST) and ibpy_native.bridge.IBBridge.stop_live_ticks_stream(stream_id).

Changed

  • Existing code to align the code style with Google Python Style Guide.
  • Module files location to group them in corresponding sub-packages.
  • Name of classes, variables, and functions to get rid of the prepended double underscore and prepended single underscore for all non-public classes/members to mark for internal usage.
  • Mechanism of internal queue management.
  • Minimum Python version requirement to 3.7 as some of the built-in feature of 3.7 is being used in the project.

Deprecated

  • Function ibpy_native.bridge.IBBridge.get_us_stock_contract(symbol).
  • Function ibpy_native.bridge.IBBridge.get_us_future_contract(symbol, contract_month).
  • Script cmd/fetch_us_historical_ticks.py. This script might be updated to work with the refactored functions in future release, but it's not usable for now.

Removed

  • Argument timeout on all APIs implemented (use function asyncio.wait_for(aw, timeout, *, loop=None) for timeout instead if needed).

v0.1.4 - 2020-06-01

v0.1.4 is a hotfix release addressing the issue of various errors which will be raised while fetching the historical ticks.

Added

  • Command option --timeout to script cmd/fetch_us_historical_ticks.py.
  • Docstring to files in /ibpy_native.
  • .pylintrc file to control the Pylint behaviours.

### Changed

  • The parameter attempts of IBBridge.get_historical_ticks now accepts value -1 to loop the IB API reqHistoricalTicks until all available ticks for the specified period are fetched.

### Removed

  • README section Known issues as the only issue documented there has been fixed.

Fixed

  • Issue of IBBridge.get_historical_ticks will raise the error code: 200 - No security definition has been found for the request in the middle of ticks fetching.
  • Issue of IBBridge.get_historical_ticks cannot finish fetching all available ticks of a future contract as IB keeps returning "Duplicate ticker ID" when fetching near the earliest available data point.
  • Incorrect time comparison between native datetime object end with aware datetime object head_timestamp in IBBridge.get_historical_ticks.

v0.1.3 - 2020-05-20

v0.1.3 is a minor release includes a script to fetch historical ticks of US contracts for quick use.

Added

  • script cmd/fetch_us_historical_ticks.py to fetch historical ticks,

Changed

  • README to introduce the usage of the newly included script.

Notes

  • version in setup.py remains as 0.1.2 as there is nothing changed for files included in the package released.

v0.1.2 - 2020-05-20

v0.1.2 is a minor hotfix release fixed the issue found immediately after the release of v0.1.1.

Added

  • Reminder to use newest version in README.

Fixed

  • Issue of the next_end_time defined in IBClient.fetch_historical_ticks won't change to earlier 0 or 30 minutes if the current next_end_time is already at hh:00:00 or hh:30:00 by minus 30 minutes directly.

v0.1.1 - 2020-05-20

v0.1.1 is a minor hotfix release fixed the issue of IBClient.fetch_historical_ticks returns with finished mark as True unexpectedly.

Added

  • README section Known issues, Development status & Contributions.

Changed

  • start is no longer an optional parameter for function IBClient.fetch_historical_ticks as the start time is needed to determine if it has fetched as many ticks as it should from IB.
  • The earliest available data point will be passed to function IBClient.fetch_historical_ticks as start value if function IBBridge.get_historical_ticks has value None of its' parameter start to accomplish the changes made in IBClient.fetch_historical_ticks described above.

Fixed

  • Issue of IBClient.fetch_historical_ticks breaks the API request loop and returns with finished mark as True unexpectedly while IB returns less than 1000 records but there're more historical ticks those should be fetched in next request.