Interactive brokers Scala client.
This code wraps the java IBClient in asynchronous (futures) and reactive (RxScala) API.
All the wrapped functions from the java client return Futures, making the scala IBClient a standalone class that plays nicely with concurrent code.
The Java IBClient is copyright interactive brokers and subject to it's license, see https://www.interactivebrokers.com/en/index.php?f=5041 and http://interactivebrokers.github.io/
You can use a fat jar to run the commandline client by doing
sbt assembly
Which can be run with:
java -jar target/scala-2.12/ibclient-assembly-0.2.2-SNAPSHOT.jar
Or a binary executable with sbt pack, and run with target/pack/bin/main
To connect to ib you can use IBC, I would recommend my docker version of IBC:
check out here how to use it:
https://github.com/larroy/IBC/blob/docker/docker/README.md
The client connects asynchronously so to wait until it's connected we can do the following: For ilustration purposes we will block on the futures to make the API syncrhonous:
import scala.concurrent.{Await, Future}
import scala.concurrent.duration.Duration
def block[A](f: Future[A]): A = {
Await.result(f, Duration.Inf)
}
import com.larroy.ibclient.{IBClient}
val ibc = new IBClient("localhost", 7496, 3)
block(ibc.connect())
ibc.isConnected
Using the IBClient class is simple, historical data works out of the box and does throttling automatically:
import com.larroy.ibclient.contract.{CashContract, FutureContract, GenericContract, StockContract}
val subscription = ibc.marketData(new StockContract("SPY"))
observableBar.subscribe({bar=>println(s"got bar ${bar}")}
import scala.concurrent.duration._
import org.joda.time._
import com.ib.client.Types.DurationUnit
import com.ib.client.Types.WhatToShow
val startDate = new DateTime(2015, 4, 10, 15, 0).toDate
val endDate = new DateTime(2015, 4, 13, 15, 0).toDate
val h = block(ibc.historicalData(new StockContract("SPY"), endDate, 20, DurationUnit.DAY, BarSize._15_mins, WhatToShow.MIDPOINT, false))
val h = block(ibclient.historicalData(new StockContract("SPY"), endDate, 20,
DurationUnit.DAY, BarSize._15_mins, WhatToShow.MIDPOINT, false))
Or with the 'easy historical data' facility:
val eh = block(ibc.easyHistoricalData(new StockContract("SPY"),startDate,endDate,BarSize._1_day, WhatToShow.TRADES))
val res2 = Await.result(ibclient.historicalData(new CashContract("EUR","EUR.USD"), endDate2, 120, DurationUnit.SECOND, BarSize._1_min, WhatToShow.MIDPOINT, false), scala.concurrent.duration.Duration.Inf)
import java.text.SimpleDateFormat
import java.util.Date
import com.larroy.ibclient.contract.{CashContract, StockContract}
import com.ib.client.Types.{BarSize, DurationUnit, WhatToShow, SecType}
import scala.concurrent.duration._
import scala.concurrent.Await
import com.larroy.ibclient._
import com.typesafe.config.ConfigFactory
val cfg = ConfigFactory.load().getConfig("ibclient.test")
Await.result(ibclient.connect(), Duration.Inf)
Subscribe to market data:
val subscription = ibclient.realtimeBars(new CashContract("EUR","EUR.USD"), WhatToShow.MIDPOINT)
subscription.observableBar.subscribe({bar=>println(s"got bar ${bar}")}, {error ⇒ throw (error)})
Get contract details
import scala.concurrent.Await
import scala.concurrent.duration.Duration
import com.larroy.ibclient.contract.{CashContract, FutureContract, GenericContract, StockContract}
import com.larroy.ibclient.{IBClient}
val ibc = new IBClient("localhost", 7496, 3)
Await.result(ibc.connect(), Duration.Inf)
val c = new FutureContract("CL", "", "NYMEX")
val cd = Await.result(ibc.contractDetails(c), Duration.Inf)
Or with the commandline client:
history -c CL -t FUT -e NYMEX -x USD -y 20150421 -a "20150128 15:00:00" -z "20150415 15:00:00" -b
_1_min -o cl.csv
history -c VIX -e CBOE -t IND -a "20161001 00:00:00" -o vix.csv -b _1_day
java -jar target/scala-2.11/ibclient-assembly-0.2.2-SNAPSHOT.jar history -c VIX -e CBOE -t IND -a
"20161115 00:00:00" -z "201118 00:00:00" -o vix.csv -b _1_day
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