feat: Add SignlePnL and OrderId support (#131)

- adding the ability to set OrderId so we can place complex orders i.e bracket order or other parent/child orders - adding support to request single position PnL --------- Co-authored-by: Chip Kent <[email protected]>
deephaven-examples · Sep 11, 2024 · 7840aaf · 7840aaf
1 parent b42069c
commit 7840aaf
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diff --git a/src/deephaven_ib/__init__.py b/src/deephaven_ib/__init__.py
@@ -384,7 +384,8 @@ class IbSessionTws:
         * **accounts_summary**: account summary.  Automatically populated.
         * **accounts_positions**: account positions.  Automatically populated.
         * **accounts_pnl**: account PNL.  Automatically populated.
-
+        * **accounts_pnl_single**: single PNL.  populated by calling request_single_pnl() on a specific contract.
+        
         ####
         # News
         ####
@@ -608,6 +609,15 @@ def deephaven_ib_parse_note(note:str, key:str) -> Optional[str]:
                 .move_columns_up(["RequestId", "ReceiveTime", "Account", "ModelCode"]) \
                 .drop_columns("Note") \
                 .last_by("RequestId"),
+            "accounts_pnl_single": tables_raw["raw_accounts_pnl_single"] \
+                .natural_join(tables_raw["raw_requests"], on="RequestId", joins="Note") \
+                .update([
+                    "Account=(String)deephaven_ib_parse_note(Note,`account`)",
+                    "ModelCode=(String)deephaven_ib_parse_note(Note,`model_code`)",
+                    "ConId=(String)deephaven_ib_parse_note(Note,`conid`)"]) \
+                .move_columns_up(["RequestId", "ReceiveTime", "Account", "ModelCode", "ConId"]) \
+                .drop_columns("Note") \
+                .last_by("RequestId"),
             "contracts_matching": tables_raw["raw_contracts_matching"] \
                 .natural_join(tables_raw["raw_requests"], on="RequestId", joins="Pattern=Note") \
                 .move_columns_up(["RequestId", "ReceiveTime", "Pattern"]) \
@@ -776,6 +786,24 @@ def request_account_positions(self, account: str, model_code: str = "") -> Reque
         req_id = self._client.request_account_positions(account, model_code)
         return Request(request_id=req_id)
 
+    def request_single_pnl(self, contract: RegisteredContract, account: str, model_code: str = "") -> Request:
+        """Request PNL updates for a single position.  Results are returned in the ``accounts_pnl_single`` table.
+
+        Args:
+            contract (RegisteredContract): contract data is requested for.
+            account (str): Account to request PNL for.
+            model_code (str): Model portfolio code to request PNL for.
+
+        Returns:
+            A Request.
+
+        Raises:
+              Exception: problem executing action.
+        """
+        self._assert_connected()
+        req_id = self._client.request_single_pnl(account, model_code, contract.contract_details[0].contract.conId)
+        return Request(request_id=req_id)
+
 
     ####################################################################################################################
     ####################################################################################################################
@@ -1156,7 +1184,12 @@ def order_place(self, contract: RegisteredContract, order: Order) -> Request:
             raise Exception(
                 f"RegisteredContracts with multiple contract details are not supported for orders: {contract}")
 
-        req_id = self._client.next_order_id()
+        if order.orderId == 0 or order.orderId is None:
+            req_id = self._client.next_order_id()
+            order.orderId = req_id
+        else:
+            req_id = order.orderId
+
         cd = contract.contract_details[0]
         self._client.log_request(req_id, "PlaceOrder", cd.contract, {"order": f"Order({order})"})
         self._client.placeOrder(req_id, cd.contract, order)

diff --git a/src/deephaven_ib/_tws/tws_client.py b/src/deephaven_ib/_tws/tws_client.py
@@ -182,6 +182,10 @@ def _build_table_writers() -> Dict[str, TableWriter]:
         table_writers["accounts_pnl"] = TableWriter(
             ["RequestId", "DailyPnl", "UnrealizedPnl", "RealizedPnl"],
             [dtypes.int64, dtypes.float64, dtypes.float64, dtypes.float64])
+
+        table_writers["accounts_pnl_single"] = TableWriter(
+            ["RequestId", "Position", "DailyPnL", "UnrealizedPnL", "RealizedPnL", "Value"],
+            [dtypes.int64, dtypes.float64, dtypes.float64, dtypes.float64, dtypes.float64, dtypes.float64])
 
         ####
         # News
@@ -590,6 +594,25 @@ def request_account_positions(self, account: str, model_code: str = "") -> int:
         self.reqPositionsMulti(reqId=req_id, account=account, modelCode=model_code)
         return req_id
 
+    def request_single_pnl(self, account: str, model_code: str, conid: int) -> int:
+        """Request PNL updates for a single position.  Results are returned in the `accounts_pnl_single` table.
+
+        Args:
+            account (str): Account to request PNL for.
+            model_code (str): Model portfolio code to request PNL for.
+            con_id (int): Contract ID of the position to request PNL for.
+
+        Returns:
+            Request ID
+
+        Raises:
+              Exception
+        """
+
+        req_id = self.request_id_manager.next_id()
+        self.log_request(req_id, "PnlSingle", None, {"account": account, "model_code": model_code, "conid": conid})
+        self.reqPnLSingle(reqId=req_id, account=account, modelCode=model_code, conid=conid)
+        return req_id
 
     ####
     # reqManagedAccts
@@ -605,6 +628,7 @@ def managedAccounts(self, accountsList: str):
                 self.request_account_pnl(account)
                 self.request_account_overview(account)
                 self.request_account_positions(account)
+
 
     ####
     # reqFamilyCodes
@@ -698,6 +722,20 @@ def accountSummary(self, reqId: int, account: str, tag: str, value: str, currenc
         self._table_writers["accounts_summary"].write_row([reqId, account, tag, value, currency])
 
     ####
+    # reqPnLSingle
+    ####
+
+    def pnlSingle(self, reqId: int, pos: decimal.Decimal, dailyPnL: float, unrealizedPnL: float, realizedPnL: float, value: float):
+        EWrapper.pnlSingle(self, reqId, pos, dailyPnL, unrealizedPnL, realizedPnL, value)
+        self._table_writers["accounts_pnl_single"].write_row([
+            reqId, 
+            pos, 
+            dailyPnL, 
+            unrealizedPnL, 
+            realizedPnL, 
+            value
+        ])
+
     # reqPositions
     ####