This is a dll to access interactive brokers functionality from inside kdb.
The functions available at the moment are the following:
ibconnect:`ibfeed 2:(`ibconnect;1)
ibdisconnect:`ibfeed 2:(`disconnect;1)
ibisconnected:`ibfeed 2:(`isconnected;1)
ibreqscanparams:`ibfeed 2:(`reqscanparams;1)
ibreqscansub:`ibfeed 2:(`reqscansub;1)
ibreqtime:`ibfeed 2:(`reqtime;1)
ibreqhist:`ibfeed 2:(`reqhist;1)
ibreqids:`ibfeed 2:(`reqids;1)
ibplaceorder:`ibfeed 2:(`placeorder;1)
ibcancelorder:`ibfeed 2:(`cancelorder;1)
Using the 2: kdb function the dll is accessed.
The dll uses the tws api 9.71. Unlike the github project Qinteractivebrokers it doesn't use
Rudi Meier's TWS API, which I had trouble
building anyway.
Its purpose is not a feedhandler to asynchronously stream quotes to a kdb+ process.
I think this is best done in a separate process with an executable and I will probably upload
one at a later point.
Most important in this library is the historical data request and order transmission.
The makefile works with MS Visual C++ 14. It has been tested with the 32bit kdb+ version 3.2
and the 32bit c.dll. Both this and the ibfeed dll must be copied inside the c:\q\w32
directory where q.exe resides. build.bat builds the dll using the makefile and copies it
inside the q directory.
Here are a few examples:
Because the hostname cannot be resolved(will correct this at some point) you can use ping to find it.
/resolve ip address
ipaddr:`${11_(first x ss ":")#x} sum 1#2_system "ping -n 1 -4 mic-asus"<br>
/connect to ip address,port,as clientid
ibconnect[enlist[`192.168.1.10;`7496;`10]]
ibconnect[enlist[ipaddr;`7496;`10]]
ibdisconnec[]
ibisconnected[]
/writes to file xmlparams.xml (about 370kb long!)
ibreqscanparams[]
/returns result of stock scanner
ibreqscansub
/prints the server time
ibreqtime[]
/returns the next orderid
ibreqids[]
/SYM,EXCH,CUR,SECTYPE,TRANSMIT(1/0),OrderID,ACTION,QTY,TYPE,AUXPRC,LMTPRC,TIF,OCAGRP,ORDREF,GAT(eg. 20161004 10:00:00 in order to use convert to symbol `$"20161004 10:00:00" )
ibplaceorder[enlist[`AAPL;`SMART;`USD;`STK;`1;`238;`BUY;`10;`LMT;`;`113;`;`DAY;`;`;`]]
/cancels order using orderid
ibcancelorder[220]
update ltime time from ibreqhist[enlist[`AAPL;`STK;`SMART;`USD;`$"20160715 23:59:59";`$"10 D";`$"1 min";`$"TRADES";`$"1";`$"2"]]
/or using a few help functions
date2dstr:{(,) over enlist[ssr[($).z.D-x;".";""];" 23:59:59"]}
get2dhist:{[a;b;c;d]update ltime time from ibreqhist[enlist[a;b;c;d;`$date2dstr[0];`$"2 D";`$"1 min";$[`STK=b;`TRADES;`MIDPOINT];`$"1";`$"2"]] }
get2dhist[`AAPL;`STK;`SMART;`USD]
/use ltime to correct time to local exchange time:
update ltime time from ibreqhist[enlist[`AAPL;`STK;`SMART;`USD;`$"20160927 23:59:59";`$"10 D";`$"1 min";`TRADES;`1;`2]]
About the ibreqhist function it is important to remember that the pacing limitations of ib only
allow one call every 10 sec(specifically no more than 60 in 10mins).
Each call can get a max. of 10days of 1min data. Because of that it takes roughly 1hour
to download a decade of 1min historical data of one stock. One way to do it is by using the kdb timer.
All functions take a single argument but it is sometimes a list of symbols, because it is easier
to handle both in kdb(using enlist) and in c++(using kS(kparam)[0]).
License is for non-commercial use and most of the source code is ib sourced files anyway.
This project builds on the C++ example provided in the ib api and the files modified were Main.cpp, PosixTestClient.cpp and PosixTestClient.h. Directories src and Shared are not included here because of a condition that the api code is not to be published.