An implementation of the Interactive Brokers TWS API for Rust. This implementation is not a direct port of the official TWS API. It provides a synchronous API that simplifies the development of trading strategies.
This is a work in progress and was tested using TWS 10.19. The primary reference for this implementation is the C# source code.
Open issues are tracked here. If you run into a problem or need a missing feature, check the issues list before reporting a new issue.
Contributions are welcome.
The following example gives a flavor of the API style. It is not a trading strategy recommendation and not a complete implementation.
use std::collections::VecDeque;
use ibapi::contracts::Contract;
use ibapi::market_data::realtime::{BarSize, Bar, WhatToShow};
use ibapi::orders::{order_builder, Action, OrderNotification};
use ibapi::Client;
fn main() {
let client = Client::connect("127.0.0.1:4002", 100).unwrap();
let symbol = "TSLA";
let contract = Contract::stock(symbol); // defaults to USD and SMART exchange.
let bars = client.realtime_bars(&contract, BarSize::Sec5, WhatToShow::Trades, false).unwrap();
let mut channel = BreakoutChannel::new(30);
for bar in bars {
channel.add_bar(&bar);
// Ensure enough bars and no open positions.
if !channel.ready() || has_position(&client, symbol) {
continue;
}
let action = if bar.close > channel.high() {
Action::Buy
} else if bar.close < channel.low() {
Action::Sell
} else {
continue;
};
let order_id = client.next_order_id();
let order = order_builder::market_order(action, 100.0);
let notices = client.place_order(order_id, &contract, &order).unwrap();
for notice in notices {
if let OrderNotification::ExecutionData(data) = notice {
println!("{} {} shares of {}", data.execution.side, data.execution.shares, data.contract.symbol);
} else {
println!("{:?}", notice);
}
}
}
}
fn has_position(client: &Client, symbol: &str) -> bool {
if let Ok(mut positions) = client.positions() {
positions.find(|p| p.contract.symbol == symbol).is_some()
} else {
false
}
}
struct BreakoutChannel {
ticks: VecDeque<(f64, f64)>,
size: usize,
}
impl BreakoutChannel {
fn new(size: usize) -> BreakoutChannel {
BreakoutChannel {
ticks: VecDeque::with_capacity(size + 1),
size,
}
}
fn ready(&self) -> bool {
self.ticks.len() >= self.size
}
fn add_bar(&mut self, bar: &Bar) {
self.ticks.push_back((bar.high, bar.low));
if self.ticks.len() > self.size {
self.ticks.pop_front();
}
}
fn high(&self) -> f64 {
self.ticks.iter().map(|x| x.0).max_by(|a, b| a.partial_cmp(b).unwrap()).unwrap()
}
fn low(&self) -> f64 {
self.ticks.iter().map(|x| x.1).max_by(|a, b| a.partial_cmp(b).unwrap()).unwrap()
}
}