add CFD and Commodity support for Interactivebrokers; fix the strict_…

…symbology for parsing Instrument/contract of Interactivebrokers

Signed-off-by: D <[email protected]>

nautilus_trader/adapters/interactive_brokers/common.py

@@ -101,7 +101,9 @@ class IBContract(NautilusConfig, frozen=True, repr_omit_defaults=True):
 
     """
 
-    secType: Literal["CASH", "STK", "OPT", "FUT", "FOP", "CONTFUT", "CRYPTO", ""] = ""
+    secType: Literal[
+        "CASH", "STK", "OPT", "FUT", "FOP", "CONTFUT", "CRYPTO", "CFD", "CMDTY", ""
+    ] = ""
     conId: int = 0
     exchange: str = ""
     primaryExchange: str = ""

nautilus_trader/adapters/interactive_brokers/parsing/instruments.py

@@ -32,6 +32,8 @@
 from nautilus_trader.model.identifiers import InstrumentId
 from nautilus_trader.model.identifiers import Symbol
 from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.instruments import Cfd
+from nautilus_trader.model.instruments import Commodity
 from nautilus_trader.model.instruments import CryptoPerpetual
 from nautilus_trader.model.instruments import CurrencyPair
 from nautilus_trader.model.instruments import Equity
@@ -74,8 +76,16 @@
     "NYBOT",  # US
     "SNFE",  # AU
 ]
+VENUES_CFD = [
+    "IBCFD",  # self named, in fact mapping to "SMART" when parsing
+    "IBUSCFD",  # US
+    "IBCFD",  # EU
+    "IBAPCFD",  # Asia-Pacific
+]
+VENUES_CMDTY = ["IBCMDTY"]  # self named, in fact mapping to "SMART" when parsing
 
 RE_CASH = re.compile(r"^(?P<symbol>[A-Z]{3})\/(?P<currency>[A-Z]{3})$")
+RE_CFD_CASH = re.compile(r"^(?P<symbol>[A-Z]{3})\.(?P<currency>[A-Z]{3})$")
 RE_OPT = re.compile(
     r"^(?P<symbol>^[A-Z]{1,6})(?P<expiry>\d{6})(?P<right>[CP])(?P<strike>\d{5})(?P<decimal>\d{3})$",
 )
@@ -116,6 +126,7 @@ def sec_type_to_asset_class(sec_type: str) -> AssetClass:
         "IND": "INDEX",
         "CASH": "FX",
         "BOND": "DEBT",
+        "CMDTY": "COMMODITY",
     }
     return asset_class_from_str(mapping.get(sec_type, sec_type))
 
@@ -145,6 +156,10 @@ def parse_instrument(
         return parse_forex_contract(details=contract_details, instrument_id=instrument_id)
     elif security_type == "CRYPTO":
         return parse_crypto_contract(details=contract_details, instrument_id=instrument_id)
+    elif security_type == "CFD":
+        return parse_cfd_contract(details=contract_details, instrument_id=instrument_id)
+    elif security_type == "CMDTY":
+        return parse_commodity_contract(details=contract_details, instrument_id=instrument_id)
     else:
         raise ValueError(f"Unknown {security_type=}")
 
@@ -319,6 +334,99 @@ def parse_crypto_contract(
     )
 
 
+def parse_cfd_contract(
+    details: IBContractDetails,
+    instrument_id: InstrumentId,
+) -> Cfd:
+    price_precision: int = _tick_size_to_precision(details.minTick)
+    size_precision: int = _tick_size_to_precision(details.minSize)
+    timestamp = time.time_ns()
+    if RE_CFD_CASH.match(details.contract.localSymbol):
+        return Cfd(
+            instrument_id=instrument_id,
+            raw_symbol=Symbol(details.contract.localSymbol),
+            asset_class=sec_type_to_asset_class(details.underSecType),
+            base_currency=Currency.from_str(details.contract.symbol),
+            quote_currency=Currency.from_str(details.contract.currency),
+            price_precision=price_precision,
+            size_precision=size_precision,
+            price_increment=Price(details.minTick, price_precision),
+            size_increment=Quantity(details.sizeIncrement, size_precision),
+            lot_size=None,
+            max_quantity=None,
+            min_quantity=None,
+            max_notional=None,
+            min_notional=None,
+            max_price=None,
+            min_price=None,
+            margin_init=Decimal(0),
+            margin_maint=Decimal(0),
+            maker_fee=Decimal(0),
+            taker_fee=Decimal(0),
+            ts_event=timestamp,
+            ts_init=timestamp,
+            info=contract_details_to_dict(details),
+        )
+    else:
+        return Cfd(
+            instrument_id=instrument_id,
+            raw_symbol=Symbol(details.contract.localSymbol),
+            asset_class=sec_type_to_asset_class(details.underSecType),
+            quote_currency=Currency.from_str(details.contract.currency),
+            price_precision=price_precision,
+            size_precision=size_precision,
+            price_increment=Price(details.minTick, price_precision),
+            size_increment=Quantity(details.sizeIncrement, size_precision),
+            lot_size=None,
+            max_quantity=None,
+            min_quantity=None,
+            max_notional=None,
+            min_notional=None,
+            max_price=None,
+            min_price=None,
+            margin_init=Decimal(0),
+            margin_maint=Decimal(0),
+            maker_fee=Decimal(0),
+            taker_fee=Decimal(0),
+            ts_event=timestamp,
+            ts_init=timestamp,
+            info=contract_details_to_dict(details),
+        )
+
+
+def parse_commodity_contract(
+    details: IBContractDetails,
+    instrument_id: InstrumentId,
+) -> Commodity:
+    price_precision: int = _tick_size_to_precision(details.minTick)
+    size_precision: int = _tick_size_to_precision(details.minSize)
+    timestamp = time.time_ns()
+    return Commodity(
+        instrument_id=instrument_id,
+        raw_symbol=Symbol(details.contract.localSymbol),
+        asset_class=AssetClass.COMMODITY,
+        quote_currency=Currency.from_str(details.contract.currency),
+        price_precision=price_precision,
+        size_precision=size_precision,
+        price_increment=Price(details.minTick, price_precision),
+        size_increment=Quantity(details.sizeIncrement, size_precision),
+        lot_size=None,
+        max_quantity=None,
+        min_quantity=None,
+        max_notional=None,
+        min_notional=None,
+        max_price=None,
+        min_price=None,
+        margin_init=Decimal(0),
+        margin_maint=Decimal(0),
+        maker_fee=Decimal(0),
+        taker_fee=Decimal(0),
+        ts_event=timestamp,
+        ts_init=timestamp,
+        info=contract_details_to_dict(details),
+    )
+
+
 def decade_digit(last_digit: str, contract: IBContract) -> int:
     if year := contract.lastTradeDateOrContractMonth[:4]:
         return int(year[2:3])
@@ -341,8 +449,15 @@ def ib_contract_to_instrument_id(
 
 
 def ib_contract_to_instrument_id_strict_symbology(contract: IBContract) -> InstrumentId:
-    symbol = f"{contract.localSymbol}={contract.secType}"
-    venue = (contract.primaryExchange or contract.exchange).replace(".", "/")
+    if contract.secType == "CFD":
+        symbol = f"{contract.localSymbol}={contract.secType}"
+        venue = "IBCFD"
+    elif contract.secType == "CMDTY":
+        symbol = f"{contract.localSymbol}={contract.secType}"
+        venue = "IBCMDTY"
+    else:
+        symbol = f"{contract.localSymbol}={contract.secType}"
+        venue = (contract.primaryExchange or contract.exchange).replace("/", ".")
     return InstrumentId.from_str(f"{symbol}.{venue}")
 
 
@@ -372,6 +487,19 @@ def ib_contract_to_instrument_id_simplified_symbology(contract: IBContract) -> I
             f"{contract.localSymbol}".replace(".", "/") or f"{contract.symbol}/{contract.currency}"
         )
         venue = contract.exchange
+    elif security_type == "CFD":
+        if m := RE_CFD_CASH.match(contract.localSymbol):
+            symbol = (
+                f"{contract.localSymbol}".replace(".", "/")
+                or f"{contract.symbol}/{contract.currency}"
+            )
+            venue = "IBCFD"
+        else:
+            symbol = (contract.symbol).replace(" ", "-")
+            venue = "IBCFD"
+    elif security_type == "CMDTY":
+        symbol = (contract.symbol).replace(" ", "-")
+        venue = "IBCMDTY"
     else:
         symbol = None
         venue = None
@@ -402,6 +530,18 @@ def instrument_id_to_ib_contract_strict_symbology(instrument_id: InstrumentId) -
             primaryExchange=exchange,
             localSymbol=local_symbol,
         )
+    elif security_type == "CFD":
+        return IBContract(
+            secType=security_type,
+            exchange="SMART",
+            localSymbol=local_symbol,  # by IB is a cfd's local symbol of STK with a "n" as tail, e.g. "NVDAn". "
+        )
+    elif security_type == "CMDTY":
+        return IBContract(
+            secType=security_type,
+            exchange="SMART",
+            localSymbol=local_symbol,
+        )
     else:
         return IBContract(
             secType=security_type,
@@ -464,6 +604,26 @@ def instrument_id_to_ib_contract_simplified_symbology(instrument_id: InstrumentI
             )
         else:
             raise ValueError(f"Cannot parse {instrument_id}, use 2-digit year for FUT and FOP")
+    elif instrument_id.venue.value in VENUES_CFD:
+        if m := RE_CASH.match(instrument_id.symbol.value):
+            return IBContract(
+                secType="CFD",
+                exchange="SMART",
+                symbol=m["symbol"],
+                localSymbol=f"{m['symbol']}.{m['currency']}",
+            )
+        else:
+            return IBContract(
+                secType="CFD",
+                exchange="SMART",
+                symbol=f"{instrument_id.symbol.value}".replace("-", " "),
+            )
+    elif instrument_id.venue.value in VENUES_CMDTY:
+        return IBContract(
+            secType="CMDTY",
+            exchange="SMART",
+            symbol=f"{instrument_id.symbol.value}".replace("-", " "),
+        )
     elif instrument_id.venue.value == "InteractiveBrokers":  # keep until a better approach
         # This will allow to make Instrument request using IBContract from within Strategy
         # and depending on the Strategy requirement

nautilus_trader/model/instruments/__init__.py

@@ -20,6 +20,8 @@
 from nautilus_trader.model.instruments.base import Instrument
 from nautilus_trader.model.instruments.base import instruments_from_pyo3
 from nautilus_trader.model.instruments.betting import BettingInstrument
+from nautilus_trader.model.instruments.cfd import Cfd
+from nautilus_trader.model.instruments.commodity import Commodity
 from nautilus_trader.model.instruments.crypto_future import CryptoFuture
 from nautilus_trader.model.instruments.crypto_perpetual import CryptoPerpetual
 from nautilus_trader.model.instruments.currency_pair import CurrencyPair
@@ -42,6 +44,8 @@
     "FuturesSpread",
     "OptionsContract",
     "OptionsSpread",
+    "Cfd",
+    "Commodity",
     "SyntheticInstrument",
     "instruments_from_pyo3",
 ]

nautilus_trader/model/instruments/cfd.pxd

@@ -0,0 +1,30 @@
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+from nautilus_trader.model.instruments.base cimport Instrument
+
+
+cdef class Cfd(Instrument):
+    cdef readonly str isin
+    """The instruments International Securities Identification Number (ISIN).\n\n:returns: `str` or ``None``"""
+
+    @staticmethod
+    cdef Cfd from_dict_c(dict values)
+
+    @staticmethod
+    cdef dict to_dict_c(Cfd obj)
+
+    @staticmethod
+    cdef Cfd from_pyo3_c(pyo3_instrument)