IBX - OCaml implementation of the Interactive Brokers TWS API
IBX is a pure OCaml implementation of the Interactive Brokers Trader Workstation API (TWS API) built on top of Jane Street's Core and Async library.
DISCLAIMER: This software is not approved by Interactive Brokers or any of its affiliates. It comes with absolutely no warranty and the use of this software for actual trading is at your own risk.
$ opam install ibx
$ make $ make install
The still incomplete API-documentation of this distribution can be built with
It can also be found online.
Before you start, please install the Interactive Brokers Trader Workstation TWS or its low-resource alternative IB Gateway and make sure that the software allows for incoming API connections. How this is done for TWS can be watched here. For more detailed information please refer to the Interactive Brokers API Reference Guide.
NOTE: You can use the username edemo with password demouser to log into the demo account.
This simple program will connect to the IB Gateway running on localhost and retrieve the closing price for a given stock symbol:
open Core.Std open Async.Std open Ibx.Std let host = "localhost" let port = 4001 let () = Command.async ~summary:"Show the closing price of the given stock symbol" Command.Spec.( empty +> flag "-currency" ~doc:" currency of the stock price" (optional_with_default `USD (Arg_type.create Currency.of_string)) +> anon ("STOCK-SYMBOL" %: Arg_type.create Symbol.of_string) ) (fun currency symbol () -> Tws.with_client ~host ~port ~on_handler_error:(`Call (fun e -> eprintf "[Error] Failed to retrieve closing price for %s: %s\n%!" (Symbol.to_string symbol) (Error.to_string_hum e); )) (fun tws -> Tws.latest_close_exn tws ~contract:(Contract.stock symbol ~currency) >>= fun close -> printf "[Info] Closing price for %s is %4.2f %s\n" (Symbol.to_string symbol) (Close.price close |> Price.to_float) (Currency.to_string currency); return () ) ) |> Command.run
Assuming the above program is stored in the file
you can simply build it by running
$ ocamlbuild -use-ocamlfind -tag thread -pkg ibx show_close.native
and then use it to get the closing price of a stock (e.g. Apple Inc.) as follows:
$ ./show_close.native AAPL
For more complex examples please refer to the
examples-directory of this
distribution. You can build the examples by typing
$ ./configure --enable-examples $ make
in the top-level directory of this distribution. If the compilation of the examples was successful, you can type, for instance,
$ ./plot_history.native -sma 100 SPY
in order to plot a candle stick chart of the SPDR S&P 500 ETF with a simple 100-day moving average:
The next command accumulates 30 seconds of trade and quote (TAQ) data of Google Inc.
$ ./plot_taq_data.native GOOG
and generates a plot which should look similar to this image:
However, please note that these TAQ data plots do not reflect the true market history, since Interactive Brokers accumulates market data in time increments of 300 milliseconds; see here for more information.
In case of bugs, feature requests and similar, please contact:
- Oliver Gu firstname.lastname@example.org