├── README.md
├── output
    ├── Strat-CorrelRptr.txt
    ├── Strat-LmtOrdrs Backtest.txt
    └── Strat-Paris Backtest.txt
└── src
    ├── Backtester
        ├── Backtester.py
        ├── StubOrderEvent.py
        ├── StubTickEvent.py
        └── __init__.py
    ├── StockOrder.py
    ├── StockPosition.py
    ├── StockTradable.py
    ├── Strat-CorrelRptr.py
    ├── Strat-Empty.py
    ├── Strat-LmtOrdrs.py
    ├── Strat-Pairs.py
    ├── ibDataTypes.py
    ├── ibHFT.py
    ├── ibUtil.py
    └── ticks 10 mins - Jun 25 2014.csv


/README.md:
--------------------------------------------------------------------------------
 1 | Readme
 2 | ================================
 3 | 
 4 | This is an enhancement to the current version of High Frequency Trading Model with IB @ https://github.com/jamesmawm/High-Frequency-Trading-Model-with-IB.
 5 | 
 6 | In this version, I've decoupled modules, used functional programming styles, made things simpler and enable switching between different strategies. Oh, and a custom backtester too with bid/ask price simulated events (Zipline gave my code cancer).
 7 | 
 8 | Again, these files are for evaluation purposes only and do not constitute real profitable trading models.
 9 | 
10 | Features
11 | ===============
12 | - Reuse multiple strategies on the same IB framework. See src/Strat-Empty.py for a template.
13 | - src/Backtester/* contains custom backtester which reads in a CSV file. Supports limit orders-based strategies with bid ask price simulation.
14 | 
15 | Strategies
16 | =============
17 | - Strat-Pairs.py: Pairs trading through cointegration, using OLS and Pandas.
18 | - Strat-LmtOrdrs.py: Limit-order based strategy with GUI dashboard. Works with backtester.
19 | - Strat-CorrelRptr.py: Stores ticks in a dataframe and reports the correlations.
20 | 
21 | How To
22 | =============
23 | - Connecting to IB and getting live ticks in 3 simple steps:
24 | ``` 
25 | self.ibhft = ibHFT.IbHFT()
26 | self.ibhft.set_connection_with_api_gateway(False)
27 | self.ibhft.start_data_stream(self.on_started
28 |                                  , self.on_tick
29 |                                  , STOCKS_TO_STREAM
30 |                                  , self.on_position_changed)
31 | 
32 | ```
33 | 
34 | - Same 3 simple steps in getting historical data:
35 | ```
36 | self.ibhft = ibHFT.IbHFT()
37 | self.ibhft.set_connection_with_api_gateway(False)
38 | self.ibhft.start_historical_data_stream(self.stocks_to_stream
39 |                                   , self.duration
40 |                                   , self.interval
41 |                                   , self.process_historical_data)
42 | ```
43 | 
44 | - For backtesting, same 3 simple steps:
45 | ```
46 | self.ibhft = bt.Backtester()
47 | self.ibhft.set_csv_file("ticks 10 mins - Jun 25 2014.csv")
48 | self.ibhft.start_data_stream(self.on_started
49 |                                  , self.on_tick
50 |                                  , STOCKS_TO_STREAM
51 |                                  , self.on_position_changed)
52 | ```                                 
53 | 
54 | 
55 | 
56 | 
57 | 
58 | 
59 | 


--------------------------------------------------------------------------------
/output/Strat-CorrelRptr.txt:
--------------------------------------------------------------------------------
  1 | Server Version: 70
  2 | TWS Time at connection:20140703 23:38:31 CST
  3 | Market data farm connection is OK:ibdemo
  4 | Unhandled errcode:  <error id=-1, errorCode=2107, errorMsg=HMDS data farm connection is inactive but should be available upon demand.demohmds>
  5 | HMDS data farm connection is OK:demohmds
  6 | <historicalData reqId=0, date=20140703  23:00:00, open=48.27, high=48.29, low=48.25, close=48.25, volume=154, count=73, WAP=48.266, hasGaps=False>
  7 | <historicalData reqId=0, date=20140703  23:01:00, open=48.25, high=48.27, low=48.25, close=48.25, volume=134, count=72, WAP=48.255, hasGaps=False>
  8 | <historicalData reqId=0, date=20140703  23:02:00, open=48.25, high=48.27, low=48.23, close=48.25, volume=74, count=68, WAP=48.25, hasGaps=False>
  9 | <historicalData reqId=0, date=20140703  23:03:00, open=48.25, high=48.27, low=48.24, close=48.25, volume=141, count=76, WAP=48.25, hasGaps=False>
 10 | <historicalData reqId=0, date=20140703  23:04:00, open=48.25, high=48.27, low=48.23, close=48.27, volume=90, count=68, WAP=48.25, hasGaps=False>
 11 | <historicalData reqId=0, date=20140703  23:05:00, open=48.25, high=48.27, low=48.23, close=48.25, volume=87, count=73, WAP=48.251, hasGaps=False>
 12 | <historicalData reqId=0, date=20140703  23:06:00, open=48.25, high=48.27, low=48.25, close=48.25, volume=162, count=83, WAP=48.255, hasGaps=False>
 13 | <historicalData reqId=0, date=20140703  23:07:00, open=48.25, high=48.27, low=48.25, close=48.25, volume=148, count=80, WAP=48.256, hasGaps=False>
 14 | <historicalData reqId=0, date=20140703  23:08:00, open=48.25, high=48.27, low=48.25, close=48.26, volume=114, count=70, WAP=48.254, hasGaps=False>
 15 | <historicalData reqId=0, date=20140703  23:09:00, open=48.26, high=48.26, low=48.24, close=48.25, volume=116, count=67, WAP=48.25, hasGaps=False>
 16 | <historicalData reqId=0, date=20140703  23:10:00, open=48.25, high=48.27, low=48.23, close=48.26, volume=186, count=80, WAP=48.25, hasGaps=False>
 17 | <historicalData reqId=0, date=20140703  23:11:00, open=48.26, high=48.27, low=48.25, close=48.26, volume=121, count=73, WAP=48.257, hasGaps=False>
 18 | <historicalData reqId=0, date=20140703  23:12:00, open=48.25, high=48.27, low=48.25, close=48.25, volume=126, count=71, WAP=48.252, hasGaps=False>
 19 | <historicalData reqId=0, date=20140703  23:13:00, open=48.25, high=48.27, low=48.23, close=48.23, volume=100, count=80, WAP=48.244, hasGaps=False>
 20 | <historicalData reqId=0, date=20140703  23:14:00, open=48.24, high=48.25, low=48.22, close=48.23, volume=132, count=76, WAP=48.236, hasGaps=False>
 21 | <historicalData reqId=0, date=20140703  23:15:00, open=48.23, high=48.25, low=48.22, close=48.23, volume=179, count=74, WAP=48.239, hasGaps=False>
 22 | <historicalData reqId=0, date=20140703  23:16:00, open=48.25, high=48.27, low=48.23, close=48.25, volume=172, count=76, WAP=48.25, hasGaps=False>
 23 | <historicalData reqId=0, date=20140703  23:17:00, open=48.25, high=48.27, low=48.23, close=48.25, volume=190, count=89, WAP=48.25, hasGaps=False>
 24 | <historicalData reqId=0, date=20140703  23:18:00, open=48.25, high=48.27, low=48.25, close=48.25, volume=102, count=64, WAP=48.252, hasGaps=False>
 25 | <historicalData reqId=0, date=20140703  23:19:00, open=48.25, high=48.27, low=48.23, close=48.25, volume=120, count=75, WAP=48.252, hasGaps=False>
 26 | <historicalData reqId=0, date=20140703  23:20:00, open=48.25, high=48.29, low=48.24, close=48.25, volume=129, count=82, WAP=48.251, hasGaps=False>
 27 | <historicalData reqId=0, date=20140703  23:21:00, open=48.25, high=48.27, low=48.24, close=48.26, volume=124, count=76, WAP=48.256, hasGaps=False>
 28 | <historicalData reqId=0, date=20140703  23:22:00, open=48.25, high=48.27, low=48.25, close=48.26, volume=118, count=81, WAP=48.254, hasGaps=False>
 29 | <historicalData reqId=0, date=20140703  23:23:00, open=48.26, high=48.27, low=48.25, close=48.26, volume=157, count=73, WAP=48.253, hasGaps=False>
 30 | <historicalData reqId=0, date=20140703  23:24:00, open=48.26, high=48.28, low=48.25, close=48.28, volume=122, count=77, WAP=48.257, hasGaps=False>
 31 | <historicalData reqId=0, date=20140703  23:25:00, open=48.28, high=48.29, low=48.27, close=48.28, volume=213, count=73, WAP=48.275, hasGaps=False>
 32 | <historicalData reqId=0, date=20140703  23:26:00, open=48.27, high=48.29, low=48.27, close=48.27, volume=106, count=70, WAP=48.274, hasGaps=False>
 33 | <historicalData reqId=0, date=20140703  23:27:00, open=48.27, high=48.3, low=48.27, close=48.29, volume=138, count=74, WAP=48.283, hasGaps=False>
 34 | <historicalData reqId=0, date=20140703  23:28:00, open=48.3, high=48.32, low=48.28, close=48.31, volume=156, count=79, WAP=48.298, hasGaps=False>
 35 | <historicalData reqId=0, date=20140703  23:29:00, open=48.31, high=48.32, low=48.3, close=48.31, volume=142, count=65, WAP=48.312, hasGaps=False>
 36 | <historicalData reqId=0, date=20140703  23:30:00, open=48.31, high=48.34, low=48.28, close=48.3, volume=131, count=78, WAP=48.306, hasGaps=False>
 37 | <historicalData reqId=0, date=20140703  23:31:00, open=48.3, high=48.32, low=48.28, close=48.31, volume=135, count=77, WAP=48.303, hasGaps=False>
 38 | <historicalData reqId=0, date=20140703  23:32:00, open=48.31, high=48.31, low=48.28, close=48.3, volume=122, count=65, WAP=48.299, hasGaps=False>
 39 | <historicalData reqId=0, date=20140703  23:33:00, open=48.29, high=48.32, low=48.29, close=48.29, volume=113, count=68, WAP=48.301, hasGaps=False>
 40 | <historicalData reqId=0, date=20140703  23:34:00, open=48.3, high=48.31, low=48.3, close=48.3, volume=103, count=73, WAP=48.305, hasGaps=False>
 41 | <historicalData reqId=0, date=20140703  23:35:00, open=48.3, high=48.31, low=48.3, close=48.3, volume=123, count=69, WAP=48.302, hasGaps=False>
 42 | <historicalData reqId=0, date=20140703  23:36:00, open=48.31, high=48.34, low=48.3, close=48.32, volume=229, count=80, WAP=48.312, hasGaps=False>
 43 | <historicalData reqId=0, date=20140703  23:37:00, open=48.31, high=48.36, low=48.31, close=48.34, volume=152, count=67, WAP=48.323, hasGaps=False>
 44 | <historicalData reqId=0, date=20140703  23:38:00, open=48.34, high=48.34, low=48.32, close=48.34, volume=69, count=39, WAP=48.339, hasGaps=False>
 45 | <historicalData reqId=0, date=finished-20140702  23:38:31-20140703  23:38:31, open=-1, high=-1, low=-1, close=-1, volume=-1, count=-1, WAP=-1, hasGaps=False>
 46 | <historicalData reqId=1, date=20140703  23:00:00, open=58.28, high=58.35, low=58.26, close=58.35, volume=101, count=56, WAP=58.282, hasGaps=False>
 47 | <historicalData reqId=1, date=20140703  23:01:00, open=58.35, high=58.42, low=58.34, close=58.4, volume=87, count=57, WAP=58.387, hasGaps=False>
 48 | <historicalData reqId=1, date=20140703  23:02:00, open=58.41, high=58.43, low=58.38, close=58.39, volume=114, count=65, WAP=58.406, hasGaps=False>
 49 | <historicalData reqId=1, date=20140703  23:03:00, open=58.4, high=58.4, low=58.34, close=58.36, volume=89, count=55, WAP=58.366, hasGaps=False>
 50 | <historicalData reqId=1, date=20140703  23:04:00, open=58.37, high=58.46, low=58.37, close=58.44, volume=124, count=67, WAP=58.418, hasGaps=False>
 51 | <historicalData reqId=1, date=20140703  23:05:00, open=58.47, high=58.55, low=58.46, close=58.55, volume=95, count=58, WAP=58.496, hasGaps=False>
 52 | <historicalData reqId=1, date=20140703  23:06:00, open=58.55, high=58.59, low=58.52, close=58.59, volume=94, count=59, WAP=58.565, hasGaps=False>
 53 | <historicalData reqId=1, date=20140703  23:07:00, open=58.59, high=58.64, low=58.59, close=58.63, volume=102, count=52, WAP=58.615, hasGaps=False>
 54 | <historicalData reqId=1, date=20140703  23:08:00, open=58.61, high=58.63, low=58.55, close=58.55, volume=94, count=58, WAP=58.602, hasGaps=False>
 55 | <historicalData reqId=1, date=20140703  23:09:00, open=58.56, high=58.56, low=58.44, close=58.46, volume=110, count=61, WAP=58.487, hasGaps=False>
 56 | <historicalData reqId=1, date=20140703  23:10:00, open=58.46, high=58.5, low=58.44, close=58.44, volume=104, count=64, WAP=58.464, hasGaps=False>
 57 | <historicalData reqId=1, date=20140703  23:11:00, open=58.44, high=58.46, low=58.43, close=58.43, volume=83, count=55, WAP=58.436, hasGaps=False>
 58 | <historicalData reqId=1, date=20140703  23:12:00, open=58.43, high=58.49, low=58.39, close=58.48, volume=93, count=51, WAP=58.424, hasGaps=False>
 59 | <historicalData reqId=1, date=20140703  23:13:00, open=58.48, high=58.54, low=58.47, close=58.5, volume=99, count=61, WAP=58.509, hasGaps=False>
 60 | <historicalData reqId=1, date=20140703  23:14:00, open=58.47, high=58.48, low=58.41, close=58.44, volume=78, count=56, WAP=58.448, hasGaps=False>
 61 | <historicalData reqId=1, date=20140703  23:15:00, open=58.45, high=58.47, low=58.37, close=58.41, volume=100, count=56, WAP=58.429, hasGaps=False>
 62 | <historicalData reqId=1, date=20140703  23:16:00, open=58.4, high=58.41, low=58.31, close=58.34, volume=116, count=71, WAP=58.357, hasGaps=False>
 63 | <historicalData reqId=1, date=20140703  23:17:00, open=58.34, high=58.34, low=58.3, close=58.34, volume=84, count=51, WAP=58.326, hasGaps=False>
 64 | <historicalData reqId=1, date=20140703  23:18:00, open=58.35, high=58.37, low=58.32, close=58.34, volume=92, count=50, WAP=58.348, hasGaps=False>
 65 | <historicalData reqId=1, date=20140703  23:19:00, open=58.35, high=58.38, low=58.3, close=58.34, volume=91, count=54, WAP=58.335, hasGaps=False>
 66 | <historicalData reqId=1, date=20140703  23:20:00, open=58.35, high=58.42, low=58.32, close=58.42, volume=94, count=63, WAP=58.357, hasGaps=False>
 67 | <historicalData reqId=1, date=20140703  23:21:00, open=58.41, high=58.45, low=58.4, close=58.43, volume=115, count=63, WAP=58.427, hasGaps=False>
 68 | <historicalData reqId=1, date=20140703  23:22:00, open=58.43, high=58.43, low=58.39, close=58.4, volume=99, count=66, WAP=58.412, hasGaps=False>
 69 | <historicalData reqId=1, date=20140703  23:23:00, open=58.41, high=58.43, low=58.38, close=58.4, volume=93, count=57, WAP=58.401, hasGaps=False>
 70 | <historicalData reqId=1, date=20140703  23:24:00, open=58.38, high=58.48, low=58.38, close=58.46, volume=82, count=58, WAP=58.433, hasGaps=False>
 71 | <historicalData reqId=1, date=20140703  23:25:00, open=58.47, high=58.49, low=58.43, close=58.47, volume=92, count=56, WAP=58.453, hasGaps=False>
 72 | <historicalData reqId=1, date=20140703  23:26:00, open=58.47, high=58.47, low=58.36, close=58.38, volume=90, count=61, WAP=58.418, hasGaps=False>
 73 | <historicalData reqId=1, date=20140703  23:27:00, open=58.39, high=58.43, low=58.35, close=58.4, volume=91, count=62, WAP=58.383, hasGaps=False>
 74 | <historicalData reqId=1, date=20140703  23:28:00, open=58.4, high=58.43, low=58.37, close=58.4, volume=94, count=53, WAP=58.405, hasGaps=False>
 75 | <historicalData reqId=1, date=20140703  23:29:00, open=58.38, high=58.38, low=58.32, close=58.34, volume=73, count=51, WAP=58.353, hasGaps=False>
 76 | <historicalData reqId=1, date=20140703  23:30:00, open=58.32, high=58.34, low=58.27, close=58.28, volume=89, count=62, WAP=58.299, hasGaps=False>
 77 | <historicalData reqId=1, date=20140703  23:31:00, open=58.29, high=58.31, low=58.22, close=58.22, volume=106, count=57, WAP=58.258, hasGaps=False>
 78 | <historicalData reqId=1, date=20140703  23:32:00, open=58.23, high=58.25, low=58.11, close=58.13, volume=97, count=55, WAP=58.175, hasGaps=False>
 79 | <historicalData reqId=1, date=20140703  23:33:00, open=58.13, high=58.15, low=58.11, close=58.12, volume=88, count=55, WAP=58.123, hasGaps=False>
 80 | <historicalData reqId=1, date=20140703  23:34:00, open=58.14, high=58.16, low=58.09, close=58.09, volume=87, count=62, WAP=58.13, hasGaps=False>
 81 | <historicalData reqId=1, date=20140703  23:35:00, open=58.1, high=58.11, low=58.07, close=58.11, volume=85, count=52, WAP=58.096, hasGaps=False>
 82 | <historicalData reqId=1, date=20140703  23:36:00, open=58.13, high=58.18, low=58.1, close=58.16, volume=73, count=55, WAP=58.138, hasGaps=False>
 83 | <historicalData reqId=1, date=20140703  23:37:00, open=58.16, high=58.2, low=58.15, close=58.17, volume=100, count=64, WAP=58.168, hasGaps=False>
 84 | <historicalData reqId=1, date=20140703  23:38:00, open=58.18, high=58.19, low=58.14, close=58.14, volume=31, count=29, WAP=58.159, hasGaps=False>
 85 | <historicalData reqId=1, date=finished-20140702  23:38:32-20140703  23:38:32, open=-1, high=-1, low=-1, close=-1, volume=-1, count=-1, WAP=-1, hasGaps=False>
 86 | <historicalData reqId=2, date=20140703  23:00:00, open=43.47, high=43.5, low=43.45, close=43.46, volume=150, count=70, WAP=43.463, hasGaps=False>
 87 | <historicalData reqId=2, date=20140703  23:01:00, open=43.47, high=43.52, low=43.45, close=43.48, volume=118, count=69, WAP=43.47, hasGaps=False>
 88 | <historicalData reqId=2, date=20140703  23:02:00, open=43.48, high=43.5, low=43.43, close=43.44, volume=104, count=68, WAP=43.446, hasGaps=False>
 89 | <historicalData reqId=2, date=20140703  23:03:00, open=43.44, high=43.45, low=43.4, close=43.41, volume=171, count=65, WAP=43.434, hasGaps=False>
 90 | <historicalData reqId=2, date=20140703  23:04:00, open=43.41, high=43.45, low=43.39, close=43.42, volume=142, count=67, WAP=43.412, hasGaps=False>
 91 | <historicalData reqId=2, date=20140703  23:05:00, open=43.42, high=43.43, low=43.4, close=43.41, volume=109, count=75, WAP=43.415, hasGaps=False>
 92 | <historicalData reqId=2, date=20140703  23:06:00, open=43.41, high=43.45, low=43.4, close=43.43, volume=130, count=69, WAP=43.429, hasGaps=False>
 93 | <historicalData reqId=2, date=20140703  23:07:00, open=43.43, high=43.45, low=43.38, close=43.4, volume=112, count=69, WAP=43.409, hasGaps=False>
 94 | <historicalData reqId=2, date=20140703  23:08:00, open=43.4, high=43.43, low=43.39, close=43.41, volume=133, count=68, WAP=43.417, hasGaps=False>
 95 | <historicalData reqId=2, date=20140703  23:09:00, open=43.42, high=43.43, low=43.36, close=43.38, volume=117, count=70, WAP=43.389, hasGaps=False>
 96 | <historicalData reqId=2, date=20140703  23:10:00, open=43.39, high=43.43, low=43.37, close=43.4, volume=101, count=66, WAP=43.396, hasGaps=False>
 97 | <historicalData reqId=2, date=20140703  23:11:00, open=43.4, high=43.41, low=43.36, close=43.37, volume=101, count=63, WAP=43.375, hasGaps=False>
 98 | <historicalData reqId=2, date=20140703  23:12:00, open=43.36, high=43.38, low=43.34, close=43.36, volume=132, count=63, WAP=43.361, hasGaps=False>
 99 | <historicalData reqId=2, date=20140703  23:13:00, open=43.38, high=43.4, low=43.36, close=43.4, volume=156, count=71, WAP=43.384, hasGaps=False>
100 | <historicalData reqId=2, date=20140703  23:14:00, open=43.39, high=43.41, low=43.36, close=43.38, volume=160, count=67, WAP=43.381, hasGaps=False>
101 | <historicalData reqId=2, date=20140703  23:15:00, open=43.38, high=43.38, low=43.36, close=43.37, volume=123, count=70, WAP=43.365, hasGaps=False>
102 | <historicalData reqId=2, date=20140703  23:16:00, open=43.36, high=43.38, low=43.34, close=43.38, volume=124, count=69, WAP=43.357, hasGaps=False>
103 | <historicalData reqId=2, date=20140703  23:17:00, open=43.39, high=43.4, low=43.36, close=43.39, volume=138, count=71, WAP=43.388, hasGaps=False>
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105 | <historicalData reqId=2, date=20140703  23:19:00, open=43.36, high=43.39, low=43.34, close=43.34, volume=230, count=72, WAP=43.368, hasGaps=False>
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218 | <historicalData reqId=5, date=20140703  23:12:00, open=30.92, high=30.94, low=30.89, close=30.9, volume=140, count=59, WAP=30.923, hasGaps=False>
219 | <historicalData reqId=5, date=20140703  23:13:00, open=30.9, high=30.93, low=30.88, close=30.89, volume=78, count=55, WAP=30.905, hasGaps=False>
220 | <historicalData reqId=5, date=20140703  23:14:00, open=30.88, high=30.89, low=30.84, close=30.85, volume=115, count=61, WAP=30.879, hasGaps=False>
221 | <historicalData reqId=5, date=20140703  23:15:00, open=30.85, high=30.89, low=30.84, close=30.88, volume=128, count=61, WAP=30.868, hasGaps=False>
222 | <historicalData reqId=5, date=20140703  23:16:00, open=30.89, high=30.94, low=30.86, close=30.92, volume=131, count=65, WAP=30.909, hasGaps=False>
223 | <historicalData reqId=5, date=20140703  23:17:00, open=30.92, high=30.94, low=30.9, close=30.93, volume=180, count=77, WAP=30.926, hasGaps=False>
224 | <historicalData reqId=5, date=20140703  23:18:00, open=30.93, high=30.94, low=30.9, close=30.93, volume=100, count=55, WAP=30.922, hasGaps=False>
225 | <historicalData reqId=5, date=20140703  23:19:00, open=30.93, high=30.95, low=30.9, close=30.95, volume=114, count=75, WAP=30.925, hasGaps=False>
226 | <historicalData reqId=5, date=20140703  23:20:00, open=30.94, high=30.96, low=30.92, close=30.94, volume=125, count=59, WAP=30.93, hasGaps=False>
227 | <historicalData reqId=5, date=20140703  23:21:00, open=30.95, high=30.97, low=30.94, close=30.94, volume=115, count=56, WAP=30.953, hasGaps=False>
228 | <historicalData reqId=5, date=20140703  23:22:00, open=30.94, high=30.96, low=30.92, close=30.93, volume=141, count=59, WAP=30.932, hasGaps=False>
229 | <historicalData reqId=5, date=20140703  23:23:00, open=30.93, high=31.03, low=30.93, close=31.01, volume=156, count=66, WAP=30.993, hasGaps=False>
230 | <historicalData reqId=5, date=20140703  23:24:00, open=31.0, high=31.03, low=30.98, close=31.02, volume=142, count=70, WAP=31.012, hasGaps=False>
231 | <historicalData reqId=5, date=20140703  23:25:00, open=31.02, high=31.07, low=31.0, close=31.05, volume=88, count=57, WAP=31.039, hasGaps=False>
232 | <historicalData reqId=5, date=20140703  23:26:00, open=31.05, high=31.06, low=31.02, close=31.05, volume=150, count=67, WAP=31.038, hasGaps=False>
233 | <historicalData reqId=5, date=20140703  23:27:00, open=31.05, high=31.07, low=31.02, close=31.05, volume=63, count=49, WAP=31.052, hasGaps=False>
234 | <historicalData reqId=5, date=20140703  23:28:00, open=31.06, high=31.1, low=31.04, close=31.04, volume=132, count=59, WAP=31.069, hasGaps=False>
235 | <historicalData reqId=5, date=20140703  23:29:00, open=31.05, high=31.05, low=31.0, close=31.0, volume=111, count=61, WAP=31.022, hasGaps=False>
236 | <historicalData reqId=5, date=20140703  23:30:00, open=31.01, high=31.04, low=31.0, close=31.03, volume=136, count=50, WAP=31.027, hasGaps=False>
237 | <historicalData reqId=5, date=20140703  23:31:00, open=31.02, high=31.03, low=30.98, close=30.98, volume=113, count=60, WAP=31.014, hasGaps=False>
238 | <historicalData reqId=5, date=20140703  23:32:00, open=31.01, high=31.02, low=30.97, close=31.0, volume=130, count=61, WAP=31.003, hasGaps=False>
239 | <historicalData reqId=5, date=20140703  23:33:00, open=30.98, high=31.0, low=30.92, close=30.96, volume=136, count=62, WAP=30.96, hasGaps=False>
240 | <historicalData reqId=5, date=20140703  23:34:00, open=30.95, high=31.0, low=30.93, close=30.98, volume=191, count=68, WAP=30.97, hasGaps=False>
241 | <historicalData reqId=5, date=20140703  23:35:00, open=31.0, high=31.02, low=30.97, close=31.0, volume=148, count=63, WAP=30.999, hasGaps=False>
242 | <historicalData reqId=5, date=20140703  23:36:00, open=31.0, high=31.01, low=30.96, close=30.98, volume=129, count=74, WAP=30.98, hasGaps=False>
243 | <historicalData reqId=5, date=20140703  23:37:00, open=30.98, high=31.0, low=30.92, close=30.94, volume=131, count=66, WAP=30.952, hasGaps=False>
244 | <historicalData reqId=5, date=20140703  23:38:00, open=30.94, high=30.96, low=30.93, close=30.96, volume=56, count=31, WAP=30.941, hasGaps=False>
245 | <historicalData reqId=5, date=finished-20140702  23:38:36-20140703  23:38:36, open=-1, high=-1, low=-1, close=-1, volume=-1, count=-1, WAP=-1, hasGaps=False>
246 |           JPM       USB         C       WFC       BAC        MS
247 | JPM  1.000000 -0.692976 -0.260477  0.856929 -0.141720  0.450907
248 | USB -0.692976  1.000000  0.199568 -0.799777  0.122546 -0.116489
249 | C   -0.260477  0.199568  1.000000 -0.378609  0.075669  0.212819
250 | WFC  0.856929 -0.799777 -0.378609  1.000000 -0.210411  0.213091
251 | BAC -0.141720  0.122546  0.075669 -0.210411  1.000000 -0.384212
252 | MS   0.450907 -0.116489  0.212819  0.213091 -0.384212  1.000000
253 | 
254 | [6 rows x 6 columns]
255 | 
256 | Process finished with exit code 0
257 | 


--------------------------------------------------------------------------------
/output/Strat-LmtOrdrs Backtest.txt:
--------------------------------------------------------------------------------
1 | Cycle completed.
2 | Back results:
3 | 20140625 20:10:59 C 42.86 S 100 -100 4285.0
4 | 20140625 20:11:08 C 42.89 B 100 0 -5.0
5 | 20140625 20:11:28 C 42.9 S 100 -100 4284.0
6 | 20140625 20:11:28 C 42.93 B 100 0 -10.0
7 | 20140625 20:11:56 C 42.9 B 100 100 -4301.0
8 | 20140625 20:11:56 C 42.85 S 100 0 -17.0


--------------------------------------------------------------------------------
/output/Strat-Paris Backtest.txt:
--------------------------------------------------------------------------------
 1 | Back results:
 2 | 20140625 20:10:55 C 42.85 B 100 100 -4286.0
 3 | 20140625 20:10:55 MS 32.05 S 100 -100 -1082.0
 4 | 20140625 20:13:56 C 43.08 S 100 0 3225.0
 5 | 20140625 20:13:56 C 43.1 S 100 -100 7534.0
 6 | 20140625 20:13:56 MS 32.1 B 100 0 4323.0
 7 | 20140625 20:13:56 C 43.12 B 100 0 10.0
 8 | 20140625 20:14:22 C 43.12 B 100 100 -4303.0
 9 | 20140625 20:14:22 MS 32.1 S 100 -100 -1094.0
10 | 20140625 20:14:28 C 43.08 S 100 0 3213.0
11 | 20140625 20:14:28 C 43.08 S 100 -100 7520.0
12 | 20140625 20:14:28 MS 32.1 B 100 0 4309.0
13 | 20140625 20:14:28 C 43.1 B 100 0 -2.0
14 | 20140625 20:14:53 C 43.1 B 100 100 -4313.0
15 | 20140625 20:14:53 MS 32.08 S 100 -100 -1106.0
16 | 20140625 20:16:09 C 43.11 S 100 0 3204.0
17 | 20140625 20:16:09 C 43.11 S 100 -100 7514.0
18 | 20140625 20:16:09 MS 32.1 B 100 0 4303.0
19 | 20140625 20:16:09 C 43.13 B 100 0 -11.0
20 | 20140625 20:16:22 C 43.1 B 100 100 -4322.0
21 | 20140625 20:16:22 MS 32.08 S 100 -100 -1115.0
22 | 20140625 20:20:34 C 43.12 S 100 0 3196.0
23 | 20140625 20:20:34 C 43.12 S 100 -100 7507.0
24 | 20140625 20:20:34 MS 32.1 B 100 0 4296.0
25 | 20140625 20:20:34 C 43.14 B 100 0 -19.0
26 | 
27 | Process finished with exit code 0
28 | 


--------------------------------------------------------------------------------
/src/Backtester/Backtester.py:
--------------------------------------------------------------------------------
  1 | #######################################
  2 | # Author: James Ma
  3 | # Email stuff here: jamesmawm@gmail.com
  4 | #######################################
  5 | 
  6 | from ibHFT import IbHFT
  7 | from StubTickEvent import StubTickEvent as TickEvent
  8 | from StubOrderEvent import StubOrderEvent as OrderEvent
  9 | import csv
 10 | import pandas as pd
 11 | import ibDataTypes
 12 | 
 13 | 
 14 | class Backtester(IbHFT):
 15 | 
 16 |     def __init__(self):
 17 |         IbHFT.__init__(self)
 18 |         self.COST_PER_SHARE = 0.005
 19 |         self.on_tick_func = None
 20 |         self.on_position_changed_func = None
 21 |         self.csv_file = None
 22 | 
 23 |     def set_csv_file(self, filename):
 24 |         self.csv_file = filename
 25 | 
 26 |     def start_data_stream(self, on_started_func, on_tick, stock_codes, on_pos_changed=None):
 27 |         dataframe = pd.read_csv(self.csv_file)
 28 |         csv_stock_codes = [stock_code for stock_code in dataframe][1:]
 29 | 
 30 |         self.init_context(csv_stock_codes)
 31 |         self.assign_functions(on_pos_changed, on_tick)
 32 | 
 33 |         for row in range(dataframe.shape[0]):
 34 |             self.on_data_row(dataframe, row, stock_codes)
 35 | 
 36 |         self.report_backtest_results()
 37 | 
 38 |     def report_backtest_results(self):
 39 |         print "Back results:"
 40 | 
 41 |         position = {k: 0 for k in self.stock_codes}
 42 |         pnl = 0
 43 |         for order in self.orders_filled:
 44 | 
 45 |             qty = order.qty
 46 |             stock_code = order.stock_code
 47 |             comm = self.get_commission(qty)
 48 |             is_buy = order.is_buy
 49 |             price = order.price
 50 |             mkt_value = qty * price
 51 |             position[stock_code] += qty * (1 if is_buy else -1)
 52 |             pnl += mkt_value * (1 if not is_buy else -1) - comm
 53 | 
 54 |             print order.filled_time, stock_code, price, "B" if order.is_buy else "S", qty, position[stock_code], pnl
 55 | 
 56 |     def get_commission(self, qty):
 57 |         return max(1, self.COST_PER_SHARE*qty)
 58 | 
 59 |     def on_data_row(self, dataframe, row, stock_codes):
 60 |         current_time = None
 61 |         for i, header in enumerate(dataframe):
 62 |             if i == 0:
 63 |                 current_time = dataframe[header][row]
 64 |             else:
 65 |                 ticker_id = i-1
 66 |                 stock_code = header
 67 | 
 68 |                 ''' TODO: retrive previous last price and dont' send tick event if same
 69 |                 '''
 70 | 
 71 |                 tick_event = TickEvent()
 72 |                 tick_event.tickerId = ticker_id
 73 |                 tick_event.price = dataframe[stock_code][row]
 74 |                 tick_event.typeName = ibDataTypes.MSG_TYPE_TICK_PRICE
 75 |                 tick_event.field = ibDataTypes.FIELD_LAST_PRICE
 76 |                 self.send_event_tick(tick_event, current_time)
 77 | 
 78 |                 bid_event = TickEvent()
 79 |                 bid_event.tickerId = ticker_id
 80 |                 bid_event.price = dataframe[stock_code][row] - 0.01
 81 |                 bid_event.typeName = ibDataTypes.MSG_TYPE_TICK_PRICE
 82 |                 bid_event.field = ibDataTypes.FIELD_BID_PRICE
 83 |                 self.send_event_tick(bid_event, current_time)
 84 | 
 85 |                 ask_event = TickEvent()
 86 |                 ask_event.tickerId = ticker_id
 87 |                 ask_event.price = dataframe[stock_code][row] + 0.01
 88 |                 ask_event.typeName = ibDataTypes.MSG_TYPE_TICK_PRICE
 89 |                 ask_event.field = ibDataTypes.FIELD_ASK_PRICE
 90 |                 self.send_event_tick(ask_event, current_time)
 91 | 
 92 |     def send_event_tick(self, msg, current_time):
 93 |         self.tick_event(msg)
 94 |         self.match_orders(current_time)
 95 | 
 96 |     def match_orders(self, timestamp):
 97 | 
 98 |         for pending_order in self.orders_pending:
 99 |             stock_code = pending_order.stock_code
100 |             current_bid_px = self.get_current_bid_price(stock_code)
101 |             current_ask_px = self.get_current_ask_price(stock_code)
102 |             order_px = pending_order.price
103 |             is_buy = pending_order.is_buy
104 |             order_id = pending_order.order_id
105 | 
106 |             if (is_buy and order_px >= current_ask_px) \
107 |                 or (not is_buy and order_px <= current_bid_px):
108 | 
109 |                 pending_order.filled_time = timestamp
110 |                 self.execute_order(order_id)
111 | 
112 |     def execute_order(self, order_id):
113 |         order_event = OrderEvent()
114 |         order_event.orderId = order_id
115 |         order_event.typeName = ibDataTypes.MSG_TYPE_ORDER_STATUS
116 |         order_event.status = ibDataTypes.ORDER_STATUS_FILLED
117 |         order_event.remaining = 0
118 |         self.logger(order_event)
119 | 
120 |     @staticmethod
121 |     def read_csv_file(filepath):
122 |         with open(filepath, "rb") as fileobject:
123 |             return csv.reader(fileobject)
124 |         return None
125 | 
126 |     #Override
127 |     def replace_order(self, order):
128 |         return
129 | 
130 |     #Override
131 |     def cancel_order(self, order):
132 |         return
133 | 
134 |     #Override
135 |     def place_order(self, this_order_id, tradable, stock_order):
136 |         return


--------------------------------------------------------------------------------
/src/Backtester/StubOrderEvent.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | 
 7 | class StubOrderEvent:
 8 | 
 9 |     def __init__(self):
10 |         self.typeName = None
11 |         self.status = None
12 |         self.orderId = 0
13 |         self.remaining = 0
14 |         return


--------------------------------------------------------------------------------
/src/Backtester/StubTickEvent.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | 
 7 | class StubTickEvent:
 8 | 
 9 |     def __init__(self):
10 |         self.tickerId = 0
11 |         self.typeName = None
12 |         self.price = 0
13 |         self.field = None
14 |         return
15 | 
16 | 


--------------------------------------------------------------------------------
/src/Backtester/__init__.py:
--------------------------------------------------------------------------------
https://raw.githubusercontent.com/jamesmawm/IB-Trading-Models-And-Backtester/28461d4628fb5e4aef9e44e9d4eb6565b1501255/src/Backtester/__init__.py


--------------------------------------------------------------------------------
/src/StockOrder.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | from ibUtil import *
 7 | 
 8 | 
 9 | class StockOrder:
10 |     def __init__(self, order_id, stock_code, is_buy, qty, price=None, stop_price = None):
11 |         self.order_id = order_id
12 |         self.stock_code = stock_code
13 |         self.is_buy = is_buy
14 |         self.qty = qty
15 |         self.price = price
16 |         self.stop_price = stop_price
17 |         self.filled_timed = None
18 | 
19 |     def get_stock_order(self):
20 |         return create_stock_order(self.order_id, self.qty, self.is_buy, self.price, self.stop_price)
21 | 
22 |     def get_order_position(self):
23 |         return self.qty * (1 if self.is_buy else -1)
24 | 


--------------------------------------------------------------------------------
/src/StockPosition.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | from ibUtil import *
 7 | 
 8 | 
 9 | class StockPosition:
10 | 
11 |     def __init__(self, stock_code):
12 |         self.stock_code = stock_code
13 |         self.position = 0
14 |         self.market_value = 0
15 |         self.average_price = 0
16 |         self.realized_pnl = 0
17 |         self.unrealized_pnl = 0
18 |         self.tradable = create_stock_contract(self.stock_code)


--------------------------------------------------------------------------------
/src/StockTradable.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | class StockTick:
 7 |     def __init__(self):
 8 |         self.bid_price = 0
 9 |         self.ask_price = 0
10 |         self.last_price = 0
11 |         self.last_volume = 0
12 |         self.volume = 0
13 |         self.bid_volume = 0
14 |         self.ask_volume = 0


--------------------------------------------------------------------------------
/src/Strat-CorrelRptr.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | """ Strategy: Correlation Reporter
 7 | 
 8 | Prints the correlations using Pandas.
 9 | """
10 | 
11 | import pandas as pd
12 | import ibDataTypes as DataType
13 | import ibHFT
14 | 
15 | 
16 | class TradingStrategy:
17 | 
18 |     def __init__(self):
19 |         self.ibhft = None
20 |         self.pd_last_prices = pd.DataFrame()
21 |         self.stocks_to_stream = ["JPM", "USB", "C", "WFC", "BAC", "MS"]
22 |         self.duration = DataType.DURATION_1_DAY
23 |         self.interval = DataType.BAR_SIZE_1_MIN
24 |         return
25 | 
26 |     def process_historical_data(self, msg):
27 |         print msg
28 | 
29 |         vwap = msg.WAP
30 |         stock_index = msg.reqId
31 |         if vwap != -1:
32 |             stock_code = self.stocks_to_stream[stock_index]
33 |             date_time = msg.date
34 |             #open = msg.open
35 |             #high = msg.high
36 |             close = msg.close
37 |             #volume = msg.volume
38 | 
39 |             self.pd_last_prices = self.pd_last_prices.set_value(date_time, stock_code, close)
40 | 
41 |         elif vwap == -1:
42 |             if len(self.pd_last_prices.columns) == len(self.stocks_to_stream):
43 |                 self.on_completion()
44 | 
45 |     def on_completion(self):
46 |         self.ibhft.set_is_shutdown()
47 |         print self.pd_last_prices.corr()
48 | 
49 |     def run(self):
50 |         self.ibhft = ibHFT.IbHFT()
51 |         self.ibhft.set_connection_with_api_gateway(False)
52 |         self.ibhft.start_historical_data_stream(self.stocks_to_stream
53 |                                                 , self.duration
54 |                                                 , self.interval
55 |                                                 , self.process_historical_data)
56 | 
57 | if __name__ == '__main__':
58 |     TradingStrategy().run()


--------------------------------------------------------------------------------
/src/Strat-Empty.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | """ Template Strategy
 7 | 
 8 | An empty template to create strategies.
 9 | """
10 | 
11 | import Backtester.Backtester as bt
12 | import ibHFT
13 | 
14 | # Changeable params
15 | STOCKS_TO_STREAM = ["PEP", "KO"]
16 | 
17 | 
18 | class TradingStrategy:
19 | 
20 |     def __init__(self):
21 |         self.ibhft = None
22 |         return
23 | 
24 |     def on_position_changed(self):
25 |         print "on position changed."
26 | 
27 |     def on_tick(self, ticks, stock_code, field_type):
28 |         print "tick"
29 | 
30 |     def on_started(self):
31 |         return
32 | 
33 |     def run(self):
34 |         self.ibhft = ibHFT.IbHFT()
35 |         self.ibhft.set_connection_with_api_gateway(False)
36 |         self.ibhft.start_data_stream(self.on_started
37 |                                      , self.on_tick
38 |                                      , STOCKS_TO_STREAM
39 |                                      , self.on_position_changed)
40 | 
41 |     def run_backtest(self):
42 |         self.ibhft = bt.Backtester()
43 |         self.ibhft.set_csv_file("ticks 10 mins - Jun 25 2014.csv")
44 |         self.ibhft.start_data_stream(self.on_started
45 |                                      , self.on_tick
46 |                                      , STOCKS_TO_STREAM
47 |                                      , self.on_position_changed)
48 | 
49 | if __name__ == '__main__':
50 |     # TradingStrategy().run()
51 |     TradingStrategy().run_backtest()


--------------------------------------------------------------------------------
/src/Strat-LmtOrdrs.py:
--------------------------------------------------------------------------------
  1 | #######################################
  2 | # Author: James Ma
  3 | # Email stuff here: jamesmawm@gmail.com
  4 | #######################################
  5 | 
  6 | """ Strategy: Limit Orders
  7 | 
  8 | Place limit orders just above the bid ask prices.
  9 | Close position when exceed certain thresholds.
 10 | """
 11 | 
 12 | import Backtester.Backtester as bt
 13 | from Tkinter import *
 14 | import ibHFT
 15 | 
 16 | # Fixed params
 17 | TICK_SIZE = 0.01
 18 | 
 19 | # Changeable params
 20 | STOCKS_TO_STREAM = ["C", "JPM"]
 21 | CLCYLE_LIMIT = 3
 22 | TRADE_QTY = 100
 23 | LMT_ORDER_SIZE = 0.01
 24 | SPREAD_TICKS_TO_TRADE = 0.01
 25 | TAKE_PROFIT_TICKS = TICK_SIZE * 1
 26 | MAX_TICKS_LOSS = 0.03
 27 | 
 28 | 
 29 | class TradingStrategy:
 30 | 
 31 |     # Strategy states
 32 |     STATE_PLACE_ORDERS = 0
 33 |     STATE_POSITION_OPENED = 1
 34 |     STATE_TERMINATED = 2
 35 | 
 36 |     def __init__(self):
 37 |         self.ibhft = None
 38 |         self.current_state = self.STATE_PLACE_ORDERS
 39 |         self.current_ticks = None
 40 |         self.sell_px = self.buy_px = self.working_ask_px = self.working_bid_px = 0
 41 |         self.tx_px = self.limit_px = self.loss_px = 0
 42 |         self.current_cycle = 0
 43 |         self.current_sampling_thread = None
 44 |         self.tk = Tk()
 45 |         self.label_stock = StringVar()
 46 |         self.label_bidask = StringVar()
 47 |         self.label_last = StringVar()
 48 |         self.label_ticks = StringVar()
 49 |         self.label_position = StringVar()
 50 |         self.label_orders = StringVar()
 51 |         self.label_pnl = StringVar()
 52 |         self.label_cycle = StringVar()
 53 |         self.label_traded = StringVar()
 54 |         return
 55 | 
 56 |     def on_tick(self, ticks, stock_code, field_type):
 57 |         self.current_ticks = ticks
 58 | 
 59 |         stock_a = STOCKS_TO_STREAM[0]
 60 |         is_position_flat = self.ibhft.is_position_flat(stock_a)
 61 |         if self.is_no_open_orders() \
 62 |                 and is_position_flat \
 63 |                 and self.current_state == self.STATE_PLACE_ORDERS:
 64 | 
 65 |             self.place_limit_orders(ticks, stock_a)
 66 | 
 67 |         elif not is_position_flat:
 68 |             self.monitor_to_cover_position(stock_a)
 69 | 
 70 |         # Else, wait for trade execution.
 71 | 
 72 |         self.update_ui()
 73 | 
 74 |     def monitor_to_cover_position(self, stock_code):
 75 |         pos = self.ibhft.get_position(stock_code)
 76 |         if pos != 0:
 77 |             if self.current_state == self.STATE_PLACE_ORDERS:
 78 |                 self.current_state = self.STATE_POSITION_OPENED
 79 |                 self.send_take_profit_limit_order(stock_code, pos)
 80 | 
 81 |             elif self.current_state == self.STATE_POSITION_OPENED:
 82 |                 self.update_covering_position(stock_code, pos)
 83 | 
 84 |     def update_covering_position(self, stock_code, pos):
 85 |         if pos == 0:
 86 |             return
 87 | 
 88 |         current_bid_px = self.ibhft.get_current_bid_price(stock_code)
 89 |         current_ask_px = self.ibhft.get_current_ask_price(stock_code)
 90 | 
 91 |         is_long = pos > 0
 92 |         self.tx_px = self.buy_px if is_long else self.sell_px
 93 |         market_px = current_bid_px if is_long else current_ask_px
 94 |         ticks_lost = max(0, self.tx_px - market_px) if is_long else max(0, market_px - self.tx_px)
 95 | 
 96 |         self.loss_px = self.tx_px - MAX_TICKS_LOSS if is_long else self.tx_px + MAX_TICKS_LOSS
 97 | 
 98 |         pendings = self.ibhft.get_number_of_pending_orders()
 99 |         if ticks_lost >= MAX_TICKS_LOSS:
100 | 
101 |             if pendings == 1:
102 |                 self.ibhft.place_limit_order(stock_code, not is_long, TRADE_QTY, market_px)
103 | 
104 |                 stock_order = self.ibhft.get_pending_orders()[0]
105 |                 self.limit_px = stock_order.price
106 | 
107 |             elif pendings > 1:
108 |                 self.update_market_order(market_px, not is_long)
109 | 
110 |         else:
111 | 
112 |             if pendings == 1:
113 |                 stock_order = self.ibhft.get_pending_orders()[0]
114 |                 self.limit_px = stock_order.price
115 | 
116 |             if pendings > 1:
117 |                 self.remove_market_order()
118 | 
119 |     def remove_market_order(self):
120 |         max_order_id = max([stock_order.order_id for stock_order in self.ibhft.get_pending_orders()])
121 |         self.ibhft.remove_pending_order(max_order_id)
122 | 
123 |     def update_market_order(self, new_px, is_buy):
124 |         max_order_id = max([stock_order.order_id for stock_order in self.ibhft.get_pending_orders()])
125 |         for stock_order in self.ibhft.get_pending_orders():
126 |             if stock_order.order_id == max_order_id:
127 |                 if stock_order.price != new_px \
128 |                         or stock_order.is_buy != is_buy:
129 |                     stock_order.price = new_px
130 |                     stock_order.is_buy = is_buy
131 |                     self.ibhft.replace_order(stock_order)
132 |                     return
133 | 
134 |     def send_take_profit_limit_order(self, stock_code, pos):
135 | 
136 |         if pos < 0:
137 |             # Cover position - Go LONG at bid px.
138 |             self.current_state = self.STATE_POSITION_OPENED
139 |             take_profit_px = self.sell_px - TAKE_PROFIT_TICKS
140 |             self.update_pending_order(stock_code, take_profit_px)
141 | 
142 |         elif pos > 0:
143 |             # Cover position - Go SHORT at ask px.
144 |             self.current_state = self.STATE_POSITION_OPENED
145 |             take_profit_px = self.buy_px + TAKE_PROFIT_TICKS
146 |             self.update_pending_order(stock_code, take_profit_px)
147 | 
148 |     def update_pending_order(self, stock_code, new_price):
149 |         for order in self.ibhft.get_pending_orders():
150 |             if order.stock_code == stock_code:
151 |                 self.ibhft.update_order_with_price_and_type(order, new_price, None)
152 |                 return
153 | 
154 |     def on_position_changed(self):
155 |         stock_a = STOCKS_TO_STREAM[0]
156 | 
157 |         if self.ibhft.is_position_flat(stock_a):
158 |             self.ibhft.remove_all_pending_orders()
159 | 
160 |         if self.current_state == self.STATE_POSITION_OPENED:
161 |             self.current_cycle += 1
162 |             if self.current_cycle < CLCYLE_LIMIT:
163 |                 self.current_state = self.STATE_PLACE_ORDERS
164 |             else:
165 |                 self.current_state = self.STATE_TERMINATED
166 |                 self.tk.quit()
167 |                 print "Cycle completed."
168 | 
169 |     def is_no_open_orders(self):
170 |         num_open_orders = self.ibhft.get_number_of_pending_orders()
171 |         return num_open_orders == 0
172 | 
173 |     def place_limit_orders(self, ticks, stock_code):
174 |         a_bid_px = ticks[stock_code].bid_price
175 |         a_ask_px = ticks[stock_code].ask_price
176 | 
177 |         if a_bid_px == 0 or a_ask_px == 0:
178 |             return
179 | 
180 |         self.working_bid_px = a_bid_px
181 |         self.working_ask_px = a_ask_px
182 |         self.buy_px = self.working_bid_px - LMT_ORDER_SIZE
183 |         self.sell_px = self.working_ask_px + LMT_ORDER_SIZE
184 | 
185 |         self.ibhft.place_limit_order(stock_code, True, TRADE_QTY, self.buy_px)
186 |         self.ibhft.place_limit_order(stock_code, False, TRADE_QTY, self.sell_px)
187 | 
188 |     def update_ui(self):
189 |         stock_a = STOCKS_TO_STREAM[0]
190 |         self.label_stock.set(stock_a)
191 | 
192 |         bidaskstr = "({bidvol}) {bid}/{ask} ({askvol})".format(
193 |             bidvol=self.current_ticks[stock_a].bid_volume
194 |             , bid=self.current_ticks[stock_a].bid_price
195 |             , ask=self.current_ticks[stock_a].ask_price
196 |             , askvol=self.current_ticks[stock_a].ask_volume)
197 |         self.label_bidask.set(bidaskstr)
198 | 
199 |         laststr = "{last} ({lastvol})".format(
200 |             last=self.current_ticks[stock_a].last_price
201 |             , lastvol=self.current_ticks[stock_a].last_volume)
202 |         self.label_last.set(laststr)
203 | 
204 |         ordersstr = "{pending} / {working}".format(
205 |             pending=self.ibhft.get_number_of_pending_orders()
206 |             , working=self.ibhft.get_number_of_filled_orders())
207 |         self.label_orders.set(ordersstr)
208 | 
209 |         a_position = self.ibhft.get_stock_position(stock_a)
210 |         pnlstr = "{unreal} / {real}".format(
211 |             unreal=a_position.unrealized_pnl
212 |             , real=a_position.realized_pnl)
213 |         self.label_pnl.set(pnlstr)
214 | 
215 |         self.label_position.set(self.ibhft.get_position(stock_a))
216 | 
217 |         self.label_ticks.set(self.ibhft.get_number_of_ticks())
218 | 
219 |         cyclestr = "{cyc} / {cycmax}".format(
220 |             cyc=self.current_cycle
221 |             , cycmax=CLCYLE_LIMIT)
222 |         self.label_cycle.set(cyclestr)
223 | 
224 |         tradedstr = "{traded} ({limit}/{loss})".format(
225 |             traded=self.tx_px
226 |             , limit=self.limit_px
227 |             , loss=self.loss_px)
228 |         self.label_traded.set(tradedstr)
229 | 
230 |     def create_ui(self):
231 | 
232 |         def create_row(header, label, row):
233 |             Label(self.tk, text=header).grid(row=row,column=0)
234 |             Label(self.tk, textvariable=label).grid(row=row,column=1)
235 |             row += 1
236 |             return row
237 | 
238 |         row_index = 0
239 |         row_index = create_row("Stock:", self.label_stock, row_index)
240 |         row_index = create_row("Bid/Ask:", self.label_bidask, row_index)
241 |         row_index = create_row("Last:", self.label_last, row_index)
242 |         row_index = create_row("Traded:", self.label_traded, row_index)
243 |         row_index = create_row("Unreal/Real:", self.label_pnl, row_index)
244 |         row_index = create_row("Pending/Filled", self.label_orders, row_index)
245 |         row_index = create_row("Position:", self.label_position, row_index)
246 |         row_index = create_row("Ticks:", self.label_ticks, row_index)
247 |         row_index = create_row("Cycle:", self.label_cycle, row_index)
248 | 
249 |     def on_started(self):
250 |         self.create_ui()
251 |         self.tk.mainloop()
252 | 
253 |         if self.current_sampling_thread is not None:
254 |             self.current_sampling_thread.cancel()
255 | 
256 |     def run(self):
257 |         self.ibhft = ibHFT.IbHFT()
258 |         self.ibhft.set_connection_with_api_gateway(False)
259 |         self.ibhft.start_data_stream(self.on_started
260 |                                      , self.on_tick
261 |                                      , STOCKS_TO_STREAM
262 |                                      , self.on_position_changed)
263 | 
264 |     def run_backtest(self):
265 |         self.ibhft = bt.Backtester()
266 |         self.ibhft.set_csv_file("ticks 10 mins - Jun 25 2014.csv")
267 |         self.ibhft.start_data_stream(self.on_started
268 |                                      , self.on_tick
269 |                                      , STOCKS_TO_STREAM
270 |                                      , self.on_position_changed)
271 | 
272 | if __name__ == '__main__':
273 |     TradingStrategy().run()
274 |     # TradingStrategy().run_backtest()


--------------------------------------------------------------------------------
/src/Strat-Pairs.py:
--------------------------------------------------------------------------------
  1 | #######################################
  2 | # Author: James Ma
  3 | # Email stuff here: jamesmawm@gmail.com
  4 | #######################################
  5 | 
  6 | """ Strategy: Pairs trading through cointegration
  7 | 
  8 | Uses OLS to determine order of co-integration every self.window_length.
  9 | Pair-trading by mean-reversion.
 10 | """
 11 | 
 12 | import Backtester.Backtester as bt
 13 | import pandas as pd
 14 | from pandas.stats.api import ols
 15 | from Tkinter import *
 16 | import ibHFT
 17 | import threading
 18 | import ibDataTypes
 19 | import time
 20 | import numpy as np
 21 | 
 22 | # Fixed params
 23 | TICK_SIZE = 0.01
 24 | 
 25 | # Changeable params
 26 | STOCKS_TO_STREAM = ["C", "MS", "BAC"]
 27 | CLCYLE_LIMIT = 3
 28 | TRADE_QTY = 100
 29 | LMT_ORDER_SIZE = 0.01
 30 | SPREAD_TICKS_TO_TRADE = 0.01
 31 | TAKE_PROFIT_TICKS = TICK_SIZE * 1
 32 | MAX_TICKS_LOSS = 0.03
 33 | 
 34 | 
 35 | class TradingStrategy:
 36 | 
 37 |     # Strategy states
 38 |     STATE_PLACE_ORDERS = 0
 39 |     STATE_POSITION_OPENED = 1
 40 |     STATE_TERMINATED = 2
 41 | 
 42 |     def __init__(self):
 43 |         self.ibhft = None
 44 |         self.current_state = self.STATE_PLACE_ORDERS
 45 |         self.current_ticks = None
 46 |         self.sell_px = self.buy_px = self.working_ask_px = self.working_bid_px = 0
 47 |         self.tx_px = self.limit_px = self.loss_px = 0
 48 |         self.current_cycle = 0
 49 |         self.current_sampling_thread = None
 50 |         self.pd_last_prices = pd.DataFrame()
 51 |         self.tk = Tk()
 52 |         self.label_stock = StringVar()
 53 |         self.label_bidask = StringVar()
 54 |         self.label_last = StringVar()
 55 |         self.label_ticks = StringVar()
 56 |         self.label_position = StringVar()
 57 |         self.label_orders = StringVar()
 58 |         self.label_pnl = StringVar()
 59 |         self.label_zscore = StringVar()
 60 |         self.label_traded = StringVar()
 61 |         self.spreads = []
 62 |         self.window_length = 30
 63 |         self.is_bootstrapped = False
 64 |         return
 65 | 
 66 |     def sample_ticks_at_interval(self):
 67 | 
 68 |         if self.current_state is not self.STATE_TERMINATED:
 69 |             self.current_sampling_thread = threading.Timer(1.0, self.sample_ticks_at_interval).start()
 70 | 
 71 |         if self.current_ticks is None:
 72 |             return
 73 | 
 74 |         store_time = time.strftime(ibDataTypes.DATE_TIME_FORMAT)
 75 | 
 76 |         for stock_code, stock_tick in self.current_ticks.iteritems():
 77 |             self.pd_last_prices = self.pd_last_prices.set_value(store_time
 78 |                                                                 , stock_code
 79 |                                                                 , stock_tick.last_price)
 80 | 
 81 |         rows = self.pd_last_prices.shape[0]
 82 |         if rows > self.window_length:
 83 |             self.is_bootstrapped = True
 84 |             self.pd_last_prices = self.pd_last_prices[-self.window_length:]
 85 | 
 86 |     def on_tick(self, ticks, stock_code, field_type):
 87 |         self.current_ticks = ticks
 88 | 
 89 |         if not self.is_bootstrapped:
 90 |             print "Bootstrapping...."
 91 |             return
 92 | 
 93 |         [stock_code_a, stock_code_b, stock_code_c] = STOCKS_TO_STREAM
 94 | 
 95 |         # Assign prices of interest
 96 |         get_last_prices = lambda code: self.pd_last_prices[code]
 97 |         prices_a = get_last_prices(stock_code_a)
 98 |         prices_b = get_last_prices(stock_code_b)
 99 | 
100 |         a_last_px, a_bid_px, a_ask_px = self.get_current_prices(stock_code_a)
101 |         b_last_px, b_bid_px, b_ask_px = self.get_current_prices(stock_code_b)
102 | 
103 |         if a_bid_px == 0 or a_ask_px == 0 or b_bid_px == 0 or b_ask_px == 0:
104 |             return
105 | 
106 |         # Do OLS for coeffs
107 |         slope1, intercept1, mean1, stdev1 = self.get_coeffs_from_ols(prices_a, prices_b)
108 |         spread_lasta_lastb = self.calculate_spread(a_last_px, b_last_px, slope1, intercept1)
109 |         zscore = self.get_zscore(spread_lasta_lastb, mean1, stdev1)
110 | 
111 |         is_have_pending_orders = (self.ibhft.get_number_of_pending_orders() > 0)
112 |         a_pos = self.ibhft.get_position(stock_code_a)
113 |         b_pos = self.ibhft.get_position(stock_code_b)
114 |         is_position_flat = a_pos == 0 and b_pos == 0
115 | 
116 |         if zscore >= 2.0 and not is_have_pending_orders and is_position_flat:
117 |             self.ibhft.place_limit_order(stock_code_a, False, TRADE_QTY, a_bid_px)
118 |             self.ibhft.place_limit_order(stock_code_b, True,  TRADE_QTY, b_ask_px)
119 | 
120 |         elif zscore <= -2.0 and not is_have_pending_orders and is_position_flat:
121 |             self.ibhft.place_limit_order(stock_code_a, True, TRADE_QTY, a_ask_px)
122 |             self.ibhft.place_limit_order(stock_code_b, False,  TRADE_QTY, b_bid_px)
123 | 
124 |         elif abs(zscore) < .5 and not is_have_pending_orders and not is_position_flat:
125 |             (is_buy_a, a_px) = (True, a_ask_px) if a_pos < 0 else (False, a_bid_px)
126 |             (is_buy_b, b_px) = (True, b_ask_px) if b_pos < 0 else (False, b_bid_px)
127 |             self.ibhft.place_limit_order(stock_code_a, is_buy_a, TRADE_QTY, a_px)
128 |             self.ibhft.place_limit_order(stock_code_b, is_buy_b,  TRADE_QTY, b_px)
129 | 
130 |         elif is_have_pending_orders:
131 | 
132 |             is_mkt_went_away_on_both_sides = True
133 |             for order in self.ibhft.get_pending_orders():
134 |                 code = order.stock_code
135 |                 last_px, bid_px, ask_px = self.get_current_prices(code)
136 |                 mkt_px = ask_px if order.is_buy else bid_px
137 |                 ticks_diff = abs(mkt_px - order.price)
138 | 
139 |                 if ticks_diff <= 0.02:
140 |                     is_mkt_went_away_on_both_sides = False
141 | 
142 |             if is_mkt_went_away_on_both_sides:
143 |                 self.ibhft.remove_all_pending_orders()
144 | 
145 |         self.update_ui(zscore)
146 | 
147 |     def get_coeffs_from_ols(self, a, b):
148 |         slope, intercept = ols(y=a, x=b).beta[['x', 'intercept']]
149 |         spreads_pair_ab = self.calculate_spread(a, b, slope, intercept)
150 |         mean, stdev = self.get_mean_and_std(spreads_pair_ab)
151 |         return slope, intercept, mean, stdev
152 | 
153 |     @staticmethod
154 |     def get_mean_and_std(values):
155 |         return np.mean(values), np.std(values)
156 | 
157 |     @staticmethod
158 |     def calculate_spread(a, b, slope, intercept):
159 |         return a - (b * slope + intercept)
160 | 
161 |     @staticmethod
162 |     def get_zscore(a, mean, stdev):
163 |         return 0 if stdev==0 else (a-mean)/stdev
164 | 
165 |     def get_current_prices(self, code):
166 |         last_px = self.ibhft.get_current_last_price(code)
167 |         bid_px = self.ibhft.get_current_bid_price(code)
168 |         ask_px = self.ibhft.get_current_ask_price(code)
169 |         return last_px, bid_px, ask_px
170 | 
171 |     def flush_sampled_data_to_csv(self, filename):
172 |         self.pd_last_prices.to_csv(filename, sep=',', encoding='utf-8')
173 | 
174 |     def on_position_changed(self):
175 |         stock_a = STOCKS_TO_STREAM[0]
176 | 
177 |         if self.ibhft.is_position_flat(stock_a):
178 |             self.ibhft.remove_all_pending_orders()
179 | 
180 |         if self.current_state == self.STATE_POSITION_OPENED:
181 |             self.current_cycle += 1
182 |             if self.current_cycle < CLCYLE_LIMIT:
183 |                 self.current_state = self.STATE_PLACE_ORDERS
184 |             else:
185 |                 self.current_state = self.STATE_TERMINATED
186 |                 self.tk.quit()
187 |                 print "Cycle completed."
188 | 
189 |     def is_no_open_orders(self):
190 |         num_open_orders = self.ibhft.get_number_of_pending_orders()
191 |         return num_open_orders == 0
192 | 
193 |     def place_limit_orders(self, ticks, stock_code):
194 |         a_bid_px = ticks[stock_code].bid_price
195 |         a_ask_px = ticks[stock_code].ask_price
196 | 
197 |         if a_bid_px == 0 or a_ask_px == 0:
198 |             return
199 | 
200 |         self.working_bid_px = a_bid_px
201 |         self.working_ask_px = a_ask_px
202 |         self.buy_px = self.working_bid_px - LMT_ORDER_SIZE
203 |         self.sell_px = self.working_ask_px + LMT_ORDER_SIZE
204 | 
205 |         self.ibhft.place_limit_order(stock_code, True, TRADE_QTY, self.buy_px)
206 |         self.ibhft.place_limit_order(stock_code, False, TRADE_QTY, self.sell_px)
207 | 
208 |     def update_ui(self, zscore):
209 |         stock_a = STOCKS_TO_STREAM[0]
210 |         self.label_stock.set(stock_a)
211 | 
212 |         bidaskstr = "({bidvol}) {bid}/{ask} ({askvol})".format(
213 |             bidvol=self.current_ticks[stock_a].bid_volume
214 |             , bid=self.current_ticks[stock_a].bid_price
215 |             , ask=self.current_ticks[stock_a].ask_price
216 |             , askvol=self.current_ticks[stock_a].ask_volume)
217 |         self.label_bidask.set(bidaskstr)
218 | 
219 |         laststr = "{last} ({lastvol})".format(
220 |             last=self.current_ticks[stock_a].last_price
221 |             , lastvol=self.current_ticks[stock_a].last_volume)
222 |         self.label_last.set(laststr)
223 | 
224 |         ordersstr = "{pending} / {working}".format(
225 |             pending=self.ibhft.get_number_of_pending_orders()
226 |             , working=self.ibhft.get_number_of_filled_orders())
227 |         self.label_orders.set(ordersstr)
228 | 
229 |         a_position = self.ibhft.get_stock_position(stock_a)
230 |         pnlstr = "{unreal} / {real}".format(
231 |             unreal=a_position.unrealized_pnl
232 |             , real=a_position.realized_pnl)
233 |         self.label_pnl.set(pnlstr)
234 | 
235 |         self.label_position.set(self.ibhft.get_position(stock_a))
236 |         self.label_ticks.set(self.ibhft.get_number_of_ticks())
237 |         self.label_zscore.set("{0:.3f}".format(zscore))
238 | 
239 |         tradedstr = "{traded} ({limit}/{loss})".format(
240 |             traded=self.tx_px
241 |             , limit=self.limit_px
242 |             , loss=self.loss_px)
243 |         self.label_traded.set(tradedstr)
244 | 
245 |     def create_ui(self):
246 | 
247 |         def create_row(header, label, row):
248 |             Label(self.tk, text=header).grid(row=row,column=0)
249 |             Label(self.tk, textvariable=label).grid(row=row,column=1)
250 |             row += 1
251 |             return row
252 | 
253 |         row_index = 0
254 |         row_index = create_row("Stock:", self.label_stock, row_index)
255 |         row_index = create_row("Bid/Ask:", self.label_bidask, row_index)
256 |         row_index = create_row("Last:", self.label_last, row_index)
257 |         row_index = create_row("Traded:", self.label_traded, row_index)
258 |         row_index = create_row("Unreal/Real:", self.label_pnl, row_index)
259 |         row_index = create_row("Pending/Filled", self.label_orders, row_index)
260 |         row_index = create_row("Position:", self.label_position, row_index)
261 |         row_index = create_row("Ticks:", self.label_ticks, row_index)
262 |         row_index = create_row("Z-score:", self.label_zscore, row_index)
263 | 
264 |     def on_started(self):
265 |         self.sample_ticks_at_interval()
266 |         self.create_ui()
267 |         self.tk.mainloop()
268 | 
269 |         if self.current_sampling_thread is not None:
270 |             self.current_sampling_thread.cancel()
271 | 
272 |     def run(self):
273 |         self.ibhft = ibHFT.IbHFT()
274 |         self.ibhft.set_connection_with_api_gateway(False)
275 |         self.ibhft.start_data_stream(self.on_started
276 |                                      , self.on_tick
277 |                                      , STOCKS_TO_STREAM
278 |                                      , self.on_position_changed)
279 | 
280 |     def run_backtest(self):
281 |         def setup_bootstrap_conditions():
282 |             self.pd_last_prices = pd.read_csv("ticks 10 mins - Jun 25 2014.csv")
283 |             self.pd_last_prices = self.pd_last_prices[-self.window_length:]
284 |             self.is_bootstrapped = True
285 | 
286 |         setup_bootstrap_conditions()
287 |         self.ibhft = bt.Backtester()
288 |         self.ibhft.set_csv_file("ticks 10 mins - Jun 25 2014.csv")
289 |         self.ibhft.start_data_stream(self.on_started
290 |                                      , self.on_tick
291 |                                      , STOCKS_TO_STREAM
292 |                                      , self.on_position_changed)
293 | 
294 | if __name__ == '__main__':
295 |     # TradingStrategy().run()
296 |     TradingStrategy().run_backtest()


--------------------------------------------------------------------------------
/src/ibDataTypes.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | # https://www.interactivebrokers.com/en/software/api/apiguide/java/reqhistoricaldata.htm
 7 | # https://www.interactivebrokers.com/en/software/api/apiguide/tables/tick_types.htm
 8 | 
 9 | FIELD_BID_SIZE = 0
10 | FIELD_BID_PRICE = 1
11 | FIELD_ASK_PRICE = 2
12 | FIELD_ASK_SIZE = 3
13 | FIELD_LAST_PRICE = 4
14 | FIELD_LAST_SIZE = 5
15 | FIELD_HIGH = 6
16 | FIELD_LOW = 7
17 | FIELD_VOLUME = 8
18 | FIELD_CLOSE_PRICE = 9
19 | FIELD_AVG_VOLUME = 21
20 | FIELD_BID_EXCH = 32
21 | FIELD_ASK_EXCH = 33
22 | FIELD_AUCTION_VOLUME = 34
23 | FIELD_AUCTION_PRICE = 35
24 | FIELD_LAST_TIMESTAMP = 45
25 | FIELD_HALTED = 49
26 | FIELD_TRADE_COUNT = 54
27 | FIELD_TRADE_RATE = 55
28 | FIELD_VOLUME_RATE = 56
29 | 
30 | FIELD_HALTED_NOT_HALTED = 0
31 | FIELD_HALTED_IS_HALTED = 1
32 | FIELD_HALTED_BY_VOLATILITY = 2
33 | 
34 | DURATION_1_HR = "3600 S"
35 | DURATION_1_MIN = "60 S"
36 | DURATION_1_DAY = "1 D"
37 | 
38 | BAR_SIZE_1_SEC = "1 secs"
39 | BAR_SIZE_1_MIN = "1 min"
40 | 
41 | RTH_ALL = 0
42 | RTH_ONLY_TRADING_HRS = 1
43 | 
44 | WHAT_TO_SHOW_TRADES = "TRADES"
45 | WHAT_TO_SHOW_MID_PT = "MIDPOINT"
46 | WHAT_TO_SHOW_BID = "BID"
47 | WHAT_TO_SHOW_ASK = "ASK"
48 | WHAT_TO_SHOW_BID_ASK = "BID_ASK"
49 | WHAT_TO_SHOW_HVOL = "HISTORICAL_VOLATILITY"
50 | WHAT_TO_SHOW_OPT_IMPV = "OPTION_IMPLIED_VOLATILITY"
51 | 
52 | DATEFORMAT_STRING = 1
53 | DATEFORMAT_UNIX_TS = 2
54 | 
55 | MSG_TYPE_HISTORICAL_DATA = "historicalData"
56 | MSG_TYPE_UPDATE_PORTFOLIO = "updatePortfolio"
57 | MSG_TYPE_ACCOUNT_UPDATE = "updateAccountValue"
58 | MSG_TYPE_MANAGED_ACCOUNTS = "managedAccounts"
59 | MSG_TYPE_NEXT_ORDER_ID = "nextValidId"
60 | MSG_TYPE_TICK_PRICE = "tickPrice"
61 | MSG_TYPE_TICK_STRING = "tickString"
62 | MSG_TYPE_STICK_SIZE = "tickSize"
63 | MSG_TYPE_ORDER_STATUS = "orderStatus"
64 | MSG_TYPE_ERROR = "error"
65 | 
66 | ORDER_STATUS_SUBMITTED = "Submitted"
67 | ORDER_STATUS_FILLED = "Filled"
68 | 
69 | DATE_TIME_FORMAT = "%Y%m%d %H:%M:%S"
70 | DATE_TIME_FORMAT_LONG = "%Y-%m-%d %H:%M:%S"
71 | DATE_TIME_FORMAT_LONG_MILLISECS = "%Y-%m-%d %H:%M:%S.%f"
72 | 
73 | GENERIC_TICKS_NONE = ''
74 | GENERIC_TICKS_RTVOLUME = "233"
75 | 
76 | SNAPSHOT_NONE = False
77 | SNAPSHOT_TRUE = True
78 | 
79 | ORDER_TYPE_MARKET = "MKT"
80 | ORDER_TYPE_LIMIT = "LMT"
81 | ORDER_TYPE_STOP_LIMIT = "STP LMT"
82 | 
83 | ORDER_ACTION_SELL = "SELL"
84 | ORDER_ACTION_BUY = "BUY"
85 | 
86 | ERROR_CODE_MARKET_DATA_FARM_CONNECTED = 2104
87 | ERROR_CODE_HISTORICAL_DATA_FARM_CONNECTED = 2106
88 | ERROR_CODE_ORDER_CANCELED = 202
89 | 
90 | 


--------------------------------------------------------------------------------
/src/ibHFT.py:
--------------------------------------------------------------------------------
  1 | #######################################
  2 | # Author: James Ma
  3 | # Email stuff here: jamesmawm@gmail.com
  4 | #######################################
  5 | 
  6 | import numpy as np
  7 | from ib.opt import ibConnection, message
  8 | from ib.opt import Connection
  9 | import time
 10 | from time import strftime
 11 | from StockTradable import *
 12 | from StockPosition import *
 13 | from StockOrder import *
 14 | 
 15 | 
 16 | class IbHFT:
 17 | 
 18 |     def __init__(self):
 19 |         self.is_use_gateway = True
 20 |         self.is_shutdown = False
 21 |         self.account_code = ""
 22 |         self.conn = None
 23 |         self.number_of_ticks = 0
 24 |         self.order_id = 0
 25 |         self.orders_pending = np.array([])
 26 |         self.stock_ticks_dict = {}
 27 |         self.orders_filled = np.array([])
 28 |         self.on_tick_func = None
 29 |         self.positions_dict = {}
 30 |         self.stock_codes = np.array([])
 31 |         self.on_position_changed_func = None
 32 |         self.on_historical_data_func = None
 33 |         return
 34 | 
 35 |     '''
 36 |     Callable methods from inherited parent.
 37 |     '''
 38 |     def get_current_bid_price(self, stock_code):
 39 |         return self.stock_ticks_dict[stock_code].bid_price
 40 | 
 41 |     def get_current_ask_price(self, stock_code):
 42 |         return self.stock_ticks_dict[stock_code].ask_price
 43 | 
 44 |     def get_current_last_price(self, stock_code):
 45 |         return self.stock_ticks_dict[stock_code].last_price
 46 | 
 47 |     def place_limit_order(self, stock_code, is_buy, qty, price):
 48 |         this_order_id = self.get_order_id_and_increment()
 49 |         tradable = self.get_tradable(stock_code)
 50 |         stock_order = StockOrder(this_order_id, stock_code, is_buy, qty, price)
 51 |         self.place_order_and_add_to_list(this_order_id, tradable, stock_order)
 52 | 
 53 |     def place_order_and_add_to_list(self, this_order_id, tradable, stock_order):
 54 |         self.place_order(this_order_id, tradable, stock_order)
 55 |         self.add_pending_order(stock_order)
 56 | 
 57 |     def set_is_shutdown(self):
 58 |         self.is_shutdown = True
 59 | 
 60 |     def get_number_of_ticks(self):
 61 |         return self.number_of_ticks
 62 | 
 63 |     def update_order_with_price_and_type(self, order, new_price, stop_price):
 64 |         order.price = new_price
 65 |         order.stop_price = stop_price
 66 |         self.replace_order(order)
 67 | 
 68 |     def replace_order(self, order):
 69 |         tradable = self.get_tradable(order.stock_code)
 70 |         self.conn.placeOrder(order.order_id
 71 |                              , tradable
 72 |                              , order.get_stock_order())
 73 | 
 74 |     def remove_all_pending_orders(self):
 75 |         for order in self.orders_pending:
 76 |             self.cancel_order(order.order_id)
 77 | 
 78 |         self.orders_pending = np.array([])
 79 | 
 80 |     def remove_pending_order(self, order_id_to_delete):
 81 |         for i, order in enumerate(self.orders_pending):
 82 |             if order.order_id == order_id_to_delete:
 83 |                 self.cancel_order(order.order_id)
 84 |                 self.orders_pending = np.delete(self.orders_pending, i)
 85 |                 return
 86 | 
 87 |     def add_pending_order(self, stock_order):
 88 |         self.orders_pending = np.hstack((self.orders_pending, stock_order))
 89 | 
 90 |     def get_pending_orders(self):
 91 |         return self.orders_pending
 92 | 
 93 |     def get_order_id_and_increment(self):
 94 |         working_order_id = self.order_id
 95 |         self.order_id += 1
 96 |         return working_order_id
 97 | 
 98 |     def get_tradable(self, stock_code):
 99 |         return self.positions_dict[stock_code].tradable
100 | 
101 |     def get_number_of_pending_orders(self):
102 |         return len(self.orders_pending)
103 | 
104 |     def get_number_of_filled_orders(self):
105 |         return len(self.orders_filled)
106 | 
107 |     # def place_market_order(self, stock_code, is_buy, qty):
108 |     #     stock_contract = self.get_tradable(stock_code)
109 |     #     order = create_stock_order(qty, is_buy, True)
110 |     #     self.conn.placeOrder(self.order_id, stock_contract, order)
111 | 
112 |     def is_position_flat(self, stock_code):
113 |         return self.get_position(stock_code) == 0
114 | 
115 |     def get_position(self, stock_code):
116 |         return self.get_stock_position(stock_code).position
117 | 
118 |     def get_stock_position(self, stock_code):
119 |         return self.positions_dict[stock_code]
120 | 
121 |     '''
122 |     Local methods
123 |     '''
124 |     def logger(self, msg):
125 | 
126 |         if msg.typeName == DataType.MSG_TYPE_HISTORICAL_DATA:
127 |             if self.on_historical_data_func is not None:
128 |                 self.on_historical_data_func(msg)
129 |             return
130 | 
131 |         elif msg.typeName == DataType.MSG_TYPE_UPDATE_PORTFOLIO:
132 |             self.process_portfolio_updates(msg)
133 | 
134 |         elif msg.typeName == DataType.MSG_TYPE_ACCOUNT_UPDATE:
135 |             self.process_account_updates(msg)
136 | 
137 |         elif msg.typeName == DataType.MSG_TYPE_MANAGED_ACCOUNTS:
138 |             self.set_account_code(msg.accountsList)
139 | 
140 |         elif msg.typeName == DataType.MSG_TYPE_NEXT_ORDER_ID:
141 |             self.set_order_id(msg.orderId)
142 | 
143 |         elif msg.typeName == DataType.MSG_TYPE_ORDER_STATUS:
144 |             self.update_order_status(msg)
145 | 
146 |         elif msg.typeName == DataType.MSG_TYPE_ERROR:
147 |             self.process_error_message(msg)
148 | 
149 |         else:
150 |             print "logger: " , msg
151 | 
152 |     def process_error_message(self, msg):
153 | 
154 |         if msg.errorCode == DataType.ERROR_CODE_MARKET_DATA_FARM_CONNECTED:
155 |             print msg.errorMsg
156 | 
157 |         elif msg.errorCode == DataType.ERROR_CODE_HISTORICAL_DATA_FARM_CONNECTED:
158 |             print msg.errorMsg
159 | 
160 |         elif msg.errorCode == DataType.ERROR_CODE_ORDER_CANCELED:
161 |             print msg.errorMsg
162 | 
163 |         else:
164 |             print "Unhandled errcode: ", msg
165 | 
166 |     def process_account_updates(self, msg):
167 |         # Do nothing for now
168 |         return
169 | 
170 |     def process_portfolio_updates(self, msg):
171 |         try:
172 |             for stock_code in self.positions_dict:
173 |                 if stock_code == msg.contract.m_symbol:
174 |                     self.positions_dict[stock_code].position = msg.position
175 |                     self.positions_dict[stock_code].market_value = msg.marketValue
176 |                     self.positions_dict[stock_code].average_price = msg.averageCost
177 |                     self.positions_dict[stock_code].realized_pnl = msg.realizedPNL
178 |                     self.positions_dict[stock_code].unrealized_pnl = msg.unrealizedPNL
179 |                     return
180 | 
181 |         except Exception, e:
182 |             print "process_portfolio_updates err:", e
183 | 
184 |     def get_positions(self):
185 |         return self.positions_dict
186 | 
187 |     def set_account_code(self, new_acct_code):
188 |         self.account_code = new_acct_code
189 | 
190 |     def set_order_id(self, new_order_id):
191 |         self.order_id = new_order_id
192 | 
193 |     def cancel_order(self, order_id):
194 |         self.conn.cancelOrder(order_id)
195 | 
196 |     def place_order(self, this_order_id, tradable, stock_order):
197 |         self.conn.placeOrder(this_order_id
198 |                         , tradable
199 |                         , stock_order.get_stock_order())
200 | 
201 |     def update_order_status(self, msg):
202 |         if msg.status == DataType.ORDER_STATUS_FILLED and msg.remaining == 0:
203 |             self.set_pending_order_as_working(msg.orderId)
204 | 
205 |             if self.on_position_changed_func is not None:
206 |                 self.on_position_changed_func()
207 | 
208 |     def set_pending_order_as_working(self, this_order_id):
209 |         for i, stock_order in enumerate(self.orders_pending):
210 |             if stock_order.order_id == this_order_id:
211 |                 pos = stock_order.get_order_position()
212 |                 stock_code = stock_order.stock_code
213 |                 self.update_position(stock_code, pos)
214 | 
215 |                 self.orders_filled = np.hstack((self.orders_filled, stock_order))
216 |                 self.orders_pending = np.delete(self.orders_pending, i)
217 |                 return
218 | 
219 |     def update_position(self, stock_code, pos):
220 |         self.positions_dict[stock_code].position += pos
221 | 
222 |     def tick_event(self, msg):
223 |         self.number_of_ticks += 1
224 |         stock_code = self.stock_codes[msg.tickerId]
225 | 
226 |         if msg.typeName == DataType.MSG_TYPE_TICK_STRING:
227 |             return
228 | 
229 |         elif msg.typeName == DataType.MSG_TYPE_TICK_PRICE:
230 | 
231 |             if msg.field == DataType.FIELD_BID_PRICE:
232 |                 self.stock_ticks_dict[stock_code].bid_price = msg.price
233 | 
234 |             elif msg.field == DataType.FIELD_ASK_PRICE:
235 |                 self.stock_ticks_dict[stock_code].ask_price = msg.price
236 | 
237 |             elif msg.field == DataType.FIELD_LAST_PRICE:
238 |                 self.stock_ticks_dict[stock_code].last_price = msg.price
239 | 
240 |         elif msg.typeName == DataType.MSG_TYPE_STICK_SIZE:
241 | 
242 |             if msg.field == DataType.FIELD_BID_SIZE:
243 |                 self.stock_ticks_dict[stock_code].bid_volume = msg.size
244 | 
245 |             elif msg.field == DataType.FIELD_ASK_SIZE:
246 |                 self.stock_ticks_dict[stock_code].ask_volume = msg.size
247 | 
248 |             elif msg.field == DataType.FIELD_LAST_SIZE:
249 |                 self.stock_ticks_dict[stock_code].last_volume = msg.size
250 | 
251 |             elif msg.field == DataType.FIELD_VOLUME:
252 |                 self.stock_ticks_dict[stock_code].volume = msg.size
253 | 
254 |         else:
255 |             print "Unhandle tick_event: ", msg
256 | 
257 |         if self.on_tick_func is not None:
258 |             self.on_tick_func(self.stock_ticks_dict, stock_code, msg.field)
259 | 
260 |     def register_event_handlers(self, ibconn, logger_func=None):
261 |         if logger_func is None:
262 |             logger_func = self.logger
263 | 
264 |         ibconn.registerAll(logger_func)
265 |         ibconn.unregister(logger_func
266 |                           , message.tickSize
267 |                           , message.tickPrice
268 |                           , message.tickString
269 |                           , message.tickGeneric
270 |                           , message.tickOptionComputation
271 |                           , message.updateAccountTime
272 |                           , message.accountDownloadEnd
273 |                           , message.commissionReport)
274 | 
275 |         ibconn.register(self.tick_event, message.tickPrice, message.tickSize)
276 | 
277 |     def request_streaming_data(self, ibconn):
278 |         for i, stock_code in enumerate(self.stock_codes):
279 |             ibconn.reqMktData(i
280 |                               , self.positions_dict[stock_code].tradable
281 |                               , DataType.GENERIC_TICKS_NONE
282 |                               , DataType.SNAPSHOT_NONE)
283 |             time.sleep(1)
284 | 
285 |     def request_account_updates(self, ibconn):
286 |         ibconn.reqAccountUpdates(True, self.account_code)
287 |         time.sleep(1)
288 | 
289 |     def cancel_market_data_request(self, ibconn):
290 |         for i in range(len(self.stock_codes)):
291 |             ibconn.cancelMktData(i)
292 |             time.sleep(1)
293 | 
294 |     def init_context(self, codes):
295 |         self.stock_codes = codes
296 |         self.stock_ticks_dict = dict([(stock_code, StockTick()) for stock_code in self.stock_codes])
297 |         self.positions_dict = dict([(stock_code, StockPosition(stock_code)) for stock_code in self.stock_codes])
298 | 
299 |     def setup_connection(self):
300 |         return Connection.create(port=4001, clientId=101) if self.is_use_gateway else ibConnection()
301 | 
302 |     @staticmethod
303 |     def disconnect(ibconn):
304 |         ibconn.disconnect()
305 | 
306 |     def set_connection_with_api_gateway(self, is_use_api_gateway):
307 |         self.is_use_gateway = is_use_api_gateway
308 | 
309 |     def request_historical_data(self, ibconn, duration, interval):
310 |         for i, stock_code in enumerate(self.positions_dict):
311 |             ibconn.reqHistoricalData(i
312 |                                      , self.positions_dict[stock_code].tradable
313 |                                      , strftime(DataType.DATE_TIME_FORMAT)
314 |                                      , duration
315 |                                      , interval
316 |                                      , DataType.WHAT_TO_SHOW_TRADES
317 |                                      , DataType.RTH_ALL
318 |                                      , DataType.DATEFORMAT_STRING)
319 |             time.sleep(1)
320 | 
321 |     def start_historical_data_stream(self
322 |                                      , stock_codes_arr
323 |                                      , duration=DataType.DURATION_1_DAY
324 |                                      , interval=DataType.BAR_SIZE_1_MIN
325 |                                      , handler_func=None):
326 |         self.init_context(stock_codes_arr)
327 | 
328 |         self.on_historical_data_func = handler_func
329 | 
330 |         self.conn = self.setup_connection()
331 |         self.is_shutdown = False
332 | 
333 |         try:
334 |             self.register_event_handlers(self.conn)
335 |             self.conn.connect()
336 |             self.request_historical_data(self.conn, duration, interval)
337 | 
338 |             while not self.is_shutdown:
339 |                 time.sleep(1)
340 | 
341 |         except Exception, e:
342 |             print "Err: ", e
343 |             print "Disconnecting..."
344 |             self.conn.disconnect()
345 |             time.sleep(1)
346 |             print "Disconnected."
347 | 
348 |     def assign_functions(self, func_a, func_b):
349 |         self.on_position_changed_func = func_a
350 |         self.on_tick_func = func_b
351 | 
352 |     def start_data_stream(self
353 |                           , on_started_func
354 |                           , on_tick
355 |                           , stock_codes_to_stream
356 |                           , on_pos_changed=None):
357 | 
358 |         self.init_context(stock_codes_to_stream)
359 |         self.assign_functions(on_pos_changed, on_tick)
360 | 
361 |         self.conn = self.setup_connection()
362 | 
363 |         try:
364 |             self.register_event_handlers(self.conn)
365 |             self.conn.connect()
366 |             self.request_streaming_data(self.conn)
367 |             self.request_account_updates(self.conn)
368 |             on_started_func()
369 | 
370 |         except Exception, e:
371 |             print "Err: ", e
372 | 
373 |             print "Cancelling...",
374 | 
375 |             self.cancel_market_data_request(self.conn)
376 | 
377 |             print "Disconnecting..."
378 |             self.disconnect(self.conn)
379 |             time.sleep(1)
380 | 
381 |             print "Disconnected."


--------------------------------------------------------------------------------
/src/ibUtil.py:
--------------------------------------------------------------------------------
 1 | #######################################
 2 | # Author: James Ma
 3 | # Email stuff here: jamesmawm@gmail.com
 4 | #######################################
 5 | 
 6 | from ib.ext.Contract import Contract
 7 | from ib.ext.Order import Order
 8 | import ibDataTypes as DataType
 9 | 
10 | 
11 | def make_ib_contract(contract_tuple):
12 |     contract = Contract()
13 |     contract.m_symbol = contract_tuple[0]
14 |     contract.m_secType = contract_tuple[1]
15 |     contract.m_exchange = contract_tuple[2]
16 |     contract.m_currency = contract_tuple[3]
17 |     contract.m_expiry = contract_tuple[4]
18 |     contract.m_strike = contract_tuple[5]
19 |     contract.m_right = contract_tuple[6]
20 |     return contract
21 | 
22 | 
23 | def create_stock_contract(stock):
24 |     contract_tuple = (stock, 'STK', 'SMART', 'USD', '', 0.0, '')
25 |     stock_contract = make_ib_contract(contract_tuple)
26 |     return stock_contract
27 | 
28 | 
29 | def create_stock_order(order_id, quantity, is_buy, price=None, stop_price=None):
30 |     order = Order()
31 | 
32 |     order.m_outsideRth = True
33 |     order.m_orderId = order_id
34 |     order.m_totalQuantity = quantity
35 |     order.m_action = DataType.ORDER_ACTION_BUY if is_buy else DataType.ORDER_ACTION_SELL
36 | 
37 |     if price is None:
38 |         order.m_orderType = DataType.ORDER_TYPE_MARKET
39 |     else:
40 |         order.m_lmtPrice = price
41 |         order.m_orderType = DataType.ORDER_TYPE_LIMIT
42 | 
43 |         if stop_price is not None:
44 |             order.m_auxPrice = stop_price
45 |             order.m_orderType = DataType.ORDER_TYPE_STOP_LIMIT
46 | 
47 |     return order


--------------------------------------------------------------------------------
/src/ticks 10 mins - Jun 25 2014.csv:
--------------------------------------------------------------------------------
  1 | ,C,JPM,USB,WFC,BAC,MS
  2 | 20140625 20:10:55,42.84,46.77,57.42,52.07,15.61,32.06
  3 | 20140625 20:10:56,42.84,46.77,57.42,52.07,15.63,32.07
  4 | 20140625 20:10:57,42.84,46.77,57.42,52.06,15.63,32.06
  5 | 20140625 20:10:58,42.84,46.77,57.42,52.06,15.63,32.06
  6 | 20140625 20:10:59,42.87,46.77,57.42,52.11,15.63,32.06
  7 | 20140625 20:11:00,42.87,46.77,57.41,52.06,15.61,32.06
  8 | 20140625 20:11:01,42.87,46.77,57.41,52.06,15.61,32.05
  9 | 20140625 20:11:02,42.87,46.77,57.41,52.06,15.61,32.05
 10 | 20140625 20:11:03,42.87,46.75,57.41,52.05,15.61,32.05
 11 | 20140625 20:11:04,42.87,46.76,57.41,52.05,15.61,32.04
 12 | 20140625 20:11:05,42.87,46.75,57.41,52.06,15.61,32.04
 13 | 20140625 20:11:06,42.87,46.77,57.41,52.06,15.61,32.05
 14 | 20140625 20:11:07,42.87,46.77,57.41,52.06,15.61,32.05
 15 | 20140625 20:11:08,42.88,46.75,57.41,52.05,15.61,32.06
 16 | 20140625 20:11:09,42.88,46.75,57.42,52.05,15.61,32.06
 17 | 20140625 20:11:10,42.88,46.75,57.42,52.06,15.61,32.06
 18 | 20140625 20:11:11,42.88,46.73,57.42,52.05,15.61,32.07
 19 | 20140625 20:11:12,42.88,46.73,57.42,52.05,15.61,32.07
 20 | 20140625 20:11:13,42.88,46.73,57.42,52.05,15.61,32.07
 21 | 20140625 20:11:14,42.88,46.73,57.42,52.05,15.61,32.06
 22 | 20140625 20:11:15,42.88,46.75,57.42,52.05,15.63,32.06
 23 | 20140625 20:11:16,42.88,46.75,57.42,52.05,15.63,32.06
 24 | 20140625 20:11:17,42.88,46.75,57.42,52.05,15.63,32.06
 25 | 20140625 20:11:18,42.88,46.73,57.42,52.05,15.63,32.05
 26 | 20140625 20:11:19,42.88,46.74,57.41,52.05,15.64,32.05
 27 | 20140625 20:11:20,42.88,46.74,57.41,52.05,15.64,32.06
 28 | 20140625 20:11:21,42.88,46.75,57.41,52.05,15.64,32.06
 29 | 20140625 20:11:22,42.88,46.74,57.39,52.05,15.64,32.06
 30 | 20140625 20:11:23,42.88,46.74,57.39,52.0,15.63,32.06
 31 | 20140625 20:11:24,42.88,46.75,57.39,52.0,15.63,32.06
 32 | 20140625 20:11:25,42.88,46.73,57.39,52.0,15.63,32.06
 33 | 20140625 20:11:26,42.88,46.74,57.39,52.0,15.63,32.06
 34 | 20140625 20:11:27,42.88,46.73,57.39,52.05,15.63,32.06
 35 | 20140625 20:11:28,42.92,46.74,57.38,52.05,15.63,32.06
 36 | 20140625 20:11:29,42.92,46.74,57.38,52.05,15.63,32.06
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114 | 20140625 20:12:47,42.89,46.75,57.41,52.03,15.59,32.05
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120 | 20140625 20:12:53,42.89,46.77,57.41,52.07,15.58,32.07
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126 | 20140625 20:12:59,43.01,46.75,57.41,52.07,15.59,32.11
127 | 20140625 20:13:00,43.01,46.75,57.41,52.07,15.59,32.11
128 | 20140625 20:13:01,43.01,46.75,57.41,52.08,15.59,32.09
129 | 20140625 20:13:02,43.01,46.75,57.41,52.08,15.59,32.09
130 | 20140625 20:13:03,43.01,46.76,57.41,52.08,15.57,32.09
131 | 20140625 20:13:04,43.01,46.77,57.41,52.08,15.57,32.09
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157 | 20140625 20:13:30,43.02,46.78,57.43,52.06,15.55,32.09
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170 | 20140625 20:13:43,43.02,46.78,57.43,52.05,15.57,32.11
171 | 20140625 20:13:44,43.02,46.78,57.43,52.05,15.57,32.09
172 | 20140625 20:13:45,43.02,46.79,57.43,52.05,15.57,32.09
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183 | 20140625 20:13:56,43.11,46.8,57.42,52.06,15.56,32.09
184 | 20140625 20:13:57,43.11,46.8,57.41,52.05,15.55,32.07
185 | 20140625 20:13:58,43.11,46.81,57.41,52.05,15.55,32.07
186 | 20140625 20:13:59,43.11,46.8,57.41,52.05,15.55,32.07
187 | 20140625 20:14:00,43.11,46.8,57.41,52.05,15.55,32.07
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189 | 20140625 20:14:02,43.11,46.8,57.41,52.05,15.55,32.09
190 | 20140625 20:14:03,43.11,46.82,57.41,52.06,15.56,32.09
191 | 20140625 20:14:04,43.11,46.8,57.41,52.06,15.56,32.09
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201 | 20140625 20:14:14,43.11,46.81,57.41,52.03,15.56,32.11
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212 | 20140625 20:14:25,43.09,46.8,57.4,52.04,15.55,32.09
213 | 20140625 20:14:26,43.09,46.8,57.4,52.04,15.55,32.09
214 | 20140625 20:14:27,43.09,46.8,57.41,52.04,15.55,32.09
215 | 20140625 20:14:28,43.09,46.81,57.41,52.04,15.55,32.07
216 | 20140625 20:14:29,43.09,46.8,57.41,52.06,15.55,32.07
217 | 20140625 20:14:30,43.09,46.8,57.41,52.06,15.55,32.07
218 | 20140625 20:14:31,43.09,46.8,57.41,52.06,15.55,32.07
219 | 20140625 20:14:32,43.09,46.8,57.41,52.05,15.55,32.07
220 | 20140625 20:14:33,43.09,46.8,57.41,52.05,15.55,32.07
221 | 20140625 20:14:34,43.09,46.79,57.41,52.06,15.55,32.07
222 | 20140625 20:14:35,43.09,46.79,57.41,52.06,15.55,32.07
223 | 20140625 20:14:36,43.09,46.79,57.41,52.06,15.55,32.07
224 | 20140625 20:14:37,43.09,46.79,57.41,52.06,15.55,32.07
225 | 20140625 20:14:38,43.09,46.79,57.41,52.06,15.55,32.07
226 | 20140625 20:14:39,43.09,46.8,57.41,52.06,15.54,32.09
227 | 20140625 20:14:40,43.09,46.8,57.41,52.05,15.55,32.09
228 | 20140625 20:14:41,43.11,46.8,57.41,52.05,15.55,32.09
229 | 20140625 20:14:42,43.11,46.8,57.4,52.09,15.55,32.09
230 | 20140625 20:14:43,43.11,46.8,57.4,52.09,15.54,32.09
231 | 20140625 20:14:44,43.11,46.8,57.4,52.09,15.54,32.09
232 | 20140625 20:14:45,43.11,46.8,57.4,52.07,15.54,32.09
233 | 20140625 20:14:46,43.11,46.78,57.4,52.07,15.54,32.09
234 | 20140625 20:14:47,43.11,46.79,57.4,52.07,15.54,32.09
235 | 20140625 20:14:48,43.11,46.79,57.4,52.07,15.54,32.09
236 | 20140625 20:14:49,43.11,46.79,57.4,52.07,15.54,32.09
237 | 20140625 20:14:50,43.11,46.79,57.4,52.07,15.54,32.09
238 | 20140625 20:14:51,43.09,46.8,57.41,52.06,15.54,32.09
239 | 20140625 20:14:52,43.09,46.79,57.42,52.06,15.54,32.09
240 | 20140625 20:14:53,43.09,46.8,57.42,52.06,15.54,32.1
241 | 20140625 20:14:54,43.09,46.8,57.42,52.07,15.54,32.1
242 | 20140625 20:14:55,43.09,46.8,57.42,52.07,15.54,32.1
243 | 20140625 20:14:56,43.09,46.8,57.42,52.07,15.54,32.09
244 | 20140625 20:14:57,43.09,46.8,57.42,52.07,15.54,32.09
245 | 20140625 20:14:58,43.09,46.8,57.41,52.08,15.54,32.11
246 | 20140625 20:14:59,43.09,46.79,57.41,52.08,15.54,32.09
247 | 20140625 20:15:00,43.09,46.79,57.41,52.08,15.54,32.09
248 | 20140625 20:15:01,43.09,46.79,57.43,52.08,15.54,32.1
249 | 20140625 20:15:02,43.09,46.79,57.43,52.08,15.54,32.1
250 | 20140625 20:15:03,43.09,46.79,57.43,52.08,15.54,32.1
251 | 20140625 20:15:04,43.09,46.79,57.41,52.07,15.54,32.09
252 | 20140625 20:15:05,43.09,46.79,57.41,52.07,15.54,32.09
253 | 20140625 20:15:06,43.09,46.79,57.41,52.07,15.54,32.09
254 | 20140625 20:15:07,43.09,46.79,57.41,52.06,15.54,32.09
255 | 20140625 20:15:08,43.09,46.79,57.42,52.06,15.54,32.09
256 | 20140625 20:15:09,43.09,46.79,57.42,52.06,15.54,32.09
257 | 20140625 20:15:10,43.09,46.79,57.41,52.09,15.54,32.09
258 | 20140625 20:15:11,43.09,46.79,57.41,52.09,15.54,32.09
259 | 20140625 20:15:12,43.09,46.79,57.41,52.1,15.54,32.09
260 | 20140625 20:15:13,43.09,46.79,57.41,52.11,15.54,32.09
261 | 20140625 20:15:14,43.09,46.79,57.41,52.1,15.54,32.09
262 | 20140625 20:15:15,43.09,46.79,57.41,52.09,15.54,32.09
263 | 20140625 20:15:16,43.09,46.79,57.41,52.09,15.54,32.09
264 | 20140625 20:15:17,43.09,46.79,57.43,52.09,15.54,32.09
265 | 20140625 20:15:18,43.09,46.79,57.42,52.09,15.54,32.09
266 | 20140625 20:15:19,43.09,46.79,57.42,52.1,15.54,32.1
267 | 20140625 20:15:20,43.16,46.79,57.42,52.1,15.54,32.1
268 | 20140625 20:15:21,43.17,46.79,57.42,52.09,15.54,32.09
269 | 20140625 20:15:22,43.17,46.79,57.41,52.1,15.54,32.1
270 | 20140625 20:15:23,43.18,46.79,57.41,52.1,15.54,32.1
271 | 20140625 20:15:24,43.18,46.79,57.4,52.1,15.54,32.1
272 | 20140625 20:15:25,43.18,46.79,57.4,52.07,15.54,32.11
273 | 20140625 20:15:26,43.18,46.79,57.4,52.07,15.54,32.11
274 | 20140625 20:15:27,43.18,46.79,57.38,52.07,15.54,32.11
275 | 20140625 20:15:28,43.14,46.79,57.38,52.07,15.54,32.11
276 | 20140625 20:15:29,43.14,46.79,57.38,52.09,15.54,32.11
277 | 20140625 20:15:30,43.14,46.79,57.37,52.08,15.54,32.1
278 | 20140625 20:15:31,43.14,46.79,57.37,52.08,15.54,32.1
279 | 20140625 20:15:32,43.16,46.79,57.37,52.09,15.54,32.1
280 | 20140625 20:15:33,43.16,46.79,57.37,52.08,15.54,32.1
281 | 20140625 20:15:34,43.16,46.79,57.37,52.08,15.54,32.1
282 | 20140625 20:15:35,43.14,46.79,57.37,52.09,15.54,32.1
283 | 20140625 20:15:36,43.14,46.79,57.38,52.09,15.54,32.1
284 | 20140625 20:15:37,43.15,46.79,57.38,52.09,15.54,32.1
285 | 20140625 20:15:38,43.15,46.79,57.37,52.09,15.54,32.1
286 | 20140625 20:15:39,43.15,46.79,57.37,52.09,15.54,32.1
287 | 20140625 20:15:40,43.14,46.79,57.37,52.09,15.54,32.1
288 | 20140625 20:15:41,43.14,46.79,57.37,52.07,15.54,32.09
289 | 20140625 20:15:42,43.14,46.79,57.38,52.07,15.54,32.09
290 | 20140625 20:15:43,43.14,46.79,57.38,52.05,15.54,32.09
291 | 20140625 20:15:44,43.14,46.79,57.38,52.07,15.54,32.1
292 | 20140625 20:15:45,43.14,46.79,57.37,52.07,15.54,32.1
293 | 20140625 20:15:46,43.13,46.79,57.37,52.06,15.54,32.1
294 | 20140625 20:15:47,43.13,46.79,57.37,52.06,15.54,32.1
295 | 20140625 20:15:48,43.13,46.79,57.38,52.06,15.54,32.1
296 | 20140625 20:15:49,43.17,46.79,57.38,52.09,15.54,32.1
297 | 20140625 20:15:50,43.17,46.79,57.38,52.07,15.54,32.09
298 | 20140625 20:15:51,43.17,46.79,57.38,52.07,15.54,32.09
299 | 20140625 20:15:52,43.17,46.79,57.38,52.07,15.54,32.09
300 | 20140625 20:15:53,43.17,46.79,57.38,52.05,15.54,32.09
301 | 20140625 20:15:54,43.16,46.79,57.38,52.05,15.54,32.09
302 | 20140625 20:15:55,43.16,46.79,57.38,52.04,15.54,32.09
303 | 20140625 20:15:56,43.16,46.79,57.38,52.05,15.54,32.09
304 | 20140625 20:15:57,43.16,46.79,57.38,52.05,15.54,32.09
305 | 20140625 20:15:58,43.15,46.79,57.38,52.05,15.54,32.09
306 | 20140625 20:15:59,43.15,46.79,57.38,52.05,15.54,32.09
307 | 20140625 20:16:00,43.15,46.79,57.38,52.05,15.54,32.09
308 | 20140625 20:16:01,43.14,46.79,57.37,52.06,15.54,32.09
309 | 20140625 20:16:02,43.14,46.79,57.37,52.06,15.54,32.1
310 | 20140625 20:16:03,43.14,46.79,57.37,52.05,15.54,32.1
311 | 20140625 20:16:04,43.14,46.79,57.37,52.04,15.54,32.1
312 | 20140625 20:16:05,43.14,46.79,57.37,52.04,15.54,32.09
313 | 20140625 20:16:06,43.12,46.79,57.38,52.04,15.54,32.09
314 | 20140625 20:16:07,43.12,46.79,57.38,52.06,15.54,32.09
315 | 20140625 20:16:08,43.12,46.79,57.38,52.06,15.54,32.09
316 | 20140625 20:16:09,43.12,46.79,57.38,52.06,15.54,32.1
317 | 20140625 20:16:10,43.12,46.79,57.38,52.02,15.54,32.1
318 | 20140625 20:16:11,43.12,46.79,57.38,52.08,15.54,32.1
319 | 20140625 20:16:12,43.12,46.79,57.38,52.08,15.54,32.1
320 | 20140625 20:16:13,43.12,46.79,57.38,52.09,15.54,32.11
321 | 20140625 20:16:14,43.11,46.79,57.38,52.06,15.54,32.11
322 | 20140625 20:16:15,43.11,46.79,57.38,52.06,15.54,32.11
323 | 20140625 20:16:16,43.11,46.79,57.38,52.06,15.54,32.09
324 | 20140625 20:16:17,43.11,46.79,57.38,52.05,15.54,32.09
325 | 20140625 20:16:18,43.09,46.79,57.38,52.08,15.54,32.09
326 | 20140625 20:16:19,43.09,46.79,57.38,52.08,15.54,32.09
327 | 20140625 20:16:20,43.09,46.79,57.38,52.08,15.54,32.09
328 | 20140625 20:16:21,43.09,46.79,57.38,52.07,15.54,32.09
329 | 20140625 20:16:22,43.09,46.79,57.38,52.06,15.54,32.1
330 | 20140625 20:16:23,43.09,46.79,57.38,52.07,15.54,32.09
331 | 20140625 20:16:24,43.09,46.79,57.38,52.07,15.54,32.09
332 | 20140625 20:16:25,43.09,46.79,57.38,52.07,15.54,32.11
333 | 20140625 20:16:26,43.09,46.79,57.38,52.07,15.54,32.11
334 | 20140625 20:16:27,43.09,46.79,57.37,52.08,15.54,32.1
335 | 20140625 20:16:28,43.09,46.79,57.37,52.07,15.54,32.09
336 | 20140625 20:16:29,43.09,46.79,57.37,52.07,15.54,32.09
337 | 20140625 20:16:30,43.09,46.79,57.38,52.09,15.54,32.09
338 | 20140625 20:16:31,43.09,46.79,57.38,52.09,15.54,32.1
339 | 20140625 20:16:32,43.09,46.79,57.37,52.09,15.54,32.09
340 | 20140625 20:16:33,43.09,46.79,57.38,52.09,15.54,32.1
341 | 20140625 20:16:34,43.09,46.79,57.38,52.09,15.54,32.11
342 | 20140625 20:16:35,43.09,46.79,57.38,52.09,15.54,32.11
343 | 20140625 20:16:36,43.09,46.79,57.38,52.09,15.54,32.11
344 | 20140625 20:16:37,43.09,46.79,57.38,52.09,15.54,32.11
345 | 20140625 20:16:38,43.09,46.79,57.38,52.1,15.54,32.11
346 | 20140625 20:16:39,43.09,46.79,57.38,52.1,15.54,32.11
347 | 20140625 20:16:40,43.09,46.79,57.38,52.1,15.54,32.11
348 | 20140625 20:16:41,43.09,46.79,57.38,52.1,15.54,32.11
349 | 20140625 20:16:42,43.09,46.79,57.39,52.09,15.54,32.09
350 | 20140625 20:16:43,43.09,46.79,57.39,52.09,15.54,32.09
351 | 20140625 20:16:44,43.09,46.79,57.39,52.09,15.54,32.09
352 | 20140625 20:16:45,43.09,46.79,57.39,52.09,15.54,32.09
353 | 20140625 20:16:46,43.09,46.79,57.37,52.09,15.54,32.09
354 | 20140625 20:16:47,43.09,46.79,57.37,52.09,15.54,32.09
355 | 20140625 20:16:48,43.09,46.79,57.37,52.07,15.54,32.09
356 | 20140625 20:16:49,43.09,46.79,57.37,52.07,15.54,32.09
357 | 20140625 20:16:50,43.09,46.79,57.37,52.07,15.54,32.09
358 | 20140625 20:16:51,43.09,46.79,57.37,52.07,15.54,32.09
359 | 20140625 20:16:52,43.09,46.79,57.37,52.07,15.54,32.09
360 | 20140625 20:16:53,43.09,46.79,57.38,52.09,15.54,32.09
361 | 20140625 20:16:54,43.12,46.79,57.38,52.09,15.54,32.09
362 | 20140625 20:16:55,43.12,46.79,57.38,52.09,15.54,32.09
363 | 20140625 20:16:56,43.12,46.79,57.38,52.07,15.54,32.09
364 | 20140625 20:16:57,43.16,46.79,57.37,52.07,15.54,32.09
365 | 20140625 20:16:58,43.16,46.79,57.39,52.07,15.54,32.09
366 | 20140625 20:16:59,43.16,46.79,57.39,52.07,15.54,32.1
367 | 20140625 20:17:00,43.16,46.79,57.38,52.07,15.54,32.1
368 | 20140625 20:17:01,43.16,46.79,57.38,52.07,15.54,32.1
369 | 20140625 20:17:02,43.16,46.79,57.38,52.09,15.54,32.1
370 | 20140625 20:17:03,43.16,46.79,57.37,52.06,15.54,32.09
371 | 20140625 20:17:04,43.16,46.79,57.37,52.06,15.54,32.09
372 | 20140625 20:17:05,43.16,46.79,57.37,52.06,15.54,32.1
373 | 20140625 20:17:06,43.16,46.79,57.38,52.11,15.54,32.09
374 | 20140625 20:17:07,43.16,46.79,57.38,52.11,15.54,32.09
375 | 20140625 20:17:08,43.16,46.79,57.38,52.04,15.54,32.1
376 | 20140625 20:17:09,43.16,46.79,57.37,52.05,15.54,32.09
377 | 20140625 20:17:10,43.16,46.79,57.37,52.05,15.54,32.09
378 | 20140625 20:17:11,43.16,46.79,57.37,52.05,15.54,32.1
379 | 20140625 20:17:12,43.16,46.79,57.38,52.05,15.54,32.09
380 | 20140625 20:17:13,43.16,46.79,57.38,52.04,15.54,32.09
381 | 20140625 20:17:14,43.16,46.79,57.38,52.05,15.54,32.1
382 | 20140625 20:17:15,43.16,46.79,57.38,52.05,15.54,32.1
383 | 20140625 20:17:16,43.14,46.79,57.38,52.04,15.54,32.1
384 | 20140625 20:17:17,43.14,46.79,57.38,52.02,15.54,32.1
385 | 20140625 20:17:18,43.14,46.79,57.38,52.02,15.54,32.11
386 | 20140625 20:17:19,43.14,46.79,57.38,52.02,15.54,32.1
387 | 20140625 20:17:20,43.14,46.79,57.38,52.02,15.54,32.1
388 | 20140625 20:17:21,43.14,46.79,57.37,52.05,15.54,32.09
389 | 20140625 20:17:22,43.14,46.79,57.37,52.02,15.54,32.1
390 | 20140625 20:17:23,43.14,46.79,57.37,52.02,15.54,32.09
391 | 20140625 20:17:24,43.14,46.79,57.38,52.02,15.54,32.09
392 | 20140625 20:17:25,43.14,46.79,57.38,52.03,15.54,32.1
393 | 20140625 20:17:26,43.14,46.79,57.38,52.03,15.54,32.1
394 | 20140625 20:17:27,43.14,46.79,57.39,52.02,15.54,32.09
395 | 20140625 20:17:28,43.14,46.79,57.39,52.02,15.54,32.09
396 | 20140625 20:17:29,43.14,46.79,57.39,52.02,15.54,32.11
397 | 20140625 20:17:30,43.14,46.79,57.39,52.02,15.54,32.11
398 | 20140625 20:17:31,43.14,46.79,57.39,52.02,15.54,32.1
399 | 20140625 20:17:32,43.14,46.79,57.39,52.02,15.54,32.1
400 | 20140625 20:17:33,43.14,46.79,57.39,52.02,15.54,32.09
401 | 20140625 20:17:34,43.14,46.79,57.39,52.02,15.54,32.09
402 | 20140625 20:17:35,43.14,46.79,57.39,52.01,15.54,32.09
403 | 20140625 20:17:36,43.14,46.79,57.38,52.02,15.54,32.09
404 | 20140625 20:17:37,43.14,46.79,57.38,52.02,15.54,32.11
405 | 20140625 20:17:38,43.14,46.79,57.38,52.02,15.54,32.11
406 | 20140625 20:17:39,43.14,46.79,57.39,52.01,15.54,32.11
407 | 20140625 20:17:40,43.14,46.79,57.39,52.01,15.54,32.11
408 | 20140625 20:17:41,43.14,46.79,57.39,52.0,15.54,32.1
409 | 20140625 20:17:42,43.14,46.79,57.38,52.01,15.54,32.1
410 | 20140625 20:17:43,43.14,46.79,57.38,52.01,15.54,32.1
411 | 20140625 20:17:44,43.14,46.79,57.38,52.0,15.54,32.1
412 | 20140625 20:17:45,43.09,46.79,57.38,52.02,15.54,32.1
413 | 20140625 20:17:46,43.09,46.79,57.38,52.01,15.54,32.1
414 | 20140625 20:17:47,43.09,46.79,57.38,52.0,15.54,32.1
415 | 20140625 20:17:48,43.09,46.79,57.38,52.0,15.54,32.1
416 | 20140625 20:17:49,43.09,46.79,57.38,52.0,15.54,32.1
417 | 20140625 20:17:50,43.09,46.79,57.38,52.02,15.54,32.09
418 | 20140625 20:17:51,43.09,46.79,57.39,52.02,15.54,32.09
419 | 20140625 20:17:52,43.09,46.79,57.39,52.03,15.54,32.09
420 | 20140625 20:17:53,43.09,46.79,57.39,52.03,15.54,32.11
421 | 20140625 20:17:54,43.09,46.79,57.39,52.03,15.54,32.09
422 | 20140625 20:17:55,43.09,46.79,57.39,52.03,15.54,32.09
423 | 20140625 20:17:56,43.09,46.79,57.39,52.03,15.54,32.1
424 | 20140625 20:17:57,43.09,46.79,57.39,52.02,15.54,32.1
425 | 20140625 20:17:58,43.09,46.79,57.39,52.02,15.54,32.1
426 | 20140625 20:17:59,43.09,46.79,57.39,52.02,15.54,32.1
427 | 20140625 20:18:00,43.09,46.79,57.4,52.02,15.54,32.1
428 | 20140625 20:18:01,43.09,46.79,57.4,52.02,15.54,32.1
429 | 20140625 20:18:02,43.09,46.79,57.39,52.02,15.54,32.1
430 | 20140625 20:18:03,43.09,46.79,57.4,52.02,15.54,32.1
431 | 20140625 20:18:04,43.09,46.79,57.4,52.02,15.54,32.1
432 | 20140625 20:18:05,43.09,46.79,57.4,52.02,15.54,32.1
433 | 20140625 20:18:06,43.09,46.79,57.4,52.02,15.54,32.1
434 | 20140625 20:18:07,43.09,46.79,57.4,52.02,15.54,32.1
435 | 20140625 20:18:08,43.09,46.79,57.4,52.05,15.54,32.11
436 | 20140625 20:18:09,43.09,46.79,57.4,52.06,15.54,32.11
437 | 20140625 20:18:10,43.09,46.79,57.4,52.06,15.54,32.11
438 | 20140625 20:18:11,43.09,46.79,57.4,52.04,15.54,32.1
439 | 20140625 20:18:12,43.09,46.79,57.39,52.04,15.54,32.1
440 | 20140625 20:18:13,43.09,46.79,57.39,52.04,15.54,32.1
441 | 20140625 20:18:14,43.14,46.79,57.39,52.05,15.54,32.1
442 | 20140625 20:18:15,43.14,46.79,57.4,52.03,15.54,32.1
443 | 20140625 20:18:16,43.14,46.79,57.4,52.03,15.54,32.1
444 | 20140625 20:18:17,43.14,46.79,57.39,52.03,15.54,32.11
445 | 20140625 20:18:18,43.14,46.79,57.39,52.05,15.54,32.11
446 | 20140625 20:18:19,43.17,46.79,57.39,52.05,15.54,32.11
447 | 20140625 20:18:20,43.17,46.79,57.39,52.03,15.54,32.11
448 | 20140625 20:18:21,43.17,46.79,57.39,52.03,15.54,32.09
449 | 20140625 20:18:22,43.17,46.79,57.39,52.03,15.54,32.09
450 | 20140625 20:18:23,43.17,46.79,57.39,52.03,15.54,32.09
451 | 20140625 20:18:24,43.17,46.79,57.4,52.04,15.54,32.09
452 | 20140625 20:18:25,43.17,46.79,57.4,52.04,15.54,32.1
453 | 20140625 20:18:26,43.17,46.79,57.4,52.04,15.54,32.1
454 | 20140625 20:18:27,43.17,46.79,57.4,52.04,15.54,32.1
455 | 20140625 20:18:28,43.17,46.79,57.38,52.02,15.54,32.1
456 | 20140625 20:18:29,43.17,46.79,57.38,52.02,15.54,32.1
457 | 20140625 20:18:30,43.17,46.79,57.37,52.03,15.54,32.1
458 | 20140625 20:18:31,43.17,46.79,57.37,52.03,15.54,32.1
459 | 20140625 20:18:32,43.17,46.79,57.37,52.03,15.54,32.09
460 | 20140625 20:18:33,43.17,46.79,57.36,52.04,15.54,32.09
461 | 20140625 20:18:34,43.17,46.79,57.36,52.04,15.54,32.09
462 | 20140625 20:18:35,43.17,46.79,57.36,52.04,15.54,32.09
463 | 20140625 20:18:36,43.17,46.79,57.36,52.06,15.54,32.09
464 | 20140625 20:18:37,43.17,46.79,57.36,52.04,15.54,32.09
465 | 20140625 20:18:38,43.17,46.79,57.36,52.05,15.54,32.09
466 | 20140625 20:18:39,43.17,46.79,57.36,52.04,15.54,32.1
467 | 20140625 20:18:40,43.17,46.79,57.36,52.05,15.54,32.1
468 | 20140625 20:18:41,43.17,46.79,57.36,52.05,15.54,32.1
469 | 20140625 20:18:42,43.17,46.79,57.36,52.04,15.54,32.1
470 | 20140625 20:18:43,43.18,46.79,57.36,52.04,15.54,32.09
471 | 20140625 20:18:44,43.18,46.79,57.36,52.04,15.54,32.09
472 | 20140625 20:18:45,43.18,46.79,57.36,52.04,15.54,32.09
473 | 20140625 20:18:46,43.18,46.79,57.36,52.04,15.54,32.11
474 | 20140625 20:18:47,43.18,46.79,57.36,52.04,15.54,32.11
475 | 20140625 20:18:48,43.18,46.79,57.36,52.04,15.54,32.11
476 | 20140625 20:18:49,43.18,46.79,57.36,52.03,15.54,32.1
477 | 20140625 20:18:50,43.18,46.79,57.36,52.03,15.54,32.09
478 | 20140625 20:18:51,43.18,46.79,57.36,52.03,15.54,32.09
479 | 20140625 20:18:52,43.18,46.79,57.36,52.04,15.54,32.09
480 | 20140625 20:18:53,43.18,46.79,57.36,52.04,15.54,32.09
481 | 20140625 20:18:54,43.18,46.79,57.36,52.04,15.54,32.09
482 | 20140625 20:18:55,43.18,46.79,57.36,52.03,15.54,32.1
483 | 20140625 20:18:56,43.18,46.79,57.36,52.03,15.54,32.1
484 | 20140625 20:18:57,43.18,46.79,57.36,52.03,15.54,32.1
485 | 20140625 20:18:58,43.18,46.79,57.36,52.03,15.54,32.09
486 | 20140625 20:18:59,43.18,46.79,57.36,52.03,15.54,32.09
487 | 20140625 20:19:00,43.18,46.79,57.36,52.03,15.54,32.09
488 | 20140625 20:19:01,43.18,46.79,57.36,52.04,15.54,32.09
489 | 20140625 20:19:02,43.18,46.79,57.36,52.03,15.54,32.11
490 | 20140625 20:19:03,43.2,46.79,57.36,52.0,15.54,32.11
491 | 20140625 20:19:04,43.2,46.79,57.36,52.0,15.54,32.11
492 | 20140625 20:19:05,43.2,46.79,57.34,52.02,15.54,32.09
493 | 20140625 20:19:06,43.2,46.79,57.34,52.02,15.54,32.09
494 | 20140625 20:19:07,43.19,46.79,57.34,52.0,15.54,32.09
495 | 20140625 20:19:08,43.19,46.79,57.34,52.0,15.54,32.09
496 | 20140625 20:19:09,43.19,46.79,57.34,52.0,15.54,32.09
497 | 20140625 20:19:10,43.19,46.79,57.34,52.0,15.54,32.09
498 | 20140625 20:19:11,43.19,46.79,57.34,52.0,15.54,32.1
499 | 20140625 20:19:12,43.16,46.79,57.35,52.0,15.54,32.1
500 | 20140625 20:19:13,43.16,46.79,57.35,52.0,15.54,32.1
501 | 20140625 20:19:14,43.16,46.79,57.35,52.0,15.54,32.1
502 | 20140625 20:19:15,43.16,46.79,57.35,52.0,15.54,32.1
503 | 20140625 20:19:16,43.16,46.79,57.34,52.0,15.54,32.1
504 | 20140625 20:19:17,43.16,46.79,57.34,52.02,15.54,32.1
505 | 20140625 20:19:18,43.16,46.79,57.35,52.0,15.54,32.1
506 | 20140625 20:19:19,43.16,46.79,57.35,52.0,15.54,32.11
507 | 20140625 20:19:20,43.19,46.79,57.35,52.0,15.54,32.11
508 | 20140625 20:19:21,43.19,46.79,57.34,52.0,15.54,32.11
509 | 20140625 20:19:22,43.19,46.79,57.34,52.0,15.54,32.1
510 | 20140625 20:19:23,43.19,46.79,57.34,52.0,15.54,32.1
511 | 20140625 20:19:24,43.19,46.79,57.35,52.0,15.54,32.1
512 | 20140625 20:19:25,43.19,46.79,57.35,52.0,15.54,32.1
513 | 20140625 20:19:26,43.19,46.79,57.35,52.02,15.54,32.1
514 | 20140625 20:19:27,43.19,46.79,57.34,52.0,15.54,32.1
515 | 20140625 20:19:28,43.19,46.79,57.34,51.99,15.54,32.1
516 | 20140625 20:19:29,43.19,46.79,57.34,51.99,15.54,32.11
517 | 20140625 20:19:30,43.19,46.79,57.34,52.0,15.54,32.11
518 | 20140625 20:19:31,43.19,46.79,57.34,52.0,15.54,32.11
519 | 20140625 20:19:32,43.22,46.79,57.34,51.99,15.54,32.09
520 | 20140625 20:19:33,43.22,46.79,57.35,52.0,15.54,32.09
521 | 20140625 20:19:34,43.22,46.79,57.35,52.0,15.54,32.09
522 | 20140625 20:19:35,43.22,46.79,57.34,52.0,15.54,32.09
523 | 20140625 20:19:36,43.22,46.79,57.35,52.0,15.54,32.09
524 | 20140625 20:19:37,43.21,46.79,57.35,52.0,15.54,32.09
525 | 20140625 20:19:38,43.21,46.79,57.34,52.0,15.54,32.09
526 | 20140625 20:19:39,43.21,46.79,57.34,52.0,15.54,32.09
527 | 20140625 20:19:40,43.21,46.79,57.34,52.0,15.54,32.09
528 | 20140625 20:19:41,43.23,46.79,57.34,52.0,15.54,32.09
529 | 20140625 20:19:42,43.23,46.79,57.34,52.0,15.54,32.09
530 | 20140625 20:19:43,43.23,46.79,57.34,52.02,15.54,32.09
531 | 20140625 20:19:44,43.23,46.79,57.34,52.01,15.54,32.09
532 | 20140625 20:19:45,43.23,46.79,57.37,52.01,15.54,32.09
533 | 20140625 20:19:46,43.23,46.79,57.36,52.02,15.54,32.09
534 | 20140625 20:19:47,43.23,46.79,57.36,52.02,15.54,32.09
535 | 20140625 20:19:48,43.23,46.79,57.36,51.98,15.54,32.09
536 | 20140625 20:19:49,43.23,46.79,57.36,51.98,15.54,32.09
537 | 20140625 20:19:50,43.23,46.79,57.34,52.0,15.54,32.09
538 | 20140625 20:19:51,43.23,46.79,57.34,52.0,15.54,32.09
539 | 20140625 20:19:52,43.23,46.79,57.34,52.02,15.54,32.1
540 | 20140625 20:19:53,43.23,46.79,57.32,52.02,15.54,32.1
541 | 20140625 20:19:54,43.23,46.79,57.32,52.02,15.54,32.09
542 | 20140625 20:19:56,43.23,46.79,57.32,52.03,15.54,32.09
543 | 20140625 20:19:57,43.23,46.79,57.32,52.03,15.54,32.09
544 | 20140625 20:19:58,43.23,46.79,57.32,52.03,15.54,32.09
545 | 20140625 20:19:59,43.23,46.79,57.32,52.02,15.54,32.09
546 | 20140625 20:20:00,43.23,46.79,57.32,52.03,15.54,32.09
547 | 20140625 20:20:01,43.23,46.79,57.32,52.03,15.54,32.09
548 | 20140625 20:20:02,43.23,46.79,57.32,52.03,15.54,32.09
549 | 20140625 20:20:03,43.23,46.79,57.33,52.02,15.54,32.1
550 | 20140625 20:20:04,43.23,46.79,57.32,52.03,15.54,32.09
551 | 20140625 20:20:05,43.23,46.79,57.32,52.03,15.54,32.09
552 | 20140625 20:20:06,43.23,46.79,57.32,52.03,15.54,32.1
553 | 20140625 20:20:07,43.23,46.79,57.33,52.05,15.54,32.1
554 | 20140625 20:20:08,43.23,46.79,57.33,52.05,15.54,32.1
555 | 20140625 20:20:09,43.23,46.79,57.33,52.04,15.54,32.1
556 | 20140625 20:20:10,43.23,46.79,57.33,52.05,15.54,32.1
557 | 20140625 20:20:11,43.14,46.79,57.33,52.05,15.54,32.1
558 | 20140625 20:20:12,43.14,46.79,57.33,52.05,15.54,32.11
559 | 20140625 20:20:13,43.14,46.79,57.33,52.04,15.54,32.11
560 | 20140625 20:20:14,43.14,46.79,57.33,52.04,15.54,32.1
561 | 20140625 20:20:15,43.14,46.79,57.33,52.04,15.54,32.09
562 | 20140625 20:20:16,43.13,46.79,57.32,52.04,15.54,32.09
563 | 20140625 20:20:17,43.13,46.79,57.32,52.04,15.54,32.09
564 | 20140625 20:20:18,43.13,46.79,57.32,52.04,15.54,32.09
565 | 20140625 20:20:19,43.13,46.79,57.33,52.04,15.54,32.1
566 | 20140625 20:20:20,43.13,46.79,57.33,52.04,15.54,32.1
567 | 20140625 20:20:21,43.13,46.79,57.33,52.04,15.54,32.1
568 | 20140625 20:20:22,43.13,46.79,57.32,52.04,15.54,32.1
569 | 20140625 20:20:23,43.13,46.79,57.32,52.04,15.54,32.1
570 | 20140625 20:20:24,43.13,46.79,57.32,52.02,15.54,32.1
571 | 20140625 20:20:25,43.13,46.79,57.32,52.02,15.54,32.1
572 | 20140625 20:20:26,43.13,46.79,57.32,52.02,15.54,32.1
573 | 20140625 20:20:27,43.13,46.79,57.32,52.02,15.54,32.1
574 | 20140625 20:20:28,43.13,46.79,57.32,52.02,15.54,32.1
575 | 20140625 20:20:29,43.13,46.79,57.31,52.03,15.54,32.1
576 | 20140625 20:20:30,43.13,46.79,57.31,52.02,15.54,32.1
577 | 20140625 20:20:31,43.13,46.79,57.32,52.02,15.54,32.1
578 | 20140625 20:20:32,43.13,46.79,57.32,52.04,15.54,32.09
579 | 20140625 20:20:33,43.13,46.79,57.32,52.04,15.54,32.09
580 | 20140625 20:20:34,43.13,46.79,57.31,52.03,15.54,32.11
581 | 20140625 20:20:35,43.13,46.79,57.31,52.03,15.54,32.09
582 | 20140625 20:20:36,43.13,46.79,57.31,52.03,15.54,32.09
583 | 20140625 20:20:37,43.13,46.79,57.31,52.02,15.54,32.09
584 | 20140625 20:20:38,43.13,46.79,57.31,52.02,15.54,32.11
585 | 20140625 20:20:39,43.13,46.79,57.31,52.02,15.54,32.1
586 | 20140625 20:20:40,43.1,46.79,57.32,52.01,15.54,32.1
587 | 20140625 20:20:41,43.1,46.79,57.32,52.0,15.54,32.09
588 | 20140625 20:20:42,43.1,46.79,57.32,52.0,15.54,32.09
589 | 20140625 20:20:43,43.1,46.79,57.31,52.0,15.54,32.09
590 | 20140625 20:20:44,43.1,46.79,57.31,52.0,15.54,32.09
591 | 20140625 20:20:45,43.1,46.79,57.31,52.01,15.54,32.09
592 | 20140625 20:20:46,43.1,46.79,57.32,52.01,15.54,32.09
593 | 20140625 20:20:47,43.1,46.79,57.31,52.01,15.54,32.09
594 | 20140625 20:20:48,43.1,46.79,57.31,52.0,15.54,32.09
595 | 20140625 20:20:49,43.1,46.79,57.32,52.0,15.54,32.09
596 | 20140625 20:20:50,43.1,46.79,57.32,52.01,15.54,32.09
597 | 20140625 20:20:51,43.1,46.79,57.32,52.0,15.54,32.1
598 | 20140625 20:20:52,43.1,46.79,57.31,52.0,15.54,32.1
599 | 20140625 20:20:53,43.1,46.79,57.31,52.0,15.54,32.1
600 | 20140625 20:20:54,43.1,46.79,57.31,52.0,15.54,32.09
601 | 20140625 20:20:55,43.09,46.79,57.32,52.0,15.54,32.09
602 | 


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