Add Alpaca dev adapter and option selection

services/ingest-options/py/ibkr_stream.py

@@ -0,0 +1,102 @@
+import argparse
+import json
+import signal
+import sys
+import time
+from datetime import timezone
+
+from ib_insync import IB, Option
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(description="Stream IBKR option trades as JSON lines.")
+    parser.add_argument("--host", required=True)
+    parser.add_argument("--port", type=int, required=True)
+    parser.add_argument("--client-id", type=int, required=True)
+    parser.add_argument("--symbol", required=True)
+    parser.add_argument("--expiry", required=True)
+    parser.add_argument("--strike", type=float, required=True)
+    parser.add_argument("--right", required=True)
+    parser.add_argument("--exchange", required=True)
+    parser.add_argument("--currency", required=True)
+    return parser.parse_args()
+
+
+def main() -> int:
+    args = parse_args()
+
+    ib = IB()
+
+    def shutdown(_signal: int, _frame) -> None:
+        if ib.isConnected():
+            ib.disconnect()
+        sys.exit(0)
+
+    signal.signal(signal.SIGINT, shutdown)
+    signal.signal(signal.SIGTERM, shutdown)
+
+    try:
+        ib.connect(args.host, args.port, clientId=args.client_id)
+    except Exception as exc:
+        print(f"IBKR connection failed: {exc}", file=sys.stderr)
+        return 1
+
+    contract = Option(
+        args.symbol,
+        args.expiry,
+        args.strike,
+        args.right,
+        exchange=args.exchange,
+        currency=args.currency,
+    )
+
+    try:
+        ib.qualifyContracts(contract)
+    except Exception as exc:
+        print(f"IBKR contract qualification failed: {exc}", file=sys.stderr)
+        ib.disconnect()
+        return 1
+
+    ticker = ib.reqMktData(contract, "", False, False)
+    last_key = None
+
+    def on_update(updated_ticker) -> None:
+        nonlocal last_key
+        if updated_ticker.last is None or updated_ticker.lastSize is None:
+            return
+
+        ts = updated_ticker.time
+        if ts is None:
+            ts_ms = int(time.time() * 1000)
+        else:
+            if ts.tzinfo is None:
+                ts = ts.replace(tzinfo=timezone.utc)
+            ts_ms = int(ts.timestamp() * 1000)
+
+        key = (ts_ms, updated_ticker.last, updated_ticker.lastSize)
+        if key == last_key:
+            return
+        last_key = key
+
+        exchange = None
+        if hasattr(updated_ticker, "lastExchange"):
+            exchange = updated_ticker.lastExchange
+        if not exchange:
+            exchange = updated_ticker.exchange or "IBKR"
+
+        payload = {
+            "ts": ts_ms,
+            "price": float(updated_ticker.last),
+            "size": int(updated_ticker.lastSize),
+            "exchange": exchange,
+        }
+
+        print(json.dumps(payload), flush=True)
+
+    ticker.updateEvent += on_update
+    ib.run()
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())