Add ability to submit combo option orders (e.g., spreads)

combo_option_order_example.py

@@ -0,0 +1,13 @@
+from datetime import datetime
+from ibkr import Client as IBKR, OptionLeg
+from ibkr.option_type import CALL, PUT
+from ibkr.order_action import BUY, SELL
+
+client = IBKR()
+
+symbol, sub_symbol = 'SPX', 'SPXW'
+expiration = datetime.now()
+short_leg = OptionLeg(symbol, expiration, 4525.0, CALL, SELL, sub_symbol)
+long_leg = OptionLeg(symbol, expiration, 4550.0, CALL, BUY, sub_symbol)
+
+client.submit_combo_option_order([short_leg, long_leg], 1)

ibkr/__init__.py

@@ -1 +1,2 @@
 from .client import Client
+from .option_leg import OptionLeg

ibkr/client.py

@@ -1,15 +1,18 @@
 import pandas as pd
 
 from datetime import datetime
-from .exchange import SMART
-from ib_insync import Contract, IB, Index, Option
+from ib_insync import ComboLeg, Contract, IB, Index, Option, Order
 from ib_insync.util import isNan
+from typing import Callable, List
+
+from .currency import USD
+from .exchange import SMART
 from .market_data_type import LIVE
-from typing import Callable
+from .option_leg import OptionLeg
 
 class Client:
 
-    def __init__(self, host: str, port: int, client_id = 1) -> None:
+    def __init__(self, host: str = '127.0.0.1', port: int = 7497, client_id = 1) -> None:
         self.ib = IB()
         self.ib.connect(host, port, clientId = client_id)
         self.ib.reqMarketDataType(LIVE)
@@ -58,3 +61,44 @@ class Client:
             })
         
         return pd.DataFrame(option_chain)
+
+    def get_option_contract(self, option_leg: OptionLeg) -> Option:
+        expiration_date = option_leg.expiration.strftime('%Y%m%d')
+        option_contract = Option(
+            option_leg.symbol, 
+            expiration_date, 
+            option_leg.strike, 
+            option_leg.option_type, 
+            exchange = SMART, 
+            currency = USD
+        )
+        if option_leg.sub_symbol:
+            option_contract.tradingClass = option_leg.sub_symbol
+        self.ib.qualifyContracts(option_contract)
+        return option_contract
+    
+    def submit_combo_option_order(self, legs: List[OptionLeg], quantity: int) -> None:
+        combo_legs = []
+        for leg in legs:
+            option_contract = self.get_option_contract(leg)
+            combo_leg = ComboLeg()
+            combo_leg.conId = option_contract.conId
+            combo_leg.ratio = 1
+            combo_leg.action = leg.action
+            combo_leg.exchange = SMART
+            combo_legs.append(combo_leg)
+
+        combo_contract = Contract()
+        combo_contract.symbol = legs[0].symbol # Assuming all legs are for the same symbol.
+        combo_contract.secType = 'BAG'
+        combo_contract.currency = USD
+        combo_contract.exchange = SMART
+        combo_contract.comboLegs = combo_legs
+
+        combo_order = Order()
+        combo_order.action = 'BUY' # TODO: Document the logic behind this.
+        combo_order.orderType = 'MKT' # TODO: Limit order support.
+        combo_order.totalQuantity = quantity
+        combo_order.transmit = True
+
+        self.ib.placeOrder(combo_contract, combo_order)

ibkr/currency.py

@@ -0,0 +1 @@
+USD = 'USD'

ibkr/option_leg.py

@@ -0,0 +1,12 @@
+from dataclasses import dataclass
+from datetime import datetime
+from typing import Literal
+
+@dataclass
+class OptionLeg:
+    symbol: str
+    expiration: datetime
+    strike: float
+    option_type: Literal['C', 'P']
+    action: Literal['BUY', 'SELL']
+    sub_symbol: str = None

ibkr/option_type.py

@@ -0,0 +1,2 @@
+CALL = 'C'
+PUT = 'P'

ibkr/order_action.py

@@ -0,0 +1,2 @@
+BUY = 'BUY'
+SELL = 'SELL'