#!/usr/bin/env python
# coding: utf-8

# Market depth (order book)
# ==============

# In[1]:


from ib_insync import *
util.startLoop()

ib = IB()
ib.connect('127.0.0.1', 7497, clientId=16)


# To get a list of all exchanges that support market depth data and display the first five:

# In[2]:


l = ib.reqMktDepthExchanges()
l[:5]


# Let's subscribe to market depth data for EURUSD:

# In[3]:


contract = Forex('EURUSD')
ib.qualifyContracts(contract)
ticker = ib.reqMktDepth(contract)


# To see a live order book, an event handler for ticker updates is made that displays a dynamically updated dataframe:

# In[4]:


from IPython.display import display, clear_output
import pandas as pd

df = pd.DataFrame(index=range(5),
        columns='bidSize bidPrice askPrice askSize'.split())

def onTickerUpdate(ticker):
    bids = ticker.domBids
    for i in range(5):
        df.iloc[i, 0] = bids[i].size if i < len(bids) else 0
        df.iloc[i, 1] = bids[i].price if i < len(bids) else 0
    asks = ticker.domAsks
    for i in range(5):
        df.iloc[i, 2] = asks[i].price if i < len(asks) else 0
        df.iloc[i, 3] = asks[i].size if i < len(asks) else 0
    clear_output(wait=True)
    display(df)

ticker.updateEvent += onTickerUpdate

IB.sleep(15);


# Stop the market depth subscription:

# In[5]:


ib.cancelMktDepth(contract)


# In[6]:


ib.disconnect()