better IBKR closing + basic sp500 support

roboquant/brokers/ibkrbroker.py

@@ -133,13 +133,16 @@ def __init__(self, host="127.0.0.1", port=4002, account=None, client_id=123) ->
         self.__has_new_orders_since_sync = False
 
         # Start the handling in a thread
-        self.__api_thread = threading.Thread(target=api.run, daemon=False)
+        self.__api_thread = threading.Thread(target=api.run, daemon=True)
         self.__api_thread.start()
         time.sleep(3.0)
 
+    def disconnect(self):
+        self.__api.reader.conn.disconnect()
+
     def _should_sync(self, now: datetime):
         """Avoid too many API calls"""
-        return self.__has_new_orders_since_sync or now - self.__account.last_update > timedelta(seconds=30)
+        return self.__has_new_orders_since_sync or now - self.__account.last_update > timedelta(seconds=1)
 
     def sync(self, event: Event | None = None) -> Account:
         """Sync with the IBKR account

roboquant/feeds/feedutil.py

@@ -1,10 +1,12 @@
+import json
+import pathlib
 import threading
 from datetime import datetime
 
 from roboquant.event import Candle
 from roboquant.timeframe import Timeframe
-from .eventchannel import EventChannel, ChannelClosed
-from .feed import Feed
+from roboquant.feeds.eventchannel import EventChannel, ChannelClosed
+from roboquant.feeds.feed import Feed
 
 
 def play_background(feed: Feed, channel: EventChannel):
@@ -21,7 +23,7 @@ def __background():
         finally:
             channel.close()
 
-    thread = threading.Thread(None, __background, daemon=False)
+    thread = threading.Thread(None, __background, daemon=True)
     thread.start()
 
 
@@ -65,6 +67,15 @@ def get_symbol_dataframe(feed: Feed, symbol: str, timeframe: Timeframe | None =
     return pd.DataFrame(ohlcv, columns=["Date", "Open", "High", "Low", "Close", "Volume"]).set_index("Date")
 
 
+def get_sp500_symbols():
+    full_path = pathlib.Path(__file__).parent.resolve().joinpath("sp500.json")
+    with open(full_path) as f:
+        content = f.read()
+        j = json.loads(content)
+        symbols = [elem["Symbol"] for elem in j]
+        return symbols
+
+
 def print_feed_items(feed: Feed, timeframe: Timeframe | None = None, timeout: float | None = None):
     """Print the items in a feed to the console.
     This is mostly useful for debugging purposes to see what events a feed generates.