Interactive Brokers to Thinkorswim Trade Log Converter

ib-tos-convert.py

import sys
import operator

if (len(sys.argv) == 3):
    inputFileName = sys.argv[1]
    outputFolder = sys.argv[2]
    
    # open symbols file
    tradelogFile = open(inputFileName,"rU")

    month_names = {'JAN':1,'FEB':2,'MAR':3,'APR':4,'MAY':5,'JUN':6,'JUL':7,'AUG':8,'SEP':9,'OCT':10,'NOV':11,'DEC':12}
    expiry_dict = {}

    # for each line in the log file
    for line in tradelogFile:
        # remove the line terminator if any
        line = line.rstrip('\n')

        tokens = line.split('|')
        if tokens[0] == 'OPT_TRD':
            transaction_id = tokens[1]
            
            subtokens = tokens[3].split(' ')
            underlying = subtokens[0]

            expiry = subtokens[1]
            # Reformat date for sorting expiry_key
            year = expiry[5:7]
            full_year = '20' + year
            month = expiry[2:5]
            month_num =  str(month_names[expiry[2:5]]).zfill(2)
            day = expiry[0:2]
            key_expiry = full_year + month_num + day

            strike = int(float(subtokens[2]))
            
            if subtokens[3] == 'P':
                callPut = 'PUT'
            else:
                callPut = 'CALL'
            
            openClose = tokens[6]
            transDate = tokens[7]
            transTime = tokens[8]
            lots = int(float(tokens[10]))
            contract_size = int(float(tokens[11]))
            fillPrice = tokens[12]
            proceeds = tokens[13]
            commission = tokens[14]
            #print underlying,expiry,strike,callPut,openClose,transDate,transTime,lots,fillPrice,proceeds,commission
            
            # Trades are grouped by a combination of underlying symbol and expiration date.
            expiry_key = key_expiry + '_' + underlying
            
            record = ''
            if lots > 0:
                record = record + 'BUY '
            else:
                record = record + 'SELL '
                
            record = record + str(lots) + ' ' + underlying + ' ' + str(contract_size) + ' ' + day + ' ' + month + ' ' + year + ' ' + str(strike) + ' ' + callPut + \
                     ' @' + fillPrice + ' LMT FIXED'
                     
            # If this expiry entry isn't in the map yet then create it as a blank map
            if expiry_key not in expiry_dict:
                expiry_dict[expiry_key] = {}

            # transaction key needs to be unique and date/time is insufficient so append transaction_id
            # transaction_id is sequential in time *except* for expired options which have their own separate starting point
            transactionTimestamp = transDate + transTime + transaction_id
            expiry_dict[expiry_key][transactionTimestamp] = record

    for key1,value1 in expiry_dict.iteritems():
        outFileName = outputFolder + "/" + key1 + ".txt"
        outputFile = open(outFileName,"w")
        sortedRecords = sorted(value1.items(), key=operator.itemgetter(0), reverse=False)
        for trade in sortedRecords:
            outputFile.write(trade[1] + '\r')
        outputFile.close()
        
    tradelogFile.close()
else:
    print "wrong number of aruments"
    print "example:"
    print "python tradelog-analyzer.py input_file.txt output_folder"