ibpy获取产品组合信息：Interactive Broker，Python

Question

我已经成功编写了代码，使用代码从TWS演示版中提取有关我的职位的信息：

    tws_conn = conn.Connection.create(port=7497, clientId=100)    
    tws_conn.register( acct_update, msg.updateAccountValue,  
    msg.updateAccountTime, msg.updatePortfolio)
    tws_conn.connect()
    tws_conn.reqPositions()
    tws_conn.reqAccountUpdates(True,'DU15181')

但是，它将信息转储为：

<updatePortfolio contract=<Packages.IbPy.ib.ext.Contract.Contract object at 0x06B0FE30>, position=-10, marketPrice=3.4000001, marketValue=-3400.0, averageCost=334.345, unrealizedPNL=-56.55, realizedPNL=0.0, accountName=DU15181>

我想知道如何将上述信息存储到一个数组中，该数组中包含合同或股票行情记录，投资组合中的数量和购买价格的不同列

Answer 1

给定长度和主要更改，添加另一个答案。 鉴于我正在编写某些代码，因此我用它回答了另一个问题，并且稍作改动也可以用于产品组合。

码：

from __future__ import (absolute_import, division, print_function,)
#                        unicode_literals)

import collections
import sys

if sys.version_info.major == 2:
    import Queue as queue
    import itertools
    map = itertools.imap

else:  # >= 3
    import queue


import ib.opt
import ib.ext.Contract


class IbManager(object):
    def __init__(self, timeout=20, **kwargs):
        self.q = queue.Queue()
        self.timeout = 20

        self.con = ib.opt.ibConnection(**kwargs)
        self.con.registerAll(self.watcher)

        self.msgs = {
            ib.opt.message.error: self.errors,
            ib.opt.message.updatePortfolio: self.acct_update,
            ib.opt.message.accountDownloadEnd: self.acct_update,
        }

        # Skip the registered ones plus noisy ones from acctUpdate
        self.skipmsgs = tuple(self.msgs.keys()) + (
            ib.opt.message.updateAccountValue,
            ib.opt.message.updateAccountTime)

        for msgtype, handler in self.msgs.items():
            self.con.register(handler, msgtype)

        self.con.connect()

    def watcher(self, msg):
        if isinstance(msg, ib.opt.message.error):
            if msg.errorCode > 2000:  # informative message
                print('-' * 10, msg)

        elif not isinstance(msg, self.skipmsgs):
            print('-' * 10, msg)

    def errors(self, msg):
        if msg.id is None:  # something is very wrong in the connection to tws
            self.q.put((True, -1, 'Lost Connection to TWS'))
        elif msg.errorCode < 1000:
            self.q.put((True, msg.errorCode, msg.errorMsg))

    def acct_update(self, msg):
        self.q.put((False, -1, msg))

    def get_account_update(self):
        self.con.reqAccountUpdates(True, 'D999999')

        portfolio = list()
        while True:
            try:
                err, mid, msg = self.q.get(block=True, timeout=self.timeout)
            except queue.Empty:
                err, mid, msg = True, -1, "Timeout receiving information"
                break

            if isinstance(msg, ib.opt.message.accountDownloadEnd):
                break

            if isinstance(msg, ib.opt.message.updatePortfolio):
                c = msg.contract
                ticker = '%s-%s-%s' % (c.m_symbol, c.m_secType, c.m_exchange)

                entry = collections.OrderedDict(msg.items())

                # Don't do this if contract object needs to be referenced later
                entry['contract'] = ticker  # replace object with the ticker

                portfolio.append(entry)

        # return list of contract details, followed by:
        #   last return code (False means no error / True Error)
        #   last error code or None if no error
        #   last error message or None if no error
        # last error message

        return portfolio, err, mid, msg


ibm = IbManager(clientId=5001)

portfolio, err, errid, errmsg = ibm.get_account_update()

if portfolio:
    print(','.join(portfolio[0].keys()))

for p in portfolio:
    print(','.join(map(str, p.values())))

sys.exit(0)  # Ensure ib thread is terminated

结果

Server Version: 76
TWS Time at connection:20160113 00:15:29 CET
---------- <managedAccounts accountsList=D999999>
---------- <nextValidId orderId=1>
---------- <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture>
---------- <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:eufarm>
---------- <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:cashfarm>
---------- <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm.us>
---------- <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds.us>
---------- <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ilhmds>
---------- <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:cashhmds>
---------- <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ethmds>

contract,position,marketPrice,marketValue,averageCost,unrealizedPNL,realizedPNL,accountName
IBM-STK-,10,25.0,250.0,210.0,40.0,0.0,D999999

最后两行可以直接导入到（例如）Excel。 或者给定字典列表（要打印的内容），可以在脚本中对其进行进一步操作。

Answer 2

如果列表中的每个条目都是列表本身（并且子列表中的每个索引位置始终包含相同的字段），则鉴于列表已经满足该要求，因此“列”的要求有些模糊

您收到的消息将发送到您在tws中注册的回调。 每个“转储”字段都可以使用“点”符号或类似dict的方法（例如“键”，“值”和“项目”）进行访问

主要挑战是合同：IB允许访问大量交易所和不同的交易资产。 “合同”对象（以及IB后端中的信息）似乎反映了对所有内容的统一/统一访问的努力，同时表明他们必须在现有基础架构上构建。

您提到“股票行情自动收录器”，所以我想您可能会对以下内容感到满意：具有“ ib”行业标准符号的IBM-STK-SMART（第2字段表示是股票，第3字段表示IB将使用SMART路由用于订单和价格更新）

让我们去看一个列表列表：

def acct_update(self, msg):
    # Assume the function is a method in a class with access to a member
    # 'portfolio' which is a list

    if isinstance(msg, ib.opt.message.updatePortfolio):
        c = msg.contract
        ticker = '%s-%s-%s' % (contract.m_symbol, c.m_secType, c.m_exchange)
        entry = [ticker]
        entry.extend(msg.values)
        self.portfolio.append(entry)

不幸的是， ibpy消息中的“ keys”方法不是classmethod ，但是名称实际上是__slots__ 。 在持有acct_update方法的类中，您可以执行以下操作：

class MyClass(object):
    portfields = ['ticker'] + ib.opt.message.updatePortfolio.__slots__

如果您更喜欢ibpy已经提供的字段名称，而不是按索引访问列表中的字段，则还可以对dict

def __init__(self, ...)
    self.portfolio = collections.OrderedDict()

def acct_update(self, msg):
    # Assume the function is a method in a class with access to a member
    # 'portfolio' which is a list

    if isinstance(msg, ib.opt.message.updatePortfolio):
        c = msg.contract
        ticker = '%s-%s-%s' % (contract.m_symbol, c.m_secType, c.m_exchange)
        self.portfolio[ticker] = collections.OrderedDict(msg.items())

这样您就可以按名称获取最新的股票行情资讯，并按名称访问字段。

如果您需要保留每个股票行情记录

def __init__(self, ...)
    self.portfolio = collections.defaultdict(list)

def acct_update(self, msg):
    # Assume the function is a method in a class with access to a member
    # 'portfolio' which is a list

    if isinstance(msg, ib.opt.message.updatePortfolio):
        c = msg.contract
        ticker = '%s-%s-%s' % (contract.m_symbol, c.m_secType, c.m_exchange)
        self.portfolio[ticker].extend(msg.values())

您可以存储“项目”而不是值，然后在需要时访问元组。

Answer 3

除了使用ibpy，我还将导入IBWrapper，可以从Github下载该文件： https : //github.com/anthonyng2/ib

import pandas as pd
import numpy as np
import time
from IBWrapper import IBWrapper, contract
from ib.ext.EClientSocket import EClientSocket

accountName = "Your Account ID" 
callback = IBWrapper()             # Instantiate IBWrapper. callback
tws = EClientSocket(callback)      # Instantiate EClientSocket and return data to callback
host = ""
port = 4002   # It is for default port no. in demo account
clientId = 25

tws.eConnect(host, port, clientId) # connect to TWS

create = contract()                # Instantiate contract class
callback.initiate_variables()

tws.reqAccountUpdates(1, accountName)
time.sleep(2)

它们是您更新后的帐户价值和投资组合摘要：

accvalue = pd.DataFrame(callback.update_AccountValue, columns = ['key', 'value', 'currency', 'accountName']) #[:199]

portfolio = pd.DataFrame(callback.update_Portfolio, columns=['Contract ID','Currency', 'Expiry','Include Expired','Local Symbol','Multiplier','Primary Exchange','Right',
                                'Security Type','Strike','Symbol','Trading         Class','Position','Market Price','Market Value',
                                'Average Cost', 'Unrealised PnL', 'Realised PnL', 'Account Name'])

callback.update_AccountTime
print("AccountValue: \n" + str(accvalue))
print("portfolio: \n" + str(portfolio))

这是您更新的职位摘要：

# Position Summary
tws.reqPositions()
time.sleep(2)
dat = pd.DataFrame(callback.update_Position, 
               columns=['Account','Contract ID','Currency','Exchange','Expiry',
                        'Include Expired','Local Symbol','Multiplier','Right',
                        'Security Type','Strike','Symbol','Trading Class',
                        'Position','Average Cost'])

dat[dat["Account"] == accountName]
print("Position Summary: \n" + str(dat))

Answer 4

我编写了以下代码，使我可以直接从Interactive Brokers API中读取头寸和资产净值。

# Interactive Brokers functions to import data

def read_positions(): #read all accounts positions and return DataFrame with information

    from ibapi.client import EClient 
    from ibapi.wrapper import EWrapper
    from ibapi.common import TickerId
    import pandas as pd

    class ib_class(EWrapper, EClient): 
        def __init__(self): 
            EClient.__init__(self, self)
            self.all_positions = pd.DataFrame([], columns = ['Account','Symbol', 'Quantity', 'Average Cost'])

        def position(self, account, contract, pos, avgCost):
            index = str(account)+str(contract.symbol)
            self.all_positions.loc[index]=account,contract.symbol,pos,avgCost

        def error(self, reqId:TickerId, errorCode:int, errorString:str):
            if reqId > -1:
                print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

        def positionEnd(self):
            super().positionEnd()
            self.disconnect()

    ib_api = ib_class() 
    ib_api.connect("127.0.0.1", 7496, 0) 
    ib_api.reqPositions()
    current_positions = ib_api.all_positions
    ib_api.run()

    return(current_positions)


def read_navs(): #read all accounts NAVs

    from ibapi.client import EClient 
    from ibapi.wrapper import EWrapper
    from ibapi.common import TickerId
    import pandas as pd

    class ib_class(EWrapper, EClient): 
        def __init__(self): 
            EClient.__init__(self, self)
            self.all_accounts = pd.DataFrame([], columns = ['reqId','Account', 'Tag', 'Value' , 'Currency'])

        def accountSummary(self, reqId, account, tag, value, currency):
            if tag == 'NetLiquidationByCurrency':
                index = str(account)
                self.all_accounts.loc[index]=reqId, account, tag, value, currency

        def error(self, reqId:TickerId, errorCode:int, errorString:str):
            if reqId > -1:
                print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

        def accountSummaryEnd(self, reqId:int):
                super().accountSummaryEnd(reqId)
                self.disconnect()

    ib_api = ib_class() 
    ib_api.connect("127.0.0.1", 7496, 0) 
    ib_api.reqAccountSummary(9001,"All","$LEDGER")
    current_nav = ib_api.all_accounts
    ib_api.run()

    return(current_nav)

为了测试代码，我将其保存在名为IB_API的.py文件中，然后运行以下命令：

import IB_API

print("Testing IB's API as an imported library:")

all_positions = IB_API.read_positions()
all_navs = IB_API.read_navs()

print("Test ended")

我仍在尝试避免显示错误“ [WinError 10038]”，该错误为“试图对非套接字的对象进行操作”-请参阅关于此主题的问题