不使用Ibpy的IB API Python示例

Question

有人可以通过使用IB API Python套接字帮助我弄清楚如何做基本请求吗？ （我使用最新的IB API，它似乎支持Python，所以不应该使用人们过去使用的Ibpy）

像这样的代码可以简单地工作并使其连接到TWS。 问题是：我不知道如何“看到”从IB发回的消息。

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.contract import *


w = wrapper.EWrapper()
myTWS = EClient(w)
myTWS.connect(host='localhost', port=7496, clientId=100)

print("serverVersion:%s connectionTime:%s" % (myTWS.serverVersion(),
                                          myTWS.twsConnectionTime()))
myTWS.startApi()


c = Contract()
c.m_symbol = "AAPL"
c.m_secType = "STK"
c.m_exchange = "ISLAND"
c.m_currency = "USD"


myTWS.reqRealTimeBars(999, c, 5, "MIDPOINT", True, [])

我知道它之前就像是IBPy之类的Register（）。 我只是不知道如何在当前的IB原始python API中做到这一点。 给我一个简单的例子可以帮助别人吗？ 提前致谢。

Answer 1

有一个新项目简化了Python TWS Api的工作。

它被称为IB-insync，它允许同步和异步处理。 对于TWS API中的新手来说，这看起来非常棒。 链接到项目页面

使用IB-insync请求历史数据的示例：

from ib_insync import *

ib = IB()
ib.connect('127.0.0.1', 7497, clientId=1)

contract = Forex('EURUSD')
bars = ib.reqHistoricalData(contract, endDateTime='', durationStr='30 D',
    barSizeSetting='1 hour', whatToShow='MIDPOINT', useRTH=True)

# convert to pandas dataframe:
df = util.df(bars)
print(df[['date', 'open', 'high', 'low', 'close']])

Answer 2

您必须子类化/覆盖/实现wrapper.EWrapper。 这就是你告诉EClient发送从TWS收到的数据的地方。

我从示例程序中删除了几乎所有内容，然后运行。

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *

class TestApp(wrapper.EWrapper, EClient):
    def __init__(self):
        wrapper.EWrapper.__init__(self)
        EClient.__init__(self, wrapper=self)

    @iswrapper
    def nextValidId(self, orderId:int):
        print("setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        #here is where you start using api
        contract = Contract()
        contract.symbol = "AAPL"
        contract.secType = "STK"
        contract.currency = "USD"
        contract.exchange = "SMART"
        self.reqMktData(1101, contract, "", False, None)

    @iswrapper
    def error(self, reqId:TickerId, errorCode:int, errorString:str):
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

    @iswrapper
    def tickPrice(self, reqId: TickerId , tickType: TickType, price: float,
                  attrib:TickAttrib):
        print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price)
        #this will disconnect and end this program because loop finishes
        self.done = True

def main():
    app = TestApp()
    app.connect("127.0.0.1", 7496, clientId=123)
    print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),
                                                app.twsConnectionTime()))
    app.run()

if __name__ == "__main__":
    main()

一旦你调用app.run() ，程序就会启动一个几乎无限循环读取消息，所以你需要一些其他方法来构建程序，因为必须启动循环。

Answer 3

我已经找到了如何处理app对象之外的请求序列的方法。

这是我对Brian的代码的一点修改（感谢Brian介绍如何使用它），它获得了两个合同细节，首先是它请求MSFT的合同细节，然后是IBM。

• app.run（）在收到所有contractDetails消息后通过在contractDetailsEnd（）方法中设置app.done = True来完成

• 当app.done设置为True时，客户端将在EClient.run（）方法中断开连接。 我没有想出如何在不断开连接的情况下退出EClient.run（）方法，所以我在client.py EClient.run（）方法的源代码中更改了退出：

   finally: #self.disconnect() # Myk prevent disconnect return #Myk instead of disconnect return 

• 之后app.run（）完成而没有断开连接并且可以再次调用，但是你必须首先将app.done设置为False，否则run（）方法退出
• 你必须自己断开连接
• disconnect（）方法抛出错误，但有人说它似乎你可以忽略它，特别是如果你在代码的末尾断开连接

如果有人在不更改API源代码的情况下知道更好的方法，如果您给我一个建议我会很高兴。

这是代码：

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *

class TestApp(wrapper.EWrapper, EClient):
    def __init__(self):
        wrapper.EWrapper.__init__(self)
        EClient.__init__(self, wrapper=self)
        self.reqIsFinished = True
        self.started = False
        self.nextValidOrderId = 0

    @iswrapper
    def nextValidId(self, orderId:int):
        print("setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        # we can start now

    @iswrapper
    def error(self, reqId:TickerId, errorCode:int, errorString:str):
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " ,     errorString)

    @iswrapper
    # ! [contractdetails]
    def contractDetails(self, reqId: int, contractDetails: ContractDetails):
        super().contractDetails(reqId, contractDetails)
        print("ContractDetails. ReqId:", reqId, contractDetails.summary.symbol,
              contractDetails.summary.secType, "ConId:", contractDetails.summary.conId,
          "@", contractDetails.summary.exchange)
        # ! [contractdetails]

    @iswrapper
    # ! [contractdetailsend]
    def contractDetailsEnd(self, reqId: int):
        super().contractDetailsEnd(reqId)
        print("ContractDetailsEnd. ", reqId, "\n")
        self.done = True  # This ends the messages loop
        # ! [contractdetailsend]

def main():
    app = TestApp()
    app.connect("127.0.0.1", 4001, clientId=123)
    print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),
                                            app.twsConnectionTime()))

    print('MSFT contract details:')
    contract = Contract()
    contract.symbol = "MSFT"
    contract.secType = "STK"
    contract.currency = "USD"
    contract.exchange = ""
    app.reqContractDetails(210, contract)
    app.run()

    print('IBM contract details:')
    contract.symbol = "IBM"
    app.done = False # must be set before next run
    app.reqContractDetails(210, contract)
    app.run()

    app.disconnect() 

if __name__ == "__main__":
    main()

Answer 4

这是如何使用多线程处理API消息的示例。 app.run（）作为单独的线程启动，它正在侦听TWS API响应。 然后主程序发送5个ContractDetails请求，然后主程序等待响应10秒。 当响应准备好处理时，TWS API消息存储在app实例和简单信号量信号中。

这是我的第一个多线程程序，欢迎任何评论。

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *
#from OrderSamples import OrderSamples
import threading
import time

class myThread (threading.Thread):
   def __init__(self, app, threadID, name):
      threading.Thread.__init__(self)
      self.threadID = threadID
      self.name = name
      self.app = app

   def run(self):
      print ("Starting application in separate thread:", self.name,     "threadID:", self.threadID  )
      self.app.run()
      print ("Exiting " + self.name)

class TestApp(wrapper.EWrapper, EClient):
    def __init__(self):
        wrapper.EWrapper.__init__(self)
        EClient.__init__(self, wrapper=self)
        self.started = False
        self.nextValidOrderId = 0
        self.reqData = {}       # store data returned by requests
        self.reqStatus = {}     # semaphore of requests - status End will indicate request is finished


@iswrapper
def nextValidId(self, orderId:int):
    print("setting nextValidOrderId: %d", orderId)
    self.nextValidOrderId = orderId


@iswrapper
def error(self, reqId:TickerId, errorCode:int, errorString:str):
    print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

@iswrapper
# ! [contractdetails]
def contractDetails(self, reqId: int, contractDetails: ContractDetails):
    super().contractDetails(reqId, contractDetails)
    # store response in reqData dict, for each request several objects are appended into list
    if not reqId in self.reqData:
        self.reqData[reqId] = []
    self.reqData[reqId].append(contractDetails) # put returned data into data storage dict
    # ! [contractdetails]

@iswrapper
# ! [contractdetailsend]
def contractDetailsEnd(self, reqId: int):
    super().contractDetailsEnd(reqId)
    print("ContractDetailsEnd. ", reqId, "\n")  # just info
    self.reqStatus[reqId] = 'End'               # indicates the response is ready for further processing
    # ! [contractdetailsend]



def main():

    app = TestApp()
    app.connect("127.0.0.1", 4001, clientId=123)
    print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),
                                            app.twsConnectionTime()))

    thread1App = myThread(app, 1, "Thread-1")  # define thread for sunning app
    thread1App.start()                         # start app.run(] as infitnite loop in separate thread

    print('Requesting MSFT contract details:')
    contract = Contract()
    contract.symbol = "MSFT"
    contract.secType = "STK"
    contract.currency = "USD"
    contract.exchange = ""
    app.reqStatus[210] = 'Sent'   # set request status to "sent to TWS"
    app.reqContractDetails(210, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "IBM"
    app.reqStatus[211] = 'Sent'          
    app.reqContractDetails(211, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "GE"
    app.reqStatus[212] = 'Sent'
    app.reqContractDetails(212, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "GM"
    app.reqStatus[213] = 'Sent'
    app.reqContractDetails(213, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "BAC"
    app.reqStatus[214] = 'Sent'
    app.reqContractDetails(214, contract)

    i = 0
    while i < 100:         # exit loop after 10 sec (100 x time.sleep(0.1)
        i = i+1
        for reqId in app.reqStatus:
            if app.reqStatus[reqId] == 'End':
                for contractDetails in app.reqData[reqId]:
                    print("ContractDetails. ReqId:", reqId, contractDetails.summary.symbol,
                  contractDetails.summary.secType, "ConId:", contractDetails.summary.conId,
                  "@", contractDetails.summary.exchange)
                app.reqStatus[reqId] = 'Processed'
        time.sleep(0.1)
    app.done = True             # this stops app.run() loop

if __name__ == "__main__":
    main()