在 Python 中为盈透证券 API 响应设置变量

Question

我有一些代码，我使用盈透证券 API 和 Python 请求期货合约的实时市场数据，在这种情况下是 VIX 合约。 我收到了通过修补包装器打印的数据流。 这是使用来自 IB 的实际 Python API，而不是第三方库。

我想做的是两方面：首先，将变量设置为最后一个价格，即响应中的 tickType 4 (13.0)。 其次，我想停止当前合同的流数据并请求另一个合同的数据（例如下一个到期日，20170816。）否则，如果我可以同时请求两组数据并将它们分别设置为一个变量，那么停止流媒体也将是惊人的。 这是迄今为止我所拥有的代码，它向 IB 发出了成功的请求。 假设 API 已启用并且您可以访问 VIX 期货市场数据（CFE 交易所），响应如下：

from ibapi.wrapper import EWrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *
# Request IB Data in less than 50 lines of code
class BasicApp(EWrapper, EClient):
  def __init__(self):
    EClient.__init__(self,self)

  def error(self, reqId: TickerId, errorCode:int, errorString:str):
    print('Error:', reqId, " ", errorCode, " ", errorString)

  @iswrapper
  def tickPrice(self, reqId: TickerId, tickType: TickType, price: float, attrib: TickAttrib):
    super().tickPrice(reqId, tickType, price, attrib)
    print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price, "CanAutoExecute:", attrib.canAutoExecute, "PastLimit", attrib.pastLimit)

  @iswrapper
  def tickSize(self, reqId: TickerId, tickType: TickType, size: int):
    super().tickSize(reqId, tickType, size)
    print("Tick Size. Ticker Id:", reqId, "tickType:", tickType, "Size:", size)

  @iswrapper
  def tickString(self, reqId: TickerId, tickType: TickType, value: str):
    super().tickString(reqId, tickType, value)
    print("Tick string. Ticker Id:", reqId, "Type:", tickType, "Value:", value)

  @iswrapper
  def tickGeneric(self, reqId: TickerId, tickType: TickType, value: float):
    super().tickGeneric(reqId, tickType, value)
    print("Tick Generic. Ticker Id:", reqId, "tickType:", tickType, "Value:", value)

def main():
  app = BasicApp()
  app.connect("127.0.0.1", 4001, 0)
  contract = Contract();
  contract.symbol = "VIX";
  contract.secType = "FUT";
  contract.exchange = "CFE";
  contract.currency = "USD";
  contract.lastTradeDateOrContractMonth = "20170719";
  app.reqMktData(1001, contract, "", False, False, [])
  app.run()

if __name__ == '__main__':
  main()

这是上面打印 IB 响应的包装器：

Error: -1   2119   Market data farm is connecting:usfuture.us
Error: -1   2104   Market data farm connection is OK:usfuture.us
Tick string. Ticker Id: 1001 Type: 45 Value: 1499398651
Tick Price. Ticker Id: 1001 tickType: 4 Price: 13.0 CanAutoExecute: False PastLimit False
Tick Size. Ticker Id: 1001 tickType: 5 Size: 1
Tick Size. Ticker Id: 1001 tickType: 5 Size: 1
Tick Size. Ticker Id: 1001 tickType: 8 Size: 3072
Tick Price. Ticker Id: 1001 tickType: 6 Price: 13.15 CanAutoExecute: False PastLimit False
Tick Price. Ticker Id: 1001 tickType: 7 Price: 12.95 CanAutoExecute: False PastLimit False
Tick Price. Ticker Id: 1001 tickType: 9 Price: 13.0 CanAutoExecute: False PastLimit False
Tick Price. Ticker Id: 1001 tickType: 14 Price: 12.3 CanAutoExecute: False PastLimit False
Tick Price. Ticker Id: 1001 tickType: 1 Price: 12.95 CanAutoExecute: True PastLimit False
Tick Size. Ticker Id: 1001 tickType: 0 Size: 140
Tick Price. Ticker Id: 1001 tickType: 2 Price: 13.0 CanAutoExecute: True PastLimit False
Tick Size. Ticker Id: 1001 tickType: 3 Size: 138
Tick Size. Ticker Id: 1001 tickType: 0 Size: 140
Tick Size. Ticker Id: 1001 tickType: 3 Size: 138

Answer 1

要停止当前合约的流数据，请调用

app.cancelMktData(tickerId); 

对于tickerId，请使用与 app.reqMktData 中相同的值（在您的示例中为 1001）。

保持最后的价格应该不是问题。 插入

lastPrice = price;

在 tickPrice 方法中。

您可以通过使用不同的tickerId 调用app.reqMktData 来并行接收多个工具的市场数据。 在这种情况下，lastprice 可以存储在一个集合中（例如，使用tickerId 作为键的字典）。

Answer 2

目标 1：可以通过以下代码实现：

class BasicApp(EWrapper, EClient):
  def __init__(self):
    EClient.__init__(self,self)
    self.reqId_last_price_dict = {}  # This dictionary uses reqId as key, last price as value

  @iswrapper
  def tickPrice(self, reqId: TickerId, tickType: TickType, price: float, attrib: TickAttrib):
    super().tickPrice(reqId, tickType, price, attrib)
    print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price, "CanAutoExecute:", attrib.canAutoExecute, "PastLimit", attrib.pastLimit)
    self.reqId_last_price_dict[reqId] = price  # This line updates the dictionary value with the same reqId whenever a new price returned.

目标 2：
如果您订阅了他们的其中一个实时订阅源，IB 允许 3 个同时的市场报价数据请求，如下面的文档所示：

限制考虑到潜在的大量数据被发送，市场深度请求的限制要大得多。 与历史数据请求一样，活跃深度请求的数量与市场数据线的数量有关，最少3条，最多60条：

没有技术困难，只需同时请求3个不同reqIds的3个合约的报价数据。 我也喜欢初始化一个字典来存储合同信息，以便在将数据写入数据库时​​，但不要忘记在请求数据之前将 reqId 和合同添加到字典中。

class BasicApp(EWrapper, EClient):
  def __init__(self):
    EClient.__init__(self,self)
    self.reqId_last_price_dict = {}  # This dictionary uses reqId as key, last price as value
    self.reqId_contract_dict = {}  # This dictionary uses reqId as key, contract as value

  @iswrapper
  def tickPrice(self, reqId: TickerId, tickType: TickType, price: float, attrib: TickAttrib):
    super().tickPrice(reqId, tickType, price, attrib)
    print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price, "CanAutoExecute:", attrib.canAutoExecute, "PastLimit", attrib.pastLimit)
    self.reqId_last_price_dict[reqId] = price  # This line updates the dictionary value with the same reqId whenever a new price returned.
    print('last price for {} is {}.'.format(self.reqId_contract_dict[reqId].symbol, price))