如何从IBapi for Python获取实时流数据？

Question

我是IBapi和Python的新手，现在只是想编写一个程序来连续不断地从IBapi获取实时的市场数据。

当我运行代码时，数据滴答的确出现了一段时间，例如几秒钟。 然后它将停止运行，并使用异常键盘解释，系统退出。

我无法找出导致键盘解释的原因，系统存在。 有没有专家能指出这个问题为何突然存在以及如何使其继续运行？ 谢谢。

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
import threading
import sys
import queue

i = 0

class MyWrapper(EWrapper):

def nextValidId(self, orderId:int):
    print("setting nextValidOrderId: %d", orderId)
   # self.nextValidOrderId = orderId
    # start program here or use threading
    #app.reqContractDetails(4444, contract)

def contractDetails(self, reqId, contractDetails):
    print(reqId, contractDetails.contract)# my version doesnt use summary

def contractDetailsEnd(self, reqId):
    print("ContractDetailsEnd. ", reqId)
    # this is the logical end of your program

def error(self, reqId, errorCode, errorString):
    print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)


def tickPrice(self, tickerid , tickType, price, attrib):
    ##overriden method

    ## For simplicity I'm ignoring these but they could be useful to you...
    ## See the documentation http://interactivebrokers.github.io/tws-api/md_receive.html#gsc.tab=0
    # attrib.canAutoExecute
    # attrib.pastLimit
    global i
    i += 1
    print(i, " Tick type:", tickType, " Price:", price)



def tickSize(self, tickerid, tickType, size):
    ## overriden method
    global i
    i += 1
    print(i, " Tick type:", tickType, " Size:", size)


def tickString(self, tickerid, tickType, value):
    ## overriden method

    ## value is a string, make it a float, and then in the parent class will be resolved to int if size
    global i
    i += 1
    print(i, " Tick type:", tickType, " Value:", value)


def tickGeneric(self, tickerid, tickType, value):
    ## overriden method       
    global i
    i += 1
    print(i, " Tick type:", tickType, " value:", value)

wrapper = MyWrapper()
app = EClient(wrapper)
app.connect("127.0.0.1", 7497, clientId=1)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(), app.twsConnectionTime()))

from ibapi.contract import Contract
contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT"
contract.currency = "USD"
contract.exchange = "GLOBEX"
contract.localSymbol="ESH9"

app.reqMktData(1, contract, "", False, False, [])
print(app.isConnected())
app.run()

示例结果如下：

serverVersion:148 connectionTime:b'20190227 17:05:55 CST'
True
setting nextValidOrderId: %d 1
Error. Id:  -1  Code:  2104  Msg:  Market data farm connection is OK:usfarm.nj
Error. Id:  -1  Code:  2104  Msg:  Market data farm connection is OK:hfarm
Error. Id:  -1  Code:  2104  Msg:  Market data farm connection is OK:usfuture
Error. Id:  -1  Code:  2104  Msg:  Market data farm connection is OK:usfarm
Error. Id:  -1  Code:  2106  Msg:  HMDS data farm connection is OK:hkhmds
Error. Id:  -1  Code:  2106  Msg:  HMDS data farm connection is OK:ushmds
1  Tick type: 45  Value: 1551258356
2  Tick type: 4  Price: 2782.5
3  Tick type: 5  Size: 1
4  Tick type: 5  Size: 1
5  Tick type: 8  Size: 75821
6  Tick type: 6  Price: 2793.25
7  Tick type: 7  Price: 2780.5
8  Tick type: 9  Price: 2791.5
9  Tick type: 14  Price: 2788.0
10  Tick type: 1  Price: 2782.25
11  Tick type: 0  Size: 41
12  Tick type: 2  Price: 2782.5
13  Tick type: 3  Size: 46
14  Tick type: 0  Size: 41
15  Tick type: 3  Size: 46
16  Tick type: 0  Size: 42
17  Tick type: 3  Size: 48
18  Tick type: 0  Size: 29
19  Tick type: 3  Size: 64
20  Tick type: 0  Size: 37
21  Tick type: 3  Size: 56
22  Tick type: 0  Size: 39
23  Tick type: 3  Size: 54
24  Tick type: 45  Value: 1551258361
25  Tick type: 5  Size: 44
26  Tick type: 8  Size: 75865
27  Tick type: 1  Price: 2782.5
28  Tick type: 0  Size: 31
29  Tick type: 2  Price: 2782.75
30  Tick type: 3  Size: 91
31  Tick type: 0  Size: 31
32  Tick type: 3  Size: 91
33  Tick type: 0  Size: 12
34  Tick type: 3  Size: 79
35  Tick type: 45  Value: 1551258362
36  Tick type: 5  Size: 1
37  Tick type: 8  Size: 75866
38  Tick type: 45  Value: 1551258363
39  Tick type: 4  Price: 2782.75
40  Tick type: 5  Size: 1
41  Tick type: 8  Size: 75867
42  Tick type: 0  Size: 11
43  Tick type: 3  Size: 78
44  Tick type: 0  Size: 12
45  Tick type: 3  Size: 79
46  Tick type: 45  Value: 1551258365
47  Tick type: 4  Price: 2782.5
48  Tick type: 5  Size: 1
49  Tick type: 8  Size: 75868
50  Tick type: 0  Size: 13
51  Tick type: 45  Value: 1551258366
52  Tick type: 4  Price: 2782.75
53  Tick type: 5  Size: 5
54  Tick type: 5  Size: 5
55  Tick type: 8  Size: 75873
56  Tick type: 0  Size: 30
57  Tick type: 3  Size: 65
58  Tick type: 45  Value: 1551258367
59  Tick type: 4  Price: 2782.5
60  Tick type: 5  Size: 4
61  Tick type: 5  Size: 4
62  Tick type: 8  Size: 75877
63  Tick type: 0  Size: 13
64  Tick type: 3  Size: 63
65  Tick type: 0  Size: 9
66  Tick type: 3  Size: 70
67  Tick type: 3  Size: 66
68  Tick type: 45  Value: 1551258370
69  Tick type: 4  Price: 2782.75
70  Tick type: 5  Size: 1
71  Tick type: 5  Size: 1
72  Tick type: 8  Size: 75878
73  Tick type: 0  Size: 17
74  Tick type: 3  Size: 65
75  Tick type: 4  Price: 2782.5
76  Tick type: 5  Size: 2
77  Tick type: 5  Size: 2
78  Tick type: 8  Size: 75880
79  Tick type: 0  Size: 4
80  Tick type: 3  Size: 68
81  Tick type: 5  Size: 3
82  Tick type: 8  Size: 75883
83  Tick type: 0  Size: 5
84  Tick type: 3  Size: 72
85  Tick type: 45  Value: 1551258371
86  Tick type: 5  Size: 1
87  Tick type: 8  Size: 75884
88  Tick type: 0  Size: 12
89  Tick type: 3  Size: 67
90  Tick type: 1  Price: 2782.25
91  Tick type: 0  Size: 64
92  Tick type: 2  Price: 2782.5
93  Tick type: 3  Size: 2
94  Tick type: 0  Size: 64
95  Tick type: 3  Size: 2
96  Tick type: 45  Value: 1551258373
97  Tick type: 4  Price: 2782.25
98  Tick type: 5  Size: 5
99  Tick type: 5  Size: 5
100  Tick type: 8  Size: 75897
101  Tick type: 0  Size: 52
102  Tick type: 3  Size: 28
103  Tick type: 0  Size: 48
104  Tick type: 3  Size: 45
105  Tick type: 45  Value: 1551258376
106  Tick type: 5  Size: 12
107  Tick type: 8  Size: 75909
108  Tick type: 0  Size: 29
109  Tick type: 3  Size: 41
An exception has occurred, use %tb to see the full traceback.

SystemExit

完整回溯如下：

Traceback (most recent call last):

  File "<ipython-input-9-9e6a0c5dfe6c>", line 1, in <module>
    runfile('C:/readIB_test.py', wdir='C:/Desktop')

  File "C:\ProgramData\Anaconda3\lib\site-packages\spyder_kernels\customize\spydercustomize.py", line 668, in runfile
    execfile(filename, namespace)

  File "C:\ProgramData\Anaconda3\lib\site-packages\spyder_kernels\customize\spydercustomize.py", line 108, in execfile
    exec(compile(f.read(), filename, 'exec'), namespace)

  File "C:/readIB_test.py", line 86, in <module>
    app.run()

  File "C:\ProgramData\Anaconda3\lib\site-packages\ibapi-9.73.7-py3.7.egg\ibapi\client.py", line 228, in run
    self.keyboardInterruptHard()

  File "C:\ProgramData\Anaconda3\lib\site-packages\ibapi-9.73.7-py3.7.egg\ibapi\client.py", line 215, in keyboardInterruptHard
    raise SystemExit()

SystemExit

Answer 1

最终，我发现问题是由IBapi本身引起的。 client.py内部的run（）内部有一个设置为20的计时器。 不确定为什么要像参考文档那样发布API，因此循环应无限运行。 我只是注释掉超时行，然后我的代码可以正常工作了。

组织client.py：

def run(self):
        """This is the function that has the message loop."""
        timeStart = time.time()
        timeOut = 20

        try:
            while not self.done and (self.isConnected()
                        or not self.msg_queue.empty()):
                if time.time() - timeStart > timeOut: # stop application after timeout
                    self.keyboardInterrupt()
                    self.keyboardInterruptHard()

我对超时行进行了注释：

    def run(self):
        """This is the function that has the message loop."""
        #timeStart = time.time()
        #timeOut = 20

        try:
            while not self.done and (self.isConnected()
                        or not self.msg_queue.empty()):
                #if time.time() - timeStart > timeOut: # stop application after timeout
                    #self.keyboardInterrupt()
                    #self.keyboardInterruptHard()