盈透证券交易平台历史数据 KeepUptoDate

Question

我正在尝试从 TWS API 下载历史数据，并使用 keepuptodate=True 使数据保持最新。 到目前为止，我已经设法从 TWS API 下载历史数据并将其存储在 Dataframe 中。

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
import threading
import time

class TradingApp(EWrapper, EClient):
    def __init__(self):
        EClient.__init__(self,self)
        
    def historicalData(self, reqId, bar):
        print("HistoricalData. ReqId:", reqId, "BarData.", bar)        

def websocket_con():
    app.run()
    
app = TradingApp()      
app.connect("127.0.0.1", 7497, clientId=1)

con_thread = threading.Thread(target=websocket_con, daemon=True)
con_thread.start()
time.sleep(1) # some latency added to ensure that the connection is established

def usTechStk(symbol,sec_type="STK",currency="USD",exchange="ISLAND"):
    contract = Contract()
    contract.symbol = symbol
    contract.secType = sec_type
    contract.currency = currency
    contract.exchange = exchange
    return contract 

def histData(req_num,contract,duration,candle_size):
    app.reqHistoricalData(reqId=req_num, 
                          contract=contract,
                          endDateTime='',
                          durationStr=duration,
                          barSizeSetting=candle_size,
                          whatToShow='TRADES',
                          useRTH=0,
                          formatDate=1,
                          keepUpToDate=True,
                          chartOptions=[])  

tickers = ["META","AMZN","INTC"]
for ticker in tickers:
    print(ticker)
    histData(tickers.index(ticker),usTechStk(ticker),'2 D', '1 min')
    time.sleep(10)

我还设法使历史数据保持最新。

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
import threading
import time

class TradingApp(EWrapper, EClient):
    def __init__(self):
        EClient.__init__(self,self)
        
    def historicalData(self, reqId, bar):
        print("HistoricalData. ReqId:", reqId, "BarData.", bar)
    def historicalDataUpdate(self, reqId, bar):
             print("HistoricalDataUpdate. ReqId:", reqId, "BarData.", bar)
      
def websocket_con():
    app.run()
    
app = TradingApp()      
app.connect("127.0.0.1", 7497, clientId=1)

con_thread = threading.Thread(target=websocket_con, daemon=True)
con_thread.start()
time.sleep(1)

contract = Contract()
contract.symbol = "META"
contract.secType = "STK"
contract.currency = "USD"
contract.exchange = "ISLAND"

app.reqHistoricalData(reqId=1, 
                      contract=contract,
                      endDateTime='',
                      durationStr='2 D',
                      barSizeSetting='1 min',
                      whatToShow='TRADES',
                      useRTH=0,
                      formatDate=1,
                      keepUpToDate=True,
                      chartOptions=[])   
time.sleep(5)

app.historicalDataUpdate(reqId=1,bar='BarData')  # EClient function to request contract details

如何获取第一个代码块中的数据帧以使用流数据进行更新？

Answer 1

我为其他卡住的人进行了分类和共享。

# Import libraries
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
import pandas as pd
import threading
import time

class TradeApp(EWrapper, EClient): 
    def __init__(self): 
        EClient.__init__(self, self) 
        self.data = {}
        
    def historicalData(self, reqId, bar):
        if reqId not in self.data:
            self.data[reqId] = [{"Date":bar.date,"Open":bar.open,"High":bar.high,"Low":bar.low,"Close":bar.close,"Volume":bar.volume}]
        else:
            self.data[reqId].append({"Date":bar.date,"Open":bar.open,"High":bar.high,"Low":bar.low,"Close":bar.close,"Volume":bar.volume})
            print("reqID:{}, date:{}, open:{}, high:{}, low:{}, close:{}, volume:{}".format(reqId,bar.date,bar.open,bar.high,bar.low,bar.close,bar.volume))
    
    def historicalDataUpdate(self, reqId, bar):
        if reqId in self.data:
            print('reqid in data')
            self.data[reqId].append({"Date":bar.date,"Open":bar.open,"High":bar.high,"Low":bar.low,"Close":bar.close,"Volume":bar.volume})
            #print("HistoricalDataUpdate. ReqId:", reqId, "BarData.", bar)
        
def usTechStk(symbol,sec_type="CASH",currency="JPY",exchange="IDEALPRO"):
    contract = Contract()
    contract.symbol = symbol
    contract.secType = sec_type
    contract.currency = currency
    contract.exchange = exchange
    return contract 

def histData(req_num,contract,duration,candle_size):
    """extracts historical data"""
    app.reqHistoricalData(reqId=req_num, 
                          contract=contract,
                          endDateTime='',
                          durationStr=duration,
                          barSizeSetting=candle_size,
                          whatToShow='MIDPOINT',
                          useRTH=0,
                          formatDate=1,
                          keepUpToDate=True,
                          chartOptions=[])   # EClient function to request contract details

def websocket_con():
    app.run()
    
app = TradeApp()
app.connect(host='127.0.0.1', port=7497, clientId=23) #port 4002 for ib gateway paper trading/7497 for TWS paper trading
con_thread = threading.Thread(target=websocket_con, daemon=True)
con_thread.start()
time.sleep(1) # some latency added to ensure that the connection is established

tickers = ['USD','EUR']
for ticker in tickers:
    histData(tickers.index(ticker),usTechStk(ticker),'2 D', '1 min')
    time.sleep(5)

###################storing trade app object in dataframe#######################
def dataDataframe(symbols,TradeApp_obj):
    "returns extracted historical data in dataframe format"
    df_data = {}
    for symbol in symbols:
        df_data[symbol] = pd.DataFrame(TradeApp_obj.data[symbols.index(symbol)])
        df_data[symbol].set_index("Date",inplace=True)
    return df_data

while True:
    #extract and store historical data in dataframe
    historicalData = dataDataframe(tickers,app)
    print(historicalData)
    time.sleep(60)