在 Python 中為盈透證券 API 響應設置變量

Question

我有一些代碼，我使用盈透證券 API 和 Python 請求期貨合約的實時市場數據，在這種情況下是 VIX 合約。 我收到了通過修補包裝器打印的數據流。 這是使用來自 IB 的實際 Python API，而不是第三方庫。

我想做的是兩方面：首先，將變量設置為最后一個價格，即響應中的 tickType 4 (13.0)。 其次，我想停止當前合同的流數據並請求另一個合同的數據（例如下一個到期日，20170816。）否則，如果我可以同時請求兩組數據並將它們分別設置為一個變量，那么停止流媒體也將是驚人的。 這是迄今為止我所擁有的代碼，它向 IB 發出了成功的請求。 假設 API 已啟用並且您可以訪問 VIX 期貨市場數據（CFE 交易所），響應如下：

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()

這是上面打印 IB 響應的包裝器：

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

要停止當前合約的流數據，請調用

app.cancelMktData(tickerId); 

對於tickerId，請使用與 app.reqMktData 中相同的值（在您的示例中為 1001）。

保持最后的價格應該不是問題。 插入

lastPrice = price;

在 tickPrice 方法中。

您可以通過使用不同的tickerId 調用app.reqMktData 來並行接收多個工具的市場數據。 在這種情況下，lastprice 可以存儲在一個集合中（例如，使用tickerId 作為鍵的字典）。

Answer 2

目標 1：可以通過以下代碼實現：

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.

目標 2：
如果您訂閱了他們的其中一個實時訂閱源，IB 允許 3 個同時的市場報價數據請求，如下面的文檔所示：

限制考慮到潛在的大量數據被發送，市場深度請求的限制要大得多。 與歷史數據請求一樣，活躍深度請求的數量與市場數據線的數量有關，最少3條，最多60條：

沒有技術困難，只需同時請求3個不同reqIds的3個合約的報價數據。 我也喜歡初始化一個字典來存儲合同信息，以便在將數據寫入數據庫時​​，但不要忘記在請求數據之前將 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))