如何在python上获取ibapi中的一系列请求
我对Python和ibapi都是新手,我问过Interactive Broker本身,他们只告诉我: self.done最初是在父类EClient中定义的 用于指示当前API连接已“完成”。你应该 不要将其用作停止自己构建的循环的指示器。 您可以保持一个API客户端连接处于活动状态,直到完成 下载了您需要的所有历史数据。如果你需要慢下来 在请求数据的速度方面,您可以使用其他线程控件 python,例如sleep()函数,在 循环,这样它就不会同时发送所有合同的历史数据请求 一次 所以我认为错误来自如何在python上获取ibapi中的一系列请求,python,wrapper,quantitative-finance,interactive-brokers,Python,Wrapper,Quantitative Finance,Interactive Brokers,我对Python和ibapi都是新手,我问过Interactive Broker本身,他们只告诉我: self.done最初是在父类EClient中定义的 用于指示当前API连接已“完成”。你应该 不要将其用作停止自己构建的循环的指示器。 您可以保持一个API客户端连接处于活动状态,直到完成 下载了您需要的所有历史数据。如果你需要慢下来 在请求数据的速度方面,您可以使用其他线程控件 python,例如sleep()函数,在 循环,这样它就不会同时发送所有合同的历史数据请求 一次 所以我认为错误来
self.done = True
这是我的密码
from ibapi import wrapper
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract as IBcontract
from threading import Thread
import queue
import datetime
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 historicalData(self, reqId:int, bar: BarData):
print("HistoricalData. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
if all_data.iloc[reqId,7] == 0:
all_data.iloc[reqId,7] = bar.close
self.done = True
@iswrapper
def historicalDataEnd(self, reqId: int, start: str, end: str):
super().historicalDataEnd(reqId, start, end)
print("HistoricalDataEnd ", reqId, "from", start, "to", end)
@iswrapper
def historicalDataUpdate(self, reqId: int, bar: BarData):
print("HistoricalDataUpdate. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
def main():
t = time()
max_amount_per_Iter = 70 #max number per iter to save cost
max_Iter = ceil(len(all_data)/max_amount_per_Iter)
for i in range (0,max_Iter):
print('====================round : ',i+1,'===============================')
app = TestApp()
app.connect("127.0.0.1", 7496, clientId=i)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),app.twsConnectionTime()))
for j in range (0,min(max_amount_per_Iter,len(all_data)-i*max_amount_per_Iter)):
print(j+i*70)
app.i = j+i*max_amount_per_Iter
contract = Contract()
contract.symbol = all_data.iloc[app.i,0]
contract.secType = all_data.iloc[app.i,1]
contract.currency = all_data.iloc[app.i,3]
contract.exchange = all_data.iloc[app.i,2]
app.reqHistoricalData(app.i, contract, "","1 W", "1 day", "Adjusted_Last", 1, 1, False, [])
app.run()
sleep(1)
app.disconnect()
sleep(0.02)
print('=========End round : ',i+1,'with time :',time() - t,'==============')
if __name__ == "__main__":
main()
我希望看到一个建议,如何在不使用self.done或断开TWS的情况下传递到下一个迭代。如果我不包括self.done,程序将在第一次迭代I=0,j=0时在无限循环上运行,没有人告诉它退出
因此,如果你不知道可以解决我问题的直接答案,你可以建议:
====================round : 1 ===============================
step2
serverVersion:124 connectionTime:b'20170821 22:34:09 ICT'
0
ERROR:root:ERROR -1 2104 Market data farm connection is OK:hfarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:jfarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:usfuture
ERROR:root:ERROR -1 2104 Market data farm connection is OK:eufarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:cashfarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:usfarm.us
ERROR:root:ERROR -1 2104 Market data farm connection is OK:usfarm
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:ilhmds
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:euhmds
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:fundfarm
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:ushmds
HistoricalData. 0 Date: 20170815 Open: 67.2 High: 68.24 Low: 66.99 Close: 68.02 Volume: 13268 Count: 9453 WAP: 67.8105
HistoricalData. 0 Date: 20170816 Open: 68.28 High: 68.91 Low: 67.45 Close: 68.01 Volume: 11950 Count: 9723 WAP: 68.457
HistoricalData. 0 Date: 20170817 Open: 67.8 High: 68.53 Low: 66.83 Close: 66.89 Volume: 11407 Count: 9432 WAP: 67.504
HistoricalData. 0 Date: 20170818 Open: 66.91 High: 67.25 Low: 66.57 Close: 66.78 Volume: 12091 Count: 9637 WAP: 66.8445
HistoricalData. 0 Date: 20170821 Open: 66.9 High: 66.96 Low: 66.14 Close: 66.28 Volume: 3317 Count: 2541 WAP: 66.3425
HistoricalDataEnd 0 from 20170814 22:34:14 to 20170821 22:34:14
ERROR:root:ERROR 1 504 Not connected
ERROR:root:ERROR 2 504 Not connected
ERROR:root:ERROR 3 504 Not connected
ERROR:root:ERROR 4 504 Not connected
ERROR:root:ERROR 5 504 Not connected
ERROR:root:ERROR 6 504 Not connected
ERROR:root:ERROR 7 504 Not connected
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ERROR:root:ERROR 68 504 Not connected
ERROR:root:ERROR 69 504 Not connected
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=========End round : 1 with time : 7.807971477508545 ==============
====================round : 2 ===============================
step2
ERROR:root:ERROR -1 2104 Market data farm connection is OK:hfarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:jfarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:usfuture
ERROR:root:ERROR -1 2104 Market data farm connection is OK:eufarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:cashfarm
ERROR:root:ERROR -1 2104 Market data farm connection is OK:usfarm.us
ERROR:root:ERROR -1 2104 Market data farm connection is OK:usfarm
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:ilhmds
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:euhmds
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:fundfarm
ERROR:root:ERROR -1 2106 HMDS data farm connection is OK:ushmds
serverVersion:124 connectionTime:b'20170821 22:34:17 ICT'
70
HistoricalData. 70 Date: 20170815 Open: 117.23 High: 117.62 Low: 116.58 Close: 117.43 Volume: 7232 Count: 6205 WAP: 117.1295
HistoricalData. 70 Date: 20170816 Open: 117.49 High: 119.59 Low: 117.03 Close: 119.25 Volume: 16468 Count: 11498 WAP: 118.8035
HistoricalData. 70 Date: 20170817 Open: 119.19 High: 119.48 Low: 116.46 Close: 116.47 Volume: 12285 Count: 10072 WAP: 117.4645
HistoricalData. 70 Date: 20170818 Open: 116.0 High: 117.84 Low: 115.46 Close: 116.88 Volume: 14917 Count: 10824 WAP: 116.9795
HistoricalData. 70 Date: 20170821 Open: 116.85 High: 117.4 Low: 116.15 Close: 116.77 Volume: 3471 Count: 2599 WAP: 116.5535
HistoricalDataEnd 70 from 20170814 22:34:19 to 20170821 22:34:19
ERROR:root:ERROR 71 504 Not connected
ERROR:root:ERROR 72 504 Not connected
您需要使用另一个标志来终止历史数据提取,而不是像IB所示的“保留”的
self.done
如果print x.\uu dict\uu
其中x
是TestApp
的一个实例,您将看到基类已经在使用什么,并且不应该被重写,除非您已经对此处显示的方法进行了重写
如果你想存储结果,而不是仅仅打印结果;最好像我在这里做的那样使用队列:
您需要使用另一个标志来终止历史数据提取,而不是
self.done
,如IB所示,它是“保留的”
如果print x.\uu dict\uu
其中x
是TestApp
的一个实例,您将看到基类已经在使用什么,并且不应该被重写,除非您已经对此处显示的方法进行了重写
如果你想存储结果,而不是仅仅打印结果;最好像我在这里做的那样使用队列:
我建议在这里重新设计一下 在您的示例中,您在获取第一个数据后立即使用self.done=True断开与API的连接。由于请求的数据以非常快的速度到达,因此在执行此操作之前,您将获得请求的所有数据。在输出中看到的结果是:您获得并处理了第一个请求的所有数据,然后发现自己断开了连接。这句话对我来说是重复的
from ibapi import wrapper
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract as IBcontract
from threading import Thread
import queue
import datetime
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 historicalData(self, reqId:int, bar: BarData):
print("HistoricalData. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
if all_data.iloc[reqId,7] == 0:
all_data.iloc[reqId,7] = bar.close
# the line below is not necessary
#self.done = True
@iswrapper
def historicalDataEnd(self, reqId: int, start: str, end: str):
super().historicalDataEnd(reqId, start, end)
print("HistoricalDataEnd ", reqId, "from", start, "to", end)
print('=========End round : ',app.i+1,'with time :',time() - app.t,'==============')
app.i++
if app.i==len(all_data):
app.disconnect() # Disconnect here: get out of app.run() when all data processed
else:
# add some sleep here if necessary
reqNext()
@iswrapper
def historicalDataUpdate(self, reqId: int, bar: BarData):
print("HistoricalDataUpdate. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
def reqNext():
print('====================round : ',app.i+1,'===============================')
contract = Contract()
contract.symbol = all_data.iloc[app.i,0]
contract.secType = all_data.iloc[app.i,1]
contract.currency = all_data.iloc[app.i,3]
contract.exchange = all_data.iloc[app.i,2]
app.reqHistoricalData(app.i, contract, "","1 W", "1 day", "Adjusted_Last", 1, 1, False, [])
def main():
app = TestApp()
app.connect("127.0.0.1", 7496, clientId=1234)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),app.twsConnectionTime()))
app.i = 0
app.t = time()
reqNext()
app.run()
# when we arrive here, app is disconnected already
if __name__ == "__main__":
main()
我建议重新设计一下 在您的示例中,您在获取第一个数据后立即使用self.done=True断开与API的连接。由于请求的数据以非常快的速度到达,因此在执行此操作之前,您将获得请求的所有数据。在输出中看到的结果是:您获得并处理了第一个请求的所有数据,然后发现自己断开了连接。这句话对我来说是重复的
from ibapi import wrapper
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract as IBcontract
from threading import Thread
import queue
import datetime
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 historicalData(self, reqId:int, bar: BarData):
print("HistoricalData. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
if all_data.iloc[reqId,7] == 0:
all_data.iloc[reqId,7] = bar.close
# the line below is not necessary
#self.done = True
@iswrapper
def historicalDataEnd(self, reqId: int, start: str, end: str):
super().historicalDataEnd(reqId, start, end)
print("HistoricalDataEnd ", reqId, "from", start, "to", end)
print('=========End round : ',app.i+1,'with time :',time() - app.t,'==============')
app.i++
if app.i==len(all_data):
app.disconnect() # Disconnect here: get out of app.run() when all data processed
else:
# add some sleep here if necessary
reqNext()
@iswrapper
def historicalDataUpdate(self, reqId: int, bar: BarData):
print("HistoricalDataUpdate. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
def reqNext():
print('====================round : ',app.i+1,'===============================')
contract = Contract()
contract.symbol = all_data.iloc[app.i,0]
contract.secType = all_data.iloc[app.i,1]
contract.currency = all_data.iloc[app.i,3]
contract.exchange = all_data.iloc[app.i,2]
app.reqHistoricalData(app.i, contract, "","1 W", "1 day", "Adjusted_Last", 1, 1, False, [])
def main():
app = TestApp()
app.connect("127.0.0.1", 7496, clientId=1234)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),app.twsConnectionTime()))
app.i = 0
app.t = time()
reqNext()
app.run()
# when we arrive here, app is disconnected already
if __name__ == "__main__":
main()
非常感谢Janos,这真的帮助了我,我已经改变了这一点,这是工作 谢谢你的建议我会改进的 因为你的代码有一些bug,所以我让它可以运行
from ibapi import wrapper
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract as IBcontract
from threading import Thread
import queue
import datetime
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 historicalData(self, reqId:int, bar: BarData):
print("HistoricalData. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
if all_data.iloc[reqId,7] == 0:
all_data.iloc[reqId,7] = bar.close
# the line below is not necessary
#self.done = True
@iswrapper
def historicalDataEnd(self, reqId: int, start: str, end: str):
super().historicalDataEnd(reqId, start, end)
print("HistoricalDataEnd ", reqId, "from", start, "to", end)
print('=========End round : ',self.i+1,'with time :',time() - self.t,'==============')
self.i = self.i+1
if self.i==len(all_data):
self.disconnect() # Disconnect here: get out of app.run() when all data processed
else:
# add some sleep here if necessary
reqNext(self.i,self)
@iswrapper
def historicalDataUpdate(self, reqId: int, bar: BarData):
print("HistoricalDataUpdate. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
def reqNext(i,app):
print('====================round : ',i+1,'===============================')
contract = Contract()
contract.symbol = all_data.iloc[i,0]
contract.secType = all_data.iloc[i,1]
contract.currency = all_data.iloc[i,3]
contract.exchange = all_data.iloc[i,2]
app.reqHistoricalData(i, contract, "","1 W", "1 day", "Adjusted_Last", 1, 1, False, [])
def main():
app = TestApp()
app.connect("127.0.0.1", 7496, clientId=1234)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),app.twsConnectionTime()))
app.i = 0
app.t = time()
reqNext(app.i,app)
app.run()
# when we arrive here, app is disconnected already
if __name__ == "__main__":
main()
非常感谢Janos,这真的帮助了我,我已经改变了这一点,这是工作 谢谢你的建议我会改进的 因为你的代码有一些bug,所以我让它可以运行
from ibapi import wrapper
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract as IBcontract
from threading import Thread
import queue
import datetime
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 historicalData(self, reqId:int, bar: BarData):
print("HistoricalData. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
if all_data.iloc[reqId,7] == 0:
all_data.iloc[reqId,7] = bar.close
# the line below is not necessary
#self.done = True
@iswrapper
def historicalDataEnd(self, reqId: int, start: str, end: str):
super().historicalDataEnd(reqId, start, end)
print("HistoricalDataEnd ", reqId, "from", start, "to", end)
print('=========End round : ',self.i+1,'with time :',time() - self.t,'==============')
self.i = self.i+1
if self.i==len(all_data):
self.disconnect() # Disconnect here: get out of app.run() when all data processed
else:
# add some sleep here if necessary
reqNext(self.i,self)
@iswrapper
def historicalDataUpdate(self, reqId: int, bar: BarData):
print("HistoricalDataUpdate. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
def reqNext(i,app):
print('====================round : ',i+1,'===============================')
contract = Contract()
contract.symbol = all_data.iloc[i,0]
contract.secType = all_data.iloc[i,1]
contract.currency = all_data.iloc[i,3]
contract.exchange = all_data.iloc[i,2]
app.reqHistoricalData(i, contract, "","1 W", "1 day", "Adjusted_Last", 1, 1, False, [])
def main():
app = TestApp()
app.connect("127.0.0.1", 7496, clientId=1234)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),app.twsConnectionTime()))
app.i = 0
app.t = time()
reqNext(app.i,app)
app.run()
# when we arrive here, app is disconnected already
if __name__ == "__main__":
main()
你能告诉我到底是什么问题吗?我知道你想下载历史数据,但你没有告诉我出了什么问题。你没有得到数据吗?还是有错误?您也可以分享您发送给IB的问题。我无法从安检中弄清楚