Create a gist now

Instantly share code, notes, and snippets.

# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
# but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:
# https://www.interactivebrokers.com/en/?f=%2Fen%2Fcontrol%2Fsystemstandalone-ibGateway.php%3Fos%3Dunix
# (for unix: windows and mac users please find your own version)
#
# Run the gateway
#
# user: edemo
# pwd: demo123
#
# Now I'll try and replicate the historical data example
from ibapi.wrapper import EWrapper
from ibapi.client import EClient
from ibapi.contract import Contract as IBcontract
from threading import Thread
import queue
import datetime
DEFAULT_HISTORIC_DATA_ID=50
DEFAULT_GET_CONTRACT_ID=43
## marker for when queue is finished
FINISHED = object()
STARTED = object()
TIME_OUT = object()
class finishableQueue(object):
def __init__(self, queue_to_finish):
self._queue = queue_to_finish
self.status = STARTED
def get(self, timeout):
"""
Returns a list of queue elements once timeout is finished, or a FINISHED flag is received in the queue
:param timeout: how long to wait before giving up
:return: list of queue elements
"""
contents_of_queue=[]
finished=False
while not finished:
try:
current_element = self._queue.get(timeout=timeout)
if current_element is FINISHED:
finished = True
self.status = FINISHED
else:
contents_of_queue.append(current_element)
## keep going and try and get more data
except queue.Empty:
## If we hit a time out it's most probable we're not getting a finished element any time soon
## give up and return what we have
finished = True
self.status = TIME_OUT
return contents_of_queue
def timed_out(self):
return self.status is TIME_OUT
class TestWrapper(EWrapper):
"""
The wrapper deals with the action coming back from the IB gateway or TWS instance
We override methods in EWrapper that will get called when this action happens, like currentTime
Extra methods are added as we need to store the results in this object
"""
def __init__(self):
self._my_contract_details = {}
self._my_historic_data_dict = {}
## error handling code
def init_error(self):
error_queue=queue.Queue()
self._my_errors = error_queue
def get_error(self, timeout=5):
if self.is_error():
try:
return self._my_errors.get(timeout=timeout)
except queue.Empty:
return None
return None
def is_error(self):
an_error_if=not self._my_errors.empty()
return an_error_if
def error(self, id, errorCode, errorString):
## Overriden method
errormsg = "IB error id %d errorcode %d string %s" % (id, errorCode, errorString)
self._my_errors.put(errormsg)
## get contract details code
def init_contractdetails(self, reqId):
contract_details_queue = self._my_contract_details[reqId] = queue.Queue()
return contract_details_queue
def contractDetails(self, reqId, contractDetails):
## overridden method
if reqId not in self._my_contract_details.keys():
self.init_contractdetails(reqId)
self._my_contract_details[reqId].put(contractDetails)
def contractDetailsEnd(self, reqId):
## overriden method
if reqId not in self._my_contract_details.keys():
self.init_contractdetails(reqId)
self._my_contract_details[reqId].put(FINISHED)
## Historic data code
def init_historicprices(self, tickerid):
historic_data_queue = self._my_historic_data_dict[tickerid] = queue.Queue()
return historic_data_queue
def historicalData(self, tickerid , date:str, open:float, high:float,
low:float, close:float, volume:int, barCount:int,
WAP:float, hasGaps:int):
## Overriden method
## Note I'm choosing to ignore barCount, WAP and hasGaps but you could use them if you like
bardata=(date, open, high, low, close, volume)
historic_data_dict=self._my_historic_data_dict
## Add on to the current data
if tickerid not in historic_data_dict.keys():
self.init_historicprices(tickerid)
historic_data_dict[tickerid].put(bardata)
def historicalDataEnd(self, tickerid, start:str, end:str):
## overriden method
if tickerid not in self._my_historic_data_dict.keys():
self.init_historicprices(tickerid)
self._my_historic_data_dict[tickerid].put(FINISHED)
class TestClient(EClient):
"""
The client method
We don't override native methods, but instead call them from our own wrappers
"""
def __init__(self, wrapper):
## Set up with a wrapper inside
EClient.__init__(self, wrapper)
def resolve_ib_contract(self, ibcontract, reqId=DEFAULT_GET_CONTRACT_ID):
"""
From a partially formed contract, returns a fully fledged version
:returns fully resolved IB contract
"""
## Make a place to store the data we're going to return
contract_details_queue = finishableQueue(self.init_contractdetails(reqId))
print("Getting full contract details from the server... ")
self.reqContractDetails(reqId, ibcontract)
## Run until we get a valid contract(s) or get bored waiting
MAX_WAIT_SECONDS = 10
new_contract_details = contract_details_queue.get(timeout = MAX_WAIT_SECONDS)
while self.wrapper.is_error():
print(self.get_error())
if contract_details_queue.timed_out():
print("Exceeded maximum wait for wrapper to confirm finished - seems to be normal behaviour")
if len(new_contract_details)==0:
print("Failed to get additional contract details: returning unresolved contract")
return ibcontract
if len(new_contract_details)>1:
print("got multiple contracts using first one")
new_contract_details=new_contract_details[0]
resolved_ibcontract=new_contract_details.summary
return resolved_ibcontract
def get_IB_historical_data(self, ibcontract, durationStr="1 Y", barSizeSetting="1 day",
tickerid=DEFAULT_HISTORIC_DATA_ID):
"""
Returns historical prices for a contract, up to today
ibcontract is a Contract
:returns list of prices in 4 tuples: Open high low close volume
"""
## Make a place to store the data we're going to return
historic_data_queue = finishableQueue(self.init_historicprices(tickerid))
# Request some historical data. Native method in EClient
self.reqHistoricalData(
tickerid, # tickerId,
ibcontract, # contract,
datetime.datetime.today().strftime("%Y%m%d %H:%M:%S %Z"), # endDateTime,
durationStr, # durationStr,
barSizeSetting, # barSizeSetting,
"TRADES", # whatToShow,
1, # useRTH,
1, # formatDate
[] ## chartoptions not used
)
## Wait until we get a completed data, an error, or get bored waiting
MAX_WAIT_SECONDS = 10
print("Getting historical data from the server... could take %d seconds to complete " % MAX_WAIT_SECONDS)
historic_data = historic_data_queue.get(timeout = MAX_WAIT_SECONDS)
while self.wrapper.is_error():
print(self.get_error())
if historic_data_queue.timed_out():
print("Exceeded maximum wait for wrapper to confirm finished - seems to be normal behaviour")
self.cancelHistoricalData(tickerid)
return historic_data
class TestApp(TestWrapper, TestClient):
def __init__(self, ipaddress, portid, clientid):
TestWrapper.__init__(self)
TestClient.__init__(self, wrapper=self)
self.connect(ipaddress, portid, clientid)
thread = Thread(target = self.run)
thread.start()
setattr(self, "_thread", thread)
self.init_error()
#if __name__ == '__main__':
app = TestApp("127.0.0.1", 4001, 1)
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.lastTradeDateOrContractMonth="201809"
ibcontract.symbol="GE"
ibcontract.exchange="GLOBEX"
resolved_ibcontract=app.resolve_ib_contract(ibcontract)
historic_data = app.get_IB_historical_data(resolved_ibcontract)
print(historic_data)
app.disconnect()
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment