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# 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
import time
from threading import Thread
import queue
import datetime
import pandas as pd
import numpy as np
DEFAULT_MARKET_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
def _nan_or_int(x):
if not np.isnan(x):
return int(x)
else:
return x
class stream_of_ticks(list):
"""
Stream of ticks
"""
def __init__(self, list_of_ticks):
super().__init__(list_of_ticks)
def as_pdDataFrame(self):
if len(self)==0:
## no data; do a blank tick
return tick(datetime.datetime.now()).as_pandas_row()
pd_row_list=[tick.as_pandas_row() for tick in self]
pd_data_frame=pd.concat(pd_row_list)
return pd_data_frame
class tick(object):
"""
Convenience method for storing ticks
Not IB specific, use as abstract
"""
def __init__(self, timestamp, bid_size=np.nan, bid_price=np.nan,
ask_size=np.nan, ask_price=np.nan,
last_trade_size=np.nan, last_trade_price=np.nan,
ignorable_tick_id=None):
## ignorable_tick_id keyword must match what is used in the IBtick class
self.timestamp=timestamp
self.bid_size=_nan_or_int(bid_size)
self.bid_price=bid_price
self.ask_size=_nan_or_int(ask_size)
self.ask_price=ask_price
self.last_trade_size=_nan_or_int(last_trade_size)
self.last_trade_price=last_trade_price
def __repr__(self):
return self.as_pandas_row().__repr__()
def as_pandas_row(self):
"""
Tick as a pandas dataframe, single row, so we can concat together
:return: pd.DataFrame
"""
attributes=['bid_size','bid_price', 'ask_size', 'ask_price',
'last_trade_size', 'last_trade_price']
self_as_dict=dict([(attr_name, getattr(self, attr_name)) for attr_name in attributes])
return pd.DataFrame(self_as_dict, index=[self.timestamp])
class IBtick(tick):
"""
Resolve IB tick categories
"""
def __init__(self, timestamp, tickid, value):
resolve_tickid=self.resolve_tickids(tickid)
super().__init__(timestamp, **dict([(resolve_tickid, value)]))
def resolve_tickids(self, tickid):
tickid_dict=dict([("0", "bid_size"), ("1", "bid_price"), ("2", "ask_price"), ("3", "ask_size"),
("4", "last_trade_price"), ("5", "last_trade_size")])
if str(tickid) in tickid_dict.keys():
return tickid_dict[str(tickid)]
else:
# This must be the same as the argument name in the parent class
return "ignorable_tick_id"
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_market_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)
# market data
def init_market_data(self, tickerid):
market_data_queue = self._my_market_data_dict[tickerid] = queue.Queue()
return market_data_queue
def get_time_stamp(self):
## Time stamp to apply to market data
## We could also use IB server time
return datetime.datetime.now()
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
this_tick_data=IBtick(self.get_time_stamp(),tickType, price)
self._my_market_data_dict[tickerid].put(this_tick_data)
def tickSize(self, tickerid, tickType, size):
## overriden method
this_tick_data=IBtick(self.get_time_stamp(), tickType, size)
self._my_market_data_dict[tickerid].put(this_tick_data)
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
this_tick_data=IBtick(self.get_time_stamp(),tickType, float(value))
self._my_market_data_dict[tickerid].put(this_tick_data)
def tickGeneric(self, tickerid, tickType, value):
## overriden method
this_tick_data=IBtick(self.get_time_stamp(),tickType, value)
self._my_market_data_dict[tickerid].put(this_tick_data)
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)
self._market_data_q_dict = {}
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 start_getting_IB_market_data(self, resolved_ibcontract, tickerid=DEFAULT_MARKET_DATA_ID):
"""
Kick off market data streaming
:param resolved_ibcontract: a Contract object
:param tickerid: the identifier for the request
:return: tickerid
"""
self._market_data_q_dict[tickerid] = self.wrapper.init_market_data(tickerid)
self.reqMktData(tickerid, resolved_ibcontract, "", False, False, [])
return tickerid
def stop_getting_IB_market_data(self, tickerid):
"""
Stops the stream of market data and returns all the data we've had since we last asked for it
:param tickerid: identifier for the request
:return: market data
"""
## native EClient method
self.cancelMktData(tickerid)
## Sometimes a lag whilst this happens, this prevents 'orphan' ticks appearing
time.sleep(5)
market_data = self.get_IB_market_data(tickerid)
## output ay errors
while self.wrapper.is_error():
print(self.get_error())
return market_data
def get_IB_market_data(self, tickerid):
"""
Takes all the market data we have received so far out of the stack, and clear the stack
:param tickerid: identifier for the request
:return: market data
"""
## how long to wait for next item
MAX_WAIT_MARKETDATEITEM = 5
market_data_q = self._market_data_q_dict[tickerid]
market_data=[]
finished=False
while not finished:
try:
market_data.append(market_data_q.get(timeout=MAX_WAIT_MARKETDATEITEM))
except queue.Empty:
## no more data
finished=True
return stream_of_ticks(market_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)
## lets get prices for this
ibcontract = IBcontract()
ibcontract.secType = "FUT"
ibcontract.lastTradeDateOrContractMonth="201812"
ibcontract.symbol="GE"
ibcontract.exchange="GLOBEX"
## resolve the contract
resolved_ibcontract = app.resolve_ib_contract(ibcontract)
tickerid = app.start_getting_IB_market_data(resolved_ibcontract)
time.sleep(30)
## What have we got so far?
market_data1 = app.get_IB_market_data(tickerid)
print(market_data1[0])
market_data1_as_df = market_data1.as_pdDataFrame()
print(market_data1_as_df)
time.sleep(30)
## stops the stream and returns all the data we've got so far
market_data2 = app.stop_getting_IB_market_data(tickerid)
## glue the data together
market_data2_as_df = market_data2.as_pdDataFrame()
all_market_data_as_df = pd.concat([market_data1_as_df, market_data2_as_df])
## show some quotes
some_quotes = all_market_data_as_df.resample("1S").last()[["bid_size", "bid_price", "ask_price", "ask_size"]]
print(some_quotes.head(10))
## show some trades
some_trades = all_market_data_as_df.resample("10L").last()[["last_trade_price", "last_trade_size"]]
print(some_trades.head(10))
app.disconnect()
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