# 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()