如何正确使用Ibpy中的reqMktData？

Question

嗨，伙计们，我刚刚开始研究Ibpy算法，我想先用纸交易来测试它，但我对如何使用reqMktData获得最后的价格有一点了解。我下订单没有问题，但这25秒内没有返回任何东西，我想它只在交易时间使用，或者可能只是使用错误有什么想法吗？

from ib.opt import ibConnection, message
from ib.ext.Contract import Contract
from time import sleep

def my_callback_handler(msg):
    inside_mkt_bid = ''
    inside_mkt_ask = ''

    if msg.field == 1:
        inside_mkt_bid = msg.price
        print 'bid', inside_mkt_bid
    elif msg.field == 2:
        inside_mkt_ask = msg.price
        print 'ask', inside_mkt_ask


tws = ibConnection()
tws.register(my_callback_handler, message.tickSize, message.tickPrice)
tws.connect()

c = Contract()
c.m_symbol = "DATA"
c.m_secType = "STK"
c.m_exchange = "SMART"
c.m_currency = "USD"
tws.reqMktData(788,c,"",False)
sleep(25)
print 'All done'

tws.disconnect()

Answer 1

我以前尝试过IbPy，并成功地获得了数据，但现在我使用了Ibapi，它更困难，仍然不能完全交易，但它有一个调整后的历史价格。

这是我的代码，你可以裁剪你想要的东西。

1.获取股票成员表单Excel

from ib.opt import ibConnection, message
from ib.ext.Contract import Contract
from ib.ext.Order import Order
from ib.ext.TickType import TickType as tt
from time import sleep, time, strftime
import datetime
from __future__ import print_function #I'm using 3.x style print
import pandas as pd
import numpy as np
from math import ceil
import re

xls_file = pd.ExcelFile('xxxx\\Interactive_Broker_trading\\SNP2.xlsx')
df = xls_file.parse('Sheet1')
Ticker = df.iloc[:,1]
all_data = pd.DataFrame(Ticker)
all_data.columns = ['ticker']
all_data['type'] = 'STK'
all_data['exchange'] = 'SMART'
all_data['curr'] = 'USD'
all_data['bidPrice'] =0
all_data['askPrice'] =0
all_data['lastPrice'] =0
all_data['HistoryPrice']=0

2.通过使用for循环获取历史价格，因为我的帐户每分钟有100个请求的限制，所以我将其划分为标准普尔505的8个多会话。然后重新登录每70只股票。我可以在2分钟内得到505个总数。

def error_handler(msg):
    print(msg)
def my_callback_handler(msg):
    if msg.field in [tt.BID,tt.ASK,tt.LAST]:
#         from ib.ext.TickType import TickType as tt

        #now we can just store the response in the data frame
        all_data.loc[msg.tickerId,tt.getField(msg.field)] = msg.price
#         if msg.field == tt.LAST:
# #             print('a')
#             print(all_data.loc[msg.tickerId,'ticker'],msg.price)

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('====================for : ',i+1,'==========================')
    sleep(1)
    tws = ibConnection(clientId=11+i)
    tws.register(my_callback_handler, message.tickPrice, message.tickSize)
    tws.register(error_handler, 'Error')
    tws.connect()
    all_dum = all_data.iloc[i*max_amount_per_Iter:min((i+1)*max_amount_per_Iter,len(all_data)),:]
    for index, row in all_dum.iterrows():


        c = Contract()
        c.m_symbol = row['ticker']
        c.m_exchange = row['exchange']
        c.m_currency = row['curr']
        c.m_secType = row['type']
        # the tickerId is just the index in but for some reason it needs str()
        tws.reqMktData(str(index),c,'',False)

        sleep(0.2)
    sleep(2)
    print('=========End round : ',i+1,'with time :',time() - t,'==============')
    tws.disconnect()

Answer 2

我认为这与IB内部的市场数据订阅有关，因为我也遇到了类似的问题。我在connection上得到了一个TWS时间...随“市场数据场连接”消息一起在结果中返回。确保已建立连接端口和clientID，即：

tws = ibConnection(port=7496,clientId=100)

请注意，7496是一个通用端口，但clientId是您希望指定的任何端口(在文件->应用编程接口->设置下使用的IB帐户中)。