将API数据存储到数据帧中

Question

我正在运行一个Python脚本，以从InteractiveBrokersAPI收集金融市场数据。连接到API后，终端打印出请求的历史数据。如何将数据保存到数据帧中，而不是流式传输到终端中

from ibapi.wrapper import EWrapper
from ibapi.client import EClient 
from ibapi.contract import Contract
from ibapi.ticktype import TickTypeEnum


class TestApp(EWrapper, EClient):
    def __init__(self):
        EClient.__init__(self,self)

    def error(self, reqId, errorCode, errorString):
        print("Error: ", reqId, " ", errorCode, " ", errorString)

    def historicalData(self, reqId, bar):
        print("historicalData. ", reqId, "Data:", bar.date, "Open:", bar.open, "High:", bar.high, "low:", bar.low, "close:", bar.close, "Volume:", bar.volume, "WAP:", bar.average)


def main():
    app = TestApp()
    app.connect("127.0.0.1", 7497, 0)

    contract = Contract()
    contract.symbol = "EUR"
    contract.secType = "CASH"
    contract.exchange = "IDEALPRO"
    contract.currency = "USD"

    app.reqHistoricalData(1, contract, "", "1 D", "1 min", "MIDPOINT", 0, 1, False, [])

    app.run()


if __name__ == "__main__":
    main()

代码的输出打印历史数据的提要，例如：

historicalData.  1 Data: 20200616  11:53:00 Open: 1.125985 High: 1.12601 low: 1.12592 close: 1.12592 Volume: -1 WAP: -1.0
historicalData.  1 Data: 20200616  11:54:00 Open: 1.12592 High: 1.125925 low: 1.12583 close: 1.125885 Volume: -1 WAP: -1.0
historicalData.  1 Data: 20200616  11:55:00 Open: 1.125885 High: 1.126045 low: 1.125865 close: 1.126045 Volume: -1 WAP: -1.0

如何将这些信息存储到数据框中，而不是仅打印在终端中

Answer 1

您可以在TestApp对象中创建一个dataframe，然后在每次调用historicalData（）时向其添加一行

def __init__(self):
    ...
    self.df = pd.DataFrame(columns=['date', 'open', 'high', 'low', 'close', 'volume'])


def historicalData(self, reqId, bar):
    self.df.loc[len(self.df)] = [bar.date, bar.open, bar.high, bar.low, bar.close, bar.volume]

Answer 2

您也可以使用DataFrame.append（）函数

返回所有历史数据后，将整个数据帧写入数据库，然后清除原始数据帧以供下一个周期重用