我有一些代码,其中我使用交互式经纪人API和Python请求期货合约的实时市场数据,在本例中是VIX合约。我收到一个数据流,通过修补的包装器打印出来。这是使用IB的实际pythonapi,而不是第三方库。在
我想做的是两个步骤:首先,为最后一个价格设置一个变量,即响应(13.0)中的ticktype4。其次,我想停止当前合同的数据流传输,并请求另一个合同的数据(例如,下一个到期日,20170816)。否则,如果我可以同时请求两组数据,并将它们各自设置为一个变量,那么停止流式传输也将是惊人的。这是我迄今为止从IB发出成功请求的代码。假设API已打开,并且您可以访问VIX期货市场数据(CFE交易所),则响应如下:
from ibapi.wrapper import EWrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *
# Request IB Data in less than 50 lines of code
class BasicApp(EWrapper, EClient):
def __init__(self):
EClient.__init__(self,self)
def error(self, reqId: TickerId, errorCode:int, errorString:str):
print('Error:', reqId, " ", errorCode, " ", errorString)
@iswrapper
def tickPrice(self, reqId: TickerId, tickType: TickType, price: float, attrib: TickAttrib):
super().tickPrice(reqId, tickType, price, attrib)
print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price, "CanAutoExecute:", attrib.canAutoExecute, "PastLimit", attrib.pastLimit)
@iswrapper
def tickSize(self, reqId: TickerId, tickType: TickType, size: int):
super().tickSize(reqId, tickType, size)
print("Tick Size. Ticker Id:", reqId, "tickType:", tickType, "Size:", size)
@iswrapper
def tickString(self, reqId: TickerId, tickType: TickType, value: str):
super().tickString(reqId, tickType, value)
print("Tick string. Ticker Id:", reqId, "Type:", tickType, "Value:", value)
@iswrapper
def tickGeneric(self, reqId: TickerId, tickType: TickType, value: float):
super().tickGeneric(reqId, tickType, value)
print("Tick Generic. Ticker Id:", reqId, "tickType:", tickType, "Value:", value)
def main():
app = BasicApp()
app.connect("127.0.0.1", 4001, 0)
contract = Contract();
contract.symbol = "VIX";
contract.secType = "FUT";
contract.exchange = "CFE";
contract.currency = "USD";
contract.lastTradeDateOrContractMonth = "20170719";
app.reqMktData(1001, contract, "", False, False, [])
app.run()
if __name__ == '__main__':
main()
这是上面打印IB响应的包装:
^{pr2}$
要停止当前合同的流数据,请调用
对于tickerId,使用与中相同的值app.reqmkt数据(在你的例子中是1001)。在
保持最后的价格应该不是问题。插入
^{pr2}$按滴答价格法。在
您可以通过调用app.reqmkt数据用不同的tickerId。在这种情况下,lastprice可以存储在一个集合中(例如,使用tickerId作为键的字典)。在
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