如何从交互式经纪人API获取历史股价数据? [英] How to get historical stock price data from interactive brokers API?

问题描述

我想使用IBAPI来获取历史库存数据.我的代码不起作用，什么也没有返回.有人可以帮我编辑代码吗?谢谢

I want to use IBAPI to get historical stock data. My code does not work and returns nothings. Can anybody help me edit the code? Thanks

from ibapi import client
from ibapi import wrapper
import datetime
from ibapi.contract import Contract
from ibapi.common import BarData

# ! [socket_init]
class App(wrapper.EWrapper,client.EClient):
    def __init__(self):
        wrapper.EWrapper.__init__(self)
        client.EClient.__init__(self, wrapper=self)


 #Build a sample contract
contract = Contract();
contract.symbol = "9005.T";
contract.secType = "STK";
contract.currency = "JPY";
contract.exchange = "SMART";


app = App()
app.connect(host='localhost',port=7497, clientId=3)
print(app.isConnected())
queryTime = (datetime.datetime.today() - datetime.timedelta(days=180)).strftime("%Y%m%d %H:%M:%S")
print(app.reqHistoricalData(4102, contract, queryTime,"1 M", "1 day", "MIDPOINT", 1, 1, False, []))
queryTime = (datetime.datetime.today() - datetime.timedelta(days=180)).strftime("%Y%m%d %H:%M:%S")
print(app.historicalData(4102,BarData))


OUTPUT:
True
None
None

我试图阅读源代码.但是我发现对我来说很难理解.其他帖子显示的答案似乎与最新的api版本无关.

I tried to read the source code. But I found it is quite difficult to understand for me. Other posts showed the answer that appears not relevant to the newest api version.

推荐答案

这就是我要做的.

class App(wrapper.EWrapper,client.EClient):如果只想覆盖EClient的任何方法，我只会将其子类化.我不太用python，但是在其他语言中就是这样.

class App(wrapper.EWrapper,client.EClient): I would only subclass EClient if I wanted to override any of it's methods. I don't use python very much but it's like that in other languages.

在class App内部，您需要覆盖您感兴趣的方法，例如historicalData

Inside the class App you need to override the methods you are interested in like historicalData

在app.connect之后，您必须调用app.run()以启动它的消息阅读器线程.一旦该线程获得控制权，它将阻塞您的程序，因此您必须异步执行程序流.

After app.connect you must call app.run() to start it's message reader thread. Once that thread takes control it will block in your program so you must do program flow asynchronously.

我将数字添加到注释中，以便您查看流程.

I will put numbers in comments so you see the flow.

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.common import BarData

import datetime

class MyWrapper(EWrapper):

    def nextValidId(self, orderId:int):
        #4 first message received is this one
        print("setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        #5 start requests here
        self.start()

    def historicalData(self, reqId:int, bar: BarData):
        #7 data is received for every bar
        print("HistoricalData. ReqId:", reqId, "BarData.", bar)

    def historicalDataEnd(self, reqId: int, start: str, end: str):
        #8 data is finished
        print("HistoricalDataEnd. ReqId:", reqId, "from", start, "to", end)
        #9 this is the logical end of your program
        app.disconnect()
        print("finished")

    def error(self, reqId, errorCode, errorString):
        # these messages can come anytime.
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

    def start(self):
        queryTime = (datetime.datetime.today() - datetime.timedelta(days=180)).strftime("%Y%m%d %H:%M:%S")

        fx = Contract()
        fx.secType = "CASH" 
        fx.symbol = "USD"
        fx.currency = "JPY"
        fx.exchange = "IDEALPRO"

        #6 request data, using fx since I don't have Japanese data
        app.reqHistoricalData(4102, fx, queryTime,"1 M", "1 day", "MIDPOINT", 1, 1, False, [])

app = EClient(MyWrapper()) #1 create wrapper subclass and pass it to EClient
app.connect("127.0.0.1", 7497, clientId=123) #2 connect to TWS/IBG
app.run() #3 start message thread

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