Question

我正在努力研究ScannerSubscription的结果例如，如果我要求：

qqq_id = 0
subscript = ScannerSubscription()
subscript.numberOfRows(15)
subscript.m_scanCode = 'HIGH_OPEN_GAP'
subscript.m_instrument = 'STK'
subscript.m_averageOptionVolumeAbove = ''
subscript.m_couponRateAbove = ''
subscript.m_couponRateBelow = ''
subscript.m_abovePrice = '5'
subscript.m_belowPrice = ''
subscript.m_marketCapAbove = ''
subscript.m_marketCapBelow = ''
subscript.m_aboveVolume = '100000'
subscript.m_stockTypeFilter = 'ALL'
subscript.locationCode('STK.US.MAJOR')
tws_conn.reqScannerSubscription(qqq_id, subscript)
tws_conn.reqScannerParameters()

我收到了scannerData这样的回复：

<scannerData reqId=0, rank=0, contractDetails=<ib.ext.ContractDetails.ContractDetails object at 0x00000000036EFA58>, distance=None, benchmark=None, projection=None, legsStr=None>
等...

但我无法检索结果值，例如：

reqScannerParameters() xml结果指定<colId>390</colId>作为Gap值的colId：

<ScanType>
    <displayName>Top Close-to-Open % Gainers</displayName>
    <scanCode>HIGH_OPEN_GAP</scanCode>
    <instruments>STK,STOCK.NA,STOCK.EU,STOCK.HK,FUT.US,FUT.HK,FUT.EU,FUT.NA</instruments>
    <absoluteColumns>false</absoluteColumns>
<Columns varName="columns">
<Column>
    <colId>390</colId>
    <name>Gap</name>
    <display>true</display>
    <section>m</section>
    <displayType>DATA</displayType>
</Column>

如何检索GAP值？
这甚至可能吗？

Answer 1

现在我确定你应该在签订合同后请求数据。

import pandas as pd
scans = 15
res = pd.DataFrame(index = range(scans), columns = ['sym','open','close','calc']).fillna(0)
msgs = []

from ib.ext.Contract import Contract
from ib.opt import ibConnection, message
from ib.ext.TickType import TickType as tt

def tickPrice(msg):
    global scans 

    if msg.field in [tt.OPEN, tt.CLOSE]:
        res.loc[msg.tickerId,tt.getField(msg.field)] = msg.price

    op = res.loc[msg.tickerId,'open']
    cl = res.loc[msg.tickerId,'close']

    if  op > 0 and cl > 0 and res.loc[msg.tickerId,'calc'] == 0:
        res.loc[msg.tickerId,'calc'] = ((op-cl)*100/cl)
        con.cancelMktData(msg.tickerId)
        scans -= 1
        if scans == 0:
            print(res)
            con.disconnect()

def snapshot(msg):
    res.loc[msg.rank,'sym'] = msg.contractDetails.m_summary.m_symbol
    #tt.OPEN (14) isn't coming with snapshot
    con.reqMktData(str(msg.rank), msg.contractDetails.m_summary, "", False)

def watcher(msg):
    #print (msg)
    msgs.append(msg)

def scanData(msg):
    snapshot(msg)

def scanDataEnd(msg):
    con.cancelScannerSubscription(qqq_id)

con = ibConnection(port=7497, clientId=888)
con.registerAll(watcher)
con.unregister(watcher, message.scannerData)
con.register(scanData, message.scannerData)
con.unregister(watcher, message.scannerDataEnd)
con.register(scanDataEnd, message.scannerDataEnd)
con.unregister(watcher, message.tickPrice)
con.register(tickPrice, message.tickPrice)

con.connect()

from ib.ext.ScannerSubscription import ScannerSubscription
qqq_id = 0
subscript = ScannerSubscription()
subscript.numberOfRows(15)
subscript.m_scanCode = 'HIGH_OPEN_GAP'
subscript.m_instrument = 'STK'
subscript.m_averageOptionVolumeAbove ='0'
subscript.m_abovePrice = '5'
subscript.m_aboveVolume = '100000'

con.reqScannerSubscription(qqq_id, subscript)

res在下午1点est =

        sym   open  close       calc
0       TAC   4.95   4.25  16.470588
1      CTRP  44.80  40.99   9.294950
2      IIIN  39.26  36.58   7.326408
3       LFC  14.60  13.63   7.116654
4       ACH  11.59  10.87   6.623735
5      KALV   9.01   8.38   7.517900
6      OMER  13.25  12.75   3.921569
7      DWTI  68.00  66.50   2.255639
8      WLDN  23.75  23.43   1.365770
9       BZQ  19.67  18.73   5.018687
10     JNUG   6.55   6.43   1.866252
11  GXP PRB  50.78  49.80   1.967871
12       AU  10.85  10.59   2.455146
13     USLV  13.07  12.81   2.029664
14      CBD  16.60  16.03   3.555833

我不知道他们为什么不按等级排序？

使用IbPy检索ScannerSubscription结果

1 个答案: