Question

嗨，大家好我刚刚开始研究Ibpy算法，我想先用纸质交易进行测试，但我对如何使用reqMktData获取最后价格有一点了解。我没有问题下订单，但这不会返回任何25秒，我认为它只是在交易时间使用，或者我只是错误地使用它？

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

我认为这与IB本身的市场数据订阅有关，因为我遇到了类似的问题。我在连接时获得了TWS时间...在结果中返回了“市场数据场连接”消息。确保你有一个连接端口＆amp; clientID建立，即：

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

请注意，7496是一个公共端口，但clientId是您要指定的任何内容（在File-＆gt; API-＆gt;设置下使用的IB帐户内）。

Answer 2

我之前尝试过IbPy并成功获取数据，但现在我已经使用了Ibapi，这更难，但仍然无法完全交易，但它有一个调整后的历史价格。

所以这是我的代码，你必须根据自己的需要定制。

1.从Excel中获取股票成员

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.使用for循环获取历史价格因为我的账户每时刻有100个请求的限制所以我将其分为S＆amp; P 505的8个多个会话。然后重新登录每个70个股票。我可以在2分钟内获得总数505.

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()

如何正确使用Ibpy的reqMktData？

2 个答案: