IB API Python sample not using Ibpy

问题:

Can someone help me to figure out how to do basic request by using IB API Python socket? (I am using the latest IB API and it seems it support Python so should not need the Ibpy which people used to use)

My code like this can simply work and make it connect to TWS. The problem is : I have no idea how to "see" the message sending back from IB.

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.contract import *


w = wrapper.EWrapper()
myTWS = EClient(w)
myTWS.connect(host='localhost', port=7496, clientId=100)

print("serverVersion:%s connectionTime:%s" % (myTWS.serverVersion(),
                                          myTWS.twsConnectionTime()))
myTWS.startApi()


c = Contract()
c.m_symbol = "AAPL"
c.m_secType = "STK"
c.m_exchange = "ISLAND"
c.m_currency = "USD"


myTWS.reqRealTimeBars(999, c, 5, "MIDPOINT", True, [])

I know that it was something like Register() before with IBPy. I just don't know how to do it in this current IB original python API. Can someone help by giving me a simple example? Thanks in advance.

回答1:

You have to subclass/override/implement the wrapper.EWrapper. That's where you're telling EClient to send the data received from TWS.

I removed almost everything from the sample program and this runs.

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *

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

    @iswrapper
    def nextValidId(self, orderId:int):
        print("setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        #here is where you start using api
        contract = Contract()
        contract.symbol = "AAPL"
        contract.secType = "STK"
        contract.currency = "USD"
        contract.exchange = "SMART"
        self.reqMktData(1101, contract, "", False, None)

    @iswrapper
    def error(self, reqId:TickerId, errorCode:int, errorString:str):
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

    @iswrapper
    def tickPrice(self, reqId: TickerId , tickType: TickType, price: float,
                  attrib:TickAttrib):
        print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price)
        #this will disconnect and end this program because loop finishes
        self.done = True

def main():
    app = TestApp()
    app.connect("127.0.0.1", 7496, clientId=123)
    print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),
                                                app.twsConnectionTime()))
    app.run()

if __name__ == "__main__":
    main()

Once you call app.run() the program starts an almost infinite loop reading messages so you'll need some other way to structure your program since the loop must be started.

回答2:

I have looked for the way how to process sequence of requests outside of app object.

This is my little modification of Brian's code (thanks Brian for the introduction how to work with it), which gets two contract details, first it requests contractdetails for MSFT, then for IBM.

• app.run() is finished after receiving all contractDetails messages by setting app.done = True in contractDetailsEnd() method

• when app.done is set to True, the client disconnects in EClient.run() method. I did not figured out how to quit the EClient.run() method without disconnecting, so I changed exiting in the source code in the client.py EClient.run() method:

  finally:
      #self.disconnect() # Myk prevent disconnect
      return  #Myk instead of disconnect return
  

• after that app.run() is finished without disconnection and can be called again, but you must set app.done to False first, otherwise the run() method exits
• you must disconnect at the end bye yourself
• disconnect() method throws error, but as someone said it seems you can ignore it, especially if you disconnect at the end of your code

If someone knows better way without changing API source code, I'll be glad if you give me an advice.

Here is the code:

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *

class TestApp(wrapper.EWrapper, EClient):
    def __init__(self):
        wrapper.EWrapper.__init__(self)
        EClient.__init__(self, wrapper=self)
        self.reqIsFinished = True
        self.started = False
        self.nextValidOrderId = 0

    @iswrapper
    def nextValidId(self, orderId:int):
        print("setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        # we can start now

    @iswrapper
    def error(self, reqId:TickerId, errorCode:int, errorString:str):
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " ,     errorString)

    @iswrapper
    # ! [contractdetails]
    def contractDetails(self, reqId: int, contractDetails: ContractDetails):
        super().contractDetails(reqId, contractDetails)
        print("ContractDetails. ReqId:", reqId, contractDetails.summary.symbol,
              contractDetails.summary.secType, "ConId:", contractDetails.summary.conId,
          "@", contractDetails.summary.exchange)
        # ! [contractdetails]

    @iswrapper
    # ! [contractdetailsend]
    def contractDetailsEnd(self, reqId: int):
        super().contractDetailsEnd(reqId)
        print("ContractDetailsEnd. ", reqId, "\n")
        self.done = True  # This ends the messages loop
        # ! [contractdetailsend]

def main():
    app = TestApp()
    app.connect("127.0.0.1", 4001, clientId=123)
    print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),
                                            app.twsConnectionTime()))

    print('MSFT contract details:')
    contract = Contract()
    contract.symbol = "MSFT"
    contract.secType = "STK"
    contract.currency = "USD"
    contract.exchange = ""
    app.reqContractDetails(210, contract)
    app.run()

    print('IBM contract details:')
    contract.symbol = "IBM"
    app.done = False # must be set before next run
    app.reqContractDetails(210, contract)
    app.run()

    app.disconnect() 

if __name__ == "__main__":
    main()

回答3:

There is a new project which simplifies work with Python TWS Api.

It is called IB-insync and it allows both sync and async processing. It looks very great for newbies in TWS API. Link to Project Page

Example of requesting historical data using IB-insync:

from ib_insync import *

ib = IB()
ib.connect('127.0.0.1', 7497, clientId=1)

contract = Forex('EURUSD')
bars = ib.reqHistoricalData(contract, endDateTime='', durationStr='30 D',
    barSizeSetting='1 hour', whatToShow='MIDPOINT', useRTH=True)

# convert to pandas dataframe:
df = util.df(bars)
print(df[['date', 'open', 'high', 'low', 'close']])

回答4:

This is example how to process API messages using multithreading. The app.run() is started as separate thread and it is listening to TWS API responses. The main program then sends 5 requests for ContractDetails and then main program is 10 seconds waiting for responses. TWS API messages are stored within app instance and simple semaphore signals when the response is ready to be processed.

It is my first multithreading program, any comments are welcome.

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *
#from OrderSamples import OrderSamples
import threading
import time

class myThread (threading.Thread):
   def __init__(self, app, threadID, name):
      threading.Thread.__init__(self)
      self.threadID = threadID
      self.name = name
      self.app = app

   def run(self):
      print ("Starting application in separate thread:", self.name,     "threadID:", self.threadID  )
      self.app.run()
      print ("Exiting " + self.name)

class TestApp(wrapper.EWrapper, EClient):
    def __init__(self):
        wrapper.EWrapper.__init__(self)
        EClient.__init__(self, wrapper=self)
        self.started = False
        self.nextValidOrderId = 0
        self.reqData = {}       # store data returned by requests
        self.reqStatus = {}     # semaphore of requests - status End will indicate request is finished


@iswrapper
def nextValidId(self, orderId:int):
    print("setting nextValidOrderId: %d", orderId)
    self.nextValidOrderId = orderId


@iswrapper
def error(self, reqId:TickerId, errorCode:int, errorString:str):
    print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

@iswrapper
# ! [contractdetails]
def contractDetails(self, reqId: int, contractDetails: ContractDetails):
    super().contractDetails(reqId, contractDetails)
    # store response in reqData dict, for each request several objects are appended into list
    if not reqId in self.reqData:
        self.reqData[reqId] = []
    self.reqData[reqId].append(contractDetails) # put returned data into data storage dict
    # ! [contractdetails]

@iswrapper
# ! [contractdetailsend]
def contractDetailsEnd(self, reqId: int):
    super().contractDetailsEnd(reqId)
    print("ContractDetailsEnd. ", reqId, "\n")  # just info
    self.reqStatus[reqId] = 'End'               # indicates the response is ready for further processing
    # ! [contractdetailsend]



def main():

    app = TestApp()
    app.connect("127.0.0.1", 4001, clientId=123)
    print("serverVersion:%s connectionTime:%s" % (app.serverVersion(),
                                            app.twsConnectionTime()))

    thread1App = myThread(app, 1, "Thread-1")  # define thread for sunning app
    thread1App.start()                         # start app.run(] as infitnite loop in separate thread

    print('Requesting MSFT contract details:')
    contract = Contract()
    contract.symbol = "MSFT"
    contract.secType = "STK"
    contract.currency = "USD"
    contract.exchange = ""
    app.reqStatus[210] = 'Sent'   # set request status to "sent to TWS"
    app.reqContractDetails(210, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "IBM"
    app.reqStatus[211] = 'Sent'          
    app.reqContractDetails(211, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "GE"
    app.reqStatus[212] = 'Sent'
    app.reqContractDetails(212, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "GM"
    app.reqStatus[213] = 'Sent'
    app.reqContractDetails(213, contract)

    print('Requesting IBM contract details:')
    contract.symbol = "BAC"
    app.reqStatus[214] = 'Sent'
    app.reqContractDetails(214, contract)

    i = 0
    while i < 100:         # exit loop after 10 sec (100 x time.sleep(0.1)
        i = i+1
        for reqId in app.reqStatus:
            if app.reqStatus[reqId] == 'End':
                for contractDetails in app.reqData[reqId]:
                    print("ContractDetails. ReqId:", reqId, contractDetails.summary.symbol,
                  contractDetails.summary.secType, "ConId:", contractDetails.summary.conId,
                  "@", contractDetails.summary.exchange)
                app.reqStatus[reqId] = 'Processed'
        time.sleep(0.1)
    app.done = True             # this stops app.run() loop

if __name__ == "__main__":
    main()