ibpy: extract API responses for multiple contracts

Question

I am interested in using ibpy with Interactive Brokers API to get real time tick data for a given universe of 100 stocks. The code below, from examples on the web works for one stock. Can someone tell me how i can do this for 100 stocks at the same time?

Python script:

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(1,c,"",False)
sleep(25)

print 'All done'

tws.disconnect()

Command line output:

    Server Version: 76
    TWS Time at connection:20150508 13:42:02 EST
    bid 111.42
    ask 111.5
    bid 111.43
    bid 111.44
    bid 111.42
    bid 111.38
    bid 111.32
    ask 111.44
    All done

Answer 1

When you request data, you give a tickerId that identifies which request the response message is for.

I would read a list of securities from a file and put them in a data frame and just use the index as the tickerId. It will make finding and storing the data that much easier.

Here's how I make the data structure

from __future__ import print_function #I'm using 3.x style print
import pandas as pd

#better to read these from a file
contracts = pd.DataFrame([
        ['IBM','SMART','USD'],
        ['AAPL','SMART','USD'],
        ['GOOG','SMART','USD'],
        ['ES','GLOBEX','USD','201506','50'],
        ['CL','NYMEX','USD','201506','1000']
])

# make decent column names
contracts.columns = ['sym','exch','curr','expiry','mult']

#add these specific column names to match the name returned by TickType.getField()
contracts['bidPrice'] = 0
contracts['askPrice'] = 0
contracts['lastPrice'] = 0

Now to make the requests I just loop through the data frame. In the callback I use the tickerId to find the row in the data frame.

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

def error_handler(msg):
    print (msg)

def my_callback_handler(msg):
    if msg.field in [tt.BID,tt.ASK,tt.LAST]:
        #now we can just store the response in the data frame
        contracts.loc[msg.tickerId,tt.getField(msg.field)] = msg.price
        if msg.field == tt.LAST:
            print(contracts.loc[msg.tickerId,'sym'],msg.price)

tws = ibConnection(clientId=1)
tws.register(my_callback_handler, message.tickPrice, message.tickSize)
tws.register(error_handler, 'Error')
tws.connect()

for index, row in contracts.iterrows():
    c = Contract()
    c.m_symbol = row['sym']
    c.m_exchange = row['exch']
    c.m_currency = row['curr']
    c.m_secType = 'STK' if row['expiry'] is None else 'FUT'
    c.m_expiry = row['expiry']
    c.m_multiplier = row['mult']
    # the tickerId is just the index in but for some reason it needs str()
    tws.reqMktData(str(index),c,"",False)

Now I have all my current data if I want to use it somehow. Another option would be some structure to save it and make a graph.