使用 IbPy 检索 ScannerSubscription 结果

Question

我正在为 ScannerSubscription 的结果苦苦挣扎。
例如，如果我请求：

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()

我收到了这样的 scannerData 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？
这可能吗？

Answer 1

现在我确定你应该在获得合同后请求数据。

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)

美国东部时间下午 1 点恢复 =

        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

不知道为什么不按顺序来？？

使用 IbPy 检索 ScannerSubscription 结果

Retrieve ScannerSubscription results using IbPy

python

interactive-brokers

ibpy