使用 python 从 IB api 获取外汇汇率

Question

我正在尝试使用 ibpy 库从交互式经纪人那里获取货币汇率，我在 google 上找到了代码，我做了一些改动。

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

# print all messages from TWS
def watcher(msg):
    print msg

# show Bid and Ask quotes
def my_BidAsk(msg):

    if msg.field == 1:
        print ('bid: %s' % ( msg.price)) 
        bid=msg.price
    elif msg.field == 2:
        print ('ask: %s' % (msg.price)) 
        ask=msg.price
    elif msg.field==9:
        print ('last close: %s' % msg.price) 
        last=msg.price

def makeStkContract(contractTuple):
    newContract = Contract() 

    newContract.m_symbol = contractTuple[0]
    newContract.m_secType = contractTuple[1]
    newContract.m_exchange = contractTuple[2]
    newContract.m_primaryExch=contractTuple[3]
    newContract.m_currency = contractTuple[4]

    print ('Contract Values:%s,%s,%s,%s,%s:' % contractTuple)
    return newContract

if __name__ == '__main__':
    global bid,ask,last
    bid=None
    ask=None
    last=None
    # con = ibConnection(port='4001',clientId=100)
    con = Connection.create(port=7497, clientId=1006)
    con.registerAll(watcher)
    showBidAskOnly = True  # set False to see the raw messages

    if showBidAskOnly:
        con.unregister(watcher, message.tickSize, message.tickPrice,
                       message.tickString, message.tickOptionComputation)
        con.register(my_BidAsk, message.tickPrice)
    con.connect() 
sleep(1)
tickId = 1 
# Note: Option quotes will give an error if they aren't shown in TWS
#contractTuple = ('GOOGL', 'STK', 'SMART', 'ISLAND','USD')
#contractTuple = ('QQQQ', 'OPT', 'SMART', 'USD', '20170921', 47.0, 'CALL')
#contractTuple = ('ES', 'FUT', 'GLOBEX', 'USD', '200709', 0.0, '')
#contractTuple = ('ES', 'FOP', 'GLOBEX', 'USD', '20070920', 1460.0, 'CALL')
contractTuple = ('CAD', 'CASH', 'IDEALPRO','IDEALPRO','jpy')
stkContract = makeStkContract(contractTuple)
print ('* * * * REQUESTING MARKET DATA * * * *')
con.reqMktData(tickId, stkContract, '', False)
print ('global variables:',bid, ask,last)
sleep(1)
print ('* * * * CANCELING MARKET DATA * * * *')
con.cancelMktData(tickId)

sleep(1)
con.disconnect()
#sleep(1)

结果如下

    Server Version: 76
TWS Time at connection:20170319 05:45:12 EST
<managedAccounts accountsList=DU647841>
<nextValidId orderId=1>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm.us>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:cafarm>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:hfarm>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:cashfarm>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:jfarm>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:eufarm>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm>
<error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usopt>
<error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds.us>
<error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ilhmds>
<error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:euhmds>
<error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:cashhmds>
<error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:fundfarm>
<error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds> 
Contract Values:CAD,CASH,IDEALPRO,IDEALPRO,jpy:
* * * * REQUESTING MARKET DATA * * * *
('global variables:', None, None, None)
last close: 85.07
* * * * CANCELING MARKET DATA * * * *

我现在遇到的困难是，首先我想消除所有那些不相关的消息，其次，我似乎无法让全局变量（出价、询问、最后）工作。

有什么建议吗？提前致谢

Answer 1

如果您不想要所有消息，请不要 print。

你必须确保你做事的顺序是异步的。在这里，您发出请求并在它有时间从服务器返回之前立即 print 。然后你 sleep 1 秒钟并希望它完成。

con.reqMktData(tickId, stkContract, '', False)
print ('global variables:',bid, ask,last)
sleep(1)
print ('* * * * CANCELING MARKET DATA * * * *')
con.cancelMktData(tickId)

这是一种按顺序执行所有操作的方法。

from ib.ext.Contract import Contract
from ib.opt import ibConnection, message

def nextValidId_handler(msg):
    global id;
    id = msg.orderId
    # start now when you know it's connected
    makeRequest()

def error_handler(msg):
    # only print interesting errors
    if msg.id > 0:
        print(msg)

# show Bid and Ask quotes
def my_BidAsk(msg):
    global bid,ask    

    if msg.field == 1:
        print ('bid: %s' % ( msg.price)) 
        bid=msg.price
    elif msg.field == 2:
        print ('ask: %s' % (msg.price)) 
        ask=msg.price
    # there is no last price in forex, maybe just the last close.

    if (bid is not None) and (ask is not None):
        midPoint = (bid + ask)/2
        print ('global variables:',bid, ask, midPoint)
        # disconnect after getting all the data we want
        disconnect()

def makeStkContract(contractTuple):
    newContract = Contract() 

    newContract.m_symbol = contractTuple[0]
    newContract.m_secType = contractTuple[1]
    newContract.m_exchange = contractTuple[2]
    newContract.m_primaryExch=contractTuple[3]
    newContract.m_currency = contractTuple[4]

    print ('Contract Values:%s,%s,%s,%s,%s:' % contractTuple)
    return newContract

def makeRequest():
    global tickId
    tickId = 1
    contractTuple = ('CAD', 'CASH', 'IDEALPRO','IDEALPRO','jpy')
    stkContract = makeStkContract(contractTuple)
    print ('* * * * REQUESTING MARKET DATA * * * *')
    con.reqMktData(tickId, stkContract, '', False)

def disconnect():
    print ('* * * * CANCELING MARKET DATA * * * *')
    con.cancelMktData(tickId)
    con.disconnect()

bid = None
ask = None

if __name__ == '__main__':
    con = ibConnection(port=7497, clientId=1006)
    con.register(error_handler, message.Error)
    con.register(nextValidId_handler, message.nextValidId)
    con.register(my_BidAsk, message.tickPrice)
    con.connect()

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