Python如何从IBapi获取实时流数据？
How to get real-time steaming data from IBapi for Python?
我是 IBapi 的新手，Python 现在正试图编写一个程序来连续从 IBapi 获取实时动态市场数据。
当我 运行 代码时，数据滴答声确实进来了一会儿，好像几秒钟。然后它将自行停止并出现异常键盘解释，系统退出。
我无法弄清楚是什么原因导致键盘被解释，系统存在。
有没有哪位高手能帮忙指出一下为什么会突然存在，如何保持运行ning？谢谢。
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
import threading
import sys
import queue
i = 0
class MyWrapper(EWrapper):
def nextValidId(self, orderId:int):
print("setting nextValidOrderId: %d", orderId)
# self.nextValidOrderId = orderId
# start program here or use threading
#app.reqContractDetails(4444, contract)
def contractDetails(self, reqId, contractDetails):
print(reqId, contractDetails.contract)# my version doesnt use summary
def contractDetailsEnd(self, reqId):
print("ContractDetailsEnd. ", reqId)
# this is the logical end of your program
def error(self, reqId, errorCode, errorString):
print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)
def tickPrice(self, tickerid , tickType, price, attrib):
##overriden method
## For simplicity I'm ignoring these but they could be useful to you...
## See the documentation http://interactivebrokers.github.io/tws-api/md_receive.html#gsc.tab=0
# attrib.canAutoExecute
# attrib.pastLimit
global i
i += 1
print(i, " Tick type:", tickType, " Price:", price)
def tickSize(self, tickerid, tickType, size):
## overriden method
global i
i += 1
print(i, " Tick type:", tickType, " Size:", size)
def tickString(self, tickerid, tickType, value):
## overriden method
## value is a string, make it a float, and then in the parent class will be resolved to int if size
global i
i += 1
print(i, " Tick type:", tickType, " Value:", value)
def tickGeneric(self, tickerid, tickType, value):
## overriden method
global i
i += 1
print(i, " Tick type:", tickType, " value:", value)
wrapper = MyWrapper()
app = EClient(wrapper)
app.connect("127.0.0.1", 7497, clientId=1)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(), app.twsConnectionTime()))
from ibapi.contract import Contract
contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT"
contract.currency = "USD"
contract.exchange = "GLOBEX"
contract.localSymbol="ESH9"
app.reqMktData(1, contract, "", False, False, [])
print(app.isConnected())
app.run()
示例结果如下：
serverVersion:148 connectionTime:b'20190227 17:05:55 CST'
True
setting nextValidOrderId: %d 1
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:usfarm.nj
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:hfarm
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:usfuture
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:usfarm
Error. Id: -1 Code: 2106 Msg: HMDS data farm connection is OK:hkhmds
Error. Id: -1 Code: 2106 Msg: HMDS data farm connection is OK:ushmds
1 Tick type: 45 Value: 1551258356
2 Tick type: 4 Price: 2782.5
3 Tick type: 5 Size: 1
4 Tick type: 5 Size: 1
5 Tick type: 8 Size: 75821
6 Tick type: 6 Price: 2793.25
7 Tick type: 7 Price: 2780.5
8 Tick type: 9 Price: 2791.5
9 Tick type: 14 Price: 2788.0
10 Tick type: 1 Price: 2782.25
11 Tick type: 0 Size: 41
12 Tick type: 2 Price: 2782.5
13 Tick type: 3 Size: 46
14 Tick type: 0 Size: 41
15 Tick type: 3 Size: 46
16 Tick type: 0 Size: 42
17 Tick type: 3 Size: 48
18 Tick type: 0 Size: 29
19 Tick type: 3 Size: 64
20 Tick type: 0 Size: 37
21 Tick type: 3 Size: 56
22 Tick type: 0 Size: 39
23 Tick type: 3 Size: 54
24 Tick type: 45 Value: 1551258361
25 Tick type: 5 Size: 44
26 Tick type: 8 Size: 75865
27 Tick type: 1 Price: 2782.5
28 Tick type: 0 Size: 31
29 Tick type: 2 Price: 2782.75
30 Tick type: 3 Size: 91
31 Tick type: 0 Size: 31
32 Tick type: 3 Size: 91
33 Tick type: 0 Size: 12
34 Tick type: 3 Size: 79
35 Tick type: 45 Value: 1551258362
36 Tick type: 5 Size: 1
37 Tick type: 8 Size: 75866
38 Tick type: 45 Value: 1551258363
39 Tick type: 4 Price: 2782.75
40 Tick type: 5 Size: 1
41 Tick type: 8 Size: 75867
42 Tick type: 0 Size: 11
43 Tick type: 3 Size: 78
44 Tick type: 0 Size: 12
45 Tick type: 3 Size: 79
46 Tick type: 45 Value: 1551258365
47 Tick type: 4 Price: 2782.5
48 Tick type: 5 Size: 1
49 Tick type: 8 Size: 75868
50 Tick type: 0 Size: 13
51 Tick type: 45 Value: 1551258366
52 Tick type: 4 Price: 2782.75
53 Tick type: 5 Size: 5
54 Tick type: 5 Size: 5
55 Tick type: 8 Size: 75873
56 Tick type: 0 Size: 30
57 Tick type: 3 Size: 65
58 Tick type: 45 Value: 1551258367
59 Tick type: 4 Price: 2782.5
60 Tick type: 5 Size: 4
61 Tick type: 5 Size: 4
62 Tick type: 8 Size: 75877
63 Tick type: 0 Size: 13
64 Tick type: 3 Size: 63
65 Tick type: 0 Size: 9
66 Tick type: 3 Size: 70
67 Tick type: 3 Size: 66
68 Tick type: 45 Value: 1551258370
69 Tick type: 4 Price: 2782.75
70 Tick type: 5 Size: 1
71 Tick type: 5 Size: 1
72 Tick type: 8 Size: 75878
73 Tick type: 0 Size: 17
74 Tick type: 3 Size: 65
75 Tick type: 4 Price: 2782.5
76 Tick type: 5 Size: 2
77 Tick type: 5 Size: 2
78 Tick type: 8 Size: 75880
79 Tick type: 0 Size: 4
80 Tick type: 3 Size: 68
81 Tick type: 5 Size: 3
82 Tick type: 8 Size: 75883
83 Tick type: 0 Size: 5
84 Tick type: 3 Size: 72
85 Tick type: 45 Value: 1551258371
86 Tick type: 5 Size: 1
87 Tick type: 8 Size: 75884
88 Tick type: 0 Size: 12
89 Tick type: 3 Size: 67
90 Tick type: 1 Price: 2782.25
91 Tick type: 0 Size: 64
92 Tick type: 2 Price: 2782.5
93 Tick type: 3 Size: 2
94 Tick type: 0 Size: 64
95 Tick type: 3 Size: 2
96 Tick type: 45 Value: 1551258373
97 Tick type: 4 Price: 2782.25
98 Tick type: 5 Size: 5
99 Tick type: 5 Size: 5
100 Tick type: 8 Size: 75897
101 Tick type: 0 Size: 52
102 Tick type: 3 Size: 28
103 Tick type: 0 Size: 48
104 Tick type: 3 Size: 45
105 Tick type: 45 Value: 1551258376
106 Tick type: 5 Size: 12
107 Tick type: 8 Size: 75909
108 Tick type: 0 Size: 29
109 Tick type: 3 Size: 41
An exception has occurred, use %tb to see the full traceback.
SystemExit
完整追溯如下：
Traceback (most recent call last):
File "<ipython-input-9-9e6a0c5dfe6c>", line 1, in <module>
runfile('C:/readIB_test.py', wdir='C:/Desktop')
File "C:\ProgramData\Anaconda3\lib\site-packages\spyder_kernels\customize\spydercustomize.py", line 668, in runfile
execfile(filename, namespace)
File "C:\ProgramData\Anaconda3\lib\site-packages\spyder_kernels\customize\spydercustomize.py", line 108, in execfile
exec(compile(f.read(), filename, 'exec'), namespace)
File "C:/readIB_test.py", line 86, in <module>
app.run()
File "C:\ProgramData\Anaconda3\lib\site-packages\ibapi-9.73.7-py3.7.egg\ibapi\client.py", line 228, in run
self.keyboardInterruptHard()
File "C:\ProgramData\Anaconda3\lib\site-packages\ibapi-9.73.7-py3.7.egg\ibapi\client.py", line 215, in keyboardInterruptHard
raise SystemExit()
SystemExit
最后发现问题出在IBapi本身。
client.py 中的 运行() 有一个计时器设置为 20。
不知道为什么他们像这样发布 API 作为参考文档，循环应该是 运行 无限的。
我只是注释掉超时行，然后我的代码就可以正常工作了。
组织client.py:
def run(self):
"""This is the function that has the message loop."""
timeStart = time.time()
timeOut = 20
try:
while not self.done and (self.isConnected()
or not self.msg_queue.empty()):
if time.time() - timeStart > timeOut: # stop application after timeout
self.keyboardInterrupt()
self.keyboardInterruptHard()
我已经注释掉超时行：
def run(self):
"""This is the function that has the message loop."""
#timeStart = time.time()
#timeOut = 20
try:
while not self.done and (self.isConnected()
or not self.msg_queue.empty()):
#if time.time() - timeStart > timeOut: # stop application after timeout
#self.keyboardInterrupt()
#self.keyboardInterruptHard()
我是 IBapi 的新手，Python 现在正试图编写一个程序来连续从 IBapi 获取实时动态市场数据。
当我 运行 代码时，数据滴答声确实进来了一会儿，好像几秒钟。然后它将自行停止并出现异常键盘解释，系统退出。
我无法弄清楚是什么原因导致键盘被解释，系统存在。 有没有哪位高手能帮忙指出一下为什么会突然存在，如何保持运行ning？谢谢。
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
import threading
import sys
import queue
i = 0
class MyWrapper(EWrapper):
def nextValidId(self, orderId:int):
print("setting nextValidOrderId: %d", orderId)
# self.nextValidOrderId = orderId
# start program here or use threading
#app.reqContractDetails(4444, contract)
def contractDetails(self, reqId, contractDetails):
print(reqId, contractDetails.contract)# my version doesnt use summary
def contractDetailsEnd(self, reqId):
print("ContractDetailsEnd. ", reqId)
# this is the logical end of your program
def error(self, reqId, errorCode, errorString):
print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)
def tickPrice(self, tickerid , tickType, price, attrib):
##overriden method
## For simplicity I'm ignoring these but they could be useful to you...
## See the documentation http://interactivebrokers.github.io/tws-api/md_receive.html#gsc.tab=0
# attrib.canAutoExecute
# attrib.pastLimit
global i
i += 1
print(i, " Tick type:", tickType, " Price:", price)
def tickSize(self, tickerid, tickType, size):
## overriden method
global i
i += 1
print(i, " Tick type:", tickType, " Size:", size)
def tickString(self, tickerid, tickType, value):
## overriden method
## value is a string, make it a float, and then in the parent class will be resolved to int if size
global i
i += 1
print(i, " Tick type:", tickType, " Value:", value)
def tickGeneric(self, tickerid, tickType, value):
## overriden method
global i
i += 1
print(i, " Tick type:", tickType, " value:", value)
wrapper = MyWrapper()
app = EClient(wrapper)
app.connect("127.0.0.1", 7497, clientId=1)
print("serverVersion:%s connectionTime:%s" % (app.serverVersion(), app.twsConnectionTime()))
from ibapi.contract import Contract
contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT"
contract.currency = "USD"
contract.exchange = "GLOBEX"
contract.localSymbol="ESH9"
app.reqMktData(1, contract, "", False, False, [])
print(app.isConnected())
app.run()
示例结果如下：
serverVersion:148 connectionTime:b'20190227 17:05:55 CST'
True
setting nextValidOrderId: %d 1
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:usfarm.nj
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:hfarm
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:usfuture
Error. Id: -1 Code: 2104 Msg: Market data farm connection is OK:usfarm
Error. Id: -1 Code: 2106 Msg: HMDS data farm connection is OK:hkhmds
Error. Id: -1 Code: 2106 Msg: HMDS data farm connection is OK:ushmds
1 Tick type: 45 Value: 1551258356
2 Tick type: 4 Price: 2782.5
3 Tick type: 5 Size: 1
4 Tick type: 5 Size: 1
5 Tick type: 8 Size: 75821
6 Tick type: 6 Price: 2793.25
7 Tick type: 7 Price: 2780.5
8 Tick type: 9 Price: 2791.5
9 Tick type: 14 Price: 2788.0
10 Tick type: 1 Price: 2782.25
11 Tick type: 0 Size: 41
12 Tick type: 2 Price: 2782.5
13 Tick type: 3 Size: 46
14 Tick type: 0 Size: 41
15 Tick type: 3 Size: 46
16 Tick type: 0 Size: 42
17 Tick type: 3 Size: 48
18 Tick type: 0 Size: 29
19 Tick type: 3 Size: 64
20 Tick type: 0 Size: 37
21 Tick type: 3 Size: 56
22 Tick type: 0 Size: 39
23 Tick type: 3 Size: 54
24 Tick type: 45 Value: 1551258361
25 Tick type: 5 Size: 44
26 Tick type: 8 Size: 75865
27 Tick type: 1 Price: 2782.5
28 Tick type: 0 Size: 31
29 Tick type: 2 Price: 2782.75
30 Tick type: 3 Size: 91
31 Tick type: 0 Size: 31
32 Tick type: 3 Size: 91
33 Tick type: 0 Size: 12
34 Tick type: 3 Size: 79
35 Tick type: 45 Value: 1551258362
36 Tick type: 5 Size: 1
37 Tick type: 8 Size: 75866
38 Tick type: 45 Value: 1551258363
39 Tick type: 4 Price: 2782.75
40 Tick type: 5 Size: 1
41 Tick type: 8 Size: 75867
42 Tick type: 0 Size: 11
43 Tick type: 3 Size: 78
44 Tick type: 0 Size: 12
45 Tick type: 3 Size: 79
46 Tick type: 45 Value: 1551258365
47 Tick type: 4 Price: 2782.5
48 Tick type: 5 Size: 1
49 Tick type: 8 Size: 75868
50 Tick type: 0 Size: 13
51 Tick type: 45 Value: 1551258366
52 Tick type: 4 Price: 2782.75
53 Tick type: 5 Size: 5
54 Tick type: 5 Size: 5
55 Tick type: 8 Size: 75873
56 Tick type: 0 Size: 30
57 Tick type: 3 Size: 65
58 Tick type: 45 Value: 1551258367
59 Tick type: 4 Price: 2782.5
60 Tick type: 5 Size: 4
61 Tick type: 5 Size: 4
62 Tick type: 8 Size: 75877
63 Tick type: 0 Size: 13
64 Tick type: 3 Size: 63
65 Tick type: 0 Size: 9
66 Tick type: 3 Size: 70
67 Tick type: 3 Size: 66
68 Tick type: 45 Value: 1551258370
69 Tick type: 4 Price: 2782.75
70 Tick type: 5 Size: 1
71 Tick type: 5 Size: 1
72 Tick type: 8 Size: 75878
73 Tick type: 0 Size: 17
74 Tick type: 3 Size: 65
75 Tick type: 4 Price: 2782.5
76 Tick type: 5 Size: 2
77 Tick type: 5 Size: 2
78 Tick type: 8 Size: 75880
79 Tick type: 0 Size: 4
80 Tick type: 3 Size: 68
81 Tick type: 5 Size: 3
82 Tick type: 8 Size: 75883
83 Tick type: 0 Size: 5
84 Tick type: 3 Size: 72
85 Tick type: 45 Value: 1551258371
86 Tick type: 5 Size: 1
87 Tick type: 8 Size: 75884
88 Tick type: 0 Size: 12
89 Tick type: 3 Size: 67
90 Tick type: 1 Price: 2782.25
91 Tick type: 0 Size: 64
92 Tick type: 2 Price: 2782.5
93 Tick type: 3 Size: 2
94 Tick type: 0 Size: 64
95 Tick type: 3 Size: 2
96 Tick type: 45 Value: 1551258373
97 Tick type: 4 Price: 2782.25
98 Tick type: 5 Size: 5
99 Tick type: 5 Size: 5
100 Tick type: 8 Size: 75897
101 Tick type: 0 Size: 52
102 Tick type: 3 Size: 28
103 Tick type: 0 Size: 48
104 Tick type: 3 Size: 45
105 Tick type: 45 Value: 1551258376
106 Tick type: 5 Size: 12
107 Tick type: 8 Size: 75909
108 Tick type: 0 Size: 29
109 Tick type: 3 Size: 41
An exception has occurred, use %tb to see the full traceback.
SystemExit
完整追溯如下：
Traceback (most recent call last):
File "<ipython-input-9-9e6a0c5dfe6c>", line 1, in <module>
runfile('C:/readIB_test.py', wdir='C:/Desktop')
File "C:\ProgramData\Anaconda3\lib\site-packages\spyder_kernels\customize\spydercustomize.py", line 668, in runfile
execfile(filename, namespace)
File "C:\ProgramData\Anaconda3\lib\site-packages\spyder_kernels\customize\spydercustomize.py", line 108, in execfile
exec(compile(f.read(), filename, 'exec'), namespace)
File "C:/readIB_test.py", line 86, in <module>
app.run()
File "C:\ProgramData\Anaconda3\lib\site-packages\ibapi-9.73.7-py3.7.egg\ibapi\client.py", line 228, in run
self.keyboardInterruptHard()
File "C:\ProgramData\Anaconda3\lib\site-packages\ibapi-9.73.7-py3.7.egg\ibapi\client.py", line 215, in keyboardInterruptHard
raise SystemExit()
SystemExit
最后发现问题出在IBapi本身。 client.py 中的 运行() 有一个计时器设置为 20。 不知道为什么他们像这样发布 API 作为参考文档，循环应该是 运行 无限的。 我只是注释掉超时行，然后我的代码就可以正常工作了。
组织client.py:
def run(self):
"""This is the function that has the message loop."""
timeStart = time.time()
timeOut = 20
try:
while not self.done and (self.isConnected()
or not self.msg_queue.empty()):
if time.time() - timeStart > timeOut: # stop application after timeout
self.keyboardInterrupt()
self.keyboardInterruptHard()
我已经注释掉超时行：
def run(self):
"""This is the function that has the message loop."""
#timeStart = time.time()
#timeOut = 20
try:
while not self.done and (self.isConnected()
or not self.msg_queue.empty()):
#if time.time() - timeStart > timeOut: # stop application after timeout
#self.keyboardInterrupt()
#self.keyboardInterruptHard()