将 API 数据存储到 DataFrame 中

Question

我是运行一个 Python 脚本，用于从 Interactive Brokers API 收集金融市场数据。连接到 API 后，终端打印出请求的历史数据。如何将数据保存到数据框中而不是在终端中流式传输？

from ibapi.wrapper import EWrapper
from ibapi.client import EClient 
from ibapi.contract import Contract
from ibapi.ticktype import TickTypeEnum


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

    def error(self, reqId, errorCode, errorString):
        print("Error: ", reqId, " ", errorCode, " ", errorString)

    def historicalData(self, reqId, bar):
        print("historicalData. ", reqId, "Data:", bar.date, "Open:", bar.open, "High:", bar.high, "low:", bar.low, "close:", bar.close, "Volume:", bar.volume, "WAP:", bar.average)


def main():
    app = TestApp()
    app.connect("127.0.0.1", 7497, 0)

    contract = Contract()
    contract.symbol = "EUR"
    contract.secType = "CASH"
    contract.exchange = "IDEALPRO"
    contract.currency = "USD"

    app.reqHistoricalData(1, contract, "", "1 D", "1 min", "MIDPOINT", 0, 1, False, [])

    app.run()


if __name__ == "__main__":
    main()

代码的输出打印历史数据提要，例如：

historicalData.  1 Data: 20200616  11:53:00 Open: 1.125985 High: 1.12601 low: 1.12592 close: 1.12592 Volume: -1 WAP: -1.0
historicalData.  1 Data: 20200616  11:54:00 Open: 1.12592 High: 1.125925 low: 1.12583 close: 1.125885 Volume: -1 WAP: -1.0
historicalData.  1 Data: 20200616  11:55:00 Open: 1.125885 High: 1.126045 low: 1.125865 close: 1.126045 Volume: -1 WAP: -1.0

如何将此信息存储到数据框中而不是仅打印在终端中？

Answer 1

您可以在 TestApp 对象中创建一个数据框，然后在每次调用 historicalData() 时向其中添加一行。

def __init__(self):
    ...
    self.df = pd.DataFrame(columns=['date', 'open', 'high', 'low', 'close', 'volume'])


def historicalData(self, reqId, bar):
    self.df.loc[len(self.df)] = [bar.date, bar.open, bar.high, bar.low, bar.close, bar.volume]

Answer 2

您也可以使用 DataFrame.append() 函数。

返回所有历史数据后，将整个DataFrame写入数据库，然后清理原始DataFrame以供下一次循环使用。

将 API 数据存储到 DataFrame 中

Storing API Data Into A DataFrame

python

api

algorithmic-trading

dataframe

interactive-brokers