Hi I am new to the IBAPI, creating this thread to customize understand the pre-built sample python code and use it for real world trading. The samples are well coded and efficient though cryptic. Need some help on understanding the function calls and libraries, that don't seem to have any documentation or help.
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Customizing the sample Python IBAPI code provided in the testbed
- Thread starter Aron
- Start date
You might get better answers on Stack Overflow, since your question is more programming related than trading.
Instead of dumping a large text file it would be better to specify which specific function calls you have questions about. And detail what those questions are.Need some help on understanding the function calls and libraries, that don't seem to have any documentation or help.
Sorry for the lengthy dump, but it was important as the functions/classes are heavily nested, of course I will post specific questions with specific references. ThanksInstead of dumping a large text file it would be better to specify which specific function calls you have questions about. And detail what those questions are.
Yes I have tried that multiple times and it is extremely easy, however there is a limitation on market depth data (operations) lines, we can choose only max 5 data lines i.e. level 1 (which means we never get to see the full order book), the other feature (that it is asynchronous) is not what I intend on using for my trading app.ib_isync package is multiple times easier to use.
Having said that, my first task is to add Pandas data frames and convert all of this data into a dataframe and subsequently write it to Postgresql using Sql Alchemy, the latter is easy, real challenge is to get the data frames ready. I am posting the exact issue and function in the next response.
Yes I have tried that multiple times and it is extremely easy, however there is a limitation on market depth data (operations) lines, we can choose only max 5 data lines i.e. level 1 (which means we never get to see the full order book), the other feature (that it is asynchronous) is not what I intend on using for my trading app.
Having said that, my first task is to add Pandas data frames and convert all of this data into a dataframe and subsequently write it to Postgresql using Sql Alchemy, the latter is easy, real challenge is to get the data frames ready. I am posting the exact issue and function in the next response.
I believe the official API is also asynchronous. And you have to comb through their official API pages to figure out all the overriding stuff. ib_insync - you can use it in a non asynchronous manner. For me, I'm not running tick by tick algos, so I'm using cron jobs to trigger the various scripts.
May be more useful for you to post in the tws api forum: https://groups.io/g/twsapi
Writing pandas data frames to Postgresql should be pretty trivial. Though I'm not a fan on Sql Alchemy; rather just write the SQL code directly.
I believe the official API is also asynchronous. And you have to comb through their official API pages to figure out all the overriding stuff. ib_insync - you can use it in a non asynchronous manner. For me, I'm not running tick by tick algos, so I'm using cron jobs to trigger the various scripts.
May be more useful for you to post in the tws api forum: https://groups.io/g/twsapi
Writing pandas data frames to Postgresql should be pretty trivial. Though I'm not a fan on Sql Alchemy; rather just write the SQL code directly.
Okay I will have to check again on the async part, thanks for this group info, I will surely put a post there.
The part I'm not sure is that where do we build the dataframe, inside the TestWrapper class where the callbacks happen (that is where we print the data to the console) or inside the app function. Where exactly are we operating on the data? Within the app function or the TestWrapper class that we defined?
Okay I will have to check again on the async part, thanks for this group info, I will surely put a post there.
The part I'm not sure is that where do we build the dataframe, inside the TestWrapper class where the callbacks happen (that is where we print the data to the console) or inside the app function. Where exactly are we operating on the data? Within the app function or the TestWrapper class that we defined?
Was mucking around last time. Wonder if this helps. Under strategy class, define the method. Then below, add a prefix of req (check against official API page). I'm unfamiliar with order book depth stuff; you have to explore.
# Import necessary libraries
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from threading import Timer
import pandas as pd
import time
# Define strategy class - inherits from EClient and EWrapper
class Strategy(EClient, EWrapper):
# Initialize the class - and inherited classes
def __init__(self):
EClient.__init__(self, self)
self.df = pd.DataFrame(columns=['Time', 'Open', 'Close'])
# Receive historical bars from TWS
def historicalData(self, reqId, bar):
dictionary = {'Time':bar.date,'Open': bar.open, 'Close': bar.close}
self.df = self.df.append(dictionary, ignore_index=True)
print(f'Time: {bar.date}, Open: {bar.open}, Close: {bar.close}')
# Display a message once historical data is retreived
def historicalDataEnd(self, reqId, start, end):
print('\nHistorical Data Retrieved\n')
print(self.df.head())
# elf.df.to_csv('Historical_data.csv')
# -------------------------x-----------------------x---------------------------
# Create object of the strategy class
app = Strategy()
# Connect strategy to IB TWS
app.connect(host='127.0.0.1', port=7497, clientId=2)
print('Is application connected to IB TWS:', app.isConnected())
# Wait for sometime to connect to the server
time.sleep(1)
# Create object for contract
eurusd_contract = Contract()
eurusd_contract.symbol = 'EUR'
eurusd_contract.currency = 'USD'
eurusd_contract.secType = 'CASH'
eurusd_contract.exchange = 'IDEALPRO'
# Request for historical data
app.reqHistoricalData(reqId=33,
contract=eurusd_contract,
endDateTime='',
durationStr='300 S',
barSizeSetting='1 secs',
whatToShow='MIDPOINT',
useRTH=0,
formatDate=1,
keepUpToDate=False,
chartOptions=[])
# Invoke another thread that will disconnect the strategy from TWS
Timer(10, app.disconnect).start()
# Run the strategy
app.run()
Was mucking around last time. Wonder if this helps. Under strategy class, define the method. Then below, add a prefix of req (check against official API page). I'm unfamiliar with order book depth stuff; you have to explore.
# Import necessary libraries
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from threading import Timer
import pandas as pd
import time
# Define strategy class - inherits from EClient and EWrapper
class Strategy(EClient, EWrapper):
# Initialize the class - and inherited classes
def __init__(self):
EClient.__init__(self, self)
self.df = pd.DataFrame(columns=['Time', 'Open', 'Close'])
# Receive historical bars from TWS
def historicalData(self, reqId, bar):
dictionary = {'Time':bar.date,'Open': bar.open, 'Close': bar.close}
self.df = self.df.append(dictionary, ignore_index=True)
print(f'Time: {bar.date}, Open: {bar.open}, Close: {bar.close}')
# Display a message once historical data is retreived
def historicalDataEnd(self, reqId, start, end):
print('\nHistorical Data Retrieved\n')
print(self.df.head())
# elf.df.to_csv('Historical_data.csv')
# -------------------------x-----------------------x---------------------------
# Create object of the strategy class
app = Strategy()
# Connect strategy to IB TWS
app.connect(host='127.0.0.1', port=7497, clientId=2)
print('Is application connected to IB TWS:', app.isConnected())
# Wait for sometime to connect to the server
time.sleep(1)
# Create object for contract
eurusd_contract = Contract()
eurusd_contract.symbol = 'EUR'
eurusd_contract.currency = 'USD'
eurusd_contract.secType = 'CASH'
eurusd_contract.exchange = 'IDEALPRO'
# Request for historical data
app.reqHistoricalData(reqId=33,
contract=eurusd_contract,
endDateTime='',
durationStr='300 S',
barSizeSetting='1 secs',
whatToShow='MIDPOINT',
useRTH=0,
formatDate=1,
keepUpToDate=False,
chartOptions=[])
# Invoke another thread that will disconnect the strategy from TWS
Timer(10, app.disconnect).start()
# Run the strategy
app.run()
Thanks a million , this is extremely helpful, lemme try this out !!