开云体育

Hello again Jurgen,
''' Reads continuous futures contracts '''

from datetime import datetime, timedelta
from threading import Thread
import os
import time
import pandas as pd
import shutil

from ibapi.client import EClient, Contract
from ibapi.wrapper import EWrapper
from ibapi.utils import iswrapper

class ReadFutures(EWrapper, EClient):
? ? ''' Serves as the client and the wrapper '''

? ? def __init__(self, addr, port, client_id):
? ? ? ? EClient.__init__(self, self)

? ? ? ? # Initialize properties
? ? ? ? self.local_symbol = None
? ? ? ? self.multiplier = None
? ? ? ? self.symbols = {'EUR':'CME', 'ES':'CME', 'CHF':'CME', 'GBP':'CME',
? ? ? ? ? ? 'CAD':'CME'}
? ? ? ? self.price_dict = {}

? ? ? ? # Connect to TWS
? ? ? ? self.connect(addr, port, client_id)

? ? ? ? # Launch the client thread
? ? ? ? thread = Thread(target=self.run)
? ? ? ? thread.start()

? ? @iswrapper
? ? def contractDetails(self, req_id, details):
? ? ? ? ''' Called in response to reqContractDetails '''

? ? ? ? # Obtain data for the contract
? ? ? ? self.local_symbol = details.contract.localSymbol
? ? ? ? self.multiplier = details.contract.multiplier

? ? @iswrapper
? ? def historicalData(self, req_id, bar):
? ? ? ? ''' Called in response to reqHistoricalData '''

? ? ? ? # Add the futures prices to the dictionary
? ? ? ? self.price_dict['CLOSE'].append(bar.close)
? ? ? ? self.price_dict['LOW'].append(bar.low)
? ? ? ? self.price_dict['HIGH'].append(bar.high)
? ? ? ? self.price_dict['VOL'].append(bar.volume)

? ? def error(self, req_id, code, msg):
? ? ? ? print('Error {}: {}'.format(code, msg))

def main():

? ? # Create the client and connect to TWS
? ? client = ReadFutures('127.0.0.1', 7497, 0)

? ? # Get expiration dates for contracts
? ? for symbol in client.symbols:

? ? ? ? # Define contract of interest
? ? ? ? con = Contract()
? ? ? ? con.symbol = symbol
? ? ? ? con.secType = "CONTFUT"
? ? ? ? con.exchange = client.symbols[symbol]
? ? ? ? con.currency = "USD"
? ? ? ? con.includeExpired = True
? ? ? ? client.reqContractDetails(0, con)
? ? ? ? time.sleep(1)

? ? ? ? # Request historical data for each contract
? ? ? ? if client.local_symbol:

? ? ? ? ? ? # Initialize price dict
? ? ? ? ? ? for v in ['CLOSE', 'LOW', 'HIGH', 'VOL']:
? ? ? ? ? ? ? ? client.price_dict[v] = []

? ? ? ? ? ? # Set additional contract data
? ? ? ? ? ? con.localSymbol = client.local_symbol
? ? ? ? ? ? con.multiplier = client.multiplier

? ? ? ? ? ? # Request historical data
? ? ? ? ? ? end_date = datetime.today().date() - timedelta(days=1)
? ? ? ? ? ? client.reqHistoricalData(1, con, end_date.strftime("%Y%m%d %H:%M:%S"),
? ? ? ? ? ? ? ? '1 D', '1 min', 'TRADES', 1, 1, True, [])
? ? ? ? ? ? time.sleep(1)

? ? ? ? ? ? # Write data to a CSV file
? ? ? ? ? ? if client.price_dict['CLOSE']:
? ? ? ? ? ? ? ? df = pd.DataFrame(data=client.price_dict)
? ? ? ? ? ? ? ? #df.to_csv(symbol + '.csv', encoding='utf-8', index=False)
? ? ? ? ? ? ? ? #client.price_dict.clear()
? ? ? ? ? ? ? ? print (df)
? ? ? ? else:
? ? ? ? ? ? print('Could not access contract data')
? ? ? ? ? ? exit()

? ? # Disconnect from TWS
? ? client.disconnect()

if __name__ == '__main__':