7

There are a lot of examples showing how to get particular asset's price from Interactive Brokers. However, when I want to get the whole chain of options for one asset, I don't know which particular strikes are listed. Same for futures, I don't know which expirations are available at the moment. So, i.e., for options, I just loop through all possible strikes and reqMktData for each, also making a sleep(1) every 100 messages to avoid hitting the limit for number of requests per second. Obviously, many of these messages return with error "No security definition has been found for the request".

This looks like the wrong approach as it wastes lots of time on non-existing assets. Is there any more clean way to do this, or a special function for such purpose?

4

3 回答 3

9

按照 Donn Lee 的建议为 contractDetailsEnd 实施处理程序。感谢 shashkello 和 Donn Lee。

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

def watcher(msg):
    print msg

def contractDetailsHandler(msg):
    contracts.append(msg.contractDetails.m_summary)

def contractDetailsEndHandler(msg):
    global DataWait
    DataWait =  False

con = ibConnection()
con.registerAll(watcher)
con.register(contractDetailsHandler, 'ContractDetails')
con.register(contractDetailsEndHandler, 'ContractDetailsEnd')

con.connect()

contract = Contract()
contract.m_exchange     = "SMART"
contract.m_secType      =  "OPT"
contract.m_symbol       = "VTR"
#contract.m_multiplier   = "100"
contract.m_currency     = "USD"


con.reqContractDetails(1, contract)

contracts = [] # to store all the contracts

DataWait = True  ;  i = 0
while DataWait and i < 90:
    i += 1 ; print i,
    time.sleep(1)

con.disconnect()
con.close()

print contracts
于 2014-09-02T16:35:26.320 回答
4

不久前我开始使用 IbPy，并且time.sleep在示例中看到了这个习语，现在在上面的答案中看到了。因为ibpy有一个线程在后台运行，并且消息接收方法/函数因此在该线程中被调用，所以转向queue基于方法似乎很自然。

这里是上面两个合约规范的代码和下面的输出。

from __future__ import (absolute_import, division, print_function,)
#                        unicode_literals)

import sys

if sys.version_info.major == 2:
    import Queue as queue
else:  # >= 3
    import queue


import ib.opt
import ib.ext.Contract


class IbManager(object):
    def __init__(self, timeout=20, **kwargs):
        self.q = queue.Queue()
        self.timeout = 20

        self.con = ib.opt.ibConnection(**kwargs)
        self.con.registerAll(self.watcher)

        self.msgs = {
            ib.opt.message.error: self.errors,
            ib.opt.message.contractDetails: self.contractDetailsHandler,
            ib.opt.message.contractDetailsEnd: self.contractDetailsHandler
        }

        self.skipmsgs = tuple(self.msgs.keys())

        for msgtype, handler in self.msgs.items():
            self.con.register(handler, msgtype)

        self.con.connect()

    def watcher(self, msg):
        if isinstance(msg, ib.opt.message.error):
            if msg.errorCode > 2000:  # informative message
                print('-' * 10, msg)

        elif not isinstance(msg, self.skipmsgs):
            print('-' * 10, msg)

    def errors(self, msg):
        if msg.id is None:  # something is very wrong in the connection to tws
            self.q.put((True, -1, 'Lost Connection to TWS'))
        elif msg.errorCode < 1000:
            self.q.put((True, msg.errorCode, msg.errorMsg))

    def contractDetailsHandler(self, msg):
        if isinstance(msg, ib.opt.message.contractDetailsEnd):
            self.q.put((False, msg.reqId, msg))
        else:
            self.q.put((False, msg.reqId, msg.contractDetails))

    def get_contract_details(self, symbol, sectype, exch='SMART', curr='USD'):
        contract = ib.ext.Contract.Contract()
        contract.m_symbol = symbol
        contract.m_exchange = exch
        contract.m_currency = curr
        contract.m_secType = sectype

        self.con.reqContractDetails(1, contract)

        cdetails = list()
        while True:
            try:
                err, mid, msg = self.q.get(block=True, timeout=self.timeout)
            except queue.Empty:
                err, mid, msg = True, -1, "Timeout receiving information"
                break

            if isinstance(msg, ib.opt.message.contractDetailsEnd):
                mid, msg = None, None
                break

            cdetails.append(msg)  # must be contractDetails

        # return list of contract details, followed by:
        #   last return code (False means no error / True Error)
        #   last error code or None if no error
        #   last error message or None if no error
        # last error message

        return cdetails, err, mid, msg


ibm = IbManager(clientId=5001)

cs = (
    ('VTR', 'OPT', 'SMART'),
    ('ES', 'FUT', 'GLOBEX'),
)

for c in cs:
    cdetails, err, errid, errmsg = ibm.get_contract_details(*c)

    if err:
        print('Last Error %d: %s' % (errid, errmsg))

    print('-' * 50)
    print('-- ', c)
    for cdetail in cdetails:
        # m_summary is the contract in details
        print('Expiry:', cdetail.m_summary.m_expiry)


sys.exit(0)  # Ensure ib thread is terminated

输出：

Server Version: 76
TWS Time at connection:20160112 23:17:15 CET
---------- <managedAccounts accountsList=D999999>
---------- <nextValidId orderId=1>
---------- <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:eufarm>
---------- <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:usfarm.us>
---------- <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:cashhmds>
---------- <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ethmds>
--------------------------------------------------

--  ('VTR', 'OPT', 'SMART')
Expiry: 20160219
Expiry: 20160219
...
...
...
Expiry: 20160819
Expiry: 20160819
--------------------------------------------------
--  ('ES', 'FUT', 'GLOBEX')
Expiry: 20160318
Expiry: 20160617
Expiry: 20160916
Expiry: 20161216
Expiry: 20170317
于 2016-01-12T22:20:47.287 回答
3

我自己想通了。

有一个功能可以查询上市证券的详细信息，reqContractDetails。一些请求 E-mini SPX 期货（符号 ES）的示例代码如下所示。

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

def watcher(msg):
    print msg

contracts = [] # to store all the contracts
def contractDetailsHandler(msg):
    contracts.append(msg.contractDetails.m_summary)

con = ibConnection()
con.registerAll(watcher)
con.register(contractDetailsHandler, 'ContractDetails')
con.connect()

contract = Contract()
contract.m_symbol = "ES"
contract.m_exchange = "GLOBEX"
contract.m_currency = "USD"
contract.m_secType = "FUT"

con.reqContractDetails(1, contract)

time.sleep(2)

con.disconnect()

现在合约已保存在contracts列表中，我们可以通过以下方式获取所有可用的到期时间：

for c in contracts:
    print c.m_expiry

输出：

20140919
20141219
20150320
20150619
20150918

很明显，这也可以扩展到选项。

于 2014-08-18T03:36:15.563 回答