此代码正在生成每个市场的当前出价。但是当将它与历史数据进行比较时，它无法更新存储在 this.high 或 this.low 中的历史数据。
import com.ib.client.*;
import java.util.Arrays;
import java.util.List;
import java.io.IOException;
import java.text.DecimalFormat;
import java.time.LocalDate;
import java.time.format.DateTimeFormatter;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.concurrent.ThreadLocalRandom;
public class a1 implements EWrapper {
private EJavaSignal clientignal = new EJavaSignal();
private final EClientSocket client = new EClientSocket(this, clientignal);
private static List<String> lines = Arrays.asList(new String[]{
"EUR",
"GBP",
"AUD",
});
// Keep track of the next ID
private int nextOrderID = 0;
// The IB API Client Socket object
private static int nextId = 1; //auto increment for each request
private int myId;
private double high = Double.MAX_VALUE;
private double low = -Double.MAX_VALUE;
private double xx = 0;
private Integer currentPosition = 0;
private Contract contract = new Contract();
private int nextValidId_prev;
private EReader reader = null;
private String twsAccountNumber = "999"; // "999" 888;
public static void main(String[] args) {
System.out.print("main function");
//new a1().startTws();
a1 a1 = new a1();
a1.twsConnectionChecker();
}
private void twsConnectionChecker() {
new Thread(() -> {
while (!Thread.interrupted()) {
if (client.isConnected()) {
//log.info("tws connected");
client.reqCurrentTime();
} else {
System.out.print("tws is not connected");
connectingToTWS();
}
try {
Thread.sleep(1000);
} catch (InterruptedException e) {
e.printStackTrace();
}
}
System.out.print("exiting reader thread");
}).start();
}
private void connectingToTWS() {
System.out.print("run is called");
client.eConnect("127.0.0.1", 7497, 123);
reader = new EReader(client, clientignal);
reader.start();
new Thread(() -> {
while (client.isConnected()) {
clientignal.waitForSignal();
try {
reader.processMsgs();
} catch (Exception e) {
error(e);
}
//log.info("processMsgs thread running");
}
System.err.println("thread exiting");
}).start();
//Contract contract = new Contract();
//Order order = new Order();
client.reqMarketDataType(3);
//contract.m_localSymbol = "ESM7";
lines.stream().forEach(line -> {
contract.symbol(line.split(",")[0]);
contract.exchange("IDEALPRO");
contract.secType("CASH");
contract.currency("USD");
System.out.print("request hst data");
requestHistoricalData();
requestStreamingData();
client.reqAccountUpdates(true, twsAccountNumber);
});
}
public void requestHistoricalData() {
/*
client.reqHistoricalData(1, contract,
LocalDate.now().format(DateTimeFormatter.BASIC_ISO_DATE) + " 16:00:00",
"1 D", "1 day", "MIDPOINT", 1, 1, null);
*/
String requestDateTime = LocalDate.now().minusDays(1).format(DateTimeFormatter.BASIC_ISO_DATE);
System.out.println("requestDateTime = " + requestDateTime);
String requestDateTimeFull = requestDateTime + " 23:00:00";
System.out.println("requestDateTimeFull = " + requestDateTimeFull);
client.reqHistoricalData(1, contract, requestDateTimeFull, "1 D", "1 day", "MIDPOINT", 1, 1, null);
}
public void requestStreamingData() {
myId = nextId++;
System.out.println("requestStreamingData is being called");
client.reqMktData(myId, contract, "", false,false, null);
System.out.println("requestStreamingData is finished");
}
public void sendOrder(String orderSide, int parentOrderId) {
new Thread(() -> {
System.out.print("before getting ids, nextOrderID = " + nextOrderID + ", nextValidId_prev = " + nextValidId_prev);
while (nextOrderID == nextValidId_prev) {
System.out.print("waiting for next valid id...");
client.reqIds(1);
System.out.print("waiting for next valid id done");
try {
Thread.sleep(1000);
} catch (InterruptedException e) {
e.printStackTrace();
}
}
System.out.print("new nextOrderID = " + nextOrderID);
nextValidId_prev = nextOrderID;
System.out.print("sendOrder is called");
Order order = new Order();
order.action(orderSide);
order.totalQuantity(20000);
//log.info("sendOrder, this.high = " + this.high);
DecimalFormat df = new DecimalFormat("0.0000");
// TODO get digit according
if(orderSide.equals("SELL")){
double xx = this.low;
}else if(orderSide.equals("BUY")){
double xx = this.high;
}
df.setDecimalSeparatorAlwaysShown(true);
String formatedEntryPrice = df.format(xx);
formatedEntryPrice = formatedEntryPrice.replace(",", ".");
System.out.print("formatedEntryPrice = " + formatedEntryPrice);
order.lmtPrice(Double.valueOf(formatedEntryPrice)); // TODO stop limit at prior day high
order.orderType("LMT");
order.account ( "U1836253");
order.account(twsAccountNumber);
//int randomNum = ThreadLocalRandom.current().nextInt(1, 5564 + 1);
//log.info("after creating order");
String trailingOrderSide = "";
if(orderSide.equals("SELL")){
trailingOrderSide = "BUY";
}else if(orderSide.equals("BUY")){
trailingOrderSide = "SELL";
}
Order trailOrder = new Order();
trailOrder.action(trailingOrderSide);
//trailOrder.auxPrice(Double.valueOf("1.07000"));
trailOrder.trailingPercent(1);
trailOrder.orderType("TRAIL");
trailOrder.account ( "U1836253");
trailOrder.totalQuantity(20000);
trailOrder.parentId(nextOrderID);
trailOrder.transmit(true);
///
// order.orderType("TRAIL");
// order.totalQuantity(20000);
// order.trailingPercent(1);
// order.trailStopPrice(low);
// stopLoss.parentId(nextOrderID);
// order.transmit(true);
//client.reqIds(1);
client.placeOrder(nextOrderID, contract, order);
client.placeOrder(nextOrderID + 1, contract, trailOrder);
//attachOrder();
}).start();
System.out.print("sendOrder is finished");
}
@Override
public void nextValidId(int orderId) {
System.out.println("nextValidId " + orderId);
nextOrderID = orderId;
//contract.m_localSymbol = "ESM7";
//Contract c = new Contract();
//contract.m_localSymbol = "ESM7";
/*
contract.clientymbol = "AUY";
contract.m_exchange = "SMART";
contract.clientecType = "STK";
contract.m_currency = "USD";
client.reqHistoricalData(1, contract,
LocalDate.now().format(DateTimeFormatter.BASIC_ISO_DATE) + " 16:00:00",
"2 D", "1 day", "MIDPOINT", 1, 1, null);
client.reqMktData(1, contract, "", false, null);
*/
}
@Override
public void error(int id, int errorCode, String errorMsg) {
System.out.println(id + " " + errorCode + " " + errorMsg);
}
@Override
public void historicalData(int reqId, String date, double open, double high, double low, double close, int volume, int count, double WAP, boolean hasGaps) {
//if being run on the next calendar day, this works
//System.out.println("historicalData = " + date + " h: " + high + " l: " + low);
//if (now().minusDays(1).format(DateTimeFormatter.BASIC_ISO_DATE).equals(date)) {
lines.stream().forEach(line -> {
if (high > 0) {
//this.high = high;
this.high = high;
this.low = low;
System.out.println("historicalData = " + date + " this.high: " + this.high + " this.low: " + this.low);
}
});
return;
}
@Override
public void tickPrice(int tickerId, int field, double price, TickAttr attrib) {
lines.stream().forEach(line -> {
//System.out.println("id: " + tickerId + " " + TickType.getField(field) + " price: " + price);
//System.out.println(" h: " + high + " l: " + low);
if (field == TickType.BID.index()) {
System.out.println(high +"bid price filtered. bid = " + price);
if (price >high && currentPosition <= 1) {
System.out.println("buy");
currentPosition++;
sendOrder("BUY",0);
}
if (price < low && currentPosition <= 1) {
System.out.println("sell");
currentPosition--;
sendOrder("SELL",0);
}
if (price < high && price > low) {
System.out.println("inside prev day range");
System.out.println(high);
System.out.println(low);
}
}
return;
});
}
@Override
public void error(Exception e) {
}
@Override
public void connectionClosed() {
}
@Override
public void error(String str) {
}
@Override
public void tickSize(int tickerId, int field, int size) {
}
@Override
public void tickOptionComputation(int tickerId, int field, double impliedVol, double delta, double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice) {
}
@Override
public void tickGeneric(int tickerId, int tickType, double value) {
}
@Override
public void tickString(int tickerId, int tickType, String value) {
}
@Override
public void tickEFP(int tickerId, int tickType, double basisPoints, String formattedBasisPoints, double impliedFuture, int holdDays, String futureLastTradeDate, double dividendImpact,
double dividendsToLastTradeDate) {
}
@Override
public void orderStatus(int orderId, String status, double filled, double remaining, double avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId, String whyHeld) {
System.out.println("first ID " + orderId+"first status " + status);
}
@Override
public void openOrder(int orderId, Contract contract, Order order, OrderState orderState) {
System.out.println("another ID " + order+"another ID " + orderState);
}
@Override
public void openOrderEnd() {
}
@Override
public void updateAccountValue(String key, String value, String currency, String accountName) {
}
@Override
public void updatePortfolio(Contract contract, double position, double marketPrice, double marketValue, double averageCost, double unrealizedPNL, double realizedPNL, String accountName) {
DecimalFormat df = new DecimalFormat("0.0000"); // TODO get digit according
df.setDecimalSeparatorAlwaysShown(true);
String formatedPosition = df.format(position);
formatedPosition = formatedPosition.replace(",", ".");
System.out.println("contract = " + contract.localSymbol() + ", contract.description() = " + contract.description() + ", unrealizedPNL = " + unrealizedPNL + ", formatedPosition = " + formatedPosition);
}
@Override
public void updateAccountTime(String timeStamp) {
}
@Override
public void accountDownloadEnd(String accountName) {
}
@Override
public void contractDetails(int reqId, ContractDetails contractDetails) {
}
@Override
public void bondContractDetails(int reqId, ContractDetails contractDetails) {
}
@Override
public void contractDetailsEnd(int reqId) {
}
@Override
public void execDetails(int reqId, Contract contract, Execution execution) {
}
@Override
public void execDetailsEnd(int reqId) {
}
@Override
public void updateMktDepth(int tickerId, int position, int operation, int side, double price, int size) {
}
@Override
public void updateMktDepthL2(int tickerId, int position, String marketMaker, int operation, int side, double price, int size) {
}
@Override
public void updateNewsBulletin(int msgId, int msgType, String message, String origExchange) {
}
@Override
public void managedAccounts(String accountsList) {
}
@Override
public void receiveFA(int faDataType, String xml) {
}
@Override
public void scannerParameters(String xml) {
}
@Override
public void scannerData(int reqId, int rank, ContractDetails contractDetails, String distance, String benchmark, String projection, String legsStr) {
}
@Override
public void scannerDataEnd(int reqId) {
}
@Override
public void realtimeBar(int reqId, long time, double open, double high, double low, double close, long volume, double wap, int count) {
// Display the Real-Time bar
// reqId is the integer specified as the first parameter to reqRealTimeBars()
try {
System.out.println("realtimeBar:" + time + "," + open + "," +
high + "," + low + "," + close + "," +
volume);
} catch (Exception e) {
e.printStackTrace();
}
}
@Override
public void currentTime(long time) {
}
@Override
public void fundamentalData(int reqId, String data) {
}
@Override
public void deltaNeutralValidation(int reqId, DeltaNeutralContract underComp) {
}
@Override
public void tickSnapshotEnd(int reqId) {
}
@Override
public void marketDataType(int reqId, int marketDataType) {
}
@Override
public void commissionReport(CommissionReport commissionReport) {
}
@Override
public void position(String account, Contract contract, double pos, double avgCost) {
System.out.println("contract " + contract);
}
@Override
public void positionEnd() {
}
@Override
public void accountSummary(int reqId, String account, String tag, String value, String currency) {
System.out.println("value " + value);
}
@Override
public void accountSummaryEnd(int reqId) {
}
@Override
public void verifyMessageAPI(String apiData) {
}
@Override
public void verifyCompleted(boolean isSuccessful, String errorText) {
}
@Override
public void verifyAndAuthMessageAPI(String apiData, String xyzChallenge) {
}
@Override
public void verifyAndAuthCompleted(boolean isSuccessful, String errorText) {
}
@Override
public void displayGroupList(int reqId, String groups) {
}
@Override
public void displayGroupUpdated(int reqId, String contractInfo) {
}
@Override
public void positionMulti(int reqId, String account, String modelCode, Contract contract, double pos, double avgCost) {
}
@Override
public void positionMultiEnd(int reqId) {
}
@Override
public void accountUpdateMulti(int reqId, String account, String modelCode, String key, String value, String currency) {
}
@Override
public void accountUpdateMultiEnd(int reqId) {
}
public void connectAck() {
}
@Override
public void securityDefinitionOptionalParameter(int reqId, String exchange, int underlyingConId, String tradingClass,
String multiplier, Set<String> expirations, Set<Double> strikes) {
System.out.print(reqId + ", " + exchange + ", " + underlyingConId + ", " + tradingClass + ", " + multiplier);
for (String exp : expirations) {
System.out.print(", " + exp);
}
for (double strk : strikes) {
System.out.print(", " + strk);
}
System.out.println();
}
@Override
public void securityDefinitionOptionalParameterEnd(int reqId) {
System.out.println("done");
}
@Override
public void softDollarTiers(int reqId, SoftDollarTier[] tiers) {
}
@Override
public void familyCodes(FamilyCode[] familyCodes) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void symbolSamples(int reqId, ContractDescription[] contractDescriptions) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void historicalDataEnd(int reqId, String startDateStr, String endDateStr) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void mktDepthExchanges(DepthMktDataDescription[] depthMktDataDescriptions) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void tickNews(int tickerId, long timeStamp, String providerCode, String articleId, String headline, String extraData) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void smartComponents(int reqId, Map<Integer, Map.Entry<String, Character>> theMap) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void tickReqParams(int tickerId, double minTick, String bboExchange, int snapshotPermissions) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void newsProviders(NewsProvider[] newsProviders) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void newsArticle(int requestId, int articleType, String articleText) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void historicalNews(int requestId, String time, String providerCode, String articleId, String headline) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void historicalNewsEnd(int requestId, boolean hasMore) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void headTimestamp(int reqId, String headTimestamp) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
@Override
public void histogramData(int reqId, List<Map.Entry<Double, Long>> items) {
throw new UnsupportedOperationException("Not supported yet."); //To change body of generated methods, choose Tools | Templates.
}
}
它正在输出：
0.75404bid price filtered. bid = 1.09067
0.75404bid price filtered. bid = 1.09067
0.75404bid price filtered. bid = 1.09067
0.75404bid price filtered. bid = 1.28989
0.75404bid price filtered. bid = 1.28989
0.75404bid price filtered. bid = 1.28989
如您所见，它输出不同市场的高点，但随后显示不同市场的出价。