将数据从 TWS API 保存到 csv 文件

Question

我有一个 Python 脚本，它从 TWS API（Interactive Brokers）读取数据，并希望将数据转储到 csv 文件中。

现在它只是覆盖数据并打印最后一行以及一堆我不想要的其他值。

它使用 print(df) 打印出正确的值。

代码：

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.common import *
from ibapi.contract import *
from threading import Timer
from ibapi.ticktype import *
import pandas as pd
import numpy as np


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

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

    def nextValidId(self, orderId):
        self.start()

    def contractDetails(self, reqId, contractDetails):
        self.data = [contractDetails]
        df = pd.DataFrame(self.data)
        df.to_csv('options_test.csv')
        print(df)

    def contractDetailsEnd(self, reqId):
        print("\ncontractDetails End\n")


    def start(self):
        #self.reqSecDefOptParams(1, "AAPL", "", "STK", 265598)
        contract = Contract()
        contract.symbol = 'AAPL'
        contract.secType = 'OPT'
        contract.exchange = 'SMART'
        contract.currency = 'USD'
        #contract.primaryExchange = 'NASDAQ'
        contract.lastTradeDateOrContractMonth = '202010'
        #contract.strike = 175
        #contract.right = "C"
        #contract.multiplier = "100"
        global underlying
        underlying = contract.symbol

        self.reqMktData(1, contract, '106', False, False, [])

        self.reqContractDetails(1, contract)

    def stop(self):
        self.done = True
        self.disconnect()


def main():
    app = TestApp()
    app.nextOrderId = 0
    app.connect('127.0.0.1', 7497, 123)
    app.data = []

    Timer(4, app.stop).start()
    app.run()


if __name__ == "__main__":
    main()

我尝试使用 append() 并吐出一个错误。

    def contractDetails(self, reqId, contractDetails):
        self.data = [contractDetails]
        df = pd.append(self.data)
        df.to_csv('options_test.csv')
        print(df)

..raise AttributeError(f"module 'pandas' has no attribute '{name}'")
AttributeError: module 'pandas' has no attribute 'append'

我只想将“contractDetails”中收到的数据保存到 csv 中。

Answer 1

contractDetails 是一个 ContractDetails 详细信息对象，我不确定 pandas 将如何制作数据框。最常用的字段是合约对象，它具有可用于请求数据或下订单的 conId。它也有符号，所以你知道你在交易什么。 contractDetails 包含其他信息，例如交易时间和交易所。检查合同的源代码。为了提高效率，我稍微修改了数据框的制作方式。我还稍微修改了代码，去掉了不需要的 Timer。

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.common import *
from ibapi.contract import *
from threading import Timer
from ibapi.ticktype import *

import collections
import pandas as pd

class TestApp(EWrapper, EClient):
    def __init__(self):
        EWrapper.__init__(self)
        EClient.__init__(self, self)
        self.data=collections.defaultdict(list)

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

    def nextValidId(self, orderId):
        self.nextOrderId=orderId
        self.start()

    def contractDetails(self, reqId, contractDetails):
        self.data["conid"].append(contractDetails.contract.conId)
        self.data["symbol"].append(contractDetails.contract.localSymbol)

    def contractDetailsEnd(self, reqId):
        print("\ncontractDetails End\n")
        self.df=pd.DataFrame.from_dict(app.data)
        self.stop()

    def start(self):
        #self.reqSecDefOptParams(1, "AAPL", "", "STK", 265598)
        contract = Contract()
        contract.symbol = 'AAPL'
        contract.secType = 'OPT'
        contract.exchange = 'SMART'
        contract.currency = 'USD'
        #contract.primaryExchange = 'NASDAQ'
        contract.lastTradeDateOrContractMonth = '202010'
        #contract.strike = 175
        #contract.right = "C"
        #contract.multiplier = "100"
        self.reqContractDetails(1, contract)

    def stop(self):
        self.disconnect()
        print(self.df)
        #self.df.to_csv('options_test.csv')

def main():
    app = TestApp()
    app.connect('127.0.0.1', 7496, 123)
    app.run()