将 Interactive Brokers API 导入 Pandas

Question

Python 和 IB API 的新手，坚持这个简单的事情。 This application 工作正常并打印 IB 服务器回复。但是，我无法弄清楚如何将这些数据放入熊猫的数据框或任何其他变量中。您如何“获取数据”？谢谢！

在论坛、文档或 youtube 上我找不到任何有用的示例。我认为答案必须是将 accountSummary 返回到 pd.Series，但不知道如何。

预期的输出将是可以在应用程序之外进行操作的数据系列或变量。

from ibapi import wrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper #just for decorator
from ibapi.common import *
import pandas as pd

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

    @iswrapper
    def nextValidId(self, orderId:int):
        print("setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        # here is where you start using api
        self.reqAccountSummary(9002, "All", "$LEDGER")

    @iswrapper
    def error(self, reqId:TickerId, errorCode:int, errorString:str):
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

    @iswrapper
    def accountSummary(self, reqId:int, account:str, tag:str, value:str, currency:str):
        print("Acct Summary. ReqId:" , reqId , "Acct:", account, 
            "Tag: ", tag, "Value:", value, "Currency:", currency)
    #IB API data returns here, how to pass it to a variable or pd.series

    @iswrapper
    def accountSummaryEnd(self, reqId:int):
        print("AccountSummaryEnd. Req Id: ", reqId)
        # now we can disconnect
        self.disconnect()

def main():
    app = TestApp()
    app.connect("127.0.0.1", 4001, clientId=123)
    test = app.accountSummary
    app.run()

if __name__ == "__main__":
    main()

Answer 1

嗨，我遇到了同样的问题，而 collections 为我解决了这个问题。这是我的差价合约数据代码。也许它会帮助某人。您将在 app.df 中获得您的数据。任何改进建议都非常受欢迎。

import collections
import datetime as dt
from threading import Timer
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
import pandas as pd

# get yesterday and put it to correct format yyyymmdd{space}{space}hh:mm:dd
yesterday = str(dt.datetime.today() - dt.timedelta(1))
yesterday = yesterday.replace('-','')

IP = '127.0.0.1'
PORT = 7497

class App(EClient, EWrapper):

    def __init__(self):
        super().__init__(self)
        self.data = collections.defaultdict(list)
    
    def error(self, reqId, errorCode, errorString):
        print(f'Error {reqId}, {errorCode}, {errorString}')
    
    def historicalData(self, reqId, bar):
        self.data['date'].append(bar.date)
        self.data['open'].append(bar.open)
        self.data['high'].append(bar.high)
        self.data['low'].append(bar.low)
        self.data['close'].append(bar.close)
        self.data['volume'].append(bar.volume)
        self.df = pd.DataFrame.from_dict(self.data)

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

# create App object
app = App()
print('App created...')
app.connect(IP, PORT, 0)
print('App connected...')

# create contract
contract = Contract()
contract.symbol = 'IBDE30'
contract.secType = 'CFD' 
contract.exchange = 'SMART' 
contract.currency = 'EUR' 
print('Contract created...')

# request historical data for contract
app.reqHistoricalData(reqId=1, 
                    contract=contract, 
                    endDateTime=yesterday,
                    durationStr='1 W',  
                    barSizeSetting='15 mins', 
                    whatToShow='ASK', 
                    useRTH=0, 
                    formatDate=1, 
                    keepUpToDate=False, 
                    chartOptions=[])

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

Answer 2

我会将数据存储到字典中，从字典中创建一个数据帧，然后使用 concat 函数将新数据帧附加到主数据帧。这是一个例子：

def accountSummary(self, reqId:int, account:str, tag:str, value:str, currency:str):
    acct_dict = {"account": account, "value": value, "currency": currency}
    acct_df = pd.DataFrame([acct_dict], columns=acct_dict.keys())
    main_df = pd.concat([main_df, acct_df], axis=0).reset_index()

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