def dload(symlist,barlist,strikelist,expirylist):
print symlist
global bar, sym
trans_id = 0
strikelist = [1]
expirylist = [1]
for sym in symlist:
print sym
for bar in barlist:
for strike in strikelist:
for expiry in expirylist:
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
TicksUtile.backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_contract(sym,strike,expiry)
ticktype = ticktypedict[sym]
print bar, sym, duration,ticktype, barspaced, strike, expiry
tws_conn.reqHistoricalData(trans_id, contract, '', duration, barspaced, ticktype, 0, 2)
trans_id = trans_id + 1
sleep(10)
tmp = DataDown+ today + '.' + 'tempdlfile' + '.ddload.csv'
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
shutil.copyfile(tmp,fname)
TicksUtile.throw_out_lastbar(fname)
def dload(symlist, barlist, strikelist, expirylist):
print symlist
global bar, sym
trans_id = 0
strikelist = [1]
expirylist = [1]
for sym in symlist:
print sym
for bar in barlist:
for strike in strikelist:
for expiry in expirylist:
fname = DataDown + today + '.' + sym + '.' + bar.replace(
' ', '') + '.ddload.csv'
TicksUtile.backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_contract(sym, strike, expiry)
ticktype = ticktypedict[sym]
print bar, sym, duration, ticktype, barspaced, strike, expiry
tws_conn.reqHistoricalData(trans_id, contract, '',
duration, barspaced, ticktype,
0, 2)
trans_id = trans_id + 1
sleep(10)
tmp = DataDown + today + '.' + 'tempdlfile' + '.ddload.csv'
fname = DataDown + today + '.' + sym + '.' + bar.replace(
' ', '') + '.ddload.csv'
shutil.copyfile(tmp, fname)
TicksUtile.throw_out_lastbar(fname)
########################################
symTickerIddict = {}
contractdict = {}
symid = 0
strike = 90
expiry = ''
##flush files here is bad if building on hist....
for sym in symbol_list:
print sym
symid += 1
contract = ibutiles.create_contract(sym, strike, expiry)
contractdict.update({sym: contract})
symTickerIddict.update({str(symid): sym})
fname1 = DataDown + today + '.' + sym + '.RTMktDepth.csv'
TicksUtile.backupTickfiles(fname1)
fname3 = DataDown + today + '.' + sym + '.RTtickData.csv'
TicksUtile.backupTickfiles(fname3)
######################
rpu_rp.WriteArrayToCsvfile(TMP + 'replys.RTtickDOMs', [])
#################
onerow = []
current_time = datetime.now().time()
timenow = current_time.isoformat()
'''
2048.75', ' size=385>', '22:12:56.097000']
<updateMktDepth tickerId=1, position=8, operation=1, side=0, price=2049.75, size=415>
['<updateMktDepth tickerId=1', ' position=8', ' operation=1', ' side=0', ' price=2049.75', ' size=415>', '22:12:56.121000']
'''
global depthpricearray, depthsizearray
depthpricearray = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1]
from ib.opt import Connection, message ##??
#############################
global sym, symbol_list, symdict
########################################
symbol_list = symlistTicker
symTickerIddict ={}
contractdict ={}
symid=0
### backup tick files ####
print symbol_list
for sym in symbol_list:
symid+=1
symTickerIddict.update({str(symid) : sym})
for filename in ['.RTticks.csv','.RTMktDepth.csv','.RTtickData.csv']:
fname1 = DataDown+ today + '.' + sym +filename
TicksUtile.backupTickfiles(fname1)
## flush file
rpu_rp.WriteArrayToCsvfile(fname1,[])
##flush tick files where necessary
rpu_rp.WriteArrayToCsvfile(TMP +'replys.RTticks',[])
rpu_rp.WriteArrayToCsvfile(TMP +'replys.RTtickDOMs',[])
#################
onerow =[]
current_time = datetime.now().time()
timenow=current_time.isoformat()
################
def reply_handler(msg):
msgarray = (str(msg)).split()
print msgarray, 'rawmessg'
reqid=(msgarray[1]).split('=')[1].replace(',','')
fieldnum = (msgarray[2]).split('=')[1].replace(',','')