def dbcontract_to_ibcontract(dbcontract):
symbol = str(dbcontract.sym)
localSym = str(dbcontract.local_sym)
if str(dbcontract.secType) == 'CASH':
symbol = str(dbcontract.sym) + str(dbcontract.cur)
if str(dbcontract.secType) == 'FUT':
year = str(dbcontract.contractMonth)[0:4]
mon = str(dbcontract.contractMonth)[4:6]
addSym = ''
print symbol, year, int(mon)
if int(mon) == 1:
addSym = 'F'
print addSym
if int(mon) == 2:
addSym = 'G'
if int(mon) == 3:
addSym = 'H'
if int(mon) == 4:
addSym = 'J'
if int(mon) == 5:
addSym = 'K'
if int(mon) == 6:
addSym = 'M'
if int(mon) == 7:
addSym = 'N'
if int(mon) == 8:
addSym = 'Q'
if int(mon) == 9:
addSym = 'U'
if int(mon) == 10:
addSym = 'V'
if int(mon) == 11:
addSym = 'X'
if int(mon) == 12:
addSym = 'Z'
addSym += year[3:4]
print addSym
localSym += addSym
print 'Found', localSym
contract = Contract()
contract.symbol = str(symbol)
contract.secType = str(dbcontract.secType)
contract.exchange = str(dbcontract.exch)
contract.primaryExchange = str(dbcontract.exch)
contract.currency = str(dbcontract.cur)
contract.expiry = str(dbcontract.expiry)
#contract.strike= # Strike Price
contract.localSymbol = localSym
return contract
def create_contract(security):
if security.split('.')[0]=='FUT':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'FUT'
contract.exchange = 'GLOBEX'
contract.currency = security.split('.')[2]
contract.expiry= security.split('.')[3]
contract.primaryExchange='GLOBEX'
elif security.split('.')[0]=='CASH':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'CASH'
contract.exchange = 'IDEALPRO'
contract.currency = security.split('.')[2]
contract.primaryExchange='IDEALPRO'
elif security.split('.')[0]=='STK':
contract = Contract()
contract.symbol = security.split('.')[1]
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
contract.primaryExchange='SMART'
return contract
def get_last_hist_data(client, symbols, startDate, endDate = datetime.datetime.now()):
ibcontract = IBcontract()
#ibcontract.secType = "FUT"
#ibcontract.expiry="201809"
#ibcontract.symbol="GE"
#ibcontract.exchange="GLOBEX"
ibcontract.secType = 'STK'
ibcontract.exchange = 'SMART'
ibcontract.currency = 'USD'
ibcontract.primaryExchange = 'SMART'
for index in range(len(symbols)):
symbol = symbols[index]
ibcontract.symbol = symbol
lastDate = endDate
while (cmp(startDate, lastDate) < 0):
curDay = lastDate + datetime.timedelta(days = -28)
print symbol, curDay, lastDate
sdatetime=lastDate.strftime("%Y%m%d %H:%M:%S %Z")
ans=client.get_IB_historical_data(ibcontract, sdatetime, '4 W', '1 hour', index)
lastDate = curDay
time.sleep(1)
print "orglen: ", len(ans)
ans = ans.drop_duplicates(subset=['symbol', 'sdate'])
print "endlen: ", len(ans)
ans.to_csv(symbol+".csv")
#print ans
conn=MySQLdb.connect(host='127.0.0.1',user='******',passwd='border', db='finance', port=3306)
cur=conn.cursor()
values=[]
header = 'insert into stock_data_1hour(`symbol`, `sdate`, `open`, `high`, `low`, `close`, `volume`, `barcount`, `wap`, `hasgaps`, `ctime`) values(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)'
for row in ans.iterrows():
index, data = row
values.append((data['symbol'], data['sdate'], data['open'], data['high'], data['low'],
data['close'], data['volume'], data['barcount'], data['wap'], data['hasgaps'], time.time()))
#print 'Index: %s, symbol: %s, date: %s, close: %s' % (index, data['symbol'], data['sdate'], data['close'])
cur.executemany(header, values)
conn.commit()
cur.close()
conn.close()
time.sleep(5)
callback = IBWrapper()
#client=IBclient(callback, "DU220055")
client=IBclient(callback, "All")
#client.req_account_summary(10000)
ibcontract = IBcontract()
#ibcontract.secType = "FUT"
#ibcontract.expiry="201509"
#ibcontract.symbol="GBL"
#ibcontract.exchange="DTB"
ibcontract.secType = 'STK'
ibcontract.exchange = 'SMART'
ibcontract.currency = 'USD'
ibcontract.primaryExchange = 'SMART'
ibcontract.symbol = "TRUE"
## Get contract details
cdetails=client.get_contract_details(ibcontract)
## In particular we want the expiry. You cannot just use cdetails['expiry'][:6] to map back to the yyyymm
## expiry since certain contracts expire the month before they should!
print "Expiry is %s" % cdetails['expiry']
## Once you have the portfolio positions then you can use these expiries to map back
(account_value, portfolio_data)=client.get_IB_account_data()
#time.sleep(30)
datefmt='%j-%H:%M:%S')
else:
logging.basicConfig(handlers=[logging.StreamHandler()],
level=logging.INFO,
format='%(asctime)s [%(levelname)s] %(message)s',
datefmt='%j-%H:%M:%S')
logging.debug(args)
if args.sym: contract.symbol = args.sym
if args.exc: contract.exchange = args.exc
if args.st: contract.secType = args.st
if args.cur: contract.currency = args.cur
if args.id: contract.conId = args.id
if args.exp: contract.expiry = args.exp
if args.pex: contract.primaryExchange = args.pex
if args.str: contract.strike = args.str
if args.rt: contract.right = args.rt
if args.mult: contract.multiplier = args.mult
barsize = args.p
datatype = args.t
rth_only = args.rth
pacing = args.pacing
num_requests = args.n
zerobased = args.z
if barsize == "1 day" or barsize == "1W" or barsize == "1M":
dt_format = "%Y%m%d"
else:
dt_format = "%Y%m%d %H:%M:%S"
args = parser.parse_args()
if args.v:
logging.basicConfig(handlers=[logging.StreamHandler()], level=logging.DEBUG, format='%(asctime)s [%(levelname)s] %(message)s', datefmt='%j-%H:%M:%S')
else:
logging.basicConfig(handlers=[logging.StreamHandler()], level=logging.INFO, format='%(asctime)s [%(levelname)s] %(message)s', datefmt='%j-%H:%M:%S')
logging.debug(args)
if args.sym: contract.symbol = args.sym
if args.exc: contract.exchange = args.exc
if args.st: contract.secType = args.st
if args.cur: contract.currency = args.cur
if args.id: contract.conId = args.id
if args.exp: contract.expiry = args.exp
if args.pex: contract.primaryExchange = args.pex
if args.str: contract.strike = args.str
if args.rt: contract.right = args.rt
if args.mult: contract.multiplier = args.mult
barsize = args.p
datatype = args.t
rth_only = args.rth
pacing = args.pacing
num_requests = args.n
zerobased = args.z
if barsize == "1 day" or barsize == "1W" or barsize == "1M":
dt_format = "%Y%m%d"
else:
dt_format = "%Y%m%d %H:%M:%S"
