def nextValidId(self, orderId: int):
print('API初始化完成！')
print('nextValidId:', orderId)
zs = make_contract(symbol='ZS',
conID=341629352,
secType='FUT',
exchange='ECBOT')
le = make_contract(symbol='LE',
conID=373227052,
secType='FUT',
exchange='GLOBEX')
now = datetime.now().strftime("%Y%m%d %H:%M:%S")
self.reqHistoricalData(0, zs, now, '2 Y', '1 hour', 'BID_ASK', 0, 1,
False, [])
def make_future_spread_combo(symbol: str,
buysideID: int,
sellsideID: int,
exchange: str,
currency='USD'):
comcon = make_contract(symbol,
secType='BAG',
exchange=exchange,
currency=currency)
legbuy = ComboLeg()
legbuy.conId = buysideID
legbuy.ratio = 1
legbuy.action = 'BUY'
legbuy.exchange = exchange
legsell = ComboLeg()
legsell.conId = sellsideID
legsell.ratio = 1
legsell.action = 'SELL'
legsell.exchange = exchange
comcon.comboLegs = []
comcon.comboLegs.append(legbuy)
comcon.comboLegs.append(legsell)
return comcon
def ReqContractsDetail(self, symbols: list):
reqn = 0
for si in symbols:
self.reqConsdict[reqn] = si
reqCon = make_contract(symbol=si)
print('请求合约详情：', si)
self.reqContractDetails(reqn, reqCon)
reqn += 1
self.scan()
def reqContract_STK_batch(self):
UDfiles = os.listdir(UDpath)
reqCSBbuff = []
for si in self.dfsymbols:
if si + '-Details.json' not in UDfiles:
con = make_contract(symbol=si, secType='STK')
reqCSBbuff.append((self.reqID, deepcopy(con)))
self.contractDetails_STK_batch_buff[self.reqID] = si
self.reqID += 1
self.req0 = True
for ri in reqCSBbuff:
self.reqContractDetails(ri[0], ri[1])
self.control_reqtime_gap()
def reqOptionContractDetails_bulk(self, params: dict):
for sym, para in params.items():
self.optreqidinfo[sym] = {}
optdelfile = ospath + os.sep + sym + '-specs.json'
if os.path.exists(optdelfile):
self.superoptdel[sym] = Json_to_Dict(optdelfile)
else:
self.superoptdel[sym] = {}
self.opthasdel[sym] = []
self.opthaonotdel[sym] = []
self.reciveoptdelstatus[sym] = False
for parai in para:
exs = parai[0]
strs = parai[1]
if len(exs) != 0 and len(strs) != 0:
for ei in exs:
for si in strs:
self.reqID += 1
con_C = make_contract(symbol=sym, secType='OPT', right='C', lastTradeDateOrContractMonth=ei, strike=si)
self.optsupercon.append((self.reqID, deepcopy(con_C)))
self.optreqidinfo[sym][self.reqID] = [sym, ei, si, 'C']
self.reqID += 1
con_P = make_contract(symbol=sym, secType='OPT', right='P', lastTradeDateOrContractMonth=ei, strike=si)
self.optsupercon.append((self.reqID, deepcopy(con_P)))
self.optreqidinfo[sym][self.reqID] = [sym, ei, si, 'P']
self.req8 = True
for coi in self.optsupercon:
self.reqContractDetails(coi[0], coi[1])
print(coi[0], '批量请求期权Contract Details 数据：', coi[1].__str__())
self.control_reqtime_gap_2()
self.optsupercon = []
def reqOPT_Params_Details_batch_2(self):
optdelbuff = []
for sym, param in self.OPT_Params.items():
self.OPT_Detail_reqIDs[sym] = {}
self.OPT_Detail_recived_IDs[sym] = []
self.OPT_Detail_error_IDs[sym] = []
self.OPT_Detail_Done[sym] = False
osfile = OSpath + os.sep + sym + '-specs.json'
existed_OPT_details_brif = []
if os.path.exists(osfile):
self.existed_OPT_details[sym] = Json_to_Dict(osfile)
for month, rig in self.existed_OPT_details[sym].items():
for rigi, st in rig.items():
for sti in st.keys():
existed_OPT_details_brif.append(
(sym, month, rigi, sti))
else:
self.existed_OPT_details[sym] = {}
stricklimit = 0.15
idx = self.dfsymbols.index(sym)
last = self.dfPrice[idx]
pdiff = 100 - last
if pdiff > 0:
stricklimit = 0.15 + (pdiff / 80) * (
self.pick_OPT_strickes_paramters['maxstricklimit'] - 0.15)
exs = param['expirations']
strs = param['strikes']
today = date.today()
for ei in exs:
exdate = IBdate_to_Date(ei)
if (exdate - today
).days <= self.pick_OPT_strickes_paramters['lessthanday']:
for strsi in strs:
if last * (1 - stricklimit) <= strsi <= last * (
1 + stricklimit):
brif_C = (sym, ei, 'C', strsi)
if brif_C not in existed_OPT_details_brif:
con_C = make_contract(
symbol=sym,
secType='OPT',
right='C',
lastTradeDateOrContractMonth=ei,
strike=strsi)
optdelbuff.append(
(self.reqID, deepcopy(con_C)))
self.OPT_Detail_reqIDs[sym][
self.reqID] = brif_C
self.reqID += 1
brif_P = (sym, ei, 'P', strsi)
if brif_P not in existed_OPT_details_brif:
con_P = make_contract(
symbol=sym,
secType='OPT',
right='P',
lastTradeDateOrContractMonth=ei,
strike=strsi)
optdelbuff.append(
(self.reqID, deepcopy(con_P)))
self.OPT_Detail_reqIDs[sym][
self.reqID] = brif_P
self.reqID += 1
self.req2 = True
# locker = Lock()
# locker.acquire()
for oi in optdelbuff:
self.reqContractDetails(oi[0], oi[1])
self.control_reqtime_gap()
f.write(pdata)
f.close()
if __name__ == '__main__':
specs = [('EUR', 12087792, 'USD'), ('GBP', 12087797, 'USD'),
('USD', 15016059, 'JPY')]
# ('CHF', 12087802, 'USD'),
# ('AUD', 14433401, 'USD'),
# ('NZD', 39453441, 'USD'),
# ('USD', 113342317, 'CNH'),
# ('USD', 15016062, 'CAD'),
# ]
conlist = []
# xau = make_contract(symbol='XAUUSD', conID=69067924, currency='USD', secType='CMDTY', exchange='SMART')
# conlist.append(xau)
# xag = make_contract(symbol='XAGUSD', conID=77124483, currency='USD', secType='CMDTY', exchange='SMART')
# conlist.append(xag)
for i in specs:
con = make_contract(symbol=i[0],
conID=i[1],
secType='CASH',
currency=i[2],
exchange='IDEALPRO')
conlist.append(copy.deepcopy(con))
app = myClient_get_FX_Tickdata(conlist)
app.connect('127.0.0.1', 4003, 1)
app.run()
def nextValidId(self, orderId: int):
con = make_contract(symbol='AMZN', secType='OPT')
self.timrstart = datetime.now()
self.reqContractDetails(1, con)
self.plotstart = True
else:
x = [self.plotnums, self.plotnums + 1]
bidy = [self.spread_tab_p[1], self.spread_tab[1]]
asky = [self.spread_tab_p[2], self.spread_tab[2]]
self.plotnums += 1
plt.plot(x, bidy, color='green')
plt.plot(x, asky, color='red')
plt.draw()
plt.pause(0.001)
if __name__ == '__main__':
ES202012 = make_contract(symbol='ES', conID=383974339, secType='FUT', exchange='GLOBEX', localSymbol='ESZ0')
ES202103 = make_contract(symbol='ES', conID=396336017, secType='FUT', exchange='GLOBEX', localSymbol='ESH1')
ES = {'back': ES202103, 'front': ES202012}
NQ202012 = make_contract(symbol='NQ', conID=383974419, secType='FUT', exchange='GLOBEX', localSymbol='NQZ0')
NQ202103 = make_contract(symbol='NQ', conID=396335999, secType='FUT', exchange='GLOBEX', localSymbol='NQH1')
NQ = {'back': NQ202103, 'front': NQ202012}
YM202012 = make_contract(symbol='YM', conID=396335960, secType='FUT', exchange='ECBOT', localSymbol='YM DEC 20')
YM202103 = make_contract(symbol='YM', conID=412888950, secType='FUT', exchange='ECBOT', localSymbol='YM MAR 21')
YM = {'back': YM202103, 'front': YM202012}
RTY202012 = make_contract(symbol='RTY', conID=383974422, secType='FUT', exchange='GLOBEX', localSymbol='RTYZ0')
RTY202103 = make_contract(symbol='RTY', conID=396336027, secType='FUT', exchange='GLOBEX', localSymbol='RTYH1')
RTY = {'back': RTY202103, 'front': RTY202012}
else:
x = [self.plotnums, self.plotnums + 1]
bidy = [self.combo_tick_pre[1], self.combo_tick[1]]
asky = [self.combo_tick_pre[2], self.combo_tick[2]]
self.plotnums += 1
plt.plot(x, bidy, color='green')
plt.plot(x, asky, color='red')
plt.draw()
plt.pause(0.001)
if __name__ == '__main__':
coilk1 = make_contract(symbol='COIL',
conID=153452020,
secType='FUT',
exchange='IPE',
localSymbol='COILK1')
coilh1 = make_contract(symbol='COIL',
conID=153452051,
secType='FUT',
exchange='IPE',
localSymbol='COILH1')
ES202012 = make_contract(symbol='ES',
conID=383974339,
secType='FUT',
exchange='GLOBEX',
localSymbol='ESZ0')
ES202103 = make_contract(symbol='ES',
conID=396336017,
if tickType == 88:
sdatetime = datetime.fromtimestamp(int(value), estz).strftime("%Y-%m-%d %H:%M:%S")
self.id_tick_tab[reqId][0] = sdatetime
symbol = self.id_sy_tab[reqId]
print('时间：', symbol, sdatetime)
# filename = datapath + os.sep + symbol + '-tick.txt'
# f = open(filename, 'a+')
# pdata = ','.join([str(i) for i in self.id_tick_tab[reqId]]) + '\n'
# f.write(pdata)
# f.close()
if __name__ == '__main__':
conlist = []
sb = make_contract(symbol='SB', conID=320220010, secType='FUT', exchange='NYBOT')
cc = make_contract(symbol='CC', conID=348296999, secType='FUT', exchange='NYBOT')
gc = make_contract(symbol='GC', conID=442474779, secType='FUT', exchange='NYMEX')
zs = make_contract(symbol='ZS', conID=341629352, secType='FUT', exchange='ECBOT')
le = make_contract(symbol='LE', conID=373227052, secType='FUT', exchange='GLOBEX')
vix = make_contract(symbol='VIX', conID=394987017, secType='FUT', exchange='CFE')
zg = make_contract(symbol='ZG', conID=217704900, secType='FUT', exchange='NYSELIFFE')
coil = make_contract(symbol='COIL', conID=153452027, secType='FUT', exchange='IPE')
w = make_contract(symbol='W', conID=374752952, secType='FUT', exchange='ICEEUSOFT')
conlist.append(copy.deepcopy(w))
app = myClient_get_FUT_Tickdata(conlist)
app.connect('127.0.0.1', 4003, 1)
app.run()