def get_historical_data(self, security, barSize, goBack, endTime=None, whatToShow='', useRTH=1, formatDate=1,
waitForFeedbackInSeconds=30, timezoneOfReturn=pytz.timezone('US/Eastern')):
"""
:param timezoneOfReturn:
:param security: Security
:param barSize: string
barSize can be any of the following values(string)
1 sec, 5 secs,15 secs,30 secs,1 min,2 mins,3 mins,5 mins,15 mins,30 mins,1 hour,1 day
:param goBack: string
:param endTime: default value is '', IB server deems '' as the current server time.
If user wants to supply a value, it must be a datetime with timezone
:param whatToShow: string
whatToShow: see IB documentation for choices
TRADES,MIDPOINT,BID,ASK,BID_ASK,HISTORICAL_VOLATILITY,OPTION_IMPLIED_VOLATILITY
:param useRTH: int 1=within regular trading hours, 0=ignoring RTH
:param formatDate: int 1= Return datetime 2 = Return epoch seconds
:param waitForFeedbackInSeconds:
:return: a dataFrame, keyed by a datetime with timezone UTC, columns = ['open', 'high', 'low', 'close', 'volume']
The latest time record at the bottom of the dateFrame.
"""
self._log.debug(__name__ + '::get_historical_data: security=%s barSize=%s goBack=%s endTime=%s whatToShow=%s useRTH=%s formatDate=%s waitForFeedbackInSeconds=%s' % (security, barSize, goBack, endTime, whatToShow, useRTH, formatDate, waitForFeedbackInSeconds))
# all request datetime MUST be switched to UTC then submit to IB
if endTime is not None and endTime != '':
if endTime.tzinfo is None:
self._log.error(__name__ + '::request_historical_data: EXIT, endTime=%s must have timezone' % (endTime,))
exit()
endTime = endTime.astimezone(tz=pytz.utc)
endTime = dt.datetime.strftime(endTime, "%Y%m%d %H:%M:%S %Z") # datetime -> string
if whatToShow == '':
whatToShow = choose_whatToShow(security.secType)
orderIdList = self.submit_requests(ReqHistoricalData(security, barSize, goBack, endTime, whatToShow,
useRTH, formatDate, waitForFeedbackInSeconds,
timezoneOfReturn))
return self._brokerClient.get_submit_requests_result(orderIdList[0]) # return a pandas dataFrame
def _get_hist_from_TD(self, plan):
self._log.debug(__name__ + '::_get_hist_from_TD')
endTime = plan.endTime.astimezone(pytz.timezone('UTC'))
endTime = dt.datetime.strftime(endTime, "%Y%m%d %H:%M:%S %Z") # datetime -> string
# the return of request_data is reqId.
# To get the content of hist, call brokerService::request_historical_data
whatToShow = choose_whatToShow(plan.security.secType)
reqIds = self._dataProviderClient.request_data(ReqHistoricalData(plan.security,
plan.barSize,
plan.goBack,
endTime,
whatToShow))
# only reqId is returned
hist = self._dataProviderClient.get_submit_requests_result(reqIds[0])
# hist.to_csv('%s_%s_%s.csv' % (plan.security, plan.barSize, plan.goBack))
return hist
def provide_hist_from_a_true_dataProvider(self, security, endTime, goBack,
barSize, whatToShow, useRTH,
formatDate):
endTime = plan.endTime.astimezone(pytz.timezone('UTC'))
endTime = dt.datetime.strftime(
endTime, "%Y%m%d %H:%M:%S %Z") # datetime -> string
self._dataProviderClient.add_exchange_to_security(plan.security)
self._dataProviderClient.add_primaryExchange_to_security(plan.security)
# the return of request_data is reqId.
# To get the content of hist, call brokerService::request_historical_data
whatToShow = choose_whatToShow(plan.security.secType)
reqIds = self._dataProviderClient.request_data(
ReqHistoricalData(plan.security, plan.barSize, plan.goBack,
endTime, whatToShow))
# only reqId is returned
hist = self._dataProviderClient.get_submit_requests_result(reqIds[0])
# hist.to_csv('%s_%s_%s.csv' % (plan.security, plan.barSize, plan.goBack))
return hist
def _get_hist_from_IB(self, plan):
self._log.debug(__name__ + '::_get_hist_from_IB: plan=%s' % (plan,))
if plan.fileName is not None:
self._log.error(__name__ + '::_get_hist_from_IB: plan=%s should not have fileName. dataProviderName should be LOCAL_FILE.' % (plan,))
exit()
endTime = plan.endTime.astimezone(pytz.timezone('UTC'))
endTime = dt.datetime.strftime(endTime, "%Y%m%d %H:%M:%S %Z") # datetime -> string
self._dataProviderClient.add_exchange_to_security(plan.security)
self._dataProviderClient.add_primaryExchange_to_security(plan.security)
# the return of request_data is reqId.
# To get the content of hist, call brokerService::request_historical_data
whatToShow = choose_whatToShow(plan.security.secType)
reqIds = self._dataProviderClient.request_data(ReqHistoricalData(plan.security,
plan.barSize,
plan.goBack,
endTime,
whatToShow))
# only reqId is returned
hist = self._dataProviderClient.get_submit_requests_result(reqIds[0])
# hist.to_csv('%s_%s_%s.csv' % (plan.security, plan.barSize, plan.goBack))
return hist