def down_quote(self, conid, period, bar):
ib_cfg = ib_web_api.Configuration()
ib_cfg.verify_ssl = False
api = MarketDataApi(ib_web_api.ApiClient(ib_cfg))
res = None
for i in range(1, 6):
try:
# Download conid
res = api.iserver_marketdata_history_get(
conid,
period=period,
bar=bar
)
except Exception as e:
if i == 6:
raise Exception('Could not get quote: %s\n' % e)
else:
continue
# If three days, pick the last day
# TODO: Do we need it like this?
if period == '3d' and bar == '1d':
if hasattr(res, 'points'):
point = int(res.points)
res = res.data[point].to_dict()
else:
raise Exception('Missing "points" for %s' % self.conid)
else:
if res is not None:
res = [ i.to_dict() for i in res.data ]
else:
raise Exception('Could not get quote', self.conid)
return res
def run(self, symbols):
symbols = [i.upper() for i in symbols]
# Instantiate API class
config = ib_web_api.Configuration()
config.verify_ssl = False
client = ib_web_api.ApiClient(config)
api = MarketDataApi(client)
for symbol in symbols:
print('===> ' + symbol)
# Get last 15 minutes data
# TODO: Catch here
points = api.iserver_marketdata_history_get(
Company(symbol).get_conid(), '15min', bar='1min').data
# Get just volume
vol = [p.to_dict()['v'] for p in points]
# Min/max/mean volume points, perc increase from mean to hi
lo = min(i for i in vol if i > 0)
hi = max(vol)
m = mean(vol)
perc = ((hi - m) / m) * 100
# Print stats
print('LO: ' + str(lo))
print('HI: ' + str(hi))
print('ME: ' + str(round(m, 2)))
print('PERC: ' + str(round(perc, 2)) + '%')
print('CONID: ' + Company(symbol).get_conid())
config.verify_ssl = False
client = ib_web_api.ApiClient(config)
try:
# Get conids
api = ContractApi(client)
conids = {}
for ticker in args.tickers:
conid = int
response = api.iserver_secdef_search_post({"symbol": ticker})
for item in response:
if item.description == 'NASDAQ':
conids[ticker] = item.conid
except ApiException as e:
print("Could not find conid: %s\n" % e)
exit(1)
try:
# Get market data
for symbol, conid in conids.items():
api = MarketDataApi(ib_web_api.ApiClient(config))
response = api.iserver_marketdata_history_get(conid, '1d').data
datapoints = []
for datapoint in response:
datapoints.append(datapoint.to_dict())
f = open('data-5/' + symbol + '.json', 'w')
f.write(json.dumps(datapoints))
f.close()
except ApiException as e:
print("Exception: %s\n" % e)
print('Could not get symbol %s' % ticker)
failed = True
continue
except ApiException as e:
print("Could not get conids: %s\n" % e)
exit(1)
if len(conids) == 0:
print('Could not find any conids')
exit(1)
# Print summary
eprint('Conids found: %s/%s' % (len(conids), len(args.tickers)))
# Get market data
try:
eprint('Get market data')
api = MarketDataApi(client)
for symbol, conid in conids.items():
response = api.iserver_marketdata_history_get(
conid,
'2d',
bar='5m'
).data
datapoints = []
# Convert to dict
for datapoint in response:
datapoints.append(datapoint.to_dict())
# Split into two days by date
dates = {}
for datapoint in datapoints:
cur_date = datetime .fromtimestamp(int(datapoint['t']/1000)) \
.strftime('%Y-%m-%d')