def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap,
count):
msg = EWrapperMsgGenerator.realtimeBar(reqId, time, open_, high, low,
close, volume, wap, count)
timestamp = timemod.strftime('%Y%m%d %H:%M:%S',
timemod.localtime(time))
if not args.port:
print >> sys.stderr, msg
else:
sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
sock.connect((args.host, args.port))
sock.sendall('%s,%s,%s,0 %s\n' % (args.database,
args.schema,
fnames[reqId],
msg.replace(str(time),
timestamp)))
sock.close()
def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap,
count):
for reversal in self.req_to_rev[reqId]:
rev_id, pos = reversal
self.rev_to_data[rev_id][pos] = (close, time)
data = self.rev_to_data[rev_id]
self.logger.debug('Processing %s: %s', str(reversal), str(data))
times = [x[1] for x in data]
if times[0] == times[1] == times[2]:
prices = [x[0] for x in data]
self.evaluate_and_enter_reversal(rev_id, prices)
msg = EWrapperMsgGenerator.realtimeBar(reqId, time, open_, high, low,
close, volume, wap, count)
fnm = '%i_%s.csv' % (self.realtime_bars[reqId]['contract'].m_conId,
self.realtime_bars[reqId]['show'])
self.datahandler(fnm, reqId, msg)
def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap,
count):
msg = EWrapperMsgGenerator.realtimeBar(reqId, time, open_, high, low,
close, volume, wap, count)
timestamp = timemod.strftime('%Y%m%d %H:%M:%S',
timemod.localtime(time))
strike, right, show = self.show_req[reqId]
self.bars[(strike, right, show)] = (timestamp, open_, high, low, close,
volume, wap, count)
if strike == -1 and show == 'TRADES':
self.gen_strikes(close, self.interval)
self.l = [self.bars[x][0] for x in self.show_req.values()]
if self.l.count(timestamp) + self.l.count(None) == len(self.l):
try:
flies = self.compute_fly_prices()
try:
spot = self.bars[(-1, None, 'TRADES')]\
+ (self.bars[(-1, None, 'BID')][4],
self.bars[(-1, None, 'ASK')][4])
except IndexError:
spot = self.bars[(-1, None, 'TRADES')] + (None, None)
row = ['underlying=%s' % c.symbol, 'interval=%f' % c.interval]
for field, data in zip(self.FIELDS, spot + flies):
row += ['%s=%s' % (field, str(data))]
if not c.port:
for datapoint in row:
print datapoint
else:
sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
sock.connect((c.host, c.port))
sock.sendall('%s,%s,%s,%s\n' % (c.database,
c.schema,
c.tablename,
','.join(row)))
sock.close()
except KeyError, err:
self.logger.warn('Realtime bars (%f, %s, %s) not started yet',
*err.args[0])
pass
def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap,
count):
msg = EWrapperMsgGenerator.realtimeBar(reqId, time, open_, high, low,
close, volume, wap, count)
self.datahandler(reqId, msg)