def _request_historical_ticks(ib: IB,
contract: Contract,
start_time: str,
what="BID_ASK"):
return ib.reqHistoricalTicks(
contract=contract,
startDateTime=start_time,
endDateTime="",
numberOfTicks=1000,
whatToShow=what,
useRth=False,
)
for right in rights
for expiration in expirations
for strike in strikes
]
contracts = ib.qualifyContracts(*contracts)
# 2) ricevi tickers
# 3) calcola hedge basato su greeks
start = datetime.datetime(2020, 4, 14, 13, 30).replace(tzinfo=pytz.utc)
allticks: List = []
ticks = ib.reqHistoricalTicks(
contracts[0],
startDateTime=start,
endDateTime=None,
numberOfTicks=1000,
whatToShow="TRADES",
ignoreSize=True,
useRth=True,
)
while 1:
# ib.waitOnUpdate()
allticks = allticks + [
(start, t.time.replace(tzinfo=pytz.utc), t.price, t.size) for t in ticks
]
start = ticks[-1].time + datetime.timedelta(microseconds=1)
df = pd.DataFrame(allticks, columns=["date", "tick", "price", "size"])
es = ib.reqContractDetails(Future(symbol="ES", exchange="GLOBEX"))[0].contract
