def get_contract_details(client):
''' Define the contract of intrest'''
# pdb.set_trace()
contract = Contract()
contract.symbol = 'NIFTY50'
contract.secType = "CONTFUT"
contract.exchange = 'NSE'
contract.primaryExchange = 'NSE'
contract.currency = "INR"
contract.includeExpired = True
# Get complete details about the contract from IB's database
client.contractDetailsEnd_available.clear(
) # internal flag is set to False
client.reqContractDetails(1, contract)
client.contractDetailsEnd_available.wait(
) # block thread until internal flag is set to True
if client.local_symbol:
print('Local Symbol : {}'.format(client.local_symbol))
# Set additional contract data
contract.localSymbol = client.local_symbol
contract.multiplier = client.multiplier
else:
print('Could not access contract data From reqContractDetails')
exit_program(client)
return contract
def main():
# Create the client and connect to TWS
client = ReadFutures('127.0.0.1', 7497, 0)
# Get expiration dates for contracts
for symbol in client.symbols:
# Define contract of interest
con = Contract()
con.symbol = symbol
con.secType = "CONTFUT"
con.exchange = client.symbols[symbol]
con.currency = "USD"
con.includeExpired = True
client.reqContractDetails(0, con)
time.sleep(3)
# Request historical data for each contract
if client.local_symbol:
# Initialize price dict
for v in ['CLOSE', 'LOW', 'HIGH', 'VOL']:
client.price_dict[v] = []
# Set additional contract data
con.localSymbol = client.local_symbol
con.multiplier = client.multiplier
# Request historical data
end_date = datetime.today().date() - timedelta(days=1)
client.reqHistoricalData(1, con,
end_date.strftime("%Y%m%d %H:%M:%S"),
'1 Y', '1 day', 'TRADES', 1, 1, False, [])
time.sleep(3)
# Write data to a CSV file
if client.price_dict['CLOSE']:
df = pd.DataFrame(data=client.price_dict)
df.to_csv(symbol + '.csv', encoding='utf-8', index=False)
client.price_dict.clear()
else:
print('Could not access contract data')
exit()
# Disconnect from TWS
client.disconnect()
def main():
# Create the client and connect to TWS
client = WriteFuturesToCSV('127.0.0.1', 7497, 0)
client.nextValidId_available.wait(
) # block thread until internal flag is set to True
print('\n Good to Go Baba. We are Connected to TWS')
print(' The Order Id is: {}'.format(client.orderId))
print(' The Account Details are: {}\n'.format(client.accountsList))
# Get expiration dates for contracts
for count, symbol in enumerate(client.symbols):
# Define contract of interest
contract = Contract()
contract.symbol = symbol
contract.secType = "CONTFUT"
contract.exchange = client.symbols[symbol]
contract.primaryExchange = client.symbols[symbol]
contract.currency = "INR"
contract.includeExpired = True
client.contractDetailsEnd_available.clear(
) #internal flag is set to False
client.reqContractDetails(count, contract)
client.contractDetailsEnd_available.wait(
) # block thread until internal flag is set to True
# Request historical data for each contract
if client.local_symbol:
print('Local Symbol : {}'.format(client.local_symbol))
print('Symbol : {}'.format(symbol))
# Set additional contract data
contract.localSymbol = client.local_symbol
contract.multiplier = client.multiplier
# Initialize the deque
client.date_dq.clear()
client.open_dq.clear()
client.high_dq.clear()
client.low_dq.clear()
client.close_dq.clear()
client.volume_dq.clear()
client.historicalDataEnd_available.clear(
) #internal flag is set to False
# Request historical data
query_time = (datetime.today().date() -
timedelta(days=0)).strftime("%Y%m%d %H:%M:%S")
client.reqHistoricalData(count, contract, query_time, '2 Y',
'1 day', 'TRADES', 1, 1, False, [])
client.historicalDataEnd_available.wait(
) # block thread until internal flag is set to True
# Create List
date_list = list(client.date_dq)
open_list = list(client.open_dq)
high_list = list(client.high_dq)
low_list = list(client.low_dq)
close_list = list(client.close_dq)
volume_list = list(client.volume_dq)
combined_list = [
date_list, open_list, high_list, low_list, close_list,
volume_list
]
# Write data to a CSV file
df = pd.DataFrame(combined_list).transpose()
df.columns = ['Date', 'Open', 'High', 'Low', 'Close', 'Volume']
df['Date'] = pd.to_datetime(
df['Date']) # Convert to pandas DateTime format
df = df[df.Volume !=
0] # Drop all entries for which volume traded = 0
df.to_csv(client.local_symbol + '.csv',
encoding='utf-8',
index=False)
combined_list = [] # Empty the List
else:
print('Could not access contract data')
sys.exit()
# Disconnect from TWS. But first cancel open Subscriptions
client.cancelHistoricalData(count) # provide ID of original request
client.disconnect()
