def __init__(self, debug=False):
self._log = logger.getLogger('DLD')
self._log.debug(
'Initializing data dwonloader. Pandas version={0}, ibpy version:{1}'
.format(pandas.__version__, ib.version))
self.tws = ibConnection()
self._dataHandler = DataHandler(self.tws)
if debug:
self.tws.registerAll(self._debugHandler)
self.tws.unregister(self._debugHandler, message.HistoricalData)
self._log.debug('Connecting to tws')
self.tws.connect()
self._timeKeeper = TimeKeeper() # keep track of past requests
self._reqId = 1 # current request id
def __init__(self,debug=False):
self._log = logger.getLogger('DLD')
self._log.debug('Initializing data dwonloader. Pandas version={0}, ibpy version:{1}'.format(pandas.__version__,ib.version))
self.tws = ibConnection()
self._dataHandler = DataHandler(self.tws)
if debug:
self.tws.registerAll(self._debugHandler)
self.tws.unregister(self._debugHandler,message.historicalData)
self._log.debug('Connecting to tws')
self.tws.connect()
self._timeKeeper = TimeKeeper() # keep track of past requests
self._reqId = 1 # current request id
class Downloader(object):
def __init__(self, debug=False):
self._log = logger.getLogger('DLD')
self._log.debug(
'Initializing data dwonloader. Pandas version={0}, ibpy version:{1}'
.format(pandas.__version__, ib.version))
self.tws = ibConnection()
self._dataHandler = DataHandler(self.tws)
if debug:
self.tws.registerAll(self._debugHandler)
self.tws.unregister(self._debugHandler, message.HistoricalData)
self._log.debug('Connecting to tws')
self.tws.connect()
self._timeKeeper = TimeKeeper() # keep track of past requests
self._reqId = 1 # current request id
def _debugHandler(self, msg):
print '[debug]', msg
def requestData(self,
contract,
endDateTime,
durationStr='1800 S',
barSizeSetting='1 secs',
whatToShow='TRADES',
useRTH=1,
formatDate=1):
self._log.debug('Requesting data for %s end time %s.' %
(contract.m_symbol, endDateTime))
while self._timeKeeper.nrRequests(timeSpan=600) > 59:
print 'Too many requests done. Waiting... '
time.sleep(1)
self._timeKeeper.addRequest()
self._dataHandler.reset()
self.tws.reqHistoricalData(self._reqId, contract, endDateTime,
durationStr, barSizeSetting, whatToShow,
useRTH, formatDate)
self._reqId += 1
#wait for data
startTime = time.time()
timeout = 3
while not self._dataHandler.dataReady and (time.time() - startTime <
timeout):
sleep(2)
if not self._dataHandler.dataReady:
self._log.error('Data timeout')
print self._dataHandler.data
return self._dataHandler.data
def getIntradayData(self, contract, dateTuple):
''' get full day data on 1-s interval
date: a tuple of (yyyy,mm,dd)
'''
openTime = dt.datetime(*dateTuple) + dt.timedelta(hours=16)
closeTime = dt.datetime(*dateTuple) + dt.timedelta(hours=22)
timeRange = pandas.date_range(openTime, closeTime, freq='30min')
datasets = []
for t in timeRange:
datasets.append(self.requestData(contract, t.strftime(timeFormat)))
return pandas.concat(datasets)
def disconnect(self):
self.tws.disconnect()
class Downloader(object):
def __init__(self,debug=False):
self._log = logger.getLogger('DLD')
self._log.debug('Initializing data dwonloader. Pandas version={0}, ibpy version:{1}'.format(pandas.__version__,ib.version))
self.tws = ibConnection()
self._dataHandler = DataHandler(self.tws)
if debug:
self.tws.registerAll(self._debugHandler)
self.tws.unregister(self._debugHandler,message.historicalData)
self._log.debug('Connecting to tws')
self.tws.connect()
self._timeKeeper = TimeKeeper() # keep track of past requests
self._reqId = 1 # current request id
def _debugHandler(self,msg):
print '[debug]', msg
def requestData(self,contract,endDateTime,durationStr='1800 S',barSizeSetting='1 secs',whatToShow='TRADES',useRTH=1,formatDate=1):
self._log.debug('Requesting data for %s end time %s.' % (contract.m_symbol,endDateTime))
while self._timeKeeper.nrRequests(timeSpan=600) > 59:
print 'Too many requests done. Waiting... '
time.sleep(1)
self._timeKeeper.addRequest()
self._dataHandler.reset()
self.tws.reqHistoricalData(self._reqId,contract,endDateTime,durationStr,barSizeSetting,whatToShow,useRTH,formatDate)
self._reqId+=1
#wait for data
startTime = time.time()
timeout = 3
while not self._dataHandler.dataReady and (time.time()-startTime < timeout):
sleep(2)
if not self._dataHandler.dataReady:
self._log.error('Data timeout')
print self._dataHandler.data
return self._dataHandler.data
def getIntradayData(self,contract, dateTuple ):
''' get full day data on 1-s interval
date: a tuple of (yyyy,mm,dd)
'''
openTime = dt.datetime(*dateTuple)+dt.timedelta(hours=16)
closeTime = dt.datetime(*dateTuple)+dt.timedelta(hours=22)
timeRange = pandas.date_range(openTime,closeTime,freq='30min')
datasets = []
for t in timeRange:
datasets.append(self.requestData(contract,t.strftime(timeFormat)))
return pandas.concat(datasets)
def disconnect(self):
self.tws.disconnect()