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API_1.ipynb

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gwitthub
2024-10-30 21:14:18 -04:00
parent ac8b1e02c9
commit 894b47c03d
1 changed files with 184 additions and 0 deletions
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{
"cells": [
{
"cell_type": "code",
"execution_count": 13,
"id": "69d88f26-f288-4a23-8be5-3e8317e23731",
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"ERROR -1 2104 Market data farm connection is OK:usfarm.nj\n",
"ERROR -1 2104 Market data farm connection is OK:usfuture\n",
"ERROR -1 2104 Market data farm connection is OK:cashfarm\n",
"ERROR -1 2104 Market data farm connection is OK:usfarm\n",
"ERROR -1 2106 HMDS data farm connection is OK:ushmds\n",
"ERROR -1 2158 Sec-def data farm connection is OK:secdefnj\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"Historical Data Ended\n",
" Date Open High Low Close Volume\n",
"0 20241030 18:00:00 69.10 69.10 68.96 69.02 378\n",
"1 20241030 18:05:00 69.02 69.07 69.01 69.05 99\n",
"2 20241030 18:10:00 69.06 69.07 69.01 69.01 103\n",
"3 20241030 18:15:00 69.01 69.02 69.00 69.00 54\n",
"4 20241030 18:20:00 69.01 69.01 68.99 69.00 25\n",
"5 20241030 18:25:00 69.00 69.05 69.00 69.04 40\n",
"6 20241030 18:30:00 69.05 69.05 69.03 69.03 63\n",
"7 20241030 18:35:00 69.03 69.03 69.00 69.00 64\n",
"8 20241030 18:40:00 68.99 69.01 68.98 68.99 60\n",
"9 20241030 18:45:00 68.99 68.99 68.95 68.97 66\n",
"10 20241030 18:50:00 68.97 69.00 68.96 68.99 44\n",
"11 20241030 18:55:00 68.98 68.98 68.97 68.98 23\n",
"12 20241030 19:00:00 68.98 69.02 68.98 69.01 48\n",
"13 20241030 19:05:00 69.02 69.03 69.00 69.01 31\n",
"14 20241030 19:10:00 69.02 69.02 69.00 69.00 22\n",
"15 20241030 19:15:00 69.00 69.00 68.99 68.99 11\n",
"16 20241030 19:20:00 68.99 68.99 68.95 68.95 40\n",
"17 20241030 19:25:00 68.95 68.95 68.94 68.94 55\n",
"18 20241030 19:30:00 68.94 68.96 68.93 68.95 54\n",
"19 20241030 19:35:00 68.95 68.97 68.95 68.96 29\n",
"20 20241030 19:40:00 68.96 68.98 68.96 68.98 47\n",
"21 20241030 19:45:00 68.98 68.99 68.95 68.95 65\n",
"22 20241030 19:50:00 68.96 68.98 68.96 68.97 16\n",
"23 20241030 19:55:00 68.97 68.97 68.94 68.94 35\n",
"24 20241030 20:00:00 68.95 68.99 68.91 68.92 369\n",
"25 20241030 20:05:00 68.91 68.94 68.91 68.93 74\n",
"26 20241030 20:10:00 68.93 68.95 68.89 68.94 187\n",
"27 20241030 20:15:00 68.94 68.95 68.92 68.94 81\n",
"28 20241030 20:20:00 68.95 68.97 68.94 68.96 89\n",
"29 20241030 20:25:00 68.96 68.96 68.92 68.94 96\n",
"30 20241030 20:30:00 68.94 68.98 68.93 68.96 94\n",
"31 20241030 20:35:00 68.97 68.97 68.93 68.94 66\n",
"32 20241030 20:40:00 68.95 68.95 68.93 68.94 44\n",
"33 20241030 20:45:00 68.93 68.96 68.93 68.94 98\n",
"34 20241030 20:50:00 68.94 68.94 68.92 68.92 95\n"
]
}
],
"source": [
"from ibapi.client import EClient\n",
"from ibapi.wrapper import EWrapper\n",
"from ibapi.contract import Contract\n",
"import threading\n",
"import time\n",
"import pandas as pd\n",
"\n",
"# Define the IB API app\n",
"class IBApi(EWrapper, EClient):\n",
" def __init__(self):\n",
" EClient.__init__(self, self)\n",
" self.data = [] # Initialize an empty list to store data\n",
"\n",
" # Override the historicalData function to process and store incoming data\n",
" def historicalData(self, reqId, bar):\n",
" # Append the data as a dictionary to self.data\n",
" self.data.append({\n",
" \"Date\": bar.date,\n",
" \"Open\": bar.open,\n",
" \"High\": bar.high,\n",
" \"Low\": bar.low,\n",
" \"Close\": bar.close,\n",
" \"Volume\": bar.volume\n",
" })\n",
"\n",
" def historicalDataEnd(self, reqId, start, end):\n",
" print(\"Historical Data Ended\")\n",
" # Convert the data to a DataFrame when data collection is complete\n",
" self.df = pd.DataFrame(self.data)\n",
" print(self.df) # Display the DataFrame to verify\n",
" self.disconnect() # Disconnect after data collection is complete\n",
"\n",
"# Define the app handler for running in the notebook\n",
"class IBApp:\n",
" def __init__(self):\n",
" self.app = IBApi()\n",
"\n",
" def connect(self):\n",
" self.app.connect(\"127.0.0.1\", 7496, 0) # Change port if needed\n",
" thread = threading.Thread(target=self.run_app, daemon=True)\n",
" thread.start()\n",
" time.sleep(1) # Allow time for the connection to establish\n",
"\n",
" def run_app(self):\n",
" self.app.run()\n",
"\n",
" def request_oil_data(self):\n",
" # Define the contract for Crude Oil Futures\n",
" contract = Contract()\n",
" contract.symbol = \"CL\"\n",
" contract.secType = \"FUT\"\n",
" contract.exchange = \"NYMEX\"\n",
" contract.currency = \"USD\"\n",
" contract.lastTradeDateOrContractMonth = \"202412\" # Example: Dec 2024 contract\n",
"\n",
" # Request historical data\n",
" self.app.reqHistoricalData(\n",
" reqId=1,\n",
" contract=contract,\n",
" endDateTime='',\n",
" durationStr='1 D', # 1 month\n",
" barSizeSetting='5 mins',\n",
" whatToShow='TRADES',\n",
" useRTH=0,\n",
" formatDate=1,\n",
" keepUpToDate=False,\n",
" chartOptions=[]\n",
" )\n",
"\n",
" def disconnect(self):\n",
" self.app.disconnect()\n",
"\n",
"# Create an instance and connect\n",
"app = IBApp()\n",
"app.connect()\n",
"\n",
"# Request data and output to a DataFrame\n",
"app.request_oil_data()\n",
"\n",
"# Wait for data retrieval to complete\n",
"time.sleep(10)\n",
"\n",
"# Access the DataFrame\n",
"df = app.app.df if hasattr(app.app, 'df') else pd.DataFrame()"
]
},
{
"cell_type": "code",
"execution_count": 17,
"id": "2088c621-81d3-46f0-8596-ce05d1a89fd4",
"metadata": {},
"outputs": [],
"source": [
"data = df.to_csv()"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3 (ipykernel)",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.12.3"
}
},
"nbformat": 4,
"nbformat_minor": 5
}