146 lines
4.7 KiB
Python
146 lines
4.7 KiB
Python
import signal
|
|
from ibapi.client import EClient
|
|
from ibapi.wrapper import EWrapper
|
|
from ibapi.contract import Contract
|
|
import threading
|
|
import time
|
|
import pandas as pd
|
|
from datetime import datetime, timezone
|
|
from tqdm import tqdm # For progress bar
|
|
|
|
|
|
class IBApi(EWrapper, EClient):
|
|
def __init__(self):
|
|
EClient.__init__(self, self)
|
|
self.data = []
|
|
self.df = pd.DataFrame()
|
|
self.data_retrieved = False
|
|
|
|
def historicalData(self, reqId, bar):
|
|
self.data.append({
|
|
"Date": bar.date,
|
|
"Open": bar.open,
|
|
"High": bar.high,
|
|
"Low": bar.low,
|
|
"Close": bar.close,
|
|
"Volume": bar.volume
|
|
})
|
|
|
|
def historicalDataEnd(self, reqId, start, end):
|
|
chunk_df = pd.DataFrame(self.data)
|
|
self.df = pd.concat([self.df, chunk_df], ignore_index=True)
|
|
self.data_retrieved = True
|
|
self.data = []
|
|
|
|
|
|
class IBApp:
|
|
def __init__(self):
|
|
self.app = IBApi()
|
|
|
|
def connect(self):
|
|
self.app.connect("127.0.0.1", 4002, clientId=1)
|
|
thread = threading.Thread(target=self.run_app, daemon=True)
|
|
thread.start()
|
|
time.sleep(1)
|
|
|
|
def run_app(self):
|
|
self.app.run()
|
|
|
|
def request_data(self, contract, end_date, duration, bar_size):
|
|
self.app.reqHistoricalData(
|
|
reqId=1,
|
|
contract=contract,
|
|
endDateTime=end_date,
|
|
durationStr=duration,
|
|
barSizeSetting=bar_size,
|
|
whatToShow="TRADES",
|
|
useRTH=0,
|
|
formatDate=1,
|
|
keepUpToDate=False,
|
|
chartOptions=[]
|
|
)
|
|
# Ensure pacing between API calls
|
|
while not self.app.data_retrieved:
|
|
time.sleep(0.1)
|
|
|
|
def fetch_options_data(self, symbol, exchange, currency, right, strike, expiry):
|
|
try:
|
|
contract = Contract()
|
|
contract.symbol = symbol
|
|
contract.secType = "OPT" # Set security type to options
|
|
contract.exchange = exchange
|
|
contract.currency = currency
|
|
contract.right = right # 'C' for Call, 'P' for Put
|
|
contract.strike = float(strike) # Strike price
|
|
contract.lastTradeDateOrContractMonth = expiry # Expiry date in YYYYMMDD format
|
|
|
|
# Set duration and bar size for options data
|
|
duration = "1 D" # 1 day chunks
|
|
bar_size = "1 min" # 1-minute intervals
|
|
|
|
end_date = datetime.now(timezone.utc)
|
|
|
|
# Since options data typically spans less than a year, we fetch for the expiry
|
|
with tqdm(total=1, desc=f"Fetching {right} {strike} {expiry} data", unit="contract") as pbar:
|
|
end_date_str = end_date.strftime("%Y%m%d %H:%M:%S UTC")
|
|
try:
|
|
self.request_data(contract, end_date_str, duration, bar_size)
|
|
pbar.update(1)
|
|
time.sleep(15) # Sleep to avoid pacing violations
|
|
except Exception as e:
|
|
print(f"Error fetching data for contract {contract.symbol}: {e}")
|
|
except Exception as e:
|
|
print(f"Error fetching data: {e}")
|
|
|
|
def disconnect(self):
|
|
self.app.disconnect()
|
|
|
|
|
|
def get_user_input():
|
|
print("Provide the options contract details for data retrieval.")
|
|
try:
|
|
symbol = input("Enter the stock symbol (e.g., 'AAPL'): ").strip().upper()
|
|
exchange = "SMART" # Automatically set to SMART routing
|
|
currency = "USD" # Automatically set to USD
|
|
right = input("Enter the option type ('C' for Call, 'P' for Put): ").strip().upper()
|
|
strike = input("Enter the strike price (e.g., '150'): ").strip()
|
|
expiry = input("Enter the expiry date (YYYYMMDD): ").strip()
|
|
|
|
if not all([symbol, right, strike, expiry]):
|
|
raise ValueError("All fields are required. Please try again.")
|
|
|
|
return symbol, exchange, currency, right, strike, expiry
|
|
except Exception as e:
|
|
print(f"Input Error: {e}")
|
|
return None
|
|
|
|
|
|
def graceful_exit(signal_received, frame):
|
|
print("\nTerminating program...")
|
|
app.disconnect()
|
|
exit(0)
|
|
|
|
|
|
signal.signal(signal.SIGINT, graceful_exit)
|
|
|
|
app = IBApp()
|
|
app.connect()
|
|
|
|
try:
|
|
user_input = get_user_input()
|
|
if user_input:
|
|
symbol, exchange, currency, right, strike, expiry = user_input
|
|
app.fetch_options_data(symbol, exchange, currency, right, strike, expiry)
|
|
data = app.app.df
|
|
if not data.empty:
|
|
filename = f"{symbol}_{strike}_{right}_{expiry}_options_data.csv"
|
|
data.to_csv(filename, index=False)
|
|
print(f"Options data saved to {filename}.")
|
|
print(data.head())
|
|
else:
|
|
print("No options data retrieved.")
|
|
except Exception as e:
|
|
print(f"Error: {e}")
|
|
finally:
|
|
app.disconnect()
|