问题
I'm doing some self-learning and experimentation with algorithmic trading and the IB API. I decided to use Java but I'm open to switching to C++. I went through an online tutorial that walks you through the code shown below but was wondering about extending it past just one stock. I want to go through all SP500 stocks and check ticker data to make decisions based on that.
The code below will create a contract for and get data for Microsoft but I'd like to get data for all 500 stocks. All of the other methods defined in the EWrapper interface were left out of the post for more ease of readability.
I'm thinking that I need to store the ticker symbols in a file, parse this, and add each contract one by one to a vector. However, I'm not sure about how to monitor the data after that. It would be nice if I could just sequentially loop through each ticker and make a request for data but I believe the stream is processed on an asynchronous thread (correct me if wrong.)
So how do I go through all 500 stocks and check their ticker data?
Code snippets and explanations would be appreciated. Thanks!
// Import Java utilities and Interactive Brokers API
import java.util.Vector;
import com.ib.client.Contract;
import com.ib.client.ContractDetails;
import com.ib.client.EClientSocket;
import com.ib.client.EWrapper;
import com.ib.client.Execution;
import com.ib.client.Order;
import com.ib.client.OrderState;
import com.ib.client.TagValue;
import com.ib.client.CommissionReport;
import com.ib.client.UnderComp;
// RealTimeBars Class is an implementation of the
// IB API EWrapper class
public class RealTimeBars implements EWrapper
{
// Keep track of the next ID
private int nextOrderID = 0;
// The IB API Client Socket object
private EClientSocket client = null;
public RealTimeBars ()
{
// Create a new EClientSocket object
client = new EClientSocket (this);
// Connect to the TWS or IB Gateway application
// Leave null for localhost
// Port Number (should match TWS/IB Gateway configuration
client.eConnect (null, 7496, 0);
// Pause here for connection to complete
try
{
// Thread.sleep (1000);
while (! (client.isConnected()));
} catch (Exception e) {
e.printStackTrace ();
};
// Create a new contract
Contract contract = new Contract ();
contract.m_symbol = "MSFT";
contract.m_exchange = "SMART";
contract.m_secType = "STK";
contract.m_primaryExch = "NASDAQ";
contract.m_currency = "USD";
// Create a TagValue list
Vector<TagValue> realTimeBarsOptions = new Vector<TagValue>();
// Make a call to start off data retrieval
client.reqRealTimeBars(0, contract,
5, // Bar Size 5 seconds
"TRADES", // whatToShow
false, // useRTH
realTimeBarsOptions);
// At this point our call is done and any market data events
// will be returned via the realtimeBar method
}
public static void main (String args[])
{
try
{
// Create an instance
// At this time a connection will be made
// and the request for market data will happen
RealTimeBars myData = new RealTimeBars();
}
catch (Exception e)
{
e.printStackTrace ();
}
}
}
回答1:
I don't know how this will work for all 500, but you can try. The data is from https://raw.githubusercontent.com/datasets/s-and-p-500-companies/master/data/constituents.csv SP
package sp;
import com.ib.client.Contract;
import com.ib.client.EClientSocket;
import com.ib.client.EWrapper;
import java.util.Arrays;
import java.util.List;
import java.util.concurrent.atomic.AtomicInteger;
public class SP {
//just a sample, like this so you can just use Files.lines instead.
private static List<String> lines = Arrays.asList(new String[]{
"Symbol,Name,Sector",
"MMM,3M Company,Industrials",
"ABT,Abbott Laboratories,Health Care",
"ABBV,AbbVie,Health Care",
"ACN,Accenture plc,Information Technology",
"ATVI,Activision Blizzard,Information Technology",
"AYI,Acuity Brands Inc,Industrials",
"ADBE,Adobe Systems Inc,Information Technology",
"AAP,Advance Auto Parts,Consumer Discretionary",
"AES,AES Corp,Utilities",
"AET,Aetna Inc,Health Care",
"AMG,Affiliated Managers Group Inc,Financials",
"AFL,AFLAC Inc,Financials",
"A,Agilent Technologies Inc,Health Care",
"APD,Air Products & Chemicals Inc,Materials",
"AKAM,Akamai Technologies Inc,Information Technology",
});
public static void main(String[] args) throws InterruptedException{
EWrapper wrapper = new Wrapper();
EClientSocket socket = new EClientSocket(wrapper);
socket.eConnect("", 4001, 123);
//supposedly gives frozen last recorded value, not working!
socket.reqMarketDataType(2);
AtomicInteger tickerId = new AtomicInteger(0);
lines.stream().skip(1).forEach(line -> {
//new cont for every request
Contract cont = new Contract();
cont.m_currency = "usd";
cont.m_exchange = "smart";
cont.m_secType = "stk";
cont.m_symbol = line.split(",")[0];
Data data = new Data(cont, socket);
});
//need you own logic for when to end program
//Thread.sleep(5000);//this thread, Socket starts a reader thread
//socket.eDisconnect();
}
}
Wrapper
package sp;
import com.ib.client.CommissionReport;
import com.ib.client.Contract;
import com.ib.client.ContractDetails;
import com.ib.client.EWrapper;
import com.ib.client.Execution;
import com.ib.client.Order;
import com.ib.client.OrderState;
import com.ib.client.TickType;
import com.ib.client.UnderComp;
import java.util.HashMap;
import java.util.Map;
public class Wrapper implements EWrapper{
public Map<Integer, Data> dataMap = new HashMap<>();
public Map<Integer, Strat> orderMap = new HashMap<>();
//reqMktData snapshots are received here
@Override
public void tickPrice(int tickerId, int field, double price, int canAutoExecute) {
if (field == TickType.LAST) {
//if you just want the last price
dataMap.get(tickerId).dataRecd(price);
}
}
@Override
public void execDetails(int reqId, Contract contract, Execution execution) {
orderMap.get(execution.m_orderId).exec(execution);
}
//snip
}
Data
package sp;
import com.ib.client.Contract;
import com.ib.client.EClientSocket;
import java.util.ArrayList;
import java.util.List;
import java.util.Timer;
import java.util.TimerTask;
public class Data {
final Contract cont;
private final EClientSocket socket;
private final Strat strat;
private static int nextId = 1; //auto increment for each request
private final int myId;
List<Double> prices = new ArrayList<>();
double lastPrice = -1;
public Data(Contract cont, EClientSocket socket) {
this.cont = cont;
this.socket = socket;
strat = new Strat(this, socket);
myId = nextId++;
((Wrapper) socket.wrapper()).dataMap.put(myId, this);
reqData();
// //call every 10 min
// Timer timer = new Timer();
// timer.schedule(new TimerTask() {
// @Override
// public void run() {
// reqData();
// }
// }, 10 * 60 * 1000);
}
private void reqData(){
socket.reqMktData(myId, cont, "", false /* true */, null);
}
public void dataRecd(double last){
lastPrice = last;
prices.add(last);
strat.check();
}
}
Strat
package sp;
import com.ib.client.EClientSocket;
import com.ib.client.Execution;
public class Strat {
public static final int NULL=0, LOOK=1<<0, LONG=1<<1, SHORT=1<<2, WAIT_FILL=1<<3, WAIT_CANCEL=1<<4;
public int sysState = NULL;
private final Data data;
private final EClientSocket socket;
private static int nextOrderId = 1;
Strat(Data data, EClientSocket socket) {
this.data = data;
this.socket = socket;
sysState = LOOK;
}
void check() {
System.out.println("should I buy? "+ data.cont.m_symbol + " @ " + data.lastPrice);
/*if (false && sysState & LOOK == LOOK) {
((Wrapper) socket.wrapper()).orderMap.put(nextOrderId, this);
socket.placeOrder(nextOrderId++, data.cont, new Order());
sysState = WAIT_FILL;
nextOrderId++;
}*/
}
public void exec(Execution exec){
//will be called by wrapper after an exec.
//sysState = LONG; //or whatever
}
}
来源：https://stackoverflow.com/questions/38138288/ib-java-api-extracting-ticker-data-real-time-bars-for-multiple-contracts