问题
I'm struggling with the results of a ScannerSubscription
.
For example, if I request:
qqq_id = 0
subscript = ScannerSubscription()
subscript.numberOfRows(15)
subscript.m_scanCode = 'HIGH_OPEN_GAP'
subscript.m_instrument = 'STK'
subscript.m_averageOptionVolumeAbove = ''
subscript.m_couponRateAbove = ''
subscript.m_couponRateBelow = ''
subscript.m_abovePrice = '5'
subscript.m_belowPrice = ''
subscript.m_marketCapAbove = ''
subscript.m_marketCapBelow = ''
subscript.m_aboveVolume = '100000'
subscript.m_stockTypeFilter = 'ALL'
subscript.locationCode('STK.US.MAJOR')
tws_conn.reqScannerSubscription(qqq_id, subscript)
tws_conn.reqScannerParameters()
I received a scannerData
response like this:
<scannerData reqId=0, rank=0, contractDetails=<ib.ext.ContractDetails.ContractDetails object at 0x00000000036EFA58>, distance=None, benchmark=None, projection=None, legsStr=None>
etc...
But I cannot retrieve the result values, for example:
reqScannerParameters()
xml result specifies <colId>390</colId>
as the colId for the Gap
value:
<ScanType>
<displayName>Top Close-to-Open % Gainers</displayName>
<scanCode>HIGH_OPEN_GAP</scanCode>
<instruments>STK,STOCK.NA,STOCK.EU,STOCK.HK,FUT.US,FUT.HK,FUT.EU,FUT.NA</instruments>
<absoluteColumns>false</absoluteColumns>
<Columns varName="columns">
<Column>
<colId>390</colId>
<name>Gap</name>
<display>true</display>
<section>m</section>
<displayType>DATA</displayType>
</Column>
How do I retrieve the GAP value?
Is this even possible ?
回答1:
Now I'm sure you're supposed to request data after getting the contract.
import pandas as pd
scans = 15
res = pd.DataFrame(index = range(scans), columns = ['sym','open','close','calc']).fillna(0)
msgs = []
from ib.ext.Contract import Contract
from ib.opt import ibConnection, message
from ib.ext.TickType import TickType as tt
def tickPrice(msg):
global scans
if msg.field in [tt.OPEN, tt.CLOSE]:
res.loc[msg.tickerId,tt.getField(msg.field)] = msg.price
op = res.loc[msg.tickerId,'open']
cl = res.loc[msg.tickerId,'close']
if op > 0 and cl > 0 and res.loc[msg.tickerId,'calc'] == 0:
res.loc[msg.tickerId,'calc'] = ((op-cl)*100/cl)
con.cancelMktData(msg.tickerId)
scans -= 1
if scans == 0:
print(res)
con.disconnect()
def snapshot(msg):
res.loc[msg.rank,'sym'] = msg.contractDetails.m_summary.m_symbol
#tt.OPEN (14) isn't coming with snapshot
con.reqMktData(str(msg.rank), msg.contractDetails.m_summary, "", False)
def watcher(msg):
#print (msg)
msgs.append(msg)
def scanData(msg):
snapshot(msg)
def scanDataEnd(msg):
con.cancelScannerSubscription(qqq_id)
con = ibConnection(port=7497, clientId=888)
con.registerAll(watcher)
con.unregister(watcher, message.scannerData)
con.register(scanData, message.scannerData)
con.unregister(watcher, message.scannerDataEnd)
con.register(scanDataEnd, message.scannerDataEnd)
con.unregister(watcher, message.tickPrice)
con.register(tickPrice, message.tickPrice)
con.connect()
from ib.ext.ScannerSubscription import ScannerSubscription
qqq_id = 0
subscript = ScannerSubscription()
subscript.numberOfRows(15)
subscript.m_scanCode = 'HIGH_OPEN_GAP'
subscript.m_instrument = 'STK'
subscript.m_averageOptionVolumeAbove ='0'
subscript.m_abovePrice = '5'
subscript.m_aboveVolume = '100000'
con.reqScannerSubscription(qqq_id, subscript)
res at 1 pm est =
sym open close calc
0 TAC 4.95 4.25 16.470588
1 CTRP 44.80 40.99 9.294950
2 IIIN 39.26 36.58 7.326408
3 LFC 14.60 13.63 7.116654
4 ACH 11.59 10.87 6.623735
5 KALV 9.01 8.38 7.517900
6 OMER 13.25 12.75 3.921569
7 DWTI 68.00 66.50 2.255639
8 WLDN 23.75 23.43 1.365770
9 BZQ 19.67 18.73 5.018687
10 JNUG 6.55 6.43 1.866252
11 GXP PRB 50.78 49.80 1.967871
12 AU 10.85 10.59 2.455146
13 USLV 13.07 12.81 2.029664
14 CBD 16.60 16.03 3.555833
I don't know why they don't come in rank order??
来源:https://stackoverflow.com/questions/40796035/retrieve-scannersubscription-results-using-ibpy