IB Java API：提取多个合约的股票数据（实时K线）

Question

IB Java API：提取多个合约的股票数据（实时K线）

javaapitws

4

我正在进行算法交易和IB API的自学和实验。我决定使用Java，但也可以考虑切换到C++。我通过一个在线教程走过了下面显示的代码，但想将其扩展到不止一个股票。我想查看所有SP500股票的股票数据，并根据此做出决策。

以下代码将创建一个Microsoft的合同并获取其数据，但我想获取所有500只股票的数据。在帖子中，EWrapper接口定义的所有其他方法都被省略以便更加易读。

我认为我需要将股票标志存储在文件中，解析它，并逐个将每个合约添加到向量中。但是，我不确定如何在此之后监视数据。如果我可以顺序循环遍历每个标记并请求数据，那就太好了，但我相信流会在异步线程上处理（如果我错了请纠正我）。

那么我如何遍历所有500支股票并检查它们的股票数据？

期待您提供代码片段和解释。谢谢！

// 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 ();
        }
}

}

- jonnyd42

你有什么问题？ - JB Nizet

@JBNizet 不确定如何获取所有500个数据并循环遍历，每次迭代都与条件进行比较。 - jonnyd42

除非你已经购买了500行数据订阅，否则无法使用realTimeBars进行此操作，默认值为100。你只能使用reqMarketData()并将快照设置为true来实现。由于快照的特性，它只是一次性的，而不是流式数据的订阅服务。IB并不是这种情况下的最佳数据提供商，但你可以先尝试使用快照。 - brian

realTimeBars是指如果您想要5秒钟的K线图，希望包括所有的高点和低点。而逐笔数据可能会错过一些，因为它只是每秒采样几次。此外，我没有看到这个问题，因为它没有被很好地标记，我添加了tws。 - brian

1个回答

网页内容由stack overflow 提供, 点击上面的

可以查看英文原文，
原文链接

- brian · Accepted Answer

我不知道这对所有的500个公司是否适用，但你可以试试。数据来自https://raw.githubusercontent.com/datasets/s-and-p-500-companies/master/data/constituents.csv。

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();
    }
}

包装器

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
}

数据

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();
    }
}

开始

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
    }
}