java - IB Java API : Extracting ticker data (real time bars) for multiple contracts

Question

我正在对算法交易和 IB API 进行一些自学和实验。我决定使用 Java，但我愿意切换到 C++。我浏览了一个在线教程，该教程向您介绍了下面显示的代码，但我想知道如何将它扩展到只超过一只股票。我想查看所有 SP500 股票并检查行情数据以据此做出决策。

下面的代码将为 Microsoft 创建契约(Contract)并获取数据，但我想获取所有 500 只股票的数据。为了更易于阅读，在 EWrapper 接口(interface)中定义的所有其他方法都被排除在帖子之外。

我在想我需要将股票代码存储在一个文件中，对其进行解析，然后将每个合约逐一添加到一个 vector 中。但是，我不确定之后如何监控数据。如果我可以按顺序循环每个自动收报机并发出数据请求，那就太好了，但我相信流是在异步线程上处理的(如果错误请纠正我。)

那么我该如何浏览所有 500 只股票并检查它们的代码数据呢？

代码片段和解释将不胜感激。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 ();
        }
}    

Answer 1

我不知道这对所有 500 个都有效，但您可以试试。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();
    }
}

战略

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
    }
}