how to retrieve and display on python console the historical data from TWS?

Question

I was able to successfully establish a connection from python to TWS but I wasn't able to fetch the data or am not sure if the data is fetched but not getting displayed.

I am new to this, could you kindly help on how to fetch historical data from TWS?

What have you tried? Please post your reproducible code so people can better help you. For more information please read http://stackoverflow.com/help/how-to-ask. — Brian O'Donnell, Mar 04 '17 at 17:47

score 0 · Answer 1 · answered Jun 14 '17 at 03:44

This works for me.

from ibapi.wrapper import EWrapper
from ibapi.client import EClient
from ibapi.utils import iswrapper
from ibapi.common import *
from ibapi.contract import *
from ibapi.ticktype import *

class TestApp(EWrapper, EClient):
  def __init__(self):
    EClient.__init__(self,self)

  def error(self, reqId: TickerId, errorCode:int, errorString:str):
    print('Error:', reqId, " ", errorCode, " ", errorString)

  def contractDetails(self, reqId:int, contractDetails:ContractDetails):
    print("contractDetails: ", reqId, " ", contractDetails)

  def marketDataType(self, reqId: TickerId, marketDataType: int):
    super().marketDataType(reqId, marketDataType)
    print("MarketDataType. ", reqId, "Type:", marketDataType)
  @iswrapper
  def tickPrice(self, reqId: TickerId, tickType: TickType, price: float, attrib: TickAttrib):
    super().tickPrice(reqId, tickType, price, attrib)
    print("Tick Price. Ticker Id:", reqId, "tickType:", tickType, "Price:", price, "CanAutoExecute:", attrib.canAutoExecute, "PastLimit", attrib.pastLimit)
  @iswrapper
  def tickSize(self, reqId: TickerId, tickType: TickType, size: int):
    super().tickSize(reqId, tickType, size)
    print("Tick Size. Ticker Id:", reqId, "tickType:", tickType, "Size:", size)

  @iswrapper
  def tickString(self, reqId: TickerId, tickType: TickType, value: str):
    super().tickString(reqId, tickType, value)
    print("Tick string. Ticker Id:", reqId, "Type:", tickType, "Value:", value)

  @iswrapper
  def tickGeneric(self, reqId: TickerId, tickType: TickType, value: float):
    super().tickGeneric(reqId, tickType, value)
    print("Tick Generic. Ticker Id:", reqId, "tickType:", tickType, "Value:", value)

def main():
  app = TestApp()
  app.connect("127.0.0.1", 4001, 0)

  contract = Contract();
  contract.symbol = "VIX";
  contract.secType = "FUT";
  contract.exchange = "CFE";
  contract.currency = "USD";
  contract.lastTradeDateOrContractMonth = "20170621";

  app.reqMktData(1001, contract, "", False, False, [])

  app.run()
  sleep(10)
  app.disconnect()


if __name__ == '__main__':
  main()

how to retrieve and display on python console the historical data from TWS?

1 Answers1