Running reqHisorical data and updating csv file day during the day uninteruppted

Question

Im at the beginning of the learing curve. Already have req historical data downloading req historical data in csv file. I want to keep this process running in the background, updating my historical data in CsV every minute. I would like it to run uninterupped in the backround untill aorted. Now I still have to update it manualy and I would love to automate this to free my mind and hands..... What is missing?

Thank you sincerly...

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract


def print_to_file(*args):
    with open('mnq.CsV', 'a') as fh:
        fh.write(' '.join(map(str,args)))
        fh.write('\n')
        fh.close()
print = print_to_file


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

      open('mnq.csv', 'w')
     # Layout = "{!s:1} {!s:2} {!s:3} {!s:4}}  "
     # print(Layout.format("DateTime", "High;", "Close;", "Volume "))

    def historicalData(self, reqId, bar):
          print( bar.date.replace(' ', ''),";", bar.high,";", bar.low,";", bar.volume)

def main():
    app = TestApp()

    app.connect("127.0.0.1", 7497, 0)

    # define MNQ
    contract = Contract()
    contract.symbol = "MNQ"
    contract.secType = "FUT"
    contract.exchange = "GLOBEX"
    contract.currency = "USD"
    contract.lastTradeDateOrContractMonth = "202103"

    app.reqHistoricalData(1, contract, "", "86400 S", "1 min", "TRADES", 0, 1, False, [])

    app.run()

if __name__ == "__main__":
    main()

This is my latest code. questionmark for me what comes in def historicalDataUpdate(self, reqId, bar): for only handeling csv ???????

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
#import pandas as pd

class MyWrapper(EWrapper):
    def __init__(self):
        open('mnq.csv', 'w')
        self.data = []
        self.df=None

    def nextValidId(self, orderId: int):
        print("Setting nextValidOrderId: %d", orderId)
        self.nextValidOrderId = orderId
        self.start()

    def historicalDataUpdate(self, reqId, bar):
       ???????

    def error(self, reqId, errorCode, errorString):
        print("Error. Id: ", reqId, " Code: ", errorCode, " Msg: ", errorString)

    open('mnq.csv', 'w')

    def print_to_file(*args):
        with open('mnq.csv', 'a') as fh:
            fh.write(' '.join(map(str, args)))
            fh.write('\n')
            fh.close()
    print = print_to_file

def  start(self):

    wrap = MyWrapper()
    app  = EClient(wrap)
    app.connect("127.0.0.1", 7497, 0)

    # define MNQ
    contract = Contract()
    contract.symbol = "MNQ"
    contract.secType = "FUT"
    contract.exchange = "GLOBEX"
    contract.currency = "USD"
    contract.lastTradeDateOrContractMonth = "202103"

    app.reqHistoricalData(1, contract, "", "86400 S", "1 min", "TRADES", 0, 1, True, [])

   # print(wrap.df)
   # wrap.df.to_csv("mnq.csv")
    app.disconnect()

Answer 1

If you want to save data continuously instead of keeping it in a data frame then the logic a bit different.

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract

from time import time, ctime

class MyWrapper(EWrapper):
    def __init__(self):
        self.bars = {} # store in a dict(map) with date->bar so you can overwrite same date 

    def nextValidId(self, id):
        self.start = time()
        print(ctime(self.start))
        # this is when IB recommends starting requests
        reqData()

    def error(self, reqId, errorCode, errorString):
        # always print errors and turn on api logging in TWS
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

    def print_to_file(self):
        with open('mnq.csv', 'a') as fh:
            for val in self.bars.values():
                fh.write("%s,%f,%f,%d\n" % (val.date, val.high, val.low, val.volume))
                
        self.bars.clear()
        
    def historicalData(self, reqId, bar):
        self.bars[bar.date] = bar #the last one will be incomplete
        
    def historicalDataEnd(self, reqId: int, start: str, end: str):
        pass  #can't write yet since last bar is incomplete
        
    def historicalDataUpdate(self, reqId, bar):
        if not self.bars.get(bar.date): 
            self.print_to_file() # a new bar has arrived so last bar is finished
            
        self.bars[bar.date] = bar # now there is only ever one bar in dict
        
        # decide when to quit, a timer would be better
        if time() - self.start > 30:
            app.disconnect()
        
wrap = MyWrapper()
app  = EClient(wrap)
def reqData():
    # define MNQ
    contract = Contract()
    contract.symbol = "MNQ"
    contract.secType = "FUT"
    contract.exchange = "GLOBEX"
    contract.currency = "USD"
    contract.lastTradeDateOrContractMonth = "202103"

    # use dateformat 2 for UTC.  Always store UTC on disk.
    app.reqHistoricalData(1, contract, "", "100 S", "5 secs", "TRADES", 0, 2, True, [])

app.connect("127.0.0.1", 7497, 123)
app.run() # blocks until disconnect()

app.disconnect() #never gets called