此文为ib_insync需要下载历史数据用的一些操作. 目的是能迅速查到想要的code.
ib_insync是ib的 python api. 因为vnpy已经封装了ib的实盘模块, 所以我用ib_insync只是为了下载历史数据.

ib基础

连接ib

python

1 2	import ib_insync print(ib_insync.__all__)

['util', 'Event', 'SoftDollarTier', 'PriceIncrement', 'Execution', 'CommissionReport', 'BarList', 'BarDataList', 'RealTimeBarList', 'BarData', 'RealTimeBar', 'HistogramData', 'NewsProvider', 'DepthMktDataDescription', 'ScannerSubscription', 'ScanDataList', 'FundamentalRatios', 'ExecutionFilter', 'PnL', 'PnLSingle', 'AccountValue', 'TickData', 'TickByTickAllLast', 'TickByTickBidAsk', 'TickByTickMidPoint', 'HistoricalTick', 'HistoricalTickBidAsk', 'HistoricalTickLast', 'TickAttrib', 'TickAttribBidAsk', 'TickAttribLast', 'MktDepthData', 'DOMLevel', 'TradeLogEntry', 'TagValue', 'FamilyCode', 'SmartComponent', 'PortfolioItem', 'Position', 'Fill', 'OptionComputation', 'OptionChain', 'Dividends', 'NewsArticle', 'HistoricalNews', 'NewsTick', 'NewsBulletin', 'ConnectionStats', 'Contract', 'Stock', 'Option', 'Future', 'ContFuture', 'Forex', 'Index', 'CFD', 'Commodity', 'Bond', 'FuturesOption', 'MutualFund', 'Warrant', 'Bag', 'ComboLeg', 'DeltaNeutralContract', 'ContractDetails', 'ContractDescription', 'ScanData', 'Trade', 'Order', 'OrderStatus', 'OrderState', 'OrderComboLeg', 'LimitOrder', 'MarketOrder', 'StopOrder', 'StopLimitOrder', 'BracketOrder', 'OrderCondition', 'ExecutionCondition', 'MarginCondition', 'TimeCondition', 'PriceCondition', 'PercentChangeCondition', 'VolumeCondition', 'Ticker', 'IB', 'Client', 'Wrapper', 'FlexReport', 'FlexError', 'IBC', 'IBController', 'Watchdog']

python

1 2	from ib_insync import * util.startLoop()

python

1 2	ib = IB() ib.connect('127.0.0.1', 7497, clientId=37)

<IB connected to 127.0.0.1:7497 clientId=37>

合约查询

python

1	ib.reqPositions()

[Position(account='DU1331072', contract=Forex('EURUSD', conId=12087792, localSymbol='EUR.USD', tradingClass='EUR.USD'), position=0.0, avgCost=0.0)]

python

1	ib.positions()

[]

python

1	[v for v in ib.accountValues() if v.tag == 'NetLiquidationByCurrency' and v.currency == 'BASE']

[AccountValue(account='DU1331072', tag='NetLiquidationByCurrency', value='1016878.84', currency='BASE', modelCode='')]

python

Contract(conId=270639)
Stock('AMD', 'SMART', 'USD')
Stock('INTC', 'SMART', 'USD', primaryExchange='NASDAQ')
Forex('EURUSD')
CFD('IBUS30')
Future('ES', '20180921', 'GLOBEX')
Option('SPY', '20170721', 240, 'C', 'SMART')
Bond(secIdType='ISIN', secId='US03076KAA60');

python

1 2	contract = Stock('TSLA', 'SMART', 'USD') ib.reqContractDetails(contract)

[ContractDetails(contract=Contract(secType='STK', conId=76792991, symbol='TSLA', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='TSLA', tradingClass='NMS'), marketName='NMS', minTick=0.01, orderTypes='ACTIVETIM,AD,ADJUST,ALERT,ALGO,ALLOC,AVGCOST,BASKET,BENCHPX,COND,CONDORDER,DARKONLY,DARKPOLL,DAY,DEACT,DEACTDIS,DEACTEOD,DIS,GAT,GTC,GTD,GTT,HID,IBKRATS,ICE,IMB,IOC,LIT,LMT,LOC,MIT,MKT,MOC,MTL,NGCOMB,NODARK,NONALGO,OCA,OPG,OPGREROUT,PEGBENCH,POSTONLY,PREOPGRTH,REL,RPI,RTH,SCALE,SCALEODD,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,SWEEP,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,WHATIF', validExchanges='SMART,AMEX,NYSE,CBOE,PHLX,ISE,CHX,ARCA,ISLAND,DRCTEDGE,BEX,BATS,EDGEA,CSFBALGO,JEFFALGO,BYX,IEX,EDGX,FOXRIVER,NYSENAT,PSX', priceMagnifier=1, underConId=0, longName='TESLA INC', contractMonth='', industry='Consumer, Cyclical', category='Auto Manufacturers', subcategory='Auto-Cars/Light Trucks', timeZoneId='EST', tradingHours='20200301:CLOSED;20200302:0400-20200302:2000;20200303:0400-20200303:2000;20200304:0400-20200304:2000;20200305:0400-20200305:2000;20200306:0400-20200306:2000;20200307:CLOSED;20200308:CLOSED;20200309:0400-20200309:2000;20200310:0400-20200310:2000;20200311:0400-20200311:2000;20200312:0400-20200312:2000;20200313:0400-20200313:2000;20200314:CLOSED;20200315:CLOSED;20200316:0400-20200316:2000;20200317:0400-20200317:2000;20200318:0400-20200318:2000;20200319:0400-20200319:2000;20200320:0400-20200320:2000;20200321:CLOSED;20200322:CLOSED;20200323:0400-20200323:2000;20200324:0400-20200324:2000;20200325:0400-20200325:2000;20200326:0400-20200326:2000;20200327:0400-20200327:2000;20200328:CLOSED;20200329:CLOSED;20200330:0400-20200330:2000;20200331:0400-20200331:2000;20200401:0400-20200401:2000;20200402:0400-20200402:2000;20200403:0400-20200403:2000;20200404:CLOSED', liquidHours='20200301:CLOSED;20200302:0930-20200302:1600;20200303:0930-20200303:1600;20200304:0930-20200304:1600;20200305:0930-20200305:1600;20200306:0930-20200306:1600;20200307:CLOSED;20200308:CLOSED;20200309:0930-20200309:1600;20200310:0930-20200310:1600;20200311:0930-20200311:1600;20200312:0930-20200312:1600;20200313:0930-20200313:1600;20200314:CLOSED;20200315:CLOSED;20200316:0930-20200316:1600;20200317:0930-20200317:1600;20200318:0930-20200318:1600;20200319:0930-20200319:1600;20200320:0930-20200320:1600;20200321:CLOSED;20200322:CLOSED;20200323:0930-20200323:1600;20200324:0930-20200324:1600;20200325:0930-20200325:1600;20200326:0930-20200326:1600;20200327:0930-20200327:1600;20200328:CLOSED;20200329:CLOSED;20200330:0930-20200330:1600;20200331:0930-20200331:1600;20200401:0930-20200401:1600;20200402:0930-20200402:1600;20200403:0930-20200403:1600;20200404:CLOSED', evRule='', evMultiplier=0, mdSizeMultiplier=100, aggGroup=1, underSymbol='', underSecType='', marketRuleIds='26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26', secIdList=[], realExpirationDate='', lastTradeTime='', stockType='', cusip='', ratings='', descAppend='', bondType='', couponType='', callable=False, putable=False, coupon=0, convertible=False, maturity='', issueDate='', nextOptionDate='', nextOptionType='', nextOptionPartial=False, notes='')]

日志信息级别

python

1	util.logToConsole()

python

1 2	import logging util.logToConsole(logging.ERROR)

断开ib

python

1	ib.disconnect()

合约细节

合约基础信息

python

from ib_insync import *
util.startLoop()

import logging
# util.logToConsole(logging.DEBUG)

ib = IB()
ib.connect('127.0.0.1', 7497, clientId=11)

<IB connected to 127.0.0.1:7497 clientId=11>

cds 包含了所有交易所对于这个合约的细节信息。

python

amd = Stock('AMD')

cds = ib.reqContractDetails(amd)

len(cds)

python

cds[0]

ContractDetails(contract=Contract(secType='STK', conId=4391, symbol='AMD', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='AMD', tradingClass='NMS'), marketName='NMS', minTick=0.01, orderTypes='ACTIVETIM,AD,ADJUST,ALERT,ALGO,ALLOC,AVGCOST,BASKET,BENCHPX,COND,CONDORDER,DARKONLY,DARKPOLL,DAY,DEACT,DEACTDIS,DEACTEOD,DIS,GAT,GTC,GTD,GTT,HID,IBKRATS,ICE,IMB,IOC,LIT,LMT,LOC,MIT,MKT,MOC,MTL,NGCOMB,NODARK,NONALGO,OCA,OPG,OPGREROUT,PEGBENCH,POSTONLY,PREOPGRTH,REL,RPI,RTH,SCALE,SCALEODD,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,SWEEP,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,WHATIF', validExchanges='SMART,AMEX,NYSE,CBOE,PHLX,ISE,CHX,ARCA,ISLAND,DRCTEDGE,BEX,BATS,EDGEA,CSFBALGO,JEFFALGO,BYX,IEX,EDGX,FOXRIVER,NYSENAT,PSX', priceMagnifier=1, underConId=0, longName='ADVANCED MICRO DEVICES', contractMonth='', industry='Technology', category='Semiconductors', subcategory='Electronic Compo-Semicon', timeZoneId='EST', tradingHours='20200301:CLOSED;20200302:0400-20200302:2000;20200303:0400-20200303:2000;20200304:0400-20200304:2000;20200305:0400-20200305:2000;20200306:0400-20200306:2000;20200307:CLOSED;20200308:CLOSED;20200309:0400-20200309:2000;20200310:0400-20200310:2000;20200311:0400-20200311:2000;20200312:0400-20200312:2000;20200313:0400-20200313:2000;20200314:CLOSED;20200315:CLOSED;20200316:0400-20200316:2000;20200317:0400-20200317:2000;20200318:0400-20200318:2000;20200319:0400-20200319:2000;20200320:0400-20200320:2000;20200321:CLOSED;20200322:CLOSED;20200323:0400-20200323:2000;20200324:0400-20200324:2000;20200325:0400-20200325:2000;20200326:0400-20200326:2000;20200327:0400-20200327:2000;20200328:CLOSED;20200329:CLOSED;20200330:0400-20200330:2000;20200331:0400-20200331:2000;20200401:0400-20200401:2000;20200402:0400-20200402:2000;20200403:0400-20200403:2000;20200404:CLOSED', liquidHours='20200301:CLOSED;20200302:0930-20200302:1600;20200303:0930-20200303:1600;20200304:0930-20200304:1600;20200305:0930-20200305:1600;20200306:0930-20200306:1600;20200307:CLOSED;20200308:CLOSED;20200309:0930-20200309:1600;20200310:0930-20200310:1600;20200311:0930-20200311:1600;20200312:0930-20200312:1600;20200313:0930-20200313:1600;20200314:CLOSED;20200315:CLOSED;20200316:0930-20200316:1600;20200317:0930-20200317:1600;20200318:0930-20200318:1600;20200319:0930-20200319:1600;20200320:0930-20200320:1600;20200321:CLOSED;20200322:CLOSED;20200323:0930-20200323:1600;20200324:0930-20200324:1600;20200325:0930-20200325:1600;20200326:0930-20200326:1600;20200327:0930-20200327:1600;20200328:CLOSED;20200329:CLOSED;20200330:0930-20200330:1600;20200331:0930-20200331:1600;20200401:0930-20200401:1600;20200402:0930-20200402:1600;20200403:0930-20200403:1600;20200404:CLOSED', evRule='', evMultiplier=0, mdSizeMultiplier=100, aggGroup=1, underSymbol='', underSecType='', marketRuleIds='26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26,26', secIdList=[], realExpirationDate='', lastTradeTime='', stockType='', cusip='', ratings='', descAppend='', bondType='', couponType='', callable=False, putable=False, coupon=0, convertible=False, maturity='', issueDate='', nextOptionDate='', nextOptionType='', nextOptionPartial=False, notes='')

查看合约最基础信息

python

1
2
3

contracts = [cd.contract for cd in cds]

contracts[0]

Contract(secType='STK', conId=4391, symbol='AMD', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='AMD', tradingClass='NMS')

合约查看和filter

股票’AMD’的当前所以可以交易的合约信息

python

1	util.df(contracts).head()

	secType	conId	symbol	exchange	primaryExchange	currency	localSymbol	tradingClass	includeExpired	comboLegs	deltaNeutralContract
0	STK	4391	AMD	SMART	NASDAQ	USD	AMD	NMS	False	[]	None
1	STK	32596680	AMD	SMART	IBIS	EUR	AMD	XETRA	False	[]	None
2	STK	172603743	AMD	SMART	EBS	CHF	AMD	AMD	False	[]	None
3	STK	298633607	AMD	SMART	ASX	AUD	AMD	AMD	False	[]	None
4	STK	4391	AMD	AMEX	NASDAQ	USD	AMD	NMS	False	[]	None

查询期货gc的当前所有合约

python

1
2
3

gc = ib.reqContractDetails(Future('GC'))
gc_contracts_df = util.df([cd.contract for cd in gc])
gc_contracts_df.head(5)

	secType	conId	symbol	lastTradeDateOrContractMonth	multiplier	exchange	currency	localSymbol	tradingClass	includeExpired	comboLegs	deltaNeutralContract
0	FUT	158708412	GC	20200626	100	NYMEX	USD	GCM0	GC	False	[]	None
1	FUT	178747429	GC	20201229	100	NYMEX	USD	GCZ0	GC	False	[]	None
2	FUT	198577650	GC	20210628	100	NYMEX	USD	GCM1	GC	False	[]	None
3	FUT	217648791	GC	20211229	100	NYMEX	USD	GCZ1	GC	False	[]	None
4	FUT	238666255	GC	20220628	100	NYMEX	USD	GCM2	GC	False	[]	None

当前所有NYMEX的GC的期货合约

python

1	gc_contracts_df[gc_contracts_df["exchange"] == "NYMEX"].sort_values("lastTradeDateOrContractMonth")

	secType	conId	symbol	lastTradeDateOrContractMonth	multiplier	exchange	currency	localSymbol	tradingClass	includeExpired	comboLegs	deltaNeutralContract
18	FUT	397594943	GC	20200327	100	NYMEX	USD	GCH0	GC	False	[]	None
8	FUT	319684499	GC	20200428	100	NYMEX	USD	GCJ0	GC	False	[]	None
20	FUT	405978966	GC	20200527	100	NYMEX	USD	GCK0	GC	False	[]	None
0	FUT	158708412	GC	20200626	100	NYMEX	USD	GCM0	GC	False	[]	None
10	FUT	335154396	GC	20200827	100	NYMEX	USD	GCQ0	GC	False	[]	None
11	FUT	343699127	GC	20201028	100	NYMEX	USD	GCV0	GC	False	[]	None
1	FUT	178747429	GC	20201229	100	NYMEX	USD	GCZ0	GC	False	[]	None
13	FUT	358917044	GC	20210224	100	NYMEX	USD	GCG1	GC	False	[]	None
14	FUT	368776104	GC	20210428	100	NYMEX	USD	GCJ1	GC	False	[]	None
2	FUT	198577650	GC	20210628	100	NYMEX	USD	GCM1	GC	False	[]	None
16	FUT	385426871	GC	20210827	100	NYMEX	USD	GCQ1	GC	False	[]	None
17	FUT	393223512	GC	20211027	100	NYMEX	USD	GCV1	GC	False	[]	None
3	FUT	217648791	GC	20211229	100	NYMEX	USD	GCZ1	GC	False	[]	None
4	FUT	238666255	GC	20220628	100	NYMEX	USD	GCM2	GC	False	[]	None
5	FUT	260862601	GC	20221228	100	NYMEX	USD	GCZ2	GC	False	[]	None
6	FUT	280949060	GC	20230628	100	NYMEX	USD	GCM3	GC	False	[]	None
7	FUT	301051213	GC	20231227	100	NYMEX	USD	GCZ3	GC	False	[]	None
9	FUT	324078607	GC	20240626	100	NYMEX	USD	GCM4	GC	False	[]	None
12	FUT	347896248	GC	20241227	100	NYMEX	USD	GCZ4	GC	False	[]	None
15	FUT	372852975	GC	20250626	100	NYMEX	USD	GCM5	GC	False	[]	None
19	FUT	397594951	GC	20251229	100	NYMEX	USD	GCZ5	GC	False	[]	None

SMART交易所的唯一AMD合约

python

1
2
3

amd = Stock('AMD', 'SMART', 'USD')

assert len(ib.reqContractDetails(amd)) == 1

SMART交易所的唯一INTC合约

python

1
2
3

intc = Stock('INTC', 'SMART', 'USD')

assert len(ib.reqContractDetails(intc)) == 1

不存在的合约

python

1
2
3

xxx = Stock('XXX', 'SMART', 'USD')

assert len(ib.reqContractDetails(xxx)) == 0

2020-03-01 18:01:03,946 ib_insync.wrapper ERROR Error 200, reqId 7: No security definition has been found for the request, contract: Stock(symbol='XXX', exchange='SMART', currency='USD')

EURUSD forex合约

python

1
2
3

eurusd = Forex('EURUSD')

assert len(ib.reqContractDetails(eurusd)) == 1

python

amd

Stock(symbol='AMD', exchange='SMART', currency='USD')

填充contrat missing的信息

python

1 2	ib.qualifyContracts(amd) amd

Stock(conId=4391, symbol='AMD', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='AMD', tradingClass='NMS')

填充一个contracts的list

python

qualContracts = ib.qualifyContracts(amd, intc, xxx, eurusd)

assert intc in qualContracts
assert xxx not in qualContracts

2020-03-01 18:54:48,242 ib_insync.wrapper ERROR Error 200, reqId 13: No security definition has been found for the request, contract: Stock(symbol='XXX', exchange='SMART', currency='USD')
2020-03-01 18:54:48,244 ib_insync.ib ERROR Unknown contract: Stock(symbol='XXX', exchange='SMART', currency='USD')

python

1	qualContracts

[Stock(conId=4391, symbol='AMD', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='AMD', tradingClass='NMS'),
 Stock(conId=270639, symbol='INTC', exchange='SMART', primaryExchange='NASDAQ', currency='USD', localSymbol='INTC', tradingClass='NMS'),
 Forex('EURUSD', conId=12087792, exchange='IDEALPRO', localSymbol='EUR.USD', tradingClass='EUR.USD')]

股票专用查询合约。查询包含intc的所有合约

python

matches = ib.reqMatchingSymbols('intc')
matchContracts = [m.contract for m in matches]

matches

[ContractDescription(contract=Contract(secType='STK', conId=270639, symbol='INTC', primaryExchange='NASDAQ.NMS', currency='USD'), derivativeSecTypes=['CFD', 'OPT', 'IOPT', 'WAR', 'FUT', 'BAG']),
 ContractDescription(contract=Contract(secType='STK', conId=38709539, symbol='INTC', primaryExchange='MEXI', currency='MXN'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=12178234, symbol='INTC', primaryExchange='EBS', currency='CHF'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=11463493, symbol='INTCUSD', primaryExchange='EBS', currency='USD'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=130861844, symbol='S', primaryExchange='MEXI', currency='MXN'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=130861851, symbol='2S7', primaryExchange='FWB', currency='EUR'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=130651996, symbol='S', primaryExchange='NYSE', currency='USD'), derivativeSecTypes=['CFD', 'OPT', 'FUT', 'BAG']),
 ContractDescription(contract=Contract(secType='STK', conId=14015710, symbol='4613', primaryExchange='TSEJ', currency='JPY'), derivativeSecTypes=['CFD']),
 ContractDescription(contract=Contract(secType='STK', conId=257310905, symbol='002436', primaryExchange='SEHKSZSE', currency='CNH'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=257765562, symbol='603737', primaryExchange='SEHKNTL', currency='CNH'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=234809384, symbol='FPQ1', primaryExchange='FWB2', currency='EUR'), derivativeSecTypes=['IOPT']),
 ContractDescription(contract=Contract(secType='STK', conId=234809383, symbol='FING.B', primaryExchange='SFB', currency='SEK'), derivativeSecTypes=['CFD', 'OPT', 'IOPT', 'BAG']),
 ContractDescription(contract=Contract(secType='STK', conId=83364054, symbol='FRP', primaryExchange='VALUE', currency='USD'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=169544707, symbol='ECC', primaryExchange='NYSE', currency='USD'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=90691307, symbol='1151', primaryExchange='SEHK', currency='HKD'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=96816938, symbol='E16', primaryExchange='SGX', currency='USD'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=392988575, symbol='1JO', primaryExchange='FWB2', currency='EUR'), derivativeSecTypes=[]),
 ContractDescription(contract=Contract(secType='STK', conId=173148149, symbol='JYNT', primaryExchange='NASDAQ.SCM', currency='USD'), derivativeSecTypes=['OPT', 'BAG']),
 ContractDescription(contract=Contract(secType='STK', conId=131085231, symbol='4621', primaryExchange='TSEJ', currency='JPY'), derivativeSecTypes=[])]

期权链

spx合约

python

1 2	spx = Index('SPX', 'CBOE') ib.qualifyContracts(spx)

[Index(conId=416904, symbol='SPX', exchange='CBOE', currency='USD', localSymbol='SPX')]

这里使用delayed data.

marketDataType: One of:

* 1 = Live
* 2 = Frozen
* 3 = Delayed
* 4 = Delayed frozen

python

1	ib.reqMarketDataType(4)

当前tick信息

python

1 2	[ticker] = ib.reqTickers(spx) ticker

Ticker(contract=Index(conId=416904, symbol='SPX', exchange='CBOE', currency='USD', localSymbol='SPX'), time=datetime.datetime(2020, 3, 2, 0, 1, 57, 930587, tzinfo=datetime.timezone.utc), bid=-1.0, bidSize=0, ask=-1.0, askSize=0, last=-1.0, lastSize=0)

当前市场价格。因为是非交易时间所以是nan

python

1 2	spxValue = ticker.marketPrice() spxValue

nan

查看option链

python

1
2
3

chains = ib.reqSecDefOptParams(spx.symbol, '', spx.secType, spx.conId)

util.df(chains)

	exchange	underlyingConId	tradingClass	multiplier	expirations	strikes
0	SMART	416904	SPX	100	[20200319, 20200416, 20200514, 20200618, 20200...	[100.0, 200.0, 300.0, 400.0, 500.0, 600.0, 650...
1	CBOE	416904	SPXW	100	[20200302, 20200304, 20200306, 20200309, 20200...	[800.0, 900.0, 1000.0, 1100.0, 1150.0, 1200.0,...
2	SMART	416904	SPXW	100	[20200302, 20200304, 20200306, 20200309, 20200...	[800.0, 900.0, 1000.0, 1100.0, 1150.0, 1200.0,...
3	CBOE	416904	SPX	100	[20200319, 20200416, 20200514, 20200618, 20200...	[100.0, 200.0, 300.0, 400.0, 500.0, 600.0, 650...

选择tradingclass 是spx, exchange是smart的那个合约，查看这个合约的option chain

python

1 2	chain = next(c for c in chains if c.tradingClass == 'SPX' and c.exchange == 'SMART') chain

OptionChain(exchange='SMART', underlyingConId='416904', tradingClass='SPX', multiplier='100', expirations=['20200319', '20200416', '20200514', '20200618', '20200716', '20200820', '20200917', '20201015', '20201119', '20201217', '20210114', '20210318', '20210617', '20211216', '20221215'], strikes=[100.0, 200.0, 300.0, 400.0, 500.0, 600.0, 650.0, 700.0, 750.0, 800.0, 850.0, 900.0, 950.0, 1000.0, 1050.0, 1100.0, 1150.0, 1200.0, 1225.0, 1250.0, 1275.0, 1300.0, 1325.0, 1350.0, 1375.0, 1400.0, 1425.0, 1450.0, 1475.0, 1500.0, 1525.0, 1550.0, 1575.0, 1600.0, 1625.0, 1650.0, 1675.0, 1700.0, 1725.0, 1750.0, 1775.0, 1800.0, 1825.0, 1850.0, 1875.0, 1900.0, 1925.0, 1950.0, 1975.0, 2000.0, 2025.0, 2050.0, 2075.0, 2090.0, 2100.0, 2110.0, 2120.0, 2125.0, 2130.0, 2140.0, 2150.0, 2160.0, 2170.0, 2175.0, 2180.0, 2190.0, 2200.0, 2210.0, 2220.0, 2225.0, 2230.0, 2240.0, 2250.0, 2260.0, 2270.0, 2275.0, 2280.0, 2290.0, 2300.0, 2310.0, 2320.0, 2325.0, 2330.0, 2340.0, 2350.0, 2360.0, 2370.0, 2375.0, 2380.0, 2385.0, 2390.0, 2395.0, 2400.0, 2405.0, 2410.0, 2415.0, 2420.0, 2425.0, 2430.0, 2435.0, 2440.0, 2445.0, 2450.0, 2455.0, 2460.0, 2465.0, 2470.0, 2475.0, 2480.0, 2485.0, 2490.0, 2495.0, 2500.0, 2505.0, 2510.0, 2515.0, 2520.0, 2525.0, 2530.0, 2535.0, 2540.0, 2545.0, 2550.0, 2555.0, 2560.0, 2565.0, 2570.0, 2575.0, 2580.0, 2585.0, 2590.0, 2595.0, 2600.0, 2605.0, 2610.0, 2615.0, 2620.0, 2625.0, 2630.0, 2635.0, 2640.0, 2645.0, 2650.0, 2655.0, 2660.0, 2665.0, 2670.0, 2675.0, 2680.0, 2685.0, 2690.0, 2695.0, 2700.0, 2705.0, 2710.0, 2715.0, 2720.0, 2725.0, 2730.0, 2735.0, 2740.0, 2745.0, 2750.0, 2755.0, 2760.0, 2765.0, 2770.0, 2775.0, 2780.0, 2785.0, 2790.0, 2795.0, 2800.0, 2805.0, 2810.0, 2815.0, 2820.0, 2825.0, 2830.0, 2835.0, 2840.0, 2845.0, 2850.0, 2855.0, 2860.0, 2865.0, 2870.0, 2875.0, 2880.0, 2885.0, 2890.0, 2895.0, 2900.0, 2905.0, 2910.0, 2915.0, 2920.0, 2925.0, 2930.0, 2935.0, 2940.0, 2945.0, 2950.0, 2955.0, 2960.0, 2965.0, 2970.0, 2975.0, 2980.0, 2985.0, 2990.0, 2995.0, 3000.0, 3005.0, 3010.0, 3015.0, 3020.0, 3025.0, 3030.0, 3035.0, 3040.0, 3045.0, 3050.0, 3055.0, 3060.0, 3065.0, 3070.0, 3075.0, 3080.0, 3085.0, 3090.0, 3095.0, 3100.0, 3105.0, 3110.0, 3115.0, 3120.0, 3125.0, 3130.0, 3135.0, 3140.0, 3145.0, 3150.0, 3155.0, 3160.0, 3165.0, 3170.0, 3175.0, 3180.0, 3185.0, 3190.0, 3195.0, 3200.0, 3205.0, 3210.0, 3215.0, 3220.0, 3225.0, 3230.0, 3235.0, 3240.0, 3245.0, 3250.0, 3255.0, 3260.0, 3265.0, 3270.0, 3275.0, 3280.0, 3285.0, 3290.0, 3295.0, 3300.0, 3305.0, 3310.0, 3315.0, 3320.0, 3325.0, 3330.0, 3335.0, 3340.0, 3345.0, 3350.0, 3355.0, 3360.0, 3365.0, 3370.0, 3375.0, 3380.0, 3385.0, 3390.0, 3395.0, 3400.0, 3405.0, 3410.0, 3415.0, 3420.0, 3425.0, 3430.0, 3435.0, 3440.0, 3445.0, 3450.0, 3455.0, 3460.0, 3465.0, 3470.0, 3475.0, 3480.0, 3485.0, 3490.0, 3495.0, 3500.0, 3505.0, 3510.0, 3515.0, 3520.0, 3525.0, 3530.0, 3535.0, 3540.0, 3545.0, 3550.0, 3555.0, 3560.0, 3565.0, 3570.0, 3575.0, 3580.0, 3585.0, 3590.0, 3595.0, 3600.0, 3605.0, 3610.0, 3615.0, 3620.0, 3625.0, 3630.0, 3635.0, 3640.0, 3650.0, 3660.0, 3670.0, 3675.0, 3680.0, 3690.0, 3700.0, 3710.0, 3720.0, 3725.0, 3750.0, 3775.0, 3800.0, 3850.0, 3900.0, 3950.0, 4000.0, 4050.0, 4100.0, 4200.0, 4300.0, 4400.0, 4500.0, 4600.0, 4700.0, 4800.0, 4900.0])

Bar数据

GC future合约 2020年4月28日到期

python

1 2	contract_319684499 = Contract(conId=319684499) ib.qualifyContracts(contract_319684499)

[Contract(secType='FUT', conId=319684499, symbol='GC', lastTradeDateOrContractMonth='20200428', multiplier='100', exchange='NYMEX', currency='USD', localSymbol='GCJ0', tradingClass='GC')]

合约开始时间

python

1	ib.reqHeadTimeStamp(contract_319684499, whatToShow='MIDPOINT', useRTH=True)

datetime.datetime(2018, 5, 30, 22, 0)

10天的1分钟数据。一次下太多ib就要搞你，10天的够了。

python

bars = ib.reqHistoricalData(
        contract_319684499,
        endDateTime='',
        durationStr='10 D',
        barSizeSetting='1 min',
        whatToShow='TRADES',
        useRTH=True,
        formatDate=1)

python

bars[0]

BarData(date=datetime.datetime(2020, 2, 14, 9, 30), open=1583.3, high=1583.8, low=1583.0, close=1583.4, volume=922, average=1583.43, barCount=347)

python

1
2
3

df = util.df(bars)
display(df.head())
display(df.tail())

	date	open	high	low	close	volume	average	barCount
0	2020-02-14 09:30:00	1583.3	1583.8	1583.0	1583.4	922	1583.43	347
1	2020-02-14 09:31:00	1583.5	1583.6	1583.2	1583.4	547	1583.45	240
2	2020-02-14 09:32:00	1583.4	1583.4	1582.6	1582.7	786	1582.95	299
3	2020-02-14 09:33:00	1582.8	1582.9	1582.1	1582.6	710	1582.43	293
4	2020-02-14 09:34:00	1582.7	1582.8	1582.4	1582.6	230	1582.58	127

	date	open	high	low	close	volume	average	barCount
4495	2020-02-28 16:55:00	1586.6	1589.0	1586.2	1586.8	82	1587.33	50
4496	2020-02-28 16:56:00	1586.9	1588.6	1586.2	1587.0	42	1587.39	32
4497	2020-02-28 16:57:00	1587.0	1588.7	1587.0	1587.4	104	1587.74	40
4498	2020-02-28 16:58:00	1587.7	1588.1	1587.4	1587.7	29	1587.71	20
4499	2020-02-28 16:59:00	1587.3	1587.5	1586.5	1587.3	43	1587.00	26

下面的code通过循环把一个合约所有数据都下载下来

python

contract_319684499 = Contract(conId=319684499)
ib.qualifyContracts(contract_319684499)

dt = ''
barsList = []
while True:
    bars = ib.reqHistoricalData(
        contract_319684499,
        endDateTime=dt,
        durationStr='10 D',
        barSizeSetting='1 min',
        whatToShow='TRADES',
        useRTH=True,
        formatDate=1)
    if not bars:
        break
    barsList.append(bars)
    dt = bars[0].date
    print(dt)

allBars = [b for bars in reversed(barsList) for b in bars]
df = util.df(allBars)

2020-02-14 09:30:00
2020-01-31 09:30:00
2020-01-16 09:30:00
2020-01-02 09:30:00
2019-12-17 09:30:00
2019-12-03 09:30:00
2019-11-18 09:30:00
2019-11-04 09:30:00
2019-10-21 09:30:00
2019-10-07 09:30:00
2019-09-23 09:30:00
2019-09-09 09:30:00
2019-08-23 09:30:00
2019-08-09 09:30:00
2019-07-26 09:30:00
2019-07-12 09:30:00
2019-06-27 09:30:00
2019-06-13 09:30:00
2019-05-30 09:30:00
2019-05-15 09:30:00
2019-05-01 10:21:00
2019-04-17 09:30:00
2019-04-03 10:53:00
2019-03-21 09:30:00
2019-03-07 09:30:00
2019-02-21 09:30:00
2019-02-06 09:45:00
2019-01-24 09:55:00
2019-01-11 09:30:00
2019-01-02 09:30:00
2018-12-20 14:43:00
2018-12-07 10:01:00
2018-11-29 09:42:00
2018-11-23 11:44:00


Error 162, reqId 39: Historical Market Data Service error message:HMDS query returned no data: GCJ0@NYMEX Trades, contract: Contract(secType='FUT', conId=319684499, symbol='GC', lastTradeDateOrContractMonth='20200428', multiplier='100', exchange='NYMEX', currency='USD', localSymbol='GCJ0', tradingClass='GC')

上面的报错原因猜测是因为20181123之前，成交量太低了,选择whattoshow == “TRADE”的话就返回不了数据. 选择whattoshow == “MIDPOINT” 还是可以返回数据，但是我们不需要了,到这就够了.

下面的数可以看出，20181123的时候这个合约还不是主力合约，没有人交易。而当前最新的交易量显示它是主力合约

python

df.head()

	date	open	high	low	close	volume	average	barCount
0	2018-11-23 11:44:00	1272.7	1272.7	1272.7	1272.7	11	1272.7	5
1	2018-11-23 11:45:00	1272.7	1272.7	1272.7	1272.7	0	1272.7	0
2	2018-11-23 11:46:00	1272.7	1272.7	1272.7	1272.7	0	1272.7	0
3	2018-11-23 11:47:00	1272.7	1272.7	1272.7	1272.7	0	1272.7	0
4	2018-11-23 11:48:00	1272.7	1272.7	1272.7	1272.7	0	1272.7	0

python

df.tail()

	date	open	high	low	close	volume	average	barCount
119254	2020-02-28 16:55:00	1586.6	1589.0	1586.2	1586.8	82	1587.33	50
119255	2020-02-28 16:56:00	1586.9	1588.6	1586.2	1587.0	42	1587.39	32
119256	2020-02-28 16:57:00	1587.0	1588.7	1587.0	1587.4	104	1587.74	40
119257	2020-02-28 16:58:00	1587.7	1588.1	1587.4	1587.7	29	1587.71	20
119258	2020-02-28 16:59:00	1587.3	1587.5	1586.5	1587.3	43	1587.00	26

python

1	df.describe()

	open	high	low	close	volume	average	barCount
count	119259.000000	119259.000000	119259.000000	119259.000000	119259.000000	119259.000000	119259.000000
mean	1452.039395	1452.075496	1452.000574	1452.037914	31.230398	1452.038183	13.755918
std	95.843262	95.894540	95.788182	95.841548	167.720980	95.841501	71.451877
min	1272.700000	1272.700000	1272.700000	1272.700000	0.000000	1272.700000	0.000000
25%	1352.000000	1352.000000	1352.000000	1352.000000	0.000000	1352.000000	0.000000
50%	1475.600000	1475.600000	1475.600000	1475.600000	0.000000	1475.600000	0.000000
75%	1524.600000	1524.600000	1524.600000	1524.600000	0.000000	1524.600000	0.000000
max	1684.800000	1686.600000	1683.800000	1684.300000	9591.000000	1685.380000	3716.000000

python

1	df.to_csv(contract_319684499.symbol + '.csv')