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Monday, July 23, 2012

IB Historical Quotes Downloader

Slowly getting to where I want it to be. Here's a workable version that downloads quotes (you can insert multiple tickers with commas separating them--no spaces after the commas) to csv files and stores them in a subdirectory "csv_day". The MySQL part shouldn't be difficult. But I'm working on dealing with IB's quote download limits and some python inefficiency.

Here's the current code:

 from time import sleep, strftime, localtime  
 from ib.ext.Contract import Contract  
 from ib.opt import ibConnection, message  
 from Tkinter import *  
 import _mysql  
 import string  
   
 class App:  
   
   def __init__(self, master):  
   
     #list to keep data series, list for multiple symbols, j to keep track of current symbol  
     self.newDataList = []  
     self.new_symbolinput = []  
     self.j=0  
   
     #connect here to prevent double connections later on...  
     self.con = ibConnection()  
     self.con.register(self.historical_data_handler, message.HistoricalData)  
     self.con.connect()  
   
     #begin gui (labels should make it fairly self-explanatory)  
     frame = Frame(master)  
     frame.pack()  
   
     self.mysqlinfo_label = Label(frame, text='MySQL fields:')  
     self.mysqlinfo_label.grid(row=0)  
   
     self.label_host = Label(frame, text='Host:')  
     self.label_host.grid(row=1)  
   
     host_text = StringVar()  
     host_text.set("127.0.0.1")  
   
     self.entry_host = Entry(frame, textvariable=host_text)  
     self.entry_host.grid(row=1, column=1)  
   
     self.label_user = Label(frame, text='User:')  
     self.label_user.grid(row=2)  
   
     user_text = StringVar()  
     user_text.set("root")  
   
     self.entry_user = Entry(frame, textvariable=user_text)  
     self.entry_user.grid(row=2, column=1)  
   
     self.label_password = Label(frame, text='Password:')  
     self.label_password.grid(row=3)  
   
     self.entry_password = Entry(frame, show="*")  
     self.entry_password.grid(row=3, column=1)  
   
     self.label_database = Label(frame, text='Database:')  
     self.label_database.grid(row=4)  
   
     database_text = StringVar()  
     database_text.set("stocks")  
   
     self.entry_database = Entry(frame, textvariable=database_text)  
     self.entry_database.grid(row=4, column=1)  
   
     self.label_empty = Label(frame, text='')  
     self.label_empty.grid(row=5)   
   
     self.label_twsfields = Label(frame, text='TWS fields:')  
     self.label_twsfields.grid(row=6)  
   
     self.label_server = Label(frame, text='Server:')  
     self.label_server.grid(row=7)  
   
     twsserver_text = StringVar()  
     twsserver_text.set("127.0.0.1")  
   
     self.entry_server = Entry(frame, textvariable=twsserver_text)  
     self.entry_server.grid(row=7, column=1)  
   
     self.label_empty = Label(frame, text='')  
     self.label_empty.grid(row=8)   
   
     self.label_twscontractinfo = Label(frame, text='TWS contract info:')  
     self.label_twscontractinfo.grid(row=9)  
   
     self.label_symbol = Label(frame, text='Symbol:')  
     self.label_symbol.grid(row=10)  
   
     self.entry_symbol = Entry(frame)  
     self.entry_symbol.grid(row=10, column=1)  
   
     self.label_barsize = Label(frame, text='Bar Size:')  
     self.label_barsize.grid(row=11)  
   
     self.barsize_selected = StringVar(frame)  
     self.barsize_selected.set("1 min")  
   
     self.optionmenu_barsize = OptionMenu(frame, self.barsize_selected, "30 secs", "1 min", "5 mins", "10 mins", "15 mins", "1 hour", "4 hours", "1 day")  
     self.optionmenu_barsize.grid(row=11, column=1)  
   
     self.label_duration = Label(frame, text='Duration:')  
     self.label_duration.grid(row=12)  
   
     self.duration_selected = StringVar(frame)  
     self.duration_selected.set("1 W")  
   
     self.optionmenu_duration = OptionMenu(frame, self.duration_selected, "1 H", "4 H", "1 D", "1 W", "1 M", "1 Y")  
     self.optionmenu_duration.grid(row=12, column=1)  
       
   
     self.label_empty = Label(frame, text='')  
     self.label_empty.grid(row=13)      
   
     self.button_download = Button(frame, text="Download", command=self.tws_connect)  
     self.button_download.grid(row=14, column=1)  
   
     self.button_import = Button(frame, text="Import", command=self.mysql_connect)  
     self.button_import.grid(row=15, column=1)  
   
     self.label_empty = Label(frame, text='')  
     self.label_empty.grid(row=16)   
   
   #function for sending historical data requests  
   def tws_connect(self):  
     print "connecting to tws..."  
     print "tws server: " + self.entry_server.get()  
   
     self.new_symbolinput = string.split(self.entry_symbol.get(), ',')  
   
     print self.new_symbolinput  
   
     #run through all symbols, requesting historical data  
     self.symbol_id = 0  
     for i in self.new_symbolinput:  
       print i  
       qqq = Contract()  
       qqq.m_symbol = i  
       qqq.m_secType = 'STK'  
       qqq.m_exchange = 'SMART'  
       qqq.m_currency = 'USD'  
       endtime = strftime('%Y%m%d %H:%M:%S')  
       durationreq = '%s' % self.duration_selected.get()  
       barsizereq = '%s' % self.barsize_selected.get()  
       self.con.reqHistoricalData(self.symbol_id, qqq, '', durationreq, barsizereq, 'TRADES', 1, 2)  
       self.symbol_id = self.symbol_id + 1  
   
       #if doing more than 60 symbols, this is a simple way to avoid IB's 60symbol/10min limit...  
         
   #function for putting data into csv file and, eventually, into mysql database  
   def mysql_connect(self):  
       
     print "MySQL host: " + self.entry_host.get()  
     print "MySQL user: " + self.entry_user.get()  
     print "MySQL database: " + self.entry_database.get()  
   
   #required for IB API  
   def historical_data_handler(self, msg):  
     print msg.reqId, msg.date, msg.open, msg.high, msg.low, msg.close, msg.volume  
   
     #don't add 'finished...' statement to data list  
     if ('finished' in str(msg.date)) == False:  
       new_symbol = self.new_symbolinput[msg.reqId]  
       dataStr = '%s, %s, %s, %s, %s, %s, %s' % (new_symbol, strftime("%Y-%m-%d %H:%M:%S", localtime(int(msg.date))), msg.open, msg.high, msg.low, msg.close, msg.volume)  
       self.newDataList.append(dataStr)  
     #if 'finished...' appears jump to next symbol (THIS IS BROKEN because IB doesn't necessarily send requests back to you in the order sent to them...)  
     else:  
       new_symbol = self.new_symbolinput[msg.reqId]  
       filename = 'minutetrades' + new_symbol + '.csv'  
       csvfile = open('csv_day/' + filename,'wb')  
       for item in self.newDataList:  
         csvfile.write('%s \n' % item)  
       csvfile.close()  
       self.newDataList = []  
   
 root = Tk()  
 root.title('Historical Data: Download and Import')  
 app = App(root)  
   
 #run gui  
 root.mainloop()  

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