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Tuesday, July 24, 2012

Non-GUI IB Historical Data Downloader

Here's some code to download quotes for the constituents of the S&P500 through Interactive Brokers' API using Python 2.7 and IbPy.

It will pause for 10 seconds after each request so that you won't go over the 60 symbol a minute limit. Also, it keeps track of which symbols you have downloaded. If you need to check for missed symbols go to the "downloaded_symbols.csv" file and match it to the entire S&P500 list. Other than the fact that you need a folder named "csv_day_test" in the same folder as the python script, there's not much to using this. It's pretty simple (and shouldn't hang like the GUI version sometimes does).

It's hard coded to do "1 min" bars over the course of "1 D". Change these if you'd like to download other data. You can also add/subtract symbols as you would expect. If you want it to print data it receives into the Python window, you can remove the # mark before the "print msg.reqId, msg.date," ... etc. This will, however, slow things down to some extent.

Here's the code:

 from time import sleep, strftime, localtime  
 from ib.ext.Contract import Contract  
 from ib.opt import ibConnection, message  
 import _mysql  
   
 new_symbolinput = ['MMM','ACE','AES','AFL','GAS','T','ABT','ANF','ACN','ADBE','AMD','AET','A','APD','ARG','AKAM','AA','ALXN','ATI','AGN','ALL','ANR','ALTR','MO','AMZN','AEE','AEP','AXP','AIG','AMT','AMP','ABC','AMGN','APH','APC','ADI','AON','APA','AIV','APOL','AAPL','AMAT','ADM','AIZ','AN','AZO','ADSK','ADP','AVB','AVY','AVP','BBT','BMC','BHI','BLL','BAC','BCR','BAX','BEAM','BDX','BBBY','BMS','BRK B','BBY','BIG','BIIB','BLK','HRB','BA','BWA','BXP','BSX','BMY','BRCM','BF B','CA','CBG','CBS','CF','CHRW','CMS','CNX','CSX','CVS','CVC','COG','CAM','CPB','COF','CAH','CFN','KMX','CCL','CAT','CELG','CNP','CTL','CERN','CHK','CVX','CME','CMG','CB','CI','CINF','CTAS','CSCO','C','CTXS','CLF','CLX','COH','KO','CCE','CTSH','CL','CMCSA','CMA','CSC','CAG','COP','ED','STZ','CBE','GLW','COST','CVH','COV','CCI','CMI','DTV','DTE','DHR','DRI','DVA','DV','DF','DE','DELL','DNR','XRAY','DVN','DO','DFS','DISCA','DLTR','D','RRD','DOV','DOW','DPS','DD','DUK','DNB','ETFC','EMC','EOG','EQT','EMN','ETN','ECL','EIX','EW','EA','EMR','ETR','EFX','EQR','EL','EXC','EXPE','EXPD','ESRX','XOM','FFIV','FLIR','FMC','FTI','FDO','FAST','FDX','FII','FIS','FITB','FHN','FSLR','FE','FISV','FLS','FLR','F','FRX','FOSL','BEN','FCX','FTR','GME','GCI','GPS','GD','GE','GIS','GPC','GNW','GILD','GS','GR','GT','GOOG','GWW','HCP','HAL','HOG','HAR','HRS','HIG','HAS','HCN','HNZ','HP','HSY','HES','HPQ','HD','HON','HRL','DHI','HSP','HST','HCBK','HUM','HBAN','ITW','IR','TEG','INTC','ICE','IPG','IBM','IFF','IGT','IP','INTU','ISRG','IVZ','IRM','JDSU','JPM','JBL','JEC','JNJ','JCI','JOY','JNPR','KLAC','K','KEY','KMB','KIM','KMI','KSS','KFT','KR','LLL','LSI','LH','LRCX','LM','LEG','LEN','LUK','LXK','LIFE','LLY','LTD','LNC','LLTC','LMT','L','LO','LOW','MTB','M','MRO','MPC','MAR','MMC','MAS','MA','MAT','MKC','MCD','MHP','MCK','MJN','MWV','MDT','MRK','MET','PCS','MCHP','MU','MSFT','MOLX','TAP','MON','MCO','MS','MOS','MSI','MUR','MYL','NKE','NRG','NYX','NBR','NDAQ','NOV','NTAP','NFLX','NWL','NFX','NEM','NWSA','NEE','NI','NE','NBL','JWN','NSC','NU','NTRS','NOC','NUE','NVDA','ORLY','OKE','OXY','OMC','ORCL','OI','PCAR','PCG','PNC','PPG','PPL','PLL','PH','PDCO','PAYX','BTU','JCP','PBCT','POM','PEP','PKI','PRGO','PFE','PM','PSX','PNW','PXD','PBI','PCL','PX','PCP','PCLN','PFG','PLD','PG','PGN','PGR','PRU','PEG','PSA','PHM','QEP','QCOM','PWR','DGX','RL','RRC','RTN','RHT','RF','RSG','RAI','RHI','ROK','COL','ROP','ROST','RDC','R','SAI','SCG','SLM','SWY','CRM','SNDK','SLE','SLB','SCHW','SNI','SEE','SHLD','SRE','SHW','SIAL','SPG','SJM','SNA','SO','LUV','SWN','SE','S','STJ','SWK','SPLS','SBUX','HOT','STT','SRCL','SYK','STI','SUN','SYMC','SYY','TROW','TEL','TE','TJX','TGT','THC','TDC','TER','TSO','TXN','TXT','BK','WMB','TMO','TIF','TWC','TWX','TIE','TMK','TSS','TRV','TRIP','TYC','TSN','USB','UNP','UPS','X','UTX','UNH','UNM','URBN','VFC','VLO','VAR','VTR','VRSN','VZ','VIAB','V','VNO','VMC','WPX','WMT','WAG','DIS','WPO','WM','WAT','WPI','WLP','WFC','WDC','WU','WY','WHR','WFM','WIN','WEC','WYN','WYNN','XL','XEL','XRX','XLNX','XYL','YHOO','YUM','ZMH','ZION','EBAY']  
 newDataList = []  
 dataDownload = []  
   
 def historical_data_handler(msg):  
   global newDataList  
   #print msg.reqId, msg.date, msg.open, msg.high, msg.low, msg.close, msg.volume  
   if ('finished' in str(msg.date)) == False:  
     new_symbol = 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)  
     newDataList = newDataList + [dataStr]  
   else:  
     new_symbol = new_symbolinput[msg.reqId]  
     filename = 'minutetrades' + new_symbol + '.csv'  
     csvfile = open('csv_day_test/' + filename,'wb')  
     for item in newDataList:  
       csvfile.write('%s \n' % item)  
     csvfile.close()  
     newDataList = []  
     global dataDownload  
     dataDownload.append(new_symbol)  
   
 con = ibConnection()  
 con.register(historical_data_handler, message.HistoricalData)  
 con.connect()  
   
 symbol_id = 0  
 for i in new_symbolinput:  
   print i  
   qqq = Contract()  
   qqq.m_symbol = i  
   qqq.m_secType = 'STK'  
   qqq.m_exchange = 'SMART'  
   qqq.m_currency = 'USD'  
   con.reqHistoricalData(symbol_id, qqq, '', '1 D', '1 min', 'TRADES', 1, 2)  
   
   symbol_id = symbol_id + 1  
   sleep(10)  
   
 print dataDownload  
 filename = 'downloaded_symbols.csv'  
 csvfile = open('csv_day_test/' + filename,'wb')  
 for item in dataDownload:  
   csvfile.write('%s \n' % item)  
 csvfile.close()  

Note: Downloads everything except SLE and PGN. Might not be symbols on the S&P500; haven't checked yet...

5 comments:

  1. message.HistoricalData does not exist in the recent version of ibpy

    ReplyDelete
  2. Thanks for sharing. I tried to use this script to download FOREX data but it doesn't work. Do you know how to modify it to download FOREX data?

    ReplyDelete
  3. This comment has been removed by a blog administrator.

    ReplyDelete
  4. Change HistoricalData to historicalData and it works

    ReplyDelete
  5. where does the historical data actually go? and what is stored in dataDownloader

    ReplyDelete