I am testing how to receive real time data through interactive brokers' API and reqMktData. The algorithm is run through an infinite while loop, which allows for real-time live streaming data until I stop the script. When I run it, it is supposed to continuously print data to the console as specified in the code below. However, nothing is printed until I hit "stop the current command". Then I get a huge data dump consisting of all the data received since the execution of the script.
I have tried the following solution, where I import sys in the beginning of the script and flush the output after each print. However, this doesn't work either:
import sys
sys.stdout.flush()
I'm using python 2.7 and spyder - and am quite new to python.
Hope someone can help! Any inputs are greatly appreciated.
The script I'm testing:
from ib.ext.Contract import Contract
from ib.ext.Order import Order
from ib.opt import Connection, message
import pandas as pd
import datetime as dt
class AlgoSystem:
def __init__(self, symbol, qty, resample_interval,
averaging_period=5, port=7496):
self.client_id = 1
self.order_id = 1
self.qty = qty
self.symbol_id, self.symbol = 0, symbol
self.resample_interval = resample_interval
self.averaging_period = averaging_period
self.port = port
self.tws_conn = None
self.bid_price, self.ask_price = 0, 0
self.last_prices = pd.DataFrame(columns=[self.symbol_id])
self.average_price = 0
self.account_code = None
def error_handler(self, msg):
if msg.typeName == "error" and msg.id != -1:
print "Server Error:", msg
def tick_event(self, msg):
if msg.field == 1:
self.bid_price = msg.price
elif msg.field == 2:
self.ask_price = msg.price
elif msg.field == 4:
self.last_prices.loc[dt.datetime.now()] = msg.price
resampled_prices = \
self.last_prices.resample(self.resample_interval,
how='last',
fill_method="ffill")
self.average_price = resampled_prices.tail(
self.averaging_period).mean()[0]
print dt.datetime.now(), "average:", self.average_price, \
"bid:", self.bid_price, "ask:", self.ask_price
def create_contract(self, symbol, sec_type, exch, prim_exch, curr):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = sec_type
contract.m_exchange = exch
contract.m_primaryExch = prim_exch
contract.m_currency = curr
return contract
def request_market_data(self, symbol_id, symbol):
contract = self.create_contract(symbol,
'STK',
'SMART',
'SMART',
'USD')
self.tws_conn.reqMktData(symbol_id, contract, '', False)
time.sleep(1)
def cancel_market_data(self, symbol):
self.tws_conn.cancelMktData(symbol)
time.sleep(1)
def connect_to_tws(self):
self.tws_conn = Connection.create(port=self.port,
clientId=self.client_id)
self.tws_conn.connect()
def disconnect_from_tws(self):
if self.tws_conn is not None:
self.tws_conn.disconnect()
def register_callback_functions(self):
# Assign error handling function.
self.tws_conn.register(self.error_handler, 'Error')
# Register market data events.
self.tws_conn.register(self.tick_event,
message.tickPrice,
message.tickSize)
def start(self):
try:
self.connect_to_tws()
self.register_callback_functions()
self.request_market_data(self.symbol_id, self.symbol)
while True:
time.sleep(1)
except Exception, e:
print "Error:", e
self.cancel_market_data(self.symbol)
finally:
print "disconnected"
self.disconnect_from_tws()
if __name__ == "__main__":
system = AlgoSystem("FB", 100, "30s", 5)
system.start()
