java互动经纪人api历史数据和tick

brian was able to get a working example of this on 9.72 and with slight modification it can probably run in 9.73. The question was simple: look at current price and compare to previous day session high and low. If price is above it prints out buy, and if below low of historical previous session it would print out sell. At first I struggled due to my weak knowledge of Java, but brian displayed in his answer selected as best, how to use the current and historical prices for comparison. Very rudimentary, but important.

brian能够在9.72上得到一个有效的例子,稍作修改就可以在9.73中运行。问题很简单:查看当前价格并与前一天的高点和低点进行比较。如果价格高于它,则打印出买入,如果低于历史前一交易日,它将打印出卖出。起初,由于我对Java的了解很少,我很挣扎,但是布莱恩在他的答案中选择了最佳,如何使用当前和历史价格进行比较。很简陋,但很重要。

This is the current code that is supposed to take current price and compare it to prior session and if above high give a buy print out and if below low give a sell print out. In the 9.72 API this code did nothing because it did not properly connect data types.

这是当前的代码,它应该采用当前价格并将其与之前的会话进行比较,如果高于高价则给出买入打印,如果低于低则给出卖出打印。在9.72 API中,此代码没有做任何事情,因为它没有正确连接数据类型。

    package apidemo;

    import java.io.IOException;
    import java.util.Set;
    import ib.client.TickType;
    import ib.client.CommissionReport;
    import ib.client.Contract;
    import ib.client.ContractDetails;
    import ib.client.DeltaNeutralContract;
    import ib.client.EClientSocket;
    import ib.client.EJavaSignal;
    import ib.client.EReader;
    import ib.client.EWrapper;
    import ib.client.Execution;
    import ib.client.Order;
    import ib.client.OrderState;
    import ib.client.SoftDollarTier;
    import ib.client.TagValue;
    import java.util.Vector;
    import com.ib.client.*;
    import com.ib.contracts.StkContract;
    import java.time.LocalDate;
    import java.time.format.DateTimeFormatter;
    import java.util.Set;

  public class xxx implements EWrapper {
    EJavaSignal m_signal = new EJavaSignal();
    EClientSocket m_s = new EClientSocket(this, m_signal);
    // Keep track of the next ID
    private int nextOrderID = 0;
    // The IB API Client Socket object
    private EClientSocket client = null;
  private double high = Double.MAX_VALUE;
    private double low = -Double.MAX_VALUE;
    public static void main(String[] args) {
        new xxx().run();

    }






    private void run() {
        m_s.eConnect("localhost", 7497, 0);

        final EReader reader = new EReader(m_s, m_signal);

        reader.start();

        new Thread() {
            public void run() {
                while (m_s.isConnected()) {
                    m_signal.waitForSignal();
                    try {
                        javax.swing.SwingUtilities
                                .invokeAndWait(new Runnable() {
                                    @Override
                                    public void run() {
                                        try {
                                            reader.processMsgs();
                                        } catch (IOException e) {
                                            error(e);
                                        }
                                    }
                                });
                    } catch (Exception e) {
                        error(e);
                    }
                }
            }
        }.start();
        Contract contract = new Contract ();
                 Order order = new Order();
                  m_s.reqMarketDataType(3);
                  //contract.m_localSymbol = "ESM7";

    }


    @Override public void nextValidId(int orderId) {
             System.out.println("id "+orderId);
        nextOrderID = orderId;
        Contract c = new Contract ();
          //contract.m_localSymbol = "ESM7";
        c.m_symbol = "EUR";
        c.m_exchange = "IDEALPRO";

        c.m_secType = "CASH";
        c.m_currency = "USD";
        m_s.reqHistoricalData(1, c, 
                LocalDate.now().format(DateTimeFormatter.BASIC_ISO_DATE)+ " 16:00:00",
                "2 D", "1 day", "MIDPOINT", 1, 1, null);
        m_s.reqMktData(1, c, "", false, null);

    }
   public void historicalData(int reqId, String date, double open, double high, double low, double close, int volume, int count, double WAP, boolean hasGaps) {
      System.out.println("date xxx"+date);
        this.high = high;
        this.low = low;
        System.out.println(high);
         System.out.println(low);
          System.out.println("xxx");
        }
 public void tickPrice(int orderId, int field, double price,
            int canAutoExecute)
    {
        System.out.println(high);
         System.out.println(low);
         System.out.println("idx: "+orderId + " " + TickType.getField(field) + " pricex: "+price);
       if (field == TickType.LAST.index()){
            if (price > high) {
                System.out.println("buy");
            }
            if (price < low){
                System.out.println("sell");
            }
        }   
    }
        @Override public void connectionClosed() {
        }


    }

This code currently has out put like the following:

此代码目前如下所示:

id 1836254
date xxx20170328
1.08727
1.079905
xxx
date xxx20170329
1.08267
1.073995
xxx
date xxxfinished-20170327  16:00:00-20170329  16:00:00
-1.0
-1.0
xxx
-1.0
-1.0
idx: 1 bidPrice pricex: 1.07658
-1.0
-1.0
idx: 1 askPrice pricex: 1.07659
-1.0
-1.0

Notice the high and low daily are showed for two sessions, that is truly amazing. But when trying to use those high and lows in tickprice it is not being remembered and returns -1.

请注意,每天的高低都显示两次,真是太棒了。但是当试图在tickprice中使用那些高点和低点时,它不会被记住并返回-1。

1 个解决方案

#1

I removed a bunch of stuff from your code and added the parts needed. After connecting wait for nextValidId to start requesting stuff. Get the history and set highs and lows. Get mktData and check the last price, buy/sell as needed.

我从你的代码中删除了一堆东西,并添加了所需的部分。连接后等待nextValidId开始请求东西。获取历史并设置高点和低点。获取mktData并检查最后价格,根据需要购买/出售。

import com.ib.client.*;
import com.ib.contracts.StkContract;
import java.time.LocalDate;
import java.time.format.DateTimeFormatter;
import java.util.Set;

public class Test implements EWrapper {
    EJavaSignal m_signal = new EJavaSignal();
    EClientSocket m_client = new EClientSocket(this, m_signal);

    private int nextOrderID = 0;
    private double high = Double.MAX_VALUE;
    private double low = -Double.MAX_VALUE;

    public static void main(String[] args) {
        new Test.run();
    }

    private void run() {
        m_client.eConnect("localhost", 7497, 123);
        final EReader reader = new EReader(m_client, m_signal);
        reader.start();
        new Thread() {
            @Override
            public void run() {
                while (m_client.isConnected()) {
                    m_signal.waitForSignal();
                    try {
                        reader.processMsgs();
                    } catch (Exception e) {
                        System.out.println("Exception: " + e.getMessage());
                    }
                }
            }
        }.start();
    }

    @Override
    public void nextValidId(int orderId) {
        System.out.println("id "+orderId);
        nextOrderID = orderId;
        Contract c = new StkContract("IBKR");
        m_client.reqHistoricalData(1, c, 
                LocalDate.now().format(DateTimeFormatter.BASIC_ISO_DATE)+ " 16:00:00",
                "2 D", "1 day", "TRADES", 1, 1, null);
        m_client.reqMktData(1, c, "", false, null);
    }

    @Override
    public void error(int id, int errorCode, String errorMsg) {
        System.out.println(id + " " + errorCode + " " + errorMsg);
    }

    @Override
    public void historicalData(int reqId, String date, double open, double high, double low, double close, int volume, int count, double WAP, boolean hasGaps) {
        //if being run on the next calendar day, this works
        if (LocalDate.now().minusDays(1).format(DateTimeFormatter.BASIC_ISO_DATE).equals(date)){
            this.high = high;
            this.low = low;
            System.out.println(date + " h: " + high + " l: " +low);
        }
    }

    @Override
        public void tickPrice(int tickerId, int field, double price, int canAutoExecute) {

        System.out.println("id: "+tickerId + " " + TickType.getField(field) + " price: "+price);
        if (field == TickType.LAST.index()){
            if (price > high) {
                System.out.println("buy");
            }
            if (price < low){
                System.out.println("sell");
            }
        }

    }
 //impl rest of EWrapper
}

output

id 130002
-1 2104 Market data farm connection is OK:usfuture
-1 2104 Market data farm connection is OK:cashfarm
-1 2104 Market data farm connection is OK:cafarm
-1 2104 Market data farm connection is OK:usfarm
-1 2106 HMDS data farm connection is OK:ushmds
date 20170328
date 20170329
date finished-20170327  16:00:00-20170329  16:00:00
id: 1 bidPrice price: 34.74
id: 1 askPrice price: 34.82
id: 1 lastPrice price: 34.73
buy
id: 1 high price: 34.87
id: 1 low price: 34.56