pikers
/
piker
3
0
Fork 0
Code Issues 4 Pull Requests 6 Packages Projects Releases Wiki Activity

Add 1m ohlc sample rate support to `Client.bars()`; frame query is 1 day

clears_table_events
Tyler Goodlet 2022-09-15 11:42:08 -04:00
parent 5144299f4f
commit 1adf5fb9c0
1 changed files with 31 additions and 39 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

70
piker/brokers/ib/api.py
View File

@ -78,26 +78,11 @@ _time_units = {
'h': ' hours',
}
_time_frames = {
'1s': '1 Sec',
'5s': '5 Sec',
'30s': '30 Sec',
'1m': 'OneMinute',
'2m': 'TwoMinutes',
'3m': 'ThreeMinutes',
'4m': 'FourMinutes',
'5m': 'FiveMinutes',
'10m': 'TenMinutes',
'15m': 'FifteenMinutes',
'20m': 'TwentyMinutes',
'30m': 'HalfHour',
'1h': 'OneHour',
'2h': 'TwoHours',
'4h': 'FourHours',
'D': 'OneDay',
'W': 'OneWeek',
'M': 'OneMonth',
'Y': 'OneYear',
_bar_sizes = {
1: '1 Sec',
60: '1 min',
60*60: '1 hour',
24*60*60: '1 day',
}
_show_wap_in_history: bool = False
@ -338,19 +323,36 @@ class Client:
start_dt: Union[datetime, str] = "1970-01-01T00:00:00.000000-05:00",
end_dt: Union[datetime, str] = "",
sample_period_s: str = 1, # ohlc sample period
period_count: int = int(2e3), # <- max per 1s sample query
# ohlc sample period in seconds
sample_period_s: int = 1,
) -> list[dict[str, Any]]:
'''
Retreive OHLCV bars for a fqsn over a range to the present.
'''
# See API docs here:
# https://interactivebrokers.github.io/tws-api/historical_data.html
bars_kwargs = {'whatToShow': 'TRADES'}
# NOTE: pacing violations exist for higher sample rates:
# https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations
# Also see note on duration limits being lifted on 1m+ periods,
# but they say "use with discretion":
# https://interactivebrokers.github.io/tws-api/historical_limitations.html#non-available_hd
bar_size, duration = {
1: ('1 secs', f'{int(2e3)} S'),
# TODO: benchmark >1 D duration on query to see if
# throughput can be made faster during backfilling.
60: ('1 min', '1 D'),
}[sample_period_s]
global _enters
# log.info(f'REQUESTING BARS {_enters} @ end={end_dt}')
print(f'REQUESTING BARS {_enters} @ end={end_dt}')
print(
f"REQUESTING {duration}'s worth {bar_size} BARS\n"
f'{_enters} @ end={end_dt}"'
)
if not end_dt:
end_dt = ''
@ -360,30 +362,20 @@ class Client:
contract = (await self.find_contracts(fqsn))[0]
bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
# _min = min(2000*100, count)
bars = await self.ib.reqHistoricalDataAsync(
contract,
endDateTime=end_dt,
formatDate=2,
# time history length values format:
# ``durationStr=integer{SPACE}unit (S|D|W|M|Y)``
# OHLC sampling values:
# 1 secs, 5 secs, 10 secs, 15 secs, 30 secs, 1 min, 2 mins,
# 3 mins, 5 mins, 10 mins, 15 mins, 20 mins, 30 mins,
# 1 hour, 2 hours, 3 hours, 4 hours, 8 hours, 1 day, 1W, 1M
# barSizeSetting='1 secs',
barSizeSetting=bar_size,
# durationStr='{count} S'.format(count=15000 * 5),
# durationStr='{count} D'.format(count=1),
# barSizeSetting='5 secs',
durationStr='{count} S'.format(count=period_count),
# barSizeSetting='5 secs',
barSizeSetting='1 secs',
# barSizeSetting='1 min',
# time history length values format:
# ``durationStr=integer{SPACE}unit (S|D|W|M|Y)``
durationStr=duration,
# always use extended hours
useRTH=False,
@ -394,8 +386,8 @@ class Client:
# whatToShow='TRADES',
)
if not bars:
# TODO: raise underlying error here
raise ValueError(f"No bars retreived for {fqsn}?")
# trigger ``NoData`` raise by ``get_bars()`` caller.
return None
nparr = bars_to_np(bars)
return bars, nparr