aetna java,IB Java API：提取多个合约的报价数据（实时条）

I'm doing some self-learning and experimentation with algorithmic trading and the IB API. I decided to use Java but I'm open to switching to C++. I went through an online tutorial that walks you through the code shown below but was wondering about extending it past just one stock. I want to go through all SP500 stocks and check ticker data to make decisions based on that.

The code below will create a contract for and get data for Microsoft but I'd like to get data for all 500 stocks. All of the other methods defined in the EWrapper interface were left out of the post for more ease of readability.

I'm thinking that I need to store the ticker symbols in a file, parse this, and add each contract one by one to a vector. However, I'm not sure about how to monitor the data after that. It would be nice if I could just sequentially loop through each ticker and make a request for data but I believe the stream is processed on an asynchronous thread (correct me if wrong.)

So how do I go through all 500 stocks and check their ticker data?

Code snippets and explanations would be appreciated. Thanks!

// Import Java utilities and Interactive Brokers API

import java.util.Vector;

import com.ib.client.Contract;

import com.ib.client.ContractDetails;

import com.ib.client.EClientSocket;

import com.ib.client.EWrapper;

import com.ib.client.Execution;

import com.ib.client.Order;

import com.ib.client.OrderState;

import com.ib.client.TagValue;

import com.ib.client.CommissionReport;

import com.ib.client.UnderComp;

// RealTimeBars Class is an implementation of the

// IB API EWrapper class

public class RealTimeBars implements EWrapper

{

// Keep track of the next ID

private int nextOrderID = 0;

// The IB API Client Socket object

private EClientSocket client = null;

public RealTimeBars ()

{

// Create a new EClientSocket object

client = new EClientSocket (this);

// Connect to the TWS or IB Gateway application

// Leave null for localhost

// Port Number (should match TWS/IB Gateway configuration

client.eConnect (null, 7496, 0);

// Pause here for connection to complete

try

{

// Thread.sleep (1000);

while (! (client.isConnected()));

} catch (Exception e) {

e.printStackTrace ();

};

// Create a new contract

Contract contract = new Contract ();

contract.m_symbol = "MSFT";

contract.m_exchange = "SMART";

contract.m_secType = "STK";

contract.m_primaryExch = "NASDAQ";

contract.m_currency = "USD";

// Create a TagValue list

Vector realTimeBarsOptions = new Vector();

// Make a call to start off data retrieval

client.reqRealTimeBars(0, contract,

5, // Bar Size 5 seconds

"TRADES", // whatToShow

false, // useRTH

realTimeBarsOptions);

// At this point our call is done and any market data events

// will be returned via the realtimeBar method

}

public static void main (String args[])

{

try

{

// Create an instance

// At this time a connection will be made

// and the request for market data will happen

RealTimeBars myData = new RealTimeBars();

}

catch (Exception e)

{

e.printStackTrace ();

}

}

}

解决方案

package sp;

import com.ib.client.Contract;

import com.ib.client.EClientSocket;

import com.ib.client.EWrapper;

import java.util.Arrays;

import java.util.List;

import java.util.concurrent.atomic.AtomicInteger;

public class SP {

//just a sample, like this so you can just use Files.lines instead.

private static List lines = Arrays.asList(new String[]{

"Symbol,Name,Sector",

"MMM,3M Company,Industrials",

"ABT,Abbott Laboratories,Health Care",

"ABBV,AbbVie,Health Care",

"ACN,Accenture plc,Information Technology",

"ATVI,Activision Blizzard,Information Technology",

"AYI,Acuity Brands Inc,Industrials",

"ADBE,Adobe Systems Inc,Information Technology",

"AAP,Advance Auto Parts,Consumer Discretionary",

"AES,AES Corp,Utilities",

"AET,Aetna Inc,Health Care",

"AMG,Affiliated Managers Group Inc,Financials",

"AFL,AFLAC Inc,Financials",

"A,Agilent Technologies Inc,Health Care",

"APD,Air Products & Chemicals Inc,Materials",

"AKAM,Akamai Technologies Inc,Information Technology",

});

public static void main(String[] args) throws InterruptedException{

EWrapper wrapper = new Wrapper();

EClientSocket socket = new EClientSocket(wrapper);

socket.eConnect("", 4001, 123);

//supposedly gives frozen last recorded value, not working!

socket.reqMarketDataType(2);

AtomicInteger tickerId = new AtomicInteger(0);

lines.stream().skip(1).forEach(line -> {

//new cont for every request

Contract cont = new Contract();

cont.m_currency = "usd";

cont.m_exchange = "smart";

cont.m_secType = "stk";

cont.m_symbol = line.split(",")[0];

Data data = new Data(cont, socket);

});

//need you own logic for when to end program

//Thread.sleep(5000);//this thread, Socket starts a reader thread

//socket.eDisconnect();

}

}

Wrapper

package sp;

import com.ib.client.CommissionReport;

import com.ib.client.Contract;

import com.ib.client.ContractDetails;

import com.ib.client.EWrapper;

import com.ib.client.Execution;

import com.ib.client.Order;

import com.ib.client.OrderState;

import com.ib.client.TickType;

import com.ib.client.UnderComp;

import java.util.HashMap;

import java.util.Map;

public class Wrapper implements EWrapper{

public Map dataMap = new HashMap<>();

public Map orderMap = new HashMap<>();

//reqMktData snapshots are received here

@Override

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

if (field == TickType.LAST) {

//if you just want the last price

dataMap.get(tickerId).dataRecd(price);

}

}

@Override

public void execDetails(int reqId, Contract contract, Execution execution) {

orderMap.get(execution.m_orderId).exec(execution);

}

//snip

}

Data

package sp;

import com.ib.client.Contract;

import com.ib.client.EClientSocket;

import java.util.ArrayList;

import java.util.List;

import java.util.Timer;

import java.util.TimerTask;

public class Data {

final Contract cont;

private final EClientSocket socket;

private final Strat strat;

private static int nextId = 1; //auto increment for each request

private final int myId;

List prices = new ArrayList<>();

double lastPrice = -1;

public Data(Contract cont, EClientSocket socket) {

this.cont = cont;

this.socket = socket;

strat = new Strat(this, socket);

myId = nextId++;

((Wrapper) socket.wrapper()).dataMap.put(myId, this);

reqData();

// //call every 10 min

// Timer timer = new Timer();

// timer.schedule(new TimerTask() {

// @Override

// public void run() {

// reqData();

// }

// }, 10 * 60 * 1000);

}

private void reqData(){

socket.reqMktData(myId, cont, "", false /* true */, null);

}

public void dataRecd(double last){

lastPrice = last;

prices.add(last);

strat.check();

}

}

Strat

package sp;

import com.ib.client.EClientSocket;

import com.ib.client.Execution;

public class Strat {

public static final int NULL=0, LOOK=1<<0, LONG=1<<1, SHORT=1<<2, WAIT_FILL=1<<3, WAIT_CANCEL=1<<4;

public int sysState = NULL;

private final Data data;

private final EClientSocket socket;

private static int nextOrderId = 1;

Strat(Data data, EClientSocket socket) {

this.data = data;

this.socket = socket;

sysState = LOOK;

}

void check() {

System.out.println("should I buy? "+ data.cont.m_symbol + " @ " + data.lastPrice);

/*if (false && sysState & LOOK == LOOK) {

((Wrapper) socket.wrapper()).orderMap.put(nextOrderId, this);

socket.placeOrder(nextOrderId++, data.cont, new Order());

sysState = WAIT_FILL;

nextOrderId++;

}*/

}

public void exec(Execution exec){

//will be called by wrapper after an exec.

//sysState = LONG; //or whatever

}

}