python爬股票历史价格_IB+python实现程序化交易(2)：读取股票历史价格

#!/usr/bin/env python

# -*- coding: utf-8 -*-

# requests historical data from TWS and can save to a CSV file

# bar length is set to 15 minute bars

# legal bar lengths: 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, 1 week, 1 month

# the data duration is set to 1 year (28800 seconds)

# can read/write a CSV OHLC file

# if the file exists, the first file date/time

becomes the inital request

# so earlier historical data is requested and

put at the front of the file

# uses Eastern Standard Time for data requests and writing

date/time to CSV

from ib.ext.Contract

import Contract

from ib.opt import ibConnection, message

import os.path, time

from collections import OrderedDict

def

contract(contractTuple):

newContract = Contract()

newContract.m_symbol =

contractTuple[0]

newContract.m_secType =

contractTuple[1]

newContract.m_exchange =

contractTuple[2]

newContract.m_currency =

contractTuple[3]

newContract.m_expiry =

contractTuple[4]

newContract.m_strike =

contractTuple[5]

newContract.m_right =

contractTuple[6]

print

'Contract Parameters: [%s,%s,%s,%s,%s,%s,%s]' % contractTuple

return newContract

def cleanMerge(seq1,seq2):

seen = set(seq1)

if seq1[0].split(',')[3:6]==[0,0,0]:

seen={x[0:10]

for x in seen}

seq1.extend([ x for x in seq2 if x[0:10]

not in seen])

else:

seq1.extend([ x for x in seq2 if x not in

seen])

return seq1

def SMA200(seq):

sum=0

for i in range(1,201):

sum+=float(seq[-i])

return sum/200

def SMA50(seq):

sum=0

for i in range(1,51):

sum+=float(seq[-i])

return sum/50

# convert UTC to New York EST timezone

def ESTtime(msg):

return time.gmtime(int(msg.date) -

(5 -

time.daylight)*3600)

def strDatetime(dt):

return dt[0:4]+','+dt[4:6]+','+dt[6:8]+','+dt[10:12]+','+dt[13:15]+','+dt[16:18]

def printData(msg):

if int(msg.high) > 0:

dataStr = '%s,%s,%s,%s,%s,%s' %

(strDatetime(msg.date),

msg.open,

msg.high,

msg.low,

msg.close,

msg.volume)

#print dataStr

if

printData.write2file:

printData.newRowData.append(dataStr+'\n')

else: printData.finished = True

def watchAll(msg):

print msg

def getIbHistData(sym,

sec='STK', exch='SMART', barLength='1 day', duration='1 Y'):

con = ibConnection()

con.registerAll(watchAll)

con.unregister(watchAll,

message.historicalData)

con.register(printData,

message.historicalData)

con.connect()

time.sleep(1)

contractTuple = (sym, sec,

exch, 'USD', '', 0.0, '')

endSecs =

time.time()-(5-time.daylight)*60*60 # to NY EST via gmtime

NYtime =

time.gmtime(endSecs)

# combined dateStr+timeStr format is

'YYYYMMDD hh:mm:ss TMZ'

dateStr =

time.strftime('%Y%m%d',

NYtime)

timeStr =

time.strftime(' %H:%M:%S EST',

NYtime)

# write2file=True to write data to:

fileName in the default directory

printData.write2file =

True

if printData.write2file:

directory="HistData"

if

not

os.path.exists(directory):os.makedirs(directory)

barLengthStr = barLength.replace(" ","_") # add the

bar length to the file name

fileName = directory+'/'+contractTuple[0]+'_'+contractTuple[1]+'_'+dateStr+'_'+barLengthStr+'.csv'

if

os.path.isfile(fileName): # found a

previous version

file =

open(fileName, 'r')

oldRowData

= file.readlines()

file.close()

prevRec=len(oldRowData)

if prevRec > 1:

#

get the new end date and time from the last data line of the

file

lastRow =

oldRowData[-1]

lastRowData=lastRow.split(",")

endtimeStr = ' %s:%s:%s EST' % (lastRowData[3],lastRowData[4],lastRowData[5])

if endtimeStr.find('::') :

if

barLength=='1 day':

duration=str((int(dateStr[0:4])-int(lastRow[0:4]))*366+(int(dateStr[4:6])-int(lastRow[5:7]))*31+int(dateStr[6:8])-int(lastRow[8:10]))+'

D'

print duration

else:

print "barlength too short"

#barlength is in mins and previous data has time

elif barLength.find('min')>0:

duration=str((int(dateStr[6:8])-int(lastRow[8:10]))*24*60+(int(timeStr[1:3])-int(lastRow[11:13]))*60+int(timeStr[4:6])-int(lastRow[14:16]))+'

D'

else:

print "other unit of time need more

work"

else:

oldRowData

= [] # and use default end

date

prevRec=0

oldRowData.append('Year,Month,Day,Hour,Minute,Second,Open,High,Low,Close,Volume\n')

printData.newRowData = []

printData.finished = False # true when historical data is

done

print

'End Date/Time String: [%s]' %

(dateStr+timeStr)

con.reqHistoricalData(0,

contract(contractTuple),

dateStr+timeStr, #

last requested bar date/time

duration, # quote duration, units: S,D,W,M,Y

barLength, # bar length

'TRADES', # what to show

0,

1 )

countSecs = 0

while not printData.finished and countSecs < 20: # wait up

to 20 seconds

time.sleep(1)

countSecs += 1

con.disconnect()

print

'CSV format:

year,month,day,hour,minute,second,open,high,low,close,volume'

if printData.write2file:

Data=cleanMerge(oldRowData,printData.newRowData)

file = open(fileName, 'w')

file.writelines(Data)

file.close()

print

len(Data)-prevRec,' of CSV data

appended to file: ', fileName

prices=[rec.split(",")[9]

for rec in Data]

return [SMA200(prices),SMA50(prices)]

if __name__ == "__main__":

#getIbHistData('COMP',sec='IND', exch='NASDAQ', duration='1 Y')

getIbHistData('TSLA',duration='1 Y')