Streaming TickData with IB

[naga-9]

This is a code for streaming tick data with IB. Need to generalize the formula, create a class using the same format as existing data functions.

import datetime
from ib_insync import *
import pandas as pd

# Start IB session running
ib = IB()
ib.connect('127.0.0.1', 4002, clientId=2)
#ib.connect('127.0.0.1', 7496, clientId=1)

# Create some Forex contracts:
contracts = [Forex(pair) for pair in ('EURUSD', 'USDJPY', 'GBPUSD', 'USDCHF', 'USDCAD', 'AUDUSD')]
ib.qualifyContracts(*contracts)

eurusd = contracts[0]

# Request streaming ticks for them:
for contract in contracts:
    ib.reqMktData(contract, '', False, False)

# Wait a few seconds for the tickers to get filled.
ticker = ib.ticker(eurusd)
ib.sleep(2)

print(ticker)

# The price of Forex ticks is always nan. To get a midpoint price use midpoint() or marketPrice().
# The tickers are kept live updated, try this a few times to see if the price changes:
print(ticker.marketPrice())

# The following cell will start a 30 second loop that prints a live updated ticker table. It is updated on every ticker change.
df = pd.DataFrame(
    index=[c.pair() for c in contracts],
    columns=['bidSize', 'bid', 'ask', 'askSize', 'high', 'low', 'close'])

def onPendingTickers(tickers):
    for t in tickers:
        df.loc[t.contract.pair()] = (
            t.bidSize, t.bid, t.ask, t.askSize, t.high, t.low, t.close)
    print(df)        

ib.pendingTickersEvent += onPendingTickers
ib.sleep(30)
ib.pendingTickersEvent -= onPendingTickers

[ClimberMel]

I'll look at the IB data and see if tick data can be based on what frequency you use in the calling statement. It would cut down on the number of methods.