interactive_brokers_price_handler.py 文件源码

def __init__(self):
        """Initialize parameters of the Interactive Brokers price handler
        object.
        """
        super(InteractiveBrokersPriceHandler, self).__init__()
        self.conn = ibConnection(
            clientId=IB.data_handler_id.value, port=IB.port.value
        )
        self.conn.register(self.__tick_price_handler, message.tickPrice)
        if not self.conn.connect():
            raise ValueError(
                "Odin was unable to connect to the Trader Workstation."
            )

        # Set the target field to download data from.
        today = dt.datetime.today()
        open_t, close_t = dt.time(9, 30), dt.time(16)
        cur_t = today.time()
        # If today is a weekday and the timing is correct, then we use the most
        # recently observed price. Otherwise we use the close price.
        if today.weekday() < 5 and cur_t >= open_t and cur_t <= close_t:
            self.field = TickType.LAST
        else:
            self.field = TickType.CLOSE

        # Initialize a pandas panel to store the price data.
        self.bar = pd.Panel(items=[PriceFields.current_price.value])