Interactive Brokers Python Multiple Symbol Request

I was able to piece together a script from IB's documentation/examples and forums on this site. I am getting the output I want for a single symbol, however, if I use a list of sto

Solution 1:

You just need to maintain a dict of reqId and symbol.

I'm not sure that one DataFrame is the best way to store your data but if you do then set a multi index. Decide how much data you want and how you're going to store it on disk and then decide on a data structure. I suggest csv for speed or sqlite for simplicity. Pandas can handle either.

I deleted your comments and added some of my own.

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
import pandas as pd
import threading
import time
from datetime import timedelta
import datetime

# I added this code to get fake data, works wtihout tws running
from ibapi.common import BarData
from random import random
start = datetime.datetime.utcnow()
def fake_data(reqId, ib):
    last = reqId*10
    for i in range(60, 0, -10):
        bar = BarData();
        bar.date = start - timedelta(minutes=i)
        last += random() - 0.5
        bar.close = last
        bar.volume = reqId * 1000
        ib.historicalData(reqId, bar)
    ib.historicalDataEnd(reqId,"","")
    
class IBapi(EWrapper, EClient):
    def __init__(self):
        EClient.__init__(self, self)
        self.data = [] 

    #always include this for important messages, also turn on api logging in TWS/IBG    
    def error(self, reqId, errorCode, errorString):
        print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

    def historicalData(self, reqId, bar):
        self.data.append([bar.date, bar.close, bar.volume, sym_dict[reqId]])
     
    # include this callback to track progress and maybe disconnectwhen all are finished
    def historicalDataEnd(self, reqId: int, start: str, end: str):
        print("finished", sym_dict[reqId])
        
def run_loop():
    app.run()

app = IBapi()
app.connect('127.0.0.1', 7496, 123)

# threading is needed only if you plan to interact after run is called
# this is a good way if you use a ui like jupyter
api_thread = threading.Thread(target=run_loop, daemon=True)
api_thread.start()

# you should wait for nextValidId instead of sleeping, what if it takes more than 1 second?
time.sleep(1)

symbols = ['SPY','MSFT','GOOG','AAPL','QQQ','IWM','TSLA']

reqId = 1
sym_dict = {}
for sym in symbols:
    contract = Contract()
    contract.symbol = str(sym) 
    sym_dict[reqId] = sym
    contract.secType = "STK"
    contract.exchange = "SMART"
    contract.currency = "USD"
    #contract.primaryExchange = "ISLAND" # you may need this for msft
    #app.reqHistoricalData(reqId, contract, "", "1 D", "10 mins", "ADJUSTED_LAST", 1, 2, False, [])
    fake_data(reqId, app)
    reqId += 1
    #now you need to sleep(10) to make sure you don't get a pacing error for too many requests
    
# don't sleep, use historicalDataEnd to know when finished
time.sleep(5)

df = pd.DataFrame(app.data, columns=['DateTime', 'ADJUSTED_LAST','Volume','sym'])
df['DateTime'] = pd.to_datetime(df['DateTime'],unit='s')

#make an index and sort
df = df.set_index(['sym','DateTime']).sort_index()
# now you can use the indexes
print(df.loc[("SPY","2021")])

#don't forget to disconnect somewhere or the clientId will still be in use