Interactive Broker 的 API (IB_sync) 跳过来自 Polygon WebSocket Stream 的订单

Question

我只是尝试根据实时 Polygon.io 数据流中的特定条件自动化盈透证券中的一些交易（请参见下面的示例）。我已经看到了有关此主题的各种其他问题/答案，并尝试全部实施，但有时我的订单仍然会被跳过（特别是订单陷入“预提交”状态）。

我尝试过在不同的时间点进入睡眠状态（ib.sleep 和 time.sleep），但没有任何方法 100% 有效。如果我能了解如何让通过 API 提交的订单始终得到执行，我将不胜感激。

from polygon import WebSocketClient
from polygon.websocket.models import WebSocketMessage
from typing import List
import pandas as pd
import numpy as np
import datetime
import time
from ib_insync import IB, Stock, LimitOrder, Order
import asyncio
import nest_asyncio
nest_asyncio.apply()

t = 'AAPL'
client = WebSocketClient("xxx") # hardcoded api_key is used
client.subscribe("AM." + t)  # all aggregates

#Connect IBKR
ib = IB()
ib.connect('127.0.0.1', 7496, clientId=0) #Change for paper


async def handle_msg(msgs: List[WebSocketMessage]):
    for m in msgs:

        data = {'ticker': [m.symbol], 'close': [m.close], 'vwap': [m.vwap], 'start_timestamp': [m.start_timestamp], 'end_timestamp': [m.end_timestamp]}

        data['start_timestamp'] = pd.to_datetime(data['start_timestamp'], unit='ms')
        data['end_timestamp'] = pd.to_datetime(data['end_timestamp'], unit='ms')
        
        data['gtd_buy'] = data['end_timestamp'] + pd.Timedelta(seconds=58)
        
        data['gtd_buy'] = data['gtd_buy'].astype(str).str.replace('-', '')
        gtd = data['gtd_buy'][0]

        df = pd.DataFrame(data)
        buy = np.where(df.close < df.vwap, 1, 0)
        print(df.head(1), buy[0])
        
        pos = pd.DataFrame(ib.positions())
        
                
        #Buy
        if buy[0] == 1:
            
            if pos.shape[0] == 0:
                contract = Stock(t, 'SMART', 'USD')
                ib.qualifyContracts(contract)
                curr_dt = datetime.datetime.now()
                order = LimitOrder('BUY', totalQuantity = 1, lmtPrice = m.close, tif = 'GTD', goodTillDate = gtd, hidden=True)
                order.orderId = int(curr_dt.timestamp())
                print('Buy Triggered', order.orderId)
                trade = ib.placeOrder(contract, order)
                
        else:
            if pos.shape[0] > 0:

                    contract = Stock(t, 'SMART', 'USD')
                    ib.qualifyContracts(contract)
                    curr_dt = datetime.datetime.now()
                    order = LimitOrder('SELL', totalQuantity = 1, lmtPrice = m.close, tif = 'GTD', goodTillDate = gtd, hidden=True)
                    order.orderId = int(curr_dt.timestamp())
                    print('Sell Triggered', order.orderId)
                    trade = ib.placeOrder(contract, order)
                
                    
        await asyncio.sleep(30)

async def main():
    await asyncio.gather(client.connect(handle_msg))


if __name__ == "__main__": 
    asyncio.run(main())

Answer 1

对于异步函数，我相信您需要添加

timeout()

才能工作

# sample of timeout
async def timeout():
    await asyncio.sleep(1)
    print("unsubscribe_all")
    client.unsubscribe_all()
    await asyncio.sleep(1)
    print("close")
    await client.close()

async def main():
    await asyncio.gather(client.connect(handle_msg), timeout())

我已经阅读了 Polygon（link）中的文档，发现

WebSocketClient

异步函数略有不同。您可以在这里看到详细信息：https://github.com/polygon-io/client-python/blob/master/examples/websocket/async.py