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Market Data

Histogram Data

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Introduction

Instead of returned data points as a function of time as with the function EClient.reqHistoricalData(), histograms return data as a function of price level with function EClient.reqHistogramData().

Request Histogram Data

EClient.reqHistogramData(requestId, contract, useRth, period)

Returns data histogram of specified contract.

requestId
int

id of the request

contract
object

Contract object that is subject of query.

useRth
bool

Data from regular trading hours (1), or all available hours (0).

period
string

String value of requested date range. This will be tied to the same bar size strings as the historical bar sizes

self.reqHistogramData(4004, contract, false, "3 days")

Receive Histogram Data

EWrapper.histogramData(requestId, data)

Returns relevant histogram data.

requestId
int

Request identifier used to track data.

data
object

Returned Tuple of histogram data, number of trades at specified price level.

def histogramData(self, reqId:int, items:HistogramDataList):
	print("HistogramData. reqid, items)

Cancel Histogram Data

EClient.cancelHistogramData()

An active histogram request which has not returned data can be cancelled with EClient.cancelHistogramData

tickerId
int

Request identifier used to track data.

self.reqHistogramData(4004)