Requesting Market Data

Requesting market data first requires the definition of a contract object for which to return market data for.

The reqMarketDataType() function sets the market data type. The type can either be live, frozen, delayed, or delayed frozen. The differences between these types are described here.

The reqMktData() function returns data through the tickPrice() and tickSize() callback functions.

Comprehensive example code for C++, C#, Java, Python and Visual Basic can be found in the /samples directory of the downloaded TWS API file.

Python

from ibapi.client import *
from ibapi.wrapper import *
import time
import threading
from ibapi.ticktype import TickTypeEnum
# Default Ports:
# TWS Live Account: 7946
# TWS Paper Account: 7947
# IB Gateway Live Account: 4001
# IB Gateway Paper Account: 4002
port = 4002
class TestApp(EClient, EWrapper):
    def __init__(self):
        EClient.__init__(self, self)
    def nextValidId(self, orderId: OrderId):
        self.orderId = orderId
    def nextId(self):
        self.orderId += 1
        return self.orderId
    def error(self, reqId, errorTime, errorCode, errorString, advancedOrderReject=""):
        print(
            f"reqId: {reqId}, errorCode: {errorCode}, errorString: {errorString}, orderReject: {advancedOrderReject}"
        )
    def tickPrice(self, reqId, tickType, price, attrib):
        print(
            f"reqId: {reqId}, tickType: {TickTypeEnum.toStr(tickType)}, price: {price}, attrib: {attrib}"
        )
    def tickSize(self, reqId, tickType, size):
        print(f"reqId: {reqId}, tickType: {TickTypeEnum.toStr(tickType)}, size: {size}")
app = TestApp()
app.connect("127.0.0.1", port, 0)
threading.Thread(target=app.run).start()
time.sleep(1)
mycontract = Contract()
mycontract.symbol = "AAPL"
mycontract.secType = "STK"
mycontract.exchange = "SMART"
mycontract.currency = "USD"
app.reqMarketDataType(3)
app.reqMktData(app.nextId(), mycontract, "", False, False, [])