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Support historical data bar updates #113

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merged 7 commits into from
Dec 18, 2023
Merged

Support historical data bar updates #113

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00e4238
Support historical data bar updates.
chipkent Oct 7, 2023
09b9e5f
Only log new bars that contain volume or bar count data
chipkent Oct 24, 2023
c7b73cb
Fixed when bars will be updated
chipkent Oct 24, 2023
bebe6f8
Updated bar processing to show only the latest bars to be consistent …
chipkent Oct 25, 2023
663f88d
readme update
chipkent Oct 25, 2023
d1b1fb1
Fixed a comment
chipkent Oct 25, 2023
9834413
Update README.md
chipkent Oct 25, 2023
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2 changes: 1 addition & 1 deletion README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -116,7 +116,7 @@ These tables include:
* `ticks_trade`: real-time tick market data of trade prices requested via `request_tick_data_historical` or `request_tick_data_realtime`.
* `ticks_bid_ask`: real-time tick market data of bid and ask prices requested via `request_tick_data_historical` or `request_tick_data_realtime`.
* `ticks_mid_point`: real-time tick market data of mid-point prices requested via `request_tick_data_historical` or `request_tick_data_realtime`.
* `bars_historical`: historical price bars requested via `request_bars_historical`.
* `bars_historical`: historical price bars requested via `request_bars_historical`. Real-time bars change as new data arrives.
* `bars_realtime`: real-time price bars requested via `request_bars_realtime`.
* Order Management System (OMS)
* `orders_submitted`: submitted orders **FOR THE THE CLIENT'S ID**. A client ID of 0 contains manually entered orders. Automatically populated.
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4 changes: 2 additions & 2 deletions src/deephaven_ib/__init__.py
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Expand Up @@ -407,7 +407,7 @@ class IbSessionTws:
* **ticks_trade**: real-time tick market data of trade prices requested via ``request_tick_data_historical`` or ``request_tick_data_realtime``.
* **ticks_bid_ask**: real-time tick market data of bid and ask prices requested via ``request_tick_data_historical`` or ``request_tick_data_realtime``.
* **ticks_mid_point**: real-time tick market data of mid-point prices requested via ``request_tick_data_historical`` or ``request_tick_data_realtime``.
* **bars_historical**: historical price bars requested via ``request_bars_historical``.
* **bars_historical**: historical price bars requested via ``request_bars_historical``. Real-time bars change as new data arrives.
* **bars_realtime**: real-time price bars requested via ``request_bars_realtime``.
####
Expand Down Expand Up @@ -638,7 +638,7 @@ def deephaven_ib_parse_note(note:str, key:str) -> Optional[str]:
"orders_status": tables_raw["raw_orders_status"] \
.last_by("PermId") \
.move_columns_up(["ReceiveTime", "PermId", "ClientId", "OrderId", "ParentId"]),
"bars_historical": annotate_ticks(tables_raw["raw_bars_historical"]),
"bars_historical": annotate_ticks(tables_raw["raw_bars_historical"]).last_by(["Request", "Timestamp", "ContractId"]),
"bars_realtime": annotate_ticks(tables_raw["raw_bars_realtime"]),
"ticks_efp": annotate_ticks(tables_raw["raw_ticks_efp"]),
"ticks_generic": annotate_ticks(tables_raw["raw_ticks_generic"]),
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4 changes: 4 additions & 0 deletions src/deephaven_ib/_tws/tws_client.py
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Expand Up @@ -915,6 +915,10 @@ def historicalDataEnd(self, reqId: int, start: str, end: str):
# do not ned to implement
EWrapper.historicalDataEnd(self, reqId, start, end)

def historicalDataUpdate(self, reqId: int, bar: BarData):
EWrapper.historicalDataUpdate(self, reqId, bar)
self._table_writers["bars_historical"].write_row([reqId, *logger_bar_data.vals(bar)])

####
# reqRealTimeBars
####
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