[Mod] add query_hsitory for IbGateway

examples/vn_trader/run.py

@@ -7,11 +7,11 @@ from vnpy.trader.ui import MainWindow, create_qapp
 # from vnpy.gateway.binance import BinanceGateway
 # from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
-# from vnpy.gateway.ib import IbGateway
+from vnpy.gateway.ib import IbGateway
 # from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.femas import FemasGateway
-from vnpy.gateway.tiger import TigerGateway
+# from vnpy.gateway.tiger import TigerGateway
 # from vnpy.gateway.oes import OesGateway
 # from vnpy.gateway.okex import OkexGateway
 # from vnpy.gateway.huobi import HuobiGateway
@@ -19,15 +19,15 @@ from vnpy.gateway.tiger import TigerGateway
 # from vnpy.gateway.onetoken import OnetokenGateway
 # from vnpy.gateway.okexf import OkexfGateway
 # from vnpy.gateway.xtp import XtpGateway
-from vnpy.gateway.hbdm import HbdmGateway
+# from vnpy.gateway.hbdm import HbdmGateway
 # from vnpy.gateway.tap import TapGateway
-from vnpy.gateway.tora import ToraGateway
-from vnpy.gateway.alpaca import AlpacaGateway
+# from vnpy.gateway.tora import ToraGateway
+# from vnpy.gateway.alpaca import AlpacaGateway
 
-# from vnpy.app.cta_strategy import CtaStrategyApp
+from vnpy.app.cta_strategy import CtaStrategyApp
 # from vnpy.app.csv_loader import CsvLoaderApp
 # from vnpy.app.algo_trading import AlgoTradingApp
-# from vnpy.app.cta_backtester import CtaBacktesterApp
+from vnpy.app.cta_backtester import CtaBacktesterApp
 # from vnpy.app.data_recorder import DataRecorderApp
 # from vnpy.app.risk_manager import RiskManagerApp
 
@@ -44,7 +44,7 @@ def main():
     # main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(FemasGateway)
-    # main_engine.add_gateway(IbGateway)
+    main_engine.add_gateway(IbGateway)
     # main_engine.add_gateway(FutuGateway)
     # main_engine.add_gateway(BitmexGateway)
     # main_engine.add_gateway(TigerGateway)
@@ -57,11 +57,11 @@ def main():
     # main_engine.add_gateway(HbdmGateway)
     # main_engine.add_gateway(XtpGateway)
     # main_engine.add_gateway(TapGateway)
-    main_engine.add_gateway(ToraGateway)
-    main_engine.add_gateway(AlpacaGateway)
+    # main_engine.add_gateway(ToraGateway)
+    # main_engine.add_gateway(AlpacaGateway)
 
-    # main_engine.add_app(CtaStrategyApp)
-    # main_engine.add_app(CtaBacktesterApp)
+    main_engine.add_app(CtaStrategyApp)
+    main_engine.add_app(CtaBacktesterApp)
     # main_engine.add_app(CsvLoaderApp)
     # main_engine.add_app(AlgoTradingApp)
     # main_engine.add_app(DataRecorderApp)

vnpy/gateway/ib/ib_gateway.py

@@ -4,7 +4,7 @@ Please install ibapi from Interactive Brokers github page.
 from copy import copy
 from datetime import datetime
 from queue import Empty
-from threading import Thread
+from threading import Thread, Condition
 
 from ibapi import comm
 from ibapi.client import EClient
@@ -16,6 +16,7 @@ from ibapi.order_state import OrderState
 from ibapi.ticktype import TickType
 from ibapi.wrapper import EWrapper
 from ibapi.errors import BAD_LENGTH
+from ibapi.common import BarData as IbBarData
 
 from vnpy.trader.gateway import BaseGateway
 from vnpy.trader.object import (
@@ -25,9 +26,11 @@ from vnpy.trader.object import (
     PositionData,
     AccountData,
     ContractData,
+    BarData,
     OrderRequest,
     CancelRequest,
-    SubscribeRequest
+    SubscribeRequest,
+    HistoryRequest
 )
 from vnpy.trader.constant import (
     Product,
@@ -37,6 +40,7 @@ from vnpy.trader.constant import (
     Currency,
     Status,
     OptionType,
+    Interval
 )
 
 ORDERTYPE_VT2IB = {OrderType.LIMIT: "LMT", OrderType.MARKET: "MKT"}
@@ -106,6 +110,12 @@ ACCOUNTFIELD_IB2VT = {
     "MaintMarginReq": "margin",
 }
 
+INTERVAL_VT2IB = {
+    Interval.MINUTE: "1 min",
+    Interval.HOUR: "1 hour",
+    Interval.DAILY: "1 day",
+}
+
 
 class IbGateway(BaseGateway):
     """"""
@@ -170,6 +180,10 @@ class IbGateway(BaseGateway):
         """
         pass
 
+    def query_history(self, req: HistoryRequest):
+        """"""
+        return self.api.query_history(req)
+
 
 class IbApi(EWrapper):
     """"""
@@ -193,6 +207,10 @@ class IbApi(EWrapper):
 
         self.tick_exchange = {}
 
+        self.history_req = None
+        self.history_condition = Condition()
+        self.history_buf = []
+
         self.client = IbClient(self)
         self.thread = Thread(target=self.client.run)
 
@@ -465,6 +483,7 @@ class IbApi(EWrapper):
             size=ib_size,
             pricetick=contractDetails.minTick,
             net_position=True,
+            history_data=True,
             gateway_name=self.gateway_name,
         )
 
@@ -504,6 +523,35 @@ class IbApi(EWrapper):
         for account_code in accountsList.split(","):
             self.client.reqAccountUpdates(True, account_code)
 
+    def historicalData(self, reqId: int, ib_bar: IbBarData):
+        """
+        Callback of history data update.
+        """
+        dt = datetime.strptime(ib_bar.date, "%Y%m%d %H:%M:%S")
+
+        bar = BarData(
+            symbol=self.history_req.symbol,
+            exchange=self.history_req.exchange,
+            datetime=dt,
+            interval=self.history_req.interval,
+            volume=ib_bar.volume,
+            open_price=ib_bar.open,
+            high_price=ib_bar.high,
+            low_price=ib_bar.low,
+            close_price=ib_bar.close,
+            gateway_name=self.gateway_name
+        )
+
+        self.history_buf.append(bar)
+
+    def historicalDataEnd(self, reqId: int, start: str, end: str):
+        """
+        Callback of history data finished.
+        """
+        self.history_condition.acquire()
+        self.history_condition.notify()
+        self.history_condition.release()
+
     def connect(self, host: str, port: int, clientid: int):
         """
         Connect to TWS.
@@ -604,6 +652,56 @@ class IbApi(EWrapper):
 
         self.client.cancelOrder(int(req.orderid))
 
+    def query_history(self, req: HistoryRequest):
+        """"""
+        self.history_req = req
+
+        self.reqid += 1
+
+        ib_contract = Contract()
+        ib_contract.conId = str(req.symbol)
+        ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
+
+        if req.end:
+            end = req.end
+            end_str = end.strftime("%Y%m%d %H:%M:%S")
+        else:
+            end = datetime.now()
+            end_str = ""
+
+        delta = end - req.start
+        days = min(delta.days, 180)     # IB only provides 6-month data
+        duration = f"{days} D"
+        bar_size = INTERVAL_VT2IB[req.interval]
+
+        if req.exchange == Exchange.IDEALPRO:
+            bar_type = "MIDPOINT"
+        else:
+            bar_type = "TRADES"
+
+        self.client.reqHistoricalData(
+            self.reqid,
+            ib_contract,
+            end_str,
+            duration,
+            bar_size,
+            bar_type,
+            1,
+            1,
+            False,
+            []
+        )
+
+        self.history_condition.acquire()    # Wait for async data return
+        self.history_condition.wait()
+        self.history_condition.release()
+
+        history = self.history_buf
+        self.history_buf = []       # Create new buffer list
+        self.history_req = None
+
+        return history
+
 
 class IbClient(EClient):
     """"""