An alternative to reqRealTimeBars or reqHistoricalData + keepUpToDate

[gnzsnz]

This code snipet shows a handy alternative to to reqRealTimeBars and reqHistoricalData + keepUpToDate. It leverages eventkit and the Ticker class to generate databars

import asyncio

import eventkit as ev
import ib_async

# optional for notebooks
ib_async.util.startLoop()

# Process bars function - simply print the bar
async def process_bars(bar_iterator):
    async for bar in bar_iterator:
        # put your logic here
        print(bar)

# Initialize IB, Contract & Ticker
ib = ib_async.IB()
ib.connect(port=7497, clientId=100)

# we will use SPY live data
contract = ib_async.Stock(symbol="SPY", exchange="SMART", currency="USD")
ib.qualifyContracts(contract)

# request a ticker
ticker = ib.reqMktData(contract, "", False, False)

# just in case wait for the ticker to be ready
ib.sleep(2)

# Start bar streaming every 60 seconds
bar_stream = ticker.updateEvent.trades().timebars(ev.Timer(60))

# Iter ticker
# await process_bars(bar_stream.aiter())
bars_task = asyncio.create_task(process_bars(bar_stream.aiter()))

Output

This example generates bars every 1 minutes (60 seconds), which simplifies a quick demo, feel free to use a time frame that suits your trading.

[geepeem]

Thanks for this snippet gonzo, I like the way you have set this up using Tickers objects. Would this require your whole codebase to use async methods??
What is your opinion on using this as a heartbeat / monitor for running a live bot? I currently use reqRealtimeBars to get the 5sec updates and it seems solid (never seen a missed bar).
How would you modify your snippet if you wanted to consolidate the granular data (say 5sec bars) into say 5-min bars that can be used to generate various TA indicator values? Just create multiple streams for each timeframe and add each Bar to a List?
Cheers!

[gnzsnz]

Thanks for this snippet gonzo, I like the way you have set this up using Tickers objects. Would this require your whole codebase to use async methods??

No, only use async when needed.

https://stackoverflow.com/questions/33357233/when-to-use-and-when-not-to-use-python-3-5-await

What is your opinion on using this as a heartbeat / monitor for running a live bot? I currently use reqRealtimeBars to get the 5sec updates and it seems solid (never seen a missed bar).

If it gets the job done, and you are comfortable with it, then I would say keep using it. This is just one way of getting data bars in real-time, there are more options available. What you are doing is perfectly fine.

How would you modify your snippet if you wanted to consolidate the granular data (say 5sec bars) into say 5-min bars that can be used to generate various TA indicator values? Just create multiple streams for each timeframe and add each Bar to a List?

Just create one iterator for each frequency, and then use latest values of each one to build your indicator.

Cheers!

🍺🍺