ws_03_market_history.py

"""
WebSocket Market Data History

In this example we:

* Create a custom SubscriptionProcessor that overrides the default make_unsubscribe_payload method to use the server id instead of the conid
* Use a custom unsubscribe method to iterate over all server ids for market history and attempt to unsubscribe
* Demonstrate using the Market Data History channel
* Use the 'signal' module to ensure we unsubscribe and shutdown upon the program termination

Assumes the Gateway is deployed at 'localhost:5000' and the IBIND_ACCOUNT_ID and IBIND_CACERT environment variables have been set.
"""

import os
import signal
import time

from ibind import IbkrSubscriptionProcessor, IbkrWsKey, IbkrClient, IbkrWsClient, ibind_logs_initialize

ibind_logs_initialize(log_to_file=False)

cacert = os.getenv('IBIND_CACERT', False)  # insert your cacert path here

ws_client = IbkrWsClient(cacert=cacert)


# override the default subscription processor since we need to use the server id instead of conid
class MhSubscriptionProcessor(IbkrSubscriptionProcessor):  # pragma: no cover
    def make_unsubscribe_payload(self, channel: str, server_id: dict = None) -> str:
        return f'umh+{server_id}'


subscription_processor = MhSubscriptionProcessor()


def unsubscribe():
    # loop all server ids for market history and attempt to unsubscribe
    for server_id, conid in ws_client.server_ids(IbkrWsKey.MARKET_HISTORY).items():
        channel = 'mh'
        needs_confirmation = False

        if conid != None:  # if we know the conid let's try to confirm the unsubscription
            channel += f'+{conid}'
            needs_confirmation = True

        confirmed = ws_client.unsubscribe(channel, server_id, needs_confirmation, subscription_processor)

        print(f'Unsubscribing channel {channel!r} from server {server_id!r}: {"unconfirmed" if confirmed == False else "confirmed"}.')


request = {
    'channel': 'mh+265598',
    'data': {"period": '1min', 'bar': '1min', 'outsideRTH': True, 'source': 'trades', "format": "%o/%c/%h/%l"}
}

ws_client.start()

qa = ws_client.new_queue_accessor(IbkrWsKey.MARKET_HISTORY)


def stop(_, _1):
    unsubscribe()
    ws_client.shutdown()


signal.signal(signal.SIGINT, stop)
signal.signal(signal.SIGTERM, stop)

while not ws_client.subscribe(**request):
    time.sleep(1)

while ws_client.running:
    try:
        while not qa.empty():
            print(str(qa), qa.get())

        time.sleep(1)
    except KeyboardInterrupt:
        print('KeyboardInterrupt')
        break

ws_client.shutdown()