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Hi all That said I am having real difficulty with the callback functionality. I understand the asych concept and the posting of a series of requests to IB, it's the RESPONSE mechanism I am having trouble with. I just don't get it. |
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Replies: 2 comments 6 replies
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It's useful to remember that in an asynchronous setting, a program is not executed sequentially, i.e. in a linear fashion, but functions invocation is driven by external events, in this case response arrivals. In the case of An issue that arises in this context is how to pass data around different parts of a program, since it's not possible to use the usual function arguments nor their return values. Different solutions are available, like:
Here's an example using closures that stores an up-to-date snapshot of ticker prices in As the response handling is done in a separate using Jib
symbols = ["AAPL", "TSLA", "AMD", "INTC"]
# Data structure shared among the main program and the callbacks
mdata = Dict(tkr => Dict{String,Any}() for tkr in symbols)
wrap = Jib.Wrapper(
# These events are always sent
error= (id, errorCode, errorString, advancedOrderRejectJson) -> println("Error: $(something(id, "NA")) $errorCode $errorString $advancedOrderRejectJson"),
nextValidId= (orderId) -> println("Next OrderId: $orderId"),
managedAccounts= (accountsList) -> println("Managed Accounts: $accountsList"),
# Market Data specific events
tickPrice= function(tickerId, field, price, size, attrib)
mdata[symbols[tickerId]][field] = price
end,
tickSize= function(tickerId, field, size)
mdata[symbols[tickerId]][field] = size
end,
tickGeneric= function(tickerId, tickType, value)
mdata[symbols[tickerId]][tickType] = value
end,
tickString= function(tickerId, tickType, value)
mdata[symbols[tickerId]][tickType] = value
end,
marketDataType= function(reqId, marketDataType)
# Do nothing
end,
tickReqParams= function(tickerId, minTick, bboExchange, snapshotPermissions)
# Do nothing
end
)
ib = Jib.connect(4002, 1)
Jib.start_reader(ib, wrap)
for (idx, s) in enumerate(symbols)
contract = Jib.Contract(symbol=s, secType="STK", exchange="SMART", currency="USD")
Jib.reqMktData(ib, idx, contract, "", false)
end
# From this point on, mdata is kept up to date under the hood by the reader task
# It can be accessed and passed around
mdata
# or just AAPL bid
mdata["AAPL"]["BID"] |
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THANKS!!!! I'm going to "try" to work through this WONDERFUL example using vscode but right now it's not going too well. I think what's messing me up is trying to dump my old ideas about asynch. My old model was |
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A question about approach. Why Dict and not dataframe? this has REALLY helped me a lot with my julia adventure. Thanks for doing such a great job. |
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No reason. Just to show a quick example. |
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thank you. It's just that I am coming from python and have stayed away from Dict preferring dataframes. I'm just a little concerned about the frequency of the data and the performance. I'm having a blast running through your approach and learning a lot. thanks so much |
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sorry to keep bugging you with this but it's important I get this right. In your experience is a Dict a better datastructure than a dataframe to handle the data flow from IB? My concern is what happens when I add 200 symbols to my list. I'm trying not to be a pain but this is something I have no experience with. Normally ( in Python) I would just shove it all into an array or maybe send it out using apache. I've no experience with julia. ALSO what development environment do you use please? I have tried vscode and it's really not my cup of tea. |
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I use DataFrames as well, depending on the circumstances. They are both performant in Julia. I use just a text editor and the REPL. Here are some Workflow Tips and the highly recommended packages Revise.jl and Debugger.jl. |
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thank you SO much. I am glad to hear I can move off vscode and back to the REPL and a text editor. Thank you for the links I'll certainly take the time to go through them. |
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It's useful to remember that in an asynchronous setting, a program is not executed sequentially, i.e. in a linear fashion, but functions invocation is driven by external events, in this case response arrivals.
In the case of
reqMktData(), whatever needs to be done to handle the market data goes into the body of the functionstickPrice(),tickSize()and the like, of which the user has total control.An issue that arises in this context is how to pass data around different parts of a program, since it's no 8000 t possible to use the usual function arguments nor their return values. Different solutions are available, like: