Interactive Brokers TWS API -- Historical bar data downloader

Interactive Brokers TWS API usage example.

TWS API Guide http://interactivebrokers.github.io/tws-api/#gsc.tab=0

Usage

1. Configure the TWS (see below)
2. Change config.py if necessary
3. Run: pythonw main.py

Interactive Brokers Trader Workstation configuration

To allow connection between your application and TWS you have to set several options in the TWS configuration:

In the TWS window:

• File => Global configuration...
• Configuration => API => Settings
• Enable ActiveX and Socket Clients
• Read-Only API
• Download open orders on connection
• Socket Port: 7497
• Expose entire trading schedule to API
• Let API account requests switch user-visible account subscription
• Master API client ID: 0
• Allow connections from the localhost only

Configuration

Edit config.py file directly to change the configuration.

Interactive Brokers Client class

Client has to check not just messages from the TWS but messages from the GUI as well.

To do so I just copied the EClient.run() method body from the API code and added onLoopIteration() hook call inside the EClient infinite loop.

I'm using this hook to process messages from other sources (GUI), not just TWS.

Uncomment self.onIdle() to create another hook to process something while no messages are comming from the TWS.