将 Python 对象从盈透证券转换为 R 数据帧

如何解决将 Python 对象从盈透证券转换为 R 数据帧

我使用 Python 和 R 的组合进行股票市场分析，使用盈透证券进行数据检索。 Interactive brokers 支持 Python API，但不支持 R API，所以我使用 Python 调用与 Interactive brokers 交互，然后将数据转换为 R。但是，我一直在尝试将 Python 数据结构转换为 R 数据帧。在此示例中，我订阅了实时刻度数据馈送并尝试将数据转换为数据帧。我试过在 Python 端使用 Pandas，哪种有效，但给了我环境变量，而不是我想看到的数据。当我尝试在 R 端转换数据时，我得到：“as.data.frame.default(x[[i]],optional = TRUE) 中的错误：无法强制类 'c("ib_insync.objects.TickByTickAllLast ","python.builtin.tuple",' 到 data.frame"

这是我的 R 代码：

library(reticulate)
use_python("/usr/local/bin/python3.7")
source_python("testPythonCalls.py")

# Connect to IB
connection <- ibConnect(as.integer(7497),as.integer(600))
# Set up the NQ Futures contract

contract <- ibFuturesContract('NQ',as.integer(20210319),'GLOBEX')
# Subscribe to Real Time Bars
# Request Tick by Tick Data
#Subscribe to tick-by-tick data and return the Ticker that holds the ticks in ticker.tickByTicks.
#Parameters:    contract (Contract) – Contract of interest.
#tickType (str) – One of ‘Last’,‘AllLast’,‘Bidask’ or ‘MidPoint’.
#numberOfTicks (int) – Number of ticks or 0 for unlimited.
#ignoreSize (bool) – Ignore bid/ask ticks that only update the size.
#Return type:   Ticker
ticks <- ibReqTickByTickData(contract,'Last',as.integer(0),TRUE)

# Show the ticks
print (ticks)

# Here's my attempt to convert the list to a data frame on the R side
df <- as.data.frame(as.list(ticks))

# Here's my attempt to convert the data to a data frame on the Python side
df <- ibTickByTickDataDF(ticks)
print (df)

# Turn off real time Feed
ibCancelTickByTickData(contract,'Last')
# disconnect
ibdisconnect()

这是我的 Python 代码：

from ib_insync import *
import pandas as pd

# Connect to IB; args are (IP address,device number,client ID)
def ibConnect(port,clientID):
  ib.sleep(0)
  connectAttempts=0
  while not ibisConnected():
    connectAttempts += 1
    connection = ib.connect('127.0.0.1',port,clientID)
    ib.sleep(0)
    if connectAttempts > 10:
      print ("Unable to connect to Interactive brokers")
  return ()

# disconnect from IB  
def ibdisconnect():
  ib.disconnect()
  ib.sleep(0)
  return

# Check to see if IB is connected  
def ibisConnected():
  isConnected = ib.isConnected()
  return isConnected

# Set up a futures contract
def ibFuturesContract(symbol,expirationDate,exchange):
  futuresContract = Future(symbol,exchange)
  return futuresContract

#Subscribe to tick-by-tick data and return the Ticker that holds the ticks in ticker.tickByTicks.
#Parameters:    contract (Contract) – Contract of interest.
  #tickType (str) – One of ‘Last’,‘Bidask’ or ‘MidPoint’.
  #numberOfTicks (int) – Number of ticks or 0 for unlimited.
  #ignoreSize (bool) – Ignore bid/ask ticks that only update the size.
#Return type:   Ticker
def ibReqTickByTickData(contract,tickType,numberOfTicks,ignoreSize):
  ibTicks = ib.reqTickByTickData (contract,ignoreSize)
  ib.sleep(2)
  return (ibTicks.tickByTicks)

# Convert the Tick By Tick Data to a data frame
def ibTickByTickDataDF(ticks):
  df = pd.DataFrame (ticks)
    #index=[time],#columns=[bid,bidsize,ask,askSize,last,lastSize,prevBid,prevBidSize,prevAsk,prevAskSize,prevLast,prevLastSize,volume,open,high,low,close,halted])
#    index=[ticks.time],columns=['time','bid','bidSize'])
#  df.loc[0]=(ticks.time,ticks.price,ticks.size)
  return (df)

# Unsubscribe from tick by tick data
def ibCancelTickByTickData(contract,tickType):
  ib.cancelTickByTickData(contract,tickType)
  return

ib = IB()
global ibTicks