Algorithmic Trading with Interactive Brokers (Python and C++) by Scarpino Matthew

Author:Scarpino, Matthew [Scarpino, Matthew]
Language: eng
Format: epub
Publisher: Matthew Scarpino
Published: 2019-08-31T16:00:00+00:00

Chapter 9

Scanning for Securities

* * *

Each function presented in the preceding chapter requires a contract that identifies a specific financial instrument. But what if you don't know which contract you're interested in? What if you want IB to give you a list of interesting securities? In this case, you can take advantage of IB's Advanced Market Scanner, which accepts financial criteria and returns up to fifty suitable contracts.

Chapter 2 explained how to launch the scanner in TWS. This chapter explains how to access the scanner programmatically. The good news is that the functions are easy to work with. The bad news is there are a bewildering number of barely-documented search parameters. In addition, an application can only perform ten scans at a time.

Using the market scanner involves four steps:

Create a ScannerSubscription .

Request a scanner subscription by calling reqScannerSubscription .

Access the scan results through the scannerData callback.

Terminate the subscription by calling cancelScannerSubscription .

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