November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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284
｜
第
9
章
图 9-3：欧元 / 美元的历史收盘价（分钟柱线图）
9.3.2
获取流数据
虽然历史数据对于某些场景很重要，例如回测算法交易策略，但是需要连续访问
实时或流数据（在交易时间内）才能部署和自动化算法交易策略。因此，与
Oanda
API
相似，
FXCM API
还允许订阅所有金融工具的实时数据流。
fxcmpy
程序包支持
此功能，因为它允许提供用户定义函数（即回调函数）来处理订阅的实时数据流。
以下
Python
代码展示了这样一个简单的回调函数
——
仅仅打印得到的数据集的选
定元素，这样就可以在订阅一个期望的金融工具（这里是
EUR/USD
）后，使用它来
实时处理获取的数据了。
In [39]: def output(data, dataframe):
print('%3d | %s | %s | %6.5f, %6.5f'
% (len(dataframe), data['Symbol'],
pd.to_datetime(int(data['Updated']), unit='ms'),
data['Rates'][0], data['Rates'][1]))
In [40]: api.subscribe_market_data('EUR/USD', (output,))
2 | EUR/USD | 2020-08-19 14:32:36.204000 | 1.19319, ...
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