Get Tick data from IBrokers
You just pass in a list of file names of handles (more efficient) to the file= param.
fh <- list(file("aapl.csv", open="w"), file("goog.csv", open="w"))
reqMktData(ibg, list(twsSTK("AAPL"),twsSTK("GOOG")) event=eWrapper.MktData.CSV(2), file=fh)
reqMktData(ibg, list(twsSTK("AAPL"),twsSTK("GOOG")), event=eWrapper.MktData.CSV(2), file=fh)
^C
lapply(fh, close)
[[1]] NULL [[2]] NULL
system("head aapl.csv")
20110905 09:59:02.304651,,,,,,,162727 20110905 09:59:02.693429,0,-1,,,,, 20110905 09:59:02.694235,,,-1,0,,, 20110905 09:59:02.694818,0,,,,,, 20110905 09:59:02.695388,,,,0,,, 20110905 09:59:02.695950,0,-1,,,,, 20110905 09:59:02.696552,,,-1,0,,, 20110905 09:59:02.697134,0,,,,,, 20110905 09:59:02.697701,,,,0,,,
system("head goog.csv")
20110905 09:59:03.177405,0,-1,,,,, 20110905 09:59:03.178224,,,-1,0,,, 20110905 09:59:03.178901,0,,,,,, 20110905 09:59:03.179560,,,,0,,, 20110905 09:59:03.180208,0,-1,,,,, 20110905 09:59:03.180879,,,-1,0,,, 20110905 09:59:03.181544,0,,,,,, 20110905 09:59:03.182245,,,,0,,,
HTH Jeff
On Mon, Sep 5, 2011 at 4:46 AM, Jacopo Anselmi <janselmi.sage at gmail.com> wrote:
Dear finance Rusers, I'm trying to download efficiently contract data taken from IBrokers to have them available later for analysis in R. I've found this great piece of code done by Jeff http://quant.stackexchange.com/questions/461/how-should-i-store-tick-data Unfortunately I'm not able to pass more than a contract at the same time and save the data as xts in an efficient way. Is there a chance you guys can help out? Thanks a lot! Jaco ? ? ? ?[[alternative HTML version deleted]]
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