Interactive Brokers

Hi Noah,

Of course Jeff Ryan is the ultimate authority on this subject and a number of his IBrokers presentations are kicking around the web.

Nevertheless, here's a short script that I put together a while back to help me decipher the IBrokers messages.  The script logs messages to a file; after a while, hit the escape key and the log file will be read and parsed a little bit.

To go further, you can cross-reference some of this stuff with the IB API docs.

Hope this helps.

Best,

G


# initialize log file
fn <- "IBlog.dat"
if( file.exists(fn) )
 file.remove(fn)

# log messages from IB
library(IBrokers)
tws <- twsConnect()
equity1 <- twsEquity("SPY")
reqMktData(tws, equity1, CALLBACK = NULL, file = fn)
# hit the escape key after you've logged for a while
twsDisconnect(tws)

# read log file and make an xts object
x <- read.table(file=fn,header=F,sep=" ",as.is=T,fill=T,strip.white = T)
timeStamp.raw <- strptime(paste(x[,1],x[,2]), "%Y%m%d %H:%M:%OS")
num.mat <- apply(x[!is.na(timeStamp.raw),-(1:2)],2,as.numeric)
timeStamp <- timeStamp.raw[!is.na(timeStamp.raw)]
IB.xts.all <- xts(num.mat,timeStamp)
IB.xts <- xts(cbind(ID=num.mat[,3],MSG=num.mat[,1],tickType=num.mat[,4],parm1=num.mat[,5],parm2=num.mat[,6]),timeStamp)
#
# .twsIncomingMSG
#  TICK_PRICE =   "1"
#  TICK_SIZE  =   "2"
#  ORDER_STATUS = "3"
#  ERR_MSG =      "4"
#  TICK_GENERIC = "45"
#  TICK_STRING =  "46"
#
# .twsTickType
#  BID_SIZE              0
#  BID                   1
#  ASK                   2
#  ASK_SIZE              3
#  LAST                  4
#  LAST_SIZE             5
#  HIGH                  6
#  LOW                   7
#  VOLUME                8
#  CLOSE                 9
#  OPEN                  14
#  OPTION_HISTORICAL_VOL 23
#  LAST_TIMESTAMP        45

# Trade messages
# MSG=46,tickType=45 LAST_TIMESTAMP
# MSG=2,tickType=8 VOLUME
# MSG=2,tickType=5 LAST_SIZE
# MSG=1,tickType=4 LAST

# trade related messages
trades.idx <- IB.xts[,"tickType"]==4 | IB.xts[,"tickType"]==5 | IB.xts[,"tickType"]==8 | IB.xts[,"tickType"]==45
trades <- IB.xts[trades.idx,]

# quote related messages
ba.idx <- IB.xts[,"tickType"]==0 | IB.xts[,"tickType"]==1 | IB.xts[,"tickType"]==2 | IB.xts[,"tickType"]==3
quotes <- IB.xts[ba.idx,]

# plot sequence of trade related messages
lastPrice <- IB.xts[IB.xts[,"tickType"]==4,]
lastSize <- IB.xts[IB.xts[,"tickType"]==5,]
Volume <- IB.xts[IB.xts[,"tickType"]==8,]
lastTimeStamp <- IB.xts[IB.xts[,"tickType"]==45,]

#pdf(width=8,height=4,file="IBmess.pdf")
par(lab=c(5,1,7),yaxt="n")
plot(lastPrice[,1],type="n",pch=18,col=2,ylim=c(0,1),yaxt="n",main="")
title("IBroker Trade-related Messages")
text(x=start(lastPrice)-0,y=seq(0.2,0.8,by=0.2),c("last","size","stamp","volume"),pos=2,xpd=NA)
points(x=index(lastPrice),y=rep(0.2,nrow(lastPrice)),pch=18,col=2)
points(x=index(lastSize),y=rep(0.4,nrow(lastSize)),pch=18,col=3)
points(x=index(lastTimeStamp),rep(0.6,nrow(lastTimeStamp)),pch=18,col=4)
points(x=index(Volume),y=rep(0.8,nrow(Volume)),type="p",pch=18,col=6)
#dev.off()


On 7/14/2011 10:12 AM, Noah Silverman wrote:

Hi,

I'm just getting started on coding a script that will use the IBrokers package.

I've worked through creating my own instance of the eWrapper list and understand how to create my own functions to handle incoming data.

There are a few variables, "msg", "timestamp", etc. that appear to contain several pieces of data.  (Perhaps they are lists or vectors?)  I can't find any documentation as to the details of these variables.  Subsequently, I don't know how to extract the desired information from them.

Is there more detailed documentation of this somewhere?

Thanks!

--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095