IBrokers
Stephen, You're close. On Tue, Dec 7, 2010 at 1:13 PM, Stephen Choularton
<stephen at organicfoodmarkets.com.au> wrote:
So back again!
I have two problem in converting my callback to two handle two symbols so I
can set up spreads. ?(Or at least that's what I can see it at the moment):
When I run this using myCALLBACK function below:
con = twsConnect()
reqMktData(con, list(twsSTK("MSFT"),twsSTK("AAPL")),
?event=eWrapper.data(1), CALLBACK=myCALLBACK)
The eWrapper needs to be set up to handle the number of contracts you are watching. You need: eWrapper.data(2), with 2 being the length of the contracts you are watching. The ticker id is by default mapped to the order of the Contracts you pass in. So MSFT is 1, AAPL is 2 ... HTH, Jeff
I get this
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?NA ? ? ? ? ? ?"LastSize : "
NA
[13] "Volume: " ? ?NA
2 -1 2104 Market data farm connection is OK:aufarm
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?NA ? ? ? ? ? ?"LastSize : "
NA
[13] "Volume: " ? ?NA
2 -1 2104 Market data farm connection is OK:usfarm
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?NA ? ? ? ? ? ?"LastSize : "
NA
[13] "Volume: " ? ?NA
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?NA ? ? ? ? ? ?"LastSize : "
NA
[13] "Volume: " ? ?NA
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?NA ? ? ? ? ? ?"LastSize : "
NA
[13] "Volume: " ? ?NA
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
NA
[13] "Volume: " ? ?NA
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?NA
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? NA ? ? ? ? ? ?"BidPrice: " ?NA ? ? ? ? ? ?"AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?NA
?[7] "AskSize: " ? NA ? ? ? ? ? ?"Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"4"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343529"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "1435" ? ? ? ?"BidPrice: " ?"26.96" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.97"
?[7] "AskSize: " ? "828" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
?[1] "BidSize: " ? "970" ? ? ? ? "BidPrice: " ?"26.97" ? ? ? "AskPrice: "
?"26.98"
?[7] "AskSize: " ? "847" ? ? ? ? "Last: " ? ? ?"26.97" ? ? ? "LastSize : "
"2"
[13] "Volume: " ? ?"343550"
Error in `*tmp*`[[id]] : subscript out of bounds
I think what is happening is that the function fails on its first attempt to
get data on AAPT and the above data is on MSFT but I am quite unsure as to
what direction to take to amend the function. ?Any pointers most welcome.
Secondly I need to be able to know which symbol I am dealing with. ?The
output for:
reqMktData(con, list(twsEquity("MSFT"),twsEquity("AAPL")))
is
TWS Message: 2 -1 2104 Market data farm connection is OK:aufarm
TWS Message: 2 -1 2104 Market data farm connection is OK:usfarm
<20101208 05:55:28.974000> id=1 symbol=MSFT Volume: 343560
<20101208 05:55:28.978000> id=1 symbol=MSFT highPrice: 27.09
<20101208 05:55:28.983000> id=1 symbol=MSFT lowPrice: 26.88
<20101208 05:55:28.988000> id=2 symbol=AAPL Volume: 79079
<20101208 05:55:28.993000> id=2 symbol=AAPL highPrice: 323.99
and shows the symbol I need but when I try to find something that refers to
it in myCALLBACK I seem to fail. ?Is it somewhere in the data object? ?Is it
somewhere esle someone can point me to?
Stephen Choularton Ph.D., FIoD
On 07/12/2010 5:24 PM, Stephen Choularton wrote:
Just for the record I though I should post this as it did actually place
the order I was after:
library(IBrokers)
myCALLBACK <-
function(twsCon, eWrapper, timestamp, file, playback = 1, ...) {
? ?con <- twsCon[[1]]
? ?traded <- FALSE
? ?while (TRUE) {
? ? ? ?socketSelect(list(con), FALSE, NULL)
? ? ? ?#data
? ?curMsg <- readBin(con, character(), 1)
? ?if (!is.null(timestamp)) {
? ? ? ?processMsg(curMsg, con, eWrapper, format(Sys.time(), timestamp),
file, ...)
? ?} else {
? ? ? ?processMsg(curMsg, con, eWrapper, timestamp, file, ...)
? ?}
? ?# EXTRACT DATA HERE
? ?BidSize <- as.numeric(eWrapper$.Data$data[[1]][,1])
? ?BidPrice <- as.numeric(eWrapper$.Data$data[[1]][,2])
? ?AskPrice <- as.numeric(eWrapper$.Data$data[[1]][,3])
? ?AskSize <- ?as.numeric(eWrapper$.Data$data[[1]][,4])
? ?Last <- as.numeric(eWrapper$.Data$data[[1]][,5])
? ?LastSize <- as.numeric(eWrapper$.Data$data[[1]][,6])
? ? ? ?Volume <- as.numeric(eWrapper$.Data$data[[1]][,7])
? ?print(c("BidSize: ", BidSize, "BidPrice: ", BidPrice, "AskPrice: ",
AskPrice, "AskSize: ", AskSize, "Last: ", Last, "LastSize : ", LastSize ,
"Volume: ", Volume ))
? ?# TRADE LOGIC HERE
? ?if(!traded && !is.na(Last) && Last >= 49) {
? ? ? ?print(c("inside the trading logic "))
? ? ? ?id <- reqIds(twsCon)
? ? ? ?#placeOrder(tws, twsEquity("CBA","ASX","AUD"), twsOrder(id, "BUY",
"1", "MKT"))
? ? ? ?traded <- TRUE
? ?}
? ?}
}
con = twsConnect()
#reqMktData(con, twsEquity("GOOG"), event=eWrapper.data(1),
CALLBACK=myCALLBACK)
reqMktData(con, twsEquity("CBA","ASX","AUD"), ?event=eWrapper.data(1),
CALLBACK=myCALLBACK)
closeAllConnections()
I imagine I will be back as I am actually trying to use this for spreads -
so now I have to move on and try two symbols, etc but for what it is worth
the code is there for anyone who wants to use it.
Stephen Choularton Ph.D., FIoD
On 06/12/2010 10:17 AM, Jeff Ryan wrote:
Stephen, Comments inline: On Sun, Dec 5, 2010 at 1:23 PM, Stephen Choularton <stephen at organicfoodmarkets.com.au> ?wrote:
Hi
If you read this list you will have noticed I have been working on
callbacks
and I finally got to some code that appears to work so I though I would
share it:
library(IBrokers)
myCALLBACK<-
function(twsCon, eWrapper, timestamp, file, playback = 1, ...) {
? ?con<- twsCon[[1]]
? ?twsOC<- twsConnect(2) # our order connection
? ?con2<- twsOC[[1]]
? ?ocWrapper<- eWrapper(TRUE)
? ?traded<- FALSE
? ?while (TRUE) {
? ? ? ?cons<- socketSelect(list(con, con2), FALSE, 0.01)
? ? ? ?if(cons[1]) { #data
? ? ? ? ? ?curMsg<- readBin(con, character(), 1)
? ? ? ? ? ?if (!is.null(timestamp)) {
? ? ? ? ? ? ? ?processMsg(curMsg, con, eWrapper, format(Sys.time(),
timestamp), file, ...)
? ? ? ? ? ?} else {
? ? ? ? ? ? ? ?processMsg(curMsg, con, eWrapper, timestamp, file, ...)
? ? ? ? ? ?}
? ? ? ?} else if(cons[2]) {
? ? ? ? ? ?curMsg<- readBin(con2, character(), 1)
? ? ? ? ? ?if (!is.null(timestamp)) {
? ? ? ? ? ? ? ?processMsg(curMsg, con2, ocWrapper, format(Sys.time(),
timestamp), file, ...)
? ? ? ? ? ?} else {
? ? ? ? ? ? ? ?processMsg(curMsg, con2, ocWrapper, timestamp, file, ...)
? ? ? ? ? ?}
? ? ? ?} # TRADE LOGIC HERE
? ? ? ?curBID<- as.numeric(eWrapper$.Data$data[[1]][3])
? ? ? ?if(!traded ?) { # add back on open:&& ?!is.na(curBID)&& ?curBID>
141.00
? ? ? ? ? ?print(c("the cur bid is ", curBID))
? ? ? ? ? ?# IBrokers:::.placeOrder(twsOC, twsEquity("CBA","ASX","AUD"),
twsOrder(1053, "BUY", "0", "MKT"))
? ? ? ? ? ?traded<- TRUE
? ? ? ?}
? ?}
? ?twsDisconnect(twsOC)
}
con = twsConnect(1)
# contracts<- ?list(twsSTK("MSFT"),twsSTK("AAPL")))
reqMktData(con, twsEquity("GOOG"), CALLBACK=myCALLBACK)
twsDisconnect(con)
However, even though I have tried to close down my twsCnnections, if I
run
the code twice I get a warning along the lines:
unable to connect. client id already in use. retry with unique client id
and R freezes. ?Does anyone know how to solve the problem?
R is likely "freezing" due to buffering on Windows (which you can turn off in the GUI), but that isn't really the core issue. ?You don't need to have a second connection opened in the CALLBACK. ?It is in the examples of one of my talks to illustrate having an external mkt data feed and IB execution. ?If you are only looking at IB (for data and execution), DON'T use a second connection. ?Seriously it is not needed at all, and it is just making things more confusing I suspect.
From there (on connection) close(con) or twsDisconnect(con) should
indeed free up the client id. You can always go the route of closeAllConnections() route in R to 'start over'.
Incidentally I notice that the code gets ?curBID<- as.numeric(eWrapper$.Data$data[[1]][3]). ?Does anyone know what the appropriate indices are for the other data in eWrapper$.Data and what that data is?
As Mark points out in his reply, look at the source for the answers/hints: In order: ?BidSize, BidPrice, AskPrice, AskSize, Last, LastSize and Volume. ?The first four ordering mimic what it looks like when you stand in the pit on the floor and look at the CRTs (or your own custom screen...) ;-) # from the source
eWrapper.data
function (n)
{
? ? eW<- eWrapper(NULL)
? ? eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,
? ? ? ? 7), nc = 7), 0), .Dimnames = list(NULL, c("BidSize",
? ? ? ? "BidPrice", "AskPrice", "AskSize", "Last", "LastSize",
? ? ? ? "Volume")))), n))
? ? eW$tickPrice<- function(curMsg, msg, timestamp, file, ...) {
? ? ? ? tickType = msg[3]
? ? ? ? msg<- as.numeric(msg)
? ? ? ? id<- msg[2]
? ? ? ? data<- eW$get.Data("data")
? ? ? ? attr(data[[id]], "index")<- as.numeric(Sys.time())
? ? ? ? nr.data<- NROW(data[[id]])
? ? ? ? if (tickType == .twsTickType$BID) {
? ? ? ? ? ? data[[id]][nr.data, 1:2]<- msg[5:4]
? ? ? ? }
? ? ? ? else if (tickType == .twsTickType$ASK) {
? ? ? ? ? ? data[[id]][nr.data, 3:4]<- msg[4:5]
? ? ? ? }
? ? ? ? else if (tickType == .twsTickType$LAST) {
? ? ? ? ? ? data[[id]][nr.data, 5]<- msg[4]
? ? ? ? }
? ? ? ? eW$assign.Data("data", data)
? ? ? ? c(curMsg, msg)
? ? }
? ? eW$tickSize<- function(curMsg, msg, timestamp, file, ...) {
? ? ? ? data<- eW$get.Data("data")
? ? ? ? tickType = msg[3]
? ? ? ? msg<- as.numeric(msg)
? ? ? ? id<- as.numeric(msg[2])
? ? ? ? attr(data[[id]], "index")<- as.numeric(Sys.time())
? ? ? ? nr.data<- NROW(data[[id]])
? ? ? ? if (tickType == .twsTickType$BID_SIZE) {
? ? ? ? ? ? data[[id]][nr.data, 1]<- msg[4]
? ? ? ? }
? ? ? ? else if (tickType == .twsTickType$ASK_SIZE) {
? ? ? ? ? ? data[[id]][nr.data, 4]<- msg[4]
? ? ? ? }
? ? ? ? else if (tickType == .twsTickType$LAST_SIZE) {
? ? ? ? ? ? data[[id]][nr.data, 6]<- msg[4]
? ? ? ? }
? ? ? ? else if (tickType == .twsTickType$VOLUME) {
? ? ? ? ? ? data[[id]][nr.data, 7]<- msg[4]
? ? ? ? }
? ? ? ? eW$assign.Data("data", data)
? ? ? ? c(curMsg, msg)
? ? }
? ? return(eW)
}
<environment: namespace:IBrokers>
You can of course do whatever you like to make it more logical to you.
?Reading IBrokers source and the official Java source (yikes) is the
way to get to a different end if you so require.
Best,
Jeff
-- Stephen Choularton Ph.D., FIoD
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_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ----- No virus found in this message. Checked by AVG - www.avg.com Version: 10.0.1170 / Virus Database: 426/3301 - Release Date: 12/06/10
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Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com