Hi
I'm trying to figure out the time stamps
I am in Sydney.
If I use:
tws = twsConnect()
contract <- twsContract(0,'GC', "FUT",
'NYMEX','','20181227',"0.0","USD","","","",NULL,NULL,"0")
reqHistoricalData(tws, contract, duration = "3600 S", barSize="1 min",
useRTH=0) #1 = mkt hours only, 0 = anytime
closeAllConnections()
I get? long list of which this is a part:
2018-11-20 19:29:00??? 1226.3??? 1226.4?? 1226.2 1226.2????????? 88?
1226.24??????????? 0???????? 35
2018-11-20 19:30:00??? 1226.2??? 1226.4?? 1226.1 1226.2???????? 131?
1226.25??????????? 0???????? 63
2018-11-20 19:31:00??? 1226.2??? 1226.3?? 1226.1 1226.1???????? 106?
1226.23??????????? 0???????? 43
2018-11-20 19:32:00??? 1226.1??? 1226.2?? 1225.8 1225.9???????? 130?
1225.96??????????? 0???????? 64
2018-11-20 19:33:00??? 1225.9??? 1226.0?? 1225.8 1225.9???????? 106?
1225.94??????????? 0???????? 60
If I use reqMktData and then log the stream of data I get is a long list
of which this is part:
2018-11-21 05:31:54.728322 1221.5
2018-11-21 05:31:56.41735 1221.5
2018-11-21 05:31:57.712608 1221.5
2018-11-21 05:31:59.008863 1221.5
2018-11-21 05:32:00.279135 1221.5
2018-11-21 05:32:01.555404 1221.5
2018-11-21 05:32:03.279417 1221.6
2018-11-21 05:32:04.702601 1221.6
2018-11-21 05:32:05.589896 1221.6
The closing price here is being picked out with:
Last_1_1 <- as.numeric(eWrapper$.Data$data[[1]][,5])
which I hope is the correct data item.
Of course I want to align the data.? The hours in the time stamp are
different - reqMktData is time stamping with my local time (Sydney) but
19:32 in not the time here or in NY where it is 13:32 if my arithmetic
is correct.
Can anyone give me guidance on where that time stamp comes from?
Second the close from reqMktData just towards the end of 31 seconds
(05:31:59.008863) shows a closing price of? 1221.5 but the closing price
from reqHistoricalData at 31 second was 1226.2 and at 32 second was
1225.9 both several dollars away from the reqMktData figure.
Can anyone give me guidance why these two figures are not much closer
together.? Have I got the wrong data item (eWrapper$.Data$data[[1]][,5])
or have I misunderstood <20181121 06:00:56.150975> id=1 symbol=GC
closePrice: 1225.30? as being the closing price data that is returned by
reqMktData.
Thanks
Stephen Choularton PhD, FIoD