Hello, I'm looking at the iBrokers package. The documentation has a nice example about copying and then modifying the ewrapper function to handle incoming data. This works nicely. My challenge is that I want to store some persistant values (update moving averages, etc.) Since ewrapper() is called for every tick by reqMktData(), I can't figure out the best way to keep some persistent variables. How have other people handled this? Thanks! -- Noah Silverman UCLA Department of Statistics 8117 Math Sciences Building Los Angeles, CA 90095
variable scope with ewrapper in IBrokers
4 messages · Brian G. Peterson, Jeff Ryan, Noah Silverman
On Mon, 2011-07-18 at 10:36 -0700, Noah Silverman wrote:
The documentation has a nice example about copying and then modifying the ewrapper function to handle incoming data. This works nicely. My challenge is that I want to store some persistant values (update moving averages, etc.) Since ewrapper() is called for every tick by reqMktData(), I can't figure out the best way to keep some persistent variables. How have other people handled this?
One 'R-like' method for dealing with this would be to create an environment to store these things in and update a variable in that environment. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
Hi Noah, I'll provide a complete example when I am back at my desk, but the eWrapper itself contains all you need to do this. Take a look t eWrapper.data for now. In effect you need to rbind incoming values to an object stored in the .Data variable. Again I'll provide more detail to this when I get back, but simply put it is trivial to accomplish once you see how it is done. Best, Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com
On Jul 18, 2011, at 12:43 PM, "Brian G. Peterson" <brian at braverock.com> wrote:
On Mon, 2011-07-18 at 10:36 -0700, Noah Silverman wrote:
The documentation has a nice example about copying and then modifying the ewrapper function to handle incoming data. This works nicely. My challenge is that I want to store some persistant values (update moving averages, etc.) Since ewrapper() is called for every tick by reqMktData(), I can't figure out the best way to keep some persistent variables. How have other people handled this?
One 'R-like' method for dealing with this would be to create an environment to store these things in and update a variable in that environment. Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
_______________________________________________ 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.
Jeff,
I found the eWrapper methods for this. It looks like I have to use the myWrapper$get.Data and myWrapper$set.Data
So, what I'm doing, in abbreviated form is the following:
-----------------------------------
MyWrapper <- function(curMsg, msg, timestamp, file, ... ){
# Load in the persistent vars for this round
a <- myWrapper$get.Data("a")
b <- myWrapper$get.Data("b")
c <- myWrapper$get.Data("c")
# Do a bunch of stuff
# Save the persistent vars
myWrapper$assign.Data("a", a)
myWrapper$assign.Data("b", b)
myWrapper$assign.Data("c", c)
}
----------------------------------
--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095
On Jul 18, 2011, at 11:23 AM, Jeff Ryan wrote:
Hi Noah, I'll provide a complete example when I am back at my desk, but the eWrapper itself contains all you need to do this. Take a look t eWrapper.data for now. In effect you need to rbind incoming values to an object stored in the .Data variable. Again I'll provide more detail to this when I get back, but simply put it is trivial to accomplish once you see how it is done. Best, Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com On Jul 18, 2011, at 12:43 PM, "Brian G. Peterson" <brian at braverock.com> wrote:
On Mon, 2011-07-18 at 10:36 -0700, Noah Silverman wrote:
The documentation has a nice example about copying and then modifying the ewrapper function to handle incoming data. This works nicely. My challenge is that I want to store some persistant values (update moving averages, etc.) Since ewrapper() is called for every tick by reqMktData(), I can't figure out the best way to keep some persistent variables. How have other people handled this?
One 'R-like' method for dealing with this would be to create an environment to store these things in and update a variable in that environment. Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
_______________________________________________ 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.