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IBrokers storing Interactive data.
5 messages · BBands, Jeff Ryan, ganesha0701
1 day later
If you can't find the exact solution you want, there is a neat project that you might want to look at, TradingShim. The author, Russ Herrold, is a long-time R user. http://www.trading-shim.org/ The shim can capture your data in the background and you can easily access it from R. John
On Sat, Jul 20, 2013 at 9:38 PM, ganesha0701 <ganesha0701 at gmail.com> wrote:
I came across IBrokers, and was impressed. My goal is to save real time data through the Interactive Brokers API and am looking to use it. The data I need should be in the following format timestamp, product, bid1Price, bid1Size, ask1Price, ask1Size,bid2Price, bid2Size, ask2Price, ask2Size,bid3Price, bid3Size, ask3Price, ask3Size,bid4Price, bid4Size, ask4Price, ask4Size,bid5Price, bid5Size, ask5Price, ask5Size, last Trade Price, last Trade Size So basically I am looking for all the 5 levels and the last trade information if there was any. I understand their API and know that I need to call the reqMarketDepth method. The problem is that they don't really give any time stamp information. So my question is can I use this package to do the above, if yes, how do you generate the time stamp info? How do I get the last trade info? I would be grateful to you if you could offer any light on the matter.
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3 days later
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