IBrokers (version 0.10-2)

reqMktData: Request Market Data Feed from TWS

Description

Allows for streaming market data to be handled in R.

Usage

reqMktData(conn, 
           Contract,
           tickGenerics = "100,101,104,106,165,221,225,236",
           snapshot = FALSE,
           tickerId = "1",
           timeStamp = "%Y%m%d %H:%M:%OS",
           playback = 1,
           file = "",
           verbose = TRUE,
           eventWrapper = eWrapper(),
           CALLBACK = twsCALLBACK, ...)
cancelMktData(conn,tickerId)

Value

The real-time market data from the TWS.

Arguments

conn

a valid twsConnection or twsPlayback connection

Contract

twsContract object(s) requested data for

tickGenerics

a comman delimited string of generic tick types

snapshot

should snapshot data be returned

tickerId

the ticker id to associate with the returned data

timeStamp

include R time stamps

playback

playback speed adjustment

file

passed to internal cat calls. See associated help

verbose

print diagnostics?

eventWrapper

eWrapper object

CALLBACK

main reciever callback

...

additional args

Author

Jeffrey A. Ryan

Details

This function provides R level access to market data streams as returned by the TWS API. The Interactive Brokers documentation should be reference for the exact meaning of the returned data.

timeStamps is unique to the R API in that each incoming signal will be marked with a (potentially) unique timestamp. Alternatively it is possible to pass a formatting string for use in format(Sys.time()). To suppress the time stamp set the argument to NULL. This is not sent by the TWS - merely prepended to the output by R.

Callbacks, via CALLBACK and eventWrapper are designed to allow for R level processing of the real-time data stream.

Each message recieved (each update to the market data) will invoke one the appropriately names eWrapper callback, depending on the message type. By default when nothing is specified, the code will call the default method for printing the results to the screen via cat.

Note that the use of the argument file will be passed to these cat calls, and therefore it will be possible to use the functionality of cat directly - e.g. piping output or writing to a connection. The simplest use of file would be to specify the name of a file to append the output of the stream to.

The CALLBACK argument is used for more control of the incoming results. This requires user-level error checking as well as TWS API interaction. It is here for advanced use and until documented should be left alone.

References

Interactive Brokers API: https://interactivebrokers.github.io/tws-api/index.html

See Also

twsCALLBACK, eWrapper, twsConnect, twsContract

Examples

if (FALSE) {
tws <- twsConnect()
contract <- twsEquity("QQQQ","SMART","ISLAND")
reqMktData(tws, contract)

# write to an open file connection
fh <- file('out.dat',open='a')
reqMktData(tws, contract, file=fh)
close(fh)
}