IBrokers-package {IBrokers}

R API to the Interactive Brokers Trader Workstation (TWS).

Description

This software is in no way affiliated, endorsed, or approved by Interactive Brokers or any of its affiliates. It comes with absolutely no warranty and should not be used in actual trading unless the user can read and understand the source.

IBrokers is a pure R implementation of the TWS API. At present it is only able pull data from the Interactive Brokers servers via the TWS. Future additions will include more API access, including live order handling, and better management across R sessions.

Possible real-time charting via the quantmod package may be incorporated into future releases.

Changes to move to version 0.1-0 have made this API implementation much more robust on all platforms. Many new error-checking calls have been incorporated, as well as a more reliable event-loop to capture the data from the TWS.

The underlying socket connections are pure R. This was a design decision to maximize cross-platform availability, as well as a recognition that historical data requests, or any requests while in a single threaded R session, must be non-threaded.

Recent additions include reqMktData to handle live market data from one or more symbols, reqMktDepth to capture market depth for one or more symbols, and reqRealTimeBars to recieve 5 second real time bars. Each of these functions have been implemented with optional user defined callback handlers to allow for R code to interact with the API while receiving data from the TWS.

Please report any and all bugs/experiences to the maintainer so they can be corrected or incorporated into future versions.

Additionally, beta testers are needed to make this a viable alternative for IB-API interaction. Don't be shy.

Details

Package:	IBrokers
Type:	Package
Version:	0.9-7
Date:	2012-04-27
License:	GPL-3

The current API methods supported are:

twsConnect: Establish TWS connection
twsDisconnect: Close TWS connection
isConnected: Check connection
setServerLogLevel: Set logging level

twsAccountUpdates: Get Account Details
reqIds: Request next available ID
reqCurrentTime: The TWS server time in seconds since the epoch
reqHistoricalData: Fetch historical data
reqMktData: Receive real-time market data
reqMktDepth: Receive real-time order book depth
reqRealTimeBars: Receive 5 second OHLCVWC bar data

Experimental support:
placeOrder: Place a live order to the TWS
cancelOrder: Cancel a pending order on the TWS

Author(s)

Jeffrey A. Ryan

Maintainer: Joshua M. Ulrich <[e-mail]>

References

Interactive Brokers: https://www.interactivebrokers.com

Examples

## Not run: 
IBrokersRef()       # IBrokers Reference Card in PDF viewer

tws <- twsConnect() # make a new connection to the TWS
reqCurrentTime(tws) # check the server's timestamp

contract <- twsEquity('IBKR','SMART','ISLAND') # equity specification

reqHistoricalData(tws,contract) # request historical data
twsDisconnect(tws)  # disconnect from the TWS

## End(Not run)