reqHistoricalData {IBrokers}

Request Historical Data From TWS

Description

Makes a request to the Interactive Brokers Trader Workstation (TWS), and returns an xts object containing the results of the request if successful.

Usage

reqHistoricalData(conn,
                  Contract,
                  endDateTime,
                  barSize = "1 day",
                  duration = "1 M",
                  useRTH = "1",
                  whatToShow = "TRADES", 
                  timeFormat = "1",
                  tzone = "",
                  verbose = TRUE,
                  tickerId = "1",
                  eventHistoricalData,
                  file)

reqHistory(conn, Contract, barSize, ...)

Arguments

conn

a twsConnection object

Contract

a twsContract

endDateTime

end date/time for request. See details.

barSize

bar size to retrieve

duration

time span the request will cover

useRTH

limited to regular trading hours

whatToShow

type of data to be extracted

timeFormat

POSIX style or seconds from 1970-01-01

tzone

time zone of the resulting intraday series (if applicable)

verbose

should progress be documented

tickerId

a unique id to associte with the request

eventHistoricalData

callback function to process data

file

file to write data to

...

args to pass to reqHistoricalData

Details

The reqHistory function is a simple wrapper to request maximal history from IB. It is meant to be used directlty, or as a template for new wrappers.

All arguments should be character strings. Attempts will be made to coerce, but should not be relied upon.

The endDateTime argument must be of the form 'CCYYMMDD HH:MM:SS TZ'. If not specified the current time as returned from the TWS server will be used. This is the preferred method for backfilling data. The ‘TZ’ portion of the string is optional.

Legal barSize values are ‘1 secs’,‘5 secs’,‘15 secs’, ‘30 mins’,‘1 min’,‘2 mins’, ‘3 mins’,‘5 mins’,‘15 mins’, ‘30 mins’,‘1 hour’,‘1 day’, ‘1 week’,‘1 month’,‘3 months’, and ‘1 year’.

Partial matching is attempted, but it is best to specify the barSize value exactly as they are given above. There is no guarantee from the API that all will work for all securities or durations.

The duration string must be of the form ‘n u’ where ‘n’ is an integer and ‘u’ is one of: ‘S’ (seconds), ‘D’ (days), ‘W’ (weeks), ‘M’ (months), or ‘Y’ (year). For example, ‘1 W’ would return one week of data. At present the limit for years is 1.

useRTH takes either ‘1’ or ‘0’, indicating the request to return only regular trade hour data, or all data, respectively.

whatToShow can be any one of the following, though depending on the overall request it may not succeed. ‘TRADES’, ‘MIDPOINT’, ‘BID’, ‘ASK’, ‘BID_ASK’.

time.format should simply be left alone. :D

eventHistoricalData accepts a user function to process the raw data returned by the TWS. This consists of a character vector that includes the first five elements of header information, with the fifth element specifying the number of rows in the results set. Passing NULL to eventHistoricalData will return the raw character vector. If nothing is specified, an xts object is returned.

The eventHistoricalData function, if any, is called after all data has been received by the client.

The file argument calls write.table to produce output suitable to reading in by read.csv. The file argument is passed to the write.table call, and if an empty string will return the output to the console.

The hasGaps column is converted automatically from (true,false) to 1 or 0, respectively.

Value

Returns an xts object containing the requested data, along with additional information stored in the objects xtsAttributes, unless callback or file is specified.

Note

The rules for historical data requests are somewhat vague. Not all symbols have data, and those that do may only be available with specific combinations of barSize and duration arguments. At present the only way to know is to try the combination in question.

There is a strictly enforced 10 seconds between request pacing rule implemented by the TWS. Keep this in mind. IBrokers currently does not manage this for the user via reqHistoricalData, though reqHistory does.

Author(s)

Jeffrey A. Ryan

References

Interactive Brokers https://www.interactivebrokers.com

See Also

twsContract, twsConnect

Examples

## Not run: 
tws <- twsConnect()
contract <- twsEquity('QQQQ','SMART','ISLAND')

# by default retreives 30 days of daily data
reqHistoricalData(tws, Contract=contract)

# by default retreives a year of 1 minute bars
Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
reqHistory(tws, Contract=contract)


## End(Not run)