reqMktData {IBrokers} | R Documentation |
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)
Arguments
conn |
a valid |
Contract |
|
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 |
verbose |
print diagnostics? |
eventWrapper |
eWrapper object |
CALLBACK |
main reciever callback |
... |
additional args |
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.
Value
The real-time market data from the TWS.
Note
As R is single threaded - this request will run until interupted by an error or by user action. Both will clean up after themselves when appropriate.
Author(s)
Jeffrey A. Ryan
References
Interactive Brokers API: https://interactivebrokers.github.io/tws-api/index.html
See Also
twsCALLBACK
,
eWrapper
,
twsConnect
,
twsContract
Examples
## Not run:
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)
## End(Not run)