R/eWrapper.MktData.CSV.R

In IBrokers: R API to Interactive Brokers Trader Workstation

eWrapper.RealTimeBars.CSV <- function(n=1) {
  eW <- eWrapper(NULL)
  eW$assign.Data("data", 
                 rep(list(structure(.xts(matrix(rep(NA_real_,7),ncol=7),0),
                                    .Dimnames=list(NULL,
                                                  c("Open","High",
                                                    "Low","Close",
                                                    "Volume","WAP","Count")))),n))

  eW$realtimeBars <- function(curMsg, msg, timestamp, file, ...)
  {
    id <- as.numeric(msg[2])
    file <- file[[id]]
    data <- eW$get.Data("data")
    attr(data[[id]], "index") <- as.numeric(msg[3])
    nr.data <- NROW(data[[id]])
    cat(paste(msg[3],  # timestamp in POSIXct
              msg[4],  # Open
              msg[5],  # High
              msg[6],  # Low
              msg[7],  # Close
              msg[8],  # Volume
              msg[9],  # WAP
              msg[10], # Count
              sep=","), "\n", file=file, append=TRUE)
    data[[id]][nr.data,1:7] <- as.numeric(msg[4:10])
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  return(eW)
}

eWrapper.MktData.CSV <- function(n=1) {
  eW <- eWrapper(NULL)  # use basic template
  eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,7),ncol=7),0),
                                      .Dimnames=list(NULL,
                                                     c("BidSize","BidPrice",
                                                       "AskPrice","AskSize",
                                                       "Last","LastSize","Volume")))),n))

  eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) 
  {
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- as.numeric(msg[2])
    file <- file[[id]]
    data <- eW$get.Data("data") #[[1]]  # list position of symbol (by id == msg[2])
    attr(data[[id]], "index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    #data[[id]][1] <- timestamp
    if(tickType == .twsTickType$BID) {
      cat(paste(timestamp,
                msg[5], #bidSize
                msg[4], #bidPrice
                "",     #askPrice
                "",     #askSize
                "",     #lastPrice
                "",     #lastSize
                "",     #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,1:2] <- msg[5:4]
    } else
    if(tickType == .twsTickType$ASK) {
      cat(paste(timestamp,
                "",     #bidSize
                "",     #bidPrice
                msg[4], #askPrice
                msg[5], #askSize
                "",     #lastPrice
                "",     #lastSize
                "",     #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,3:4] <- msg[4:5]
    } else
    if(tickType == .twsTickType$LAST) {
      cat(paste(timestamp,
                "",     #bidSize
                "",     #bidPrice
                "",     #askPrice
                "",     #askSize
                msg[4], #lastPrice
                "",     #lastSize
                "",     #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,5] <- msg[4]
    }
    #data[[as.numeric(msg[2])]] <- data
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  eW$tickSize  <- function(curMsg, msg, timestamp, file, ...) 
  { 
    data <- eW$get.Data("data")
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- as.numeric(msg[2])
    file <- file[[id]]
    attr(data[[id]], "index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    #data[[id]][1] <- timestamp
    if(tickType == .twsTickType$BID_SIZE) {
      cat(paste(timestamp,
                msg[4], #bidSize
                "",     #bidPrice
                "",     #askPrice
                "",     #askSize
                "",     #lastPrice
                "",     #lastSize
                "",     #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,1] <- msg[4]
    } else
    if(tickType == .twsTickType$ASK_SIZE) {
      cat(paste(timestamp,
                "",     #bidSize
                "",     #bidPrice
                "",     #askPrice
                msg[4], #askSize
                "",     #lastPrice
                "",     #lastSize
                "",     #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,4] <- msg[4]
    } else 
    if(tickType == .twsTickType$LAST_SIZE) {
      cat(paste(timestamp,
                "",     #bidSize
                "",     #bidPrice
                "",     #askPrice
                "",     #askSize
                "",     #lastPrice
                msg[4], #lastSize
                "",     #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,6] <- msg[4]
    } else
    if(tickType == .twsTickType$VOLUME) {
      cat(paste(timestamp,
                "",     #bidSize
                "",     #bidPrice
                "",     #askPrice
                "",     #askSize
                "",     #lastPrice
                "",     #lastSize
                msg[4], #Volume
                sep=","), "\n", file=file, append=TRUE)
      data[[id]][nr.data,7] <- msg[4]
    }
    eW$assign.Data("data", data)
    c(curMsg, msg) # processMsg sees this raw vector
  }

  return(eW)
}