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R/iqfeed.R
In QuantTools: Enhanced Quantitative Trading Modelling
Defines functions
.get_iqfeed_trade_conditions_info
.get_iqfeed_symbol_info
.get_iqfeed_security_types_info
.get_iqfeed_markets_info
.get_iqfeed
.get_iqfeed_ticks
.get_iqfeed_candles
.get_iqfeed_recent_daily_candles
.get_iqfeed_daily_candles
# Copyright (C) 2016 Stanislav Kovalevsky
#
# This file is part of QuantTools.
#
# QuantTools is free software: you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 2 of the License, or
# (at your option) any later version.
#
# QuantTools is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with QuantTools. If not, see <http://www.gnu.org/licenses/>.
#' IQFeed
#'
#' @name iqfeed
#' @examples
#' \donttest{
#' symbol = 'MSFT'
#' to = format( Sys.time() )
#' from = format( Sys.time() - as.difftime( 3, units = 'days' ) )
#' days = 10
#' # ticks
#' get_iqfeed_data( symbol, from, to, 'tick' )
#' # candles
#' get_iqfeed_data( symbol, from, to, '1min' )
#' # daily candles
#' get_iqfeed_data( symbol, from, to )
#' }
#'
#' @details Retrieves IQFeed historical market data like ticks and candles.
#'
#' @section Basis For Last:
#' \tabular{ll}{
#' C \tab Last Qualified Trade \cr
#' E \tab Extended Trade = Form T trade \cr
#' O \tab Other Trade = Any trade not accounted for by C or E. \cr
#' S \tab Settle = Daily settle, only applicable to commodities.
#' }
#'
#' @section Markets:
#' \tabular{lll}{
#' \strong{Market Id} \tab \strong{Short Name} \tab \strong{Long Name} \cr
#' 1 \tab NGM \tab Nasdaq Global Market \cr
#' 2 \tab NCM \tab National Capital Market \cr
#' 3 \tab OTC \tab Nasdaq other OTC \cr
#' 4 \tab OTCBB \tab Nasdaq OTC Bulletin Board \cr
#' 5 \tab NASDAQ \tab Nasdaq \cr
#' 6 \tab NYSE_MKT \tab NYSE MKT (Equities and Bonds) \cr
#' 7 \tab NYSE \tab New York Stock Exchange \cr
#' 8 \tab CHX \tab Chicago Stock Exchange \cr
#' 9 \tab PHLX \tab Philadelphia Stock Exchange \cr
#' 10 \tab NSX \tab National Stock Exchange \cr
#' 11 \tab NYSE_ARCA \tab NYSE Archipelago \cr
#' 12 \tab BX \tab Boston Stock Exchange \cr
#' 13 \tab CBOE \tab Chicago Board Options Exchange \cr
#' 14 \tab OPRA \tab OPRA System \cr
#' 15 \tab NASD_ADF \tab Nasdaq Alternate Display facility \cr
#' 16 \tab ISE \tab International Stock Exchange \cr
#' 17 \tab BOX \tab Boston Options Exchange \cr
#' 18 \tab BATS \tab Better Alternative Trading System \cr
#' 19 \tab NTRF \tab Nasdaq Trade Reporting Facility \cr
#' 20 \tab PBOT \tab Philadelphia Board Of Trade \cr
#' 21 \tab NGSM \tab Nasdaq Global Select Market \cr
#' 22 \tab CANTOR \tab Cantor Fitzgerald Exchange Treasury Funds \cr
#' 23 \tab C2 \tab CBOE C2 Options Exchange \cr
#' 24 \tab NYSE_TRF \tab NYSE Trade Reporting Facility \cr
#' 25 \tab EDGA \tab Direct Edge A \cr
#' 26 \tab EDGX \tab Direct Edge X \cr
#' 27 \tab DTN \tab DTN \cr
#' 28 \tab BYX \tab BATS Y Exchange \cr
#' 29 \tab RUSSELL-FL \tab Russell Investments (Fee-Liable) \cr
#' 30 \tab CBOT \tab Chicago Board Of Trade \cr
#' 31 \tab DJ \tab Dow Jones (CBOT) \cr
#' 32 \tab CFE \tab CBOE Futures Exchange \cr
#' 33 \tab KCBOT \tab Kansas City Board Of Trade \cr
#' 34 \tab CME \tab Chicago Mercantile Exchange \cr
#' 35 \tab MGE \tab Minneapolis Grain Exchange \cr
#' 36 \tab NYMEX \tab New York Mercantile Exchange \cr
#' 37 \tab COMEX \tab Commodities Exchange Center \cr
#' 38 \tab ICEFU \tab International Commodities Exchange Futures US \cr
#' 39 \tab NYLUS \tab NYSE LIFFE US \cr
#' 40 \tab CME-FL \tab CME Indexes (Fee Liable) \cr
#' 42 \tab CBOTMINI \tab Chicago Board Of Trade Mini Sized Contracts \cr
#' 43 \tab CMEMINI \tab Chicago Mercantile Exchange Mini Sized Contracts \cr
#' 44 \tab USFE \tab US Futures Exchange \cr
#' 45 \tab NYMEXMINI \tab Commodities Exchange Center Mini Sized Contracts \cr
#' 46 \tab GREENX \tab The Green Exchange \cr
#' 47 \tab CLEARPORT \tab New York Mercantile Exchange \cr
#' 48 \tab COMEXMINI \tab New York Mercantile Exchange Mini Sized Contracts \cr
#' 50 \tab TSE \tab Toronto Stock Exchange \cr
#' 51 \tab MSE \tab Montreal Stock Exchange \cr
#' 52 \tab CVE \tab Canadian Venture Exchange \cr
#' 53 \tab WSE \tab Winnipeg Stock Exchange \cr
#' 54 \tab ICEFC \tab International Commodities Exchange Futures Canada \cr
#' 55 \tab MX \tab Montreal Exchange \cr
#' 56 \tab LSE \tab London Stock Exchange \cr
#' 57 \tab FTSE \tab Financial Times Stock Exchange \cr
#' 60 \tab MDEX \tab Bursa Malaysia Derivatives \cr
#' 61 \tab ICEFI \tab International Commodities Exchange Futures Derivatives \cr
#' 62 \tab LME \tab London Metals Exchange \cr
#' 63 \tab ICEEC \tab International Commodities Exchange European Commodities\cr
#' 64 \tab ASXCM \tab ASX24 Commodities Exchange \cr
#' 65 \tab DME \tab Dubai Mercantile Exchange \cr
#' 66 \tab BMF \tab Brazilian Mercantile & Future Exchange \cr
#' 67 \tab SGX \tab Singapore International Monetary Exchange \cr
#' 68 \tab EUREX \tab European Exchange \cr
#' 69 \tab ENID \tab Euronext Index Derivatives \cr
#' 70 \tab ICEEF \tab International Commodities Exchange European Financials \cr
#' 71 \tab ENCOM \tab Euronext Commodities \cr
#' 72 \tab TULLETT \tab Tullett Liberty (Forex) \cr
#' 73 \tab BARCLAYS \tab Barclays Bank (Forex) \cr
#' 74 \tab FXCM \tab Forex Capital Markets \cr
#' 75 \tab WTB \tab Warenterminborse Hannover \cr
#' 76 \tab MGKB \tab MGE-KCBOT (InterCommodity Spreads) \cr
#' 77 \tab MGCB \tab MGE-CBOT (InterCommodity Spreads) \cr
#' 78 \tab TENFORE \tab Tenfore Systems \cr
#' 79 \tab NYDME \tab NYMEX-DME (InterCommodity Spreads) \cr
#' 80 \tab PSX \tab Philadelphia Stock Exchange \cr
#' 81 \tab TGE \tab Tokyo Grain Exchange \cr
#' 82 \tab TOCOM \tab Tokyo Commodities Exchange \cr
#' 83 \tab SAFEX \tab South African Futures Exchange \cr
#' 84 \tab EEXP \tab European Energy Exchange - Power \cr
#' 85 \tab EEXN \tab European Energy Exchange - Natural Gas \cr
#' 86 \tab EEXE \tab European Energy Exchange - Emission Rights \cr
#' 87 \tab EEXC \tab European Energy Exchange - Coal \cr
#' 88 \tab MIAX \tab Miami International Securities Exchange \cr
#' 89 \tab KBCB \tab KCBOT-CBOT (InterCommodity Spreads) \cr
#' 90 \tab PK_SHEETS \tab Pink Sheets - No Tier \cr
#' 91 \tab PK_QXPREM \tab Pink Sheets - OTCQX - PremierQX Tier \cr
#' 92 \tab PK_QXPRIME \tab Pink Sheets - OTCQX - PrimeQX Tier \cr
#' 93 \tab PK_IQXPREM \tab Pink Sheets - OTCQX - International PremierQX Tier \cr
#' 94 \tab PK_IQXPRIME \tab Pink Sheets - OTCQX - International PrimeQX Tier \cr
#' 95 \tab PK_OTCQB \tab Pink Sheets - OTCBB Pink Sheets dually Quoted Tier \cr
#' 96 \tab PK_BBONLY \tab Pink Sheets - OTCBB Only Tier \cr
#' 97 \tab PK_CURRENT \tab Pink Sheets - Current Tier \cr
#' 98 \tab PK_LIMITED \tab Pink Sheets - Limited Tier \cr
#' 99 \tab PK_NOINFO \tab Pink Sheets - No Information Tier \cr
#' 100 \tab PK_GREY \tab Pink Sheets - Grey Market Tier \cr
#' 101 \tab PK_YL_SHEETS\tab Yellow Sheets \cr
#' 102 \tab PK_PR_SHEETS\tab Partner Sheets \cr
#' 103 \tab PK_GL_SHEETS\tab Global Sheets \cr
#' 104 \tab PK_NYSE \tab Pink Sheets - NYSE Listed \cr
#' 105 \tab PK_NASDAQ \tab Pink Sheets - NASDAQ Listed \cr
#' 106 \tab PK_NYSE_AMEX\tab Pink Sheets - NYSE AMEX Listed \cr
#' 107 \tab PK_ARCA \tab Pink Sheets - ARCA Listed \cr
#' 108 \tab NYSE_AMEX \tab NYSE AMEX Options Exchange \cr
#' 109 \tab GLOBEX_RT \tab CME GLOBEX Group Authorization \cr
#' 110 \tab CME_GBX \tab Chicago Mercantile Exchange (GLOBEX) \cr
#' 111 \tab CBOT_GBX \tab Chicago Board Of Trade (GLOBEX) \cr
#' 112 \tab NYMEX_GBX \tab New York Mercantile Exchange (GLOBEX) \cr
#' 113 \tab COMEX_GBX \tab Commodities Exchange Center (GLOBEX) \cr
#' 114 \tab DME_GBX \tab Dubai Mercantile Exchange (GLOBEX) \cr
#' 115 \tab RUSSELL \tab Russell Investments \cr
#' 116 \tab BZX \tab BATS Z Exchange \cr
#' 117 \tab CFTC \tab US Commodity Futures Trading Commission \cr
#' 118 \tab USDA \tab US Department of Agriculture \cr
#' 119 \tab WASDE \tab World Supply and Demand Estimates Report \cr
#' 120 \tab GRNST \tab Grain Stock Report \cr
#' 121 \tab GEMINI \tab ISE Gemini Options Exchange \cr
#' 122 \tab ARGUS \tab Argus Energy \cr
#' 123 \tab RACKS \tab Racks Energy \cr
#' 124 \tab SNL \tab SNL Energy \cr
#' 125 \tab RFSPOT \tab Refined Fuels Spots Exchange \cr
#' 126 \tab EOXNGF \tab EOX Live Natural Gas Forward Curve \cr
#' 127 \tab EOXPWF \tab EOX Live Power Forward Curve \cr
#' 128 \tab EOXCOR \tab EOX Live Correlations \cr
#' 129 \tab ICEENDEX \tab ICE Energy Derivatives Exchange \cr
#' 130 \tab KCBOT_GBX \tab Kansas City Board of Trade (GLOBEX) \cr
#' 131 \tab MGE_GBX \tab Minneapolis Grain Exchange (GLOBEX) \cr
#' 132 \tab BLOOMBERG \tab Bloomberg Indices \cr
#' 133 \tab ELSPOT \tab Nord Pool Spot \cr
#' 134 \tab N2EX \tab NASDAQ OMX-Nord Pool \cr
#' 135 \tab ICEEA \tab International Commodities Exchange European Agriculture\cr
#' 136 \tab CMEUR \tab Chicage Mercantile Exchange Europe Ltd \cr
#' 137 \tab COMM3 \tab Commodity 3 Exchange \cr
#' 138 \tab JACOBSEN \tab The Jacobsen \cr
#' 139 \tab NFX \tab NASDAQ OMX Futures \cr
#' 140 \tab SGXAC \tab SGX Asia Clear \cr
#' 141 \tab PJMISO \tab Pa-Nj-Md Independent System Operator \cr
#' 142 \tab NYISO \tab New York Independent System Operator \cr
#' 143 \tab NEISO \tab New England Independent System Operator \cr
#' 144 \tab MWISO \tab Mid West Independent System Operator \cr
#' 145 \tab SPISO \tab SW Power Pool Independent System Operator \cr
#' 146 \tab CAISO \tab California Independent System Operator \cr
#' 147 \tab ERCOT \tab ERCOT Independent System Operator \cr
#' 148 \tab ABISO \tab Alberta Independent System Operator \cr
#' 149 \tab ONISO \tab Ontario Independent System Operator \cr
#' 150 \tab MERCURY \tab ISE Mercury Options Exchange \cr
#' 151 \tab DCE \tab Dalian Commodity Exchange \cr
#' 152 \tab ZCE \tab Zengchou Commodity Exchange \cr
#' 153 \tab IEX \tab Investors Exchange LLC \cr
#' 154 \tab MCX \tab Multi Commodity Exchange of India Limited \cr
#' 155 \tab NCDEX \tab National Commodity Exchange of India Limited \cr
#' 156 \tab PEARL \tab MIAX PEARL Options exchange \cr
#' 157 \tab CTS \tab CTS System \cr
#' 158 \tab LSEI \tab London Stock Exchange International \cr
#' 159 \tab UNKNOWN \tab Unknown Market
#' }
#' * to retireve above table use \code{QuantTools:::.get_iqfeed_markets_info()}
#'
#' @section Trade Conditions:
#' \tabular{lll}{
#' \strong{Condition Code} \tab \strong{Short Name} \tab \strong{Description} \cr
#' 01 \tab REGULAR \tab Normal Trade \cr
#' 02 \tab ACQ \tab Acquisition \cr
#' 03 \tab CASHM \tab Cash Only Market \cr
#' 04 \tab BUNCHED \tab Bunched Trade \cr
#' 05 \tab AVGPRI \tab Average Price Trade \cr
#' 06 \tab CASH \tab Cash Trade (same day clearing) \cr
#' 07 \tab DIST \tab Distribution \cr
#' 08 \tab NEXTDAY \tab Next Day Market \cr
#' 09 \tab BURSTBSKT \tab Burst Basket Execution \cr
#' 0A \tab BUNCHEDSOLD \tab Bunched Sold Trade \cr
#' 0B \tab ORDETAIL \tab Opening/Reopening Trade Detail \cr
#' 0C \tab INTERDAY \tab Intraday Trade Detail \cr
#' 0D \tab BSKTONCLOSE \tab Basket Index on Close \cr
#' 0E \tab RULE127 \tab Rule - 127 Trade NYSE \cr
#' 0F \tab RULE155 \tab Rule - 155 Trade AMEX \cr
#' 10 \tab SOLDLAST \tab Sold Last (late reporting) \cr
#' 11 \tab NEXTDAYCLR \tab Next Day Clearing \cr
#' 12 \tab LATEREP \tab Opened - Late Report of Opening Trade (in or out of sequence) \cr
#' 13 \tab PRP \tab Prior Reference Price \cr
#' 14 \tab SELLER \tab Seller \cr
#' 15 \tab SPLIT \tab Split Trade \cr
#' 16 \tab RSVD \tab (Reserved) \cr
#' 17 \tab FORMT \tab Form-T Trade \cr
#' 18 \tab CSTMBSKTX \tab Custom Basket Cross \cr
#' 19 \tab SOLDOSEQ \tab Sold Out of Sequence \cr
#' 1A \tab CANC \tab Cancelled Previous Transaction \cr
#' 1B \tab CANCLAST \tab Cancelled Last Transaction \cr
#' 1C \tab CANCOPEN \tab Cancelled Open Transaction \cr
#' 1D \tab CANCONLY \tab Cancelled Only Transaction \cr
#' 1E \tab OPEN \tab Late Report of Opening Trade - out of sequence \cr
#' 1F \tab OPNL \tab Late Report of Opening Trade - in correct sequence \cr
#' 20 \tab AUTO \tab Transaction Executed Electronically \cr
#' 21 \tab HALT \tab Halt \cr
#' 22 \tab DELAYED \tab Delayed \cr
#' 23 \tab NON_BOARDLOT \tab NON_BOARDLOT \cr
#' 24 \tab POSIT \tab POSIT \cr
#' 25 \tab REOP \tab Reopen After Halt \cr
#' 26 \tab AJST \tab Contract Adjustment for Stock Dividend - Split - etc. \cr
#' 27 \tab SPRD \tab Spread - Trade in Two Options in the Same Class (a buy and a sell in the same class) \cr
#' 28 \tab STDL \tab Straddle - Trade in Two Options in the Same Class (a buy and a sell in a put and a call) \cr
#' 29 \tab STPD \tab Follow a Non-stopped Trade \cr
#' 2A \tab CSTP \tab Cancel Stopped Transaction \cr
#' 2B \tab BWRT \tab Option Portion of a Buy/Write \cr
#' 2C \tab CMBO \tab Combo - Trade in Two Options in the Same Options Class (a buy and a sell in the same class)\cr
#' 2D \tab UNSPEC \tab Unspecified \cr
#' 2E \tab MC_OFCLCLOSE \tab Market Center Official Closing Price \cr
#' 2F \tab STPD_REGULAR \tab Stopped Stock - Regular Trade \cr
#' 30 \tab STPD_SOLDLAST \tab Stopped Stock - Sold Last \cr
#' 31 \tab STPD_SOLDOSEQ \tab Stopped Stock - Sold out of sequence \cr
#' 32 \tab BASIS \tab Basis \cr
#' 33 \tab VWAP \tab Volume-Weighted Average Price \cr
#' 34 \tab STS \tab Special Trading Session \cr
#' 35 \tab STT \tab Special Terms Trading \cr
#' 36 \tab CONTINGENT \tab Contingent Order \cr
#' 37 \tab INTERNALX \tab Internal Cross \cr
#' 38 \tab MOC \tab Market On Close Trade \cr
#' 39 \tab MC_OFCLOPEN \tab Market Center Official Opening Price \cr
#' 3A \tab FORTMTSOLDOSEQ \tab Form-T Sold Out of Sequence \cr
#' 3B \tab YELLOWFLAG \tab Yellow Flag \cr
#' 3C \tab AUTOEXEC \tab Auto Execution \cr
#' 3D \tab INTRMRK_SWEEP \tab Intramaket Sweep \cr
#' 3E \tab DERIVPRI \tab Derivately Priced \cr
#' 3F \tab REOPNING \tab Re-Opeing Prints \cr
#' 40 \tab CLSING \tab Closing Prints \cr
#' 41 \tab CAP_ELCTN \tab CAP (Conversion and Parity) election trade \cr
#' 42 \tab CROSS_TRADE \tab Cross Trade \cr
#' 43 \tab PRICE_VAR \tab Price Variation \cr
#' 44 \tab STKOPT_TRADE \tab Stock-Option Trade \cr
#' 45 \tab SPIM \tab stopped at price that did not constitute a Trade-Through \cr
#' 46 \tab BNMT \tab Benchmark Trade \cr
#' 47 \tab TTEXEMPT \tab Transaction is Trade Through Exempt \cr
#' 48 \tab LATE \tab Late Market \cr
#' 49 \tab XCHG_PHYSICAL \tab Exchange for Physical \cr
#' 4A \tab CABINET \tab Cabinet \cr
#' 4B \tab DIFFERENTIAL \tab Differential \cr
#' 4C \tab HIT \tab Hit \cr
#' 4D \tab IMPLIED \tab Implied \cr
#' 4E \tab LG_ORDER \tab Large Order \cr
#' 4F \tab SM_ORDER \tab Small Order \cr
#' 50 \tab MATCH \tab Match/Cross Trade \cr
#' 51 \tab NOMINAL \tab Nominal \cr
#' 52 \tab OPTION_EX \tab Option Exercise \cr
#' 53 \tab PERCENTAGE \tab Percentage \cr
#' 54 \tab AUTOQUOTE \tab Auto Quotes \cr
#' 55 \tab INDICATIVE \tab Indicative \cr
#' 56 \tab TAKE \tab Take \cr
#' 57 \tab NOMINAL_CABINET \tab Nominal Cabinet \cr
#' 58 \tab CHNG_TRANSACTION\tab Changing Transaction \cr
#' 59 \tab CHNG_TRANS_CAB \tab Changing Transaction Cabinet \cr
#' 5A \tab FAST \tab Fast Market (ssfutures) \cr
#' 5B \tab NOMINAL_UPDATE \tab Nominal Update \cr
#' 5C \tab INACTIVE \tab Inactive - Nominal - No Trade \cr
#' 5D \tab DELTA \tab Last Trade with Delta Exchange \cr
#' 5E \tab ERRATIC \tab Erratic \cr
#' 5F \tab RISK_FACTOR \tab Risk Factor \cr
#' 60 \tab OPT_ADDON \tab Short Option Add-On \cr
#' 61 \tab VOLATILITY \tab Volatility Trade \cr
#' 62 \tab SPD_RPT \tab Spread Reporting \cr
#' 63 \tab VOL_ADJ \tab Volume Adjustment \cr
#' 64 \tab BLANK \tab Blank out associated price \cr
#' 65 \tab SOLDLATE \tab Late report of transaction - in correct sequence \cr
#' 66 \tab BLKT \tab Block Trade \cr
#' 67 \tab EXPH \tab Exchange Future for Physical \cr
#' 68 \tab SPECIALIST_A \tab Ask from specialist Book \cr
#' 69 \tab SPECIALIST_B \tab Bid from specialist Book \cr
#' 6A \tab SPECIALIST_BA \tab Both Bid and Ask from Specialist Book \cr
#' 6B \tab ROTATION \tab Rotation \cr
#' 6C \tab HOLIDAY \tab Holiday \cr
#' 6D \tab PREOPENING \tab Pre Opening \cr
#' 6E \tab POST_FULL \tab Post Full \cr
#' 6F \tab POST_RESTRICTED \tab Post Restricted \cr
#' 70 \tab CLOSING_AUCTION \tab Closing Auction \cr
#' 71 \tab BATCH \tab Batch \cr
#' 72 \tab TRADING \tab Trading \cr
#' 73 \tab OFFICIAL \tab Official Bid/Ask price \cr
#' 74 \tab UNOFFICIAL \tab Unofficial Bid/Ask price \cr
#' 75 \tab MIDPRICE \tab Midprice last \cr
#' 76 \tab FLOOR \tab Floor B/A price \cr
#' 77 \tab CLOSE \tab Closing Price \cr
#' 78 \tab HIGH \tab End of Session High Price \cr
#' 79 \tab LOW \tab End of Session Low Price \cr
#' 7A \tab BACKWARDATION \tab Backwardation - immediate delivery costing more than future delivery \cr
#' 7B \tab CONTANGO \tab Contango - future delivery costing more than immediate delivery \cr
#' 7C \tab RF_SETTLEMENT \tab Refined Fuel Spot Settlement \cr
#' 7D \tab RF_RESERVED1 \tab Refined Fuel Spot Reserved - 1 \cr
#' 7E \tab RF_RESERVED2 \tab Refined Fuel Spot Reserved - 2 \cr
#' 7F \tab RF_RESERVED3 \tab Refined Fuel Spot Reserved - 3 \cr
#' 80 \tab RF_RESERVED4 \tab Refined Fuel Spot Reserved - 4 \cr
#' 81 \tab YIELD \tab Yield Price \cr
#' 82 \tab BASIS_HIGH \tab Current Basis High Value \cr
#' 83 \tab BASIS_LOW \tab Current Bases Low Value \cr
#' 84 \tab UNCLEAR \tab bid or offer price is unclear \cr
#' 85 \tab OTC \tab Over the counter trade \cr
#' 86 \tab MS \tab Trade entered by Market Supervision \cr
#' 87 \tab ODDLOT \tab Odd lot trade \cr
#' 88 \tab CORRCSLDLAST \tab Corrected Consolidated last \cr
#' 89 \tab QUALCONT \tab Qualified Contingent Trade \cr
#' 8A \tab MC_OPEN \tab Market Center Opening Trade \cr
#' 8B \tab CONFIRMED \tab Confirmed \cr
#' 8C \tab OUTAGE \tab Outage \cr
#' 8D \tab SPRD_LEG \tab CME spread leg trade \cr
#' 8E \tab BNDL_SPRD_LEG \tab Final CME MDP3 trade from Trade Summary message that could not be Un-Bundled \cr
#' 8F \tab LATECORR \tab LSE - Late Correction \cr
#' 90 \tab CONTRA \tab LSE - Previous days contra \cr
#' 91 \tab IF_TRANSFER \tab LSE - Inter-fund transfer \cr
#' 92 \tab IF_CROSS \tab LSE - Inter-fund Cross \cr
#' 93 \tab NEG_TRADE \tab LSE - Negotiated Trade \cr
#' 94 \tab OTC_CANC \tab LSE - OTC Trade Cancellation \cr
#' 95 \tab OTC_TRADE \tab LSE - OTC Trade \cr
#' 96 \tab SI_LATECORR \tab LSE - SI Late Correction \cr
#' 97 \tab SI_TRADE \tab LSE - SI Trade \cr
#' 98 \tab AUCT_TRADE \tab LSE - Auctions (bulk;individual) \cr
#' 99 \tab LATE \tab LSE - Late trade \cr
#' 9A \tab STRAT \tab LSE - Strategy vs. Strategy Trade trade \cr
#' 9B \tab INDICATIVE_AUCT \tab LSE - Indicative Auction Uncrossing Data
#' }
#' * to retireve above table use \code{QuantTools:::.get_iqfeed_trade_conditions_info()}
#'
#
NULL
iqfeed = R6::R6Class( 'iqfeed', lock_objects = F )
iqfeed$set( 'public', 'initialize', function( host = .settings$iqfeed_host, port = list( stream = 5009, lookup = .settings$iqfeed_port ), timeout = .settings$iqfeed_timeout, verbose = .settings$iqfeed_verbose, stream = FALSE ) {
self$stream = stream
self$settings = list( host = host, port = port, timeout = timeout, verbose = verbose, buffer_size = .settings$iqfeed_buffer )
self$settings$buffer_size_stream = 1000
} )
iqfeed$set( 'public', 'verbose_message', function( text ) {
text = paste( Sys.time(), substr( text, 1, 100 ), '...' )
text = gsub( '\n','\\\\n', text )
text = gsub( '\r','\\\\r', text )
if( self$settings$verbose ) message( text )
} )
iqfeed$set( 'public', 'read_chain', function( prefix, split, con, n ) {
text = paste0( prefix, readChar( con, n ) )
if( self$settings$timeout < 1 ) Sys.sleep( self$settings$timeout )
last_split = regexpr( paste0( split, '[^', split, ']*$' ), text )
if( last_split > 0 ) list(
complete = strtrim( text, last_split ),
tail = substr( text, last_split + 1, nchar( text ) )
) else list(
complete = '',
tail = text
)
} )
iqfeed$set( 'public', 'connect', function() {
## connect
self$connection = lapply( self$settings$port[ c( 'lookup', if( self$stream ) 'stream' ) ], socketConnection,
host = self$settings$host,
timeout = self$settings$timeout,
open = 'a+b',
blocking = TRUE )
## set protocol
protocol = 'S,SET PROTOCOL,5.2\r\n'
if( self$stream ) writeChar( protocol, self$connection$stream )
writeChar( protocol, self$connection$lookup )
if( self$settings$timeout < 1 ) Sys.sleep( self$settings$timeout )
## confirm lookup
confirmation = gsub( 'SET', 'CURRENT', protocol )
self$verbose_message( readChar( self$connection$lookup, n = nchar( confirmation ) ) )
} )
iqfeed$set( 'public', 'disconnect', function() {
if( self$stream ) close( self$connection$stream )
close( self$connection$lookup )
} )
iqfeed$set( 'public', 'subscribe', function( symbol ) {
if( is.null( self$subscribed ) ) self$subscribed = symbol else self$subscribed[ length( self$subscribed ) + 1 ] = symbol
cmd = paste0( 't', symbol, '\r\n' )
cat( cmd, file = self$connection$stream )
} )
iqfeed$set( 'public', 'unsubscribe', function( symbol ) {
self$subscribed = self$subscribed[ self$subscribed != symbol ]
cmd = paste0( 'r', symbol, '\r\n' )
cat( cmd, file = self$connection$stream )
} )
iqfeed$set( 'public', 'read', function() {
if( is.null( self$stream ) ) {
self$stream_messages = vector( 5e07, mode = 'list' )
self$stream_quotes = vector( 5e07, mode = 'list' )
self$stream_hbeats = vector( 5e07, mode = 'list' )
self$stream_index = 1
self$stream_tail = ''
}
curr_time = Sys.time() + as.difftime( 1, units = 'hours' )
attr( curr_time, 'tzone' ) = 'EST'
stop_message = paste0( 'T,', format( curr_time, '%Y%m%d %H:%M:%S' ) )
hbeats_names = c( 'T', 'time' )
quotes_names = c( 'Q','symbol','price','volume','time','trade_market_center','total_volume','bid','bid_volume','ask','ask_volume','open','high','low','close','contents','trade_conditions','tail' )
message_chunk = list( complete = '', tail = self$stream_tail )
repeat {
message_chunk = self$read_chain( message_chunk$tail, split = '\n', con = self$connection$stream, n = self$settings$buffer_size_stream )
self$stream_tail = message_chunk$tail
text = message_chunk$complete
messages = strsplit( text, '\n', fixed = TRUE )[[1]]
header_tag = 'S,CURRENT UPDATE FIELDNAMES,'
header = grep( header_tag, messages, fixed = T, value = T )
quotes = grep( '^Q,', messages, value = T )
hbeats = grep( '^T,', messages, value = T )
self$stream_messages[[ self$stream_index ]] = messages
if( length( quotes ) ) self$stream_quotes[[ self$stream_index ]] = fread( paste( c( quotes, '' ), collapse = '\n' ), header = F, col.names = quotes_names )[,-c( 'Q', 'tail' ) ]
if( length( hbeats ) ) self$stream_hbeats[[ self$stream_index ]] = fread( paste( c( hbeats, '' ), collapse = '\n' ), header = F, col.names = hbeats_names, sep = ',' )[,-'T' ]
# broken when 1 line fed to fread
self$stream_index = self$stream_index + 1
terminated = grepl( stop_message, message_chunk$complete, fixed = T )
if( terminated ) break
}
} )
iqfeed$set( 'public', 'get_trades', function() {
rbindlist( self$stream_quotes[ 2:self$stream_index - 1 ] )
} )
iqfeed$set( 'public', 'lookup', function( cmd, colClasses = NULL ) {
writeChar( cmd, self$connection$lookup )
message_chunks = vector( 5e06, mode = 'list' )
message_chunk_index = 1
retry_index = 0
max_n_retry = 10
terminator = '!ENDMSG!,\r\n'
no_data_tag = '!NO_DATA!'
invalid_tag = 'Unauthorized user ID.'
message_chunk = list( complete = '', tail = '' )
repeat {
message_chunk = self$read_chain( message_chunk$tail, split = '\n', con = self$connection$lookup, n = self$settings$buffer_size )
self$verbose_message( message_chunk$complete )
terminated = grepl( terminator, message_chunk$complete, fixed = T )
if( terminated ) {
if( grepl( no_data_tag, message_chunk$complete, fixed = T ) ) {
message( no_data_tag )
return( NULL )
}
if( grepl( invalid_tag, message_chunk$complete, fixed = T ) ) {
message( invalid_tag )
return( NULL )
}
message_chunk$complete = strtrim( message_chunk$complete, nchar( message_chunk$complete ) - nchar( terminator ) )
}
message_chunk$complete = gsub( ', ', ';', message_chunk$complete, fixed = TRUE )
if( message_chunk$complete != '' ) {
message_chunks[[ message_chunk_index ]] = fread( message_chunk$complete, sep = ',', colClasses = colClasses, fill = T )
} else {
retry_index = retry_index + 1
if( retry_index > max_n_retry ) return( message( 'Tried 10 times with no result. Check IQFeed client and try again. NULL returned.' ) )
}
if( terminated ) break
message_chunk_index = message_chunk_index + 1
}
x = rbindlist( message_chunks[ 1:message_chunk_index ] )
x[, -ncol( x ), with = FALSE ]
} )
iqfeed$set( 'public', 'lookup_mult', function( cmd ) {
#lapply( cmd, writeChar, self$connection$lookup )
writeChar( paste( cmd, collapse = '' ), self$connection$lookup )
message_chunks = vector( 5e06, mode = 'list' )
message_chunk_index = 1
retry_index = 0
max_n_retry = 10
terminator = '!ENDMSG!,\r\n'
n_terminator = 0
n_terminator_max = length( cmd )
nstr = function( x, pattern ) ( nchar( x ) - nchar( gsub( pattern, '', x, fixed = T ) ) ) / nchar( pattern )
repeat {
message_chunk = self$read_chain( message_chunk$tail, split = '\n', con = self$connection$lookup, n = self$settings$buffer_size )
self$verbose_message( message_chunk$complete )
n_terminator = n_terminator + nstr( message_chunk$complete, terminator )
terminated = n_terminator == n_terminator_max
message_chunk$complete = gsub( ', ', ';', message_chunk$complete, fixed = TRUE )
if( message_chunk$complete != '' ) message_chunks[[ message_chunk_index ]] = message_chunk$complete
if( terminated ) break
message_chunk_index = message_chunk_index + 1
}
x = paste( unlist( message_chunks[ 1:message_chunk_index ] ), collapse = '\r\n' )
x = strsplit( x, split = terminator, fixed = TRUE )[[1]]
x = lapply( x, gsub, pattern = ',\r', replacement = '', fixed = T )
x = lapply( x, fread )
names( x ) = cmd
return( x )
} )
iqfeed$set( 'public', 'get_markets', function() {
markets = self$lookup( cmd = 'SLM\r\n' )
setnames( markets, c( 'market_id', 'short_name', 'long_name', 'group_id', 'group_name' ) )
markets[]
} )
iqfeed$set( 'public', 'get_trade_conditions', function() {
codes = self$lookup( cmd = 'STC\r\n' )
setnames( codes, c( 'condition_code', 'short_name', 'description' ) )
codes[, condition_code := toupper( as.hexmode( condition_code ) ) ][]
} )
iqfeed$set( 'public', 'get_security_types', function() {
types = self$lookup( cmd = 'SST\r\n' )
setnames( types, c( 'type_id', 'short_name', 'long_name' ) )
types[]
} )
iqfeed$set( 'public', 'search_by_filter', function( search_field = 's', search_string = 'AAPL', filter_type = 't', filter_value = '' ) {
cmd = paste0( paste( 'SBF', search_field, search_string, filter_type, filter_value, sep = ',' ), '\r\n' )
search_result = self$lookup( cmd )
if( is.null( search_result ) ) return()
setnames( search_result, c( 'symbol', 'market', 'type', 'description' ) )
search_result
} )
iqfeed$set( 'public', 'get_ticks', function( symbol, n_ticks, n_days, from, to ) {
cmd = if( !missing( n_ticks ) ) {
paste0( paste( 'HTX', symbol, max = n_ticks, direction = '1', sep = ',' ), '\r\n' )
} else if( !missing( n_days ) ) {
paste0( paste( 'HTD', symbol, n_days, max = '', time_begin = '', time_end = '', direction = '1', sep = ',' ), '\r\n' )
} else if( missing( from ) & missing( to ) ) stop( 'no arguments set' ) else {
paste0( paste( 'HTT', symbol, datetime_begin = format( as.POSIXct( from ), '%Y%m%d %H%M%S' ), datetime_end = format( as.POSIXct( to ) + ( nchar( to ) == 10 ) * as.difftime( '24:00:00' ), '%Y%m%d %H%M%S' ), max = '', time_begin = '', time_end = '', direction = '1', sep = ',' ), '\r\n' )
}
colClasses = c( 'character', rep( 'numeric', 6 ), rep( 'character', 3 ), 'numeric' )
ticks = self$lookup( cmd, colClasses )
if( is.null( ticks ) ) return( NULL )
setnames( ticks, c( 'time','price','volume','size','bid','ask','tick_id','basis_for_last', 'trade_market_center', 'trade_conditions' ) )
ticks[, time := fasttime::fastPOSIXct( time, 'UTC' ) ][]
} )
iqfeed$set( 'public', 'get_intraday_candles', function( symbol, interval, n_candles, n_days, from, to, type = 's' ) {
cmd = if( !missing( n_candles ) ) {
paste0( paste( 'HIX', symbol, interval, max = n_candles, direction = '1', request_id = '', points_sent = '', type, sep = ',' ), '\r\n' )
} else if( !missing( n_days ) ) {
paste0( paste( 'HID', symbol, interval, n_days, max = '', time_begin = '', time_end = '', direction = '1', request_id = '', points_sent = '', type, sep = ',' ), '\r\n' )
} else if( missing( from ) & missing( to ) ) stop( 'no arguments set' ) else {
paste0( paste( 'HIT', symbol, interval, datetime_begin = format( as.POSIXct( from ), '%Y%m%d %H%M%S' ), datetime_end = format( as.POSIXct( to ) + ( nchar( to ) == 10 ) * as.difftime( '24:00:00' ), '%Y%m%d %H%M%S' ), max = '', time_begin = '', time_end = '', direction = '1', request_id = '', points_sent = '', type, sep = ',' ), '\r\n' )
}
candles = self$lookup( cmd )
if( is.null( candles ) ) return( NULL )
setnames( candles, c( 'time', 'high', 'low', 'open', 'close', 'total_volume', 'volume', 'n_trades' ) )
candles[, ':='( total_volume = NULL, n_trades = NULL ) ]
setcolorder( candles, c( 'time', 'open', 'high', 'low', 'close', 'volume' ) )
candles[, time := fasttime::fastPOSIXct( time, 'UTC' ) ][]
} )
iqfeed$set( 'public', 'get_daily_candles', function( symbol, n_days, n_weeks, n_months, from, to ) {
cmd = if( !missing( n_days ) ) {
paste0( paste( 'HDX', symbol, max = n_days, direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
} else if( !missing( n_weeks ) ) {
paste0( paste( 'HWX', symbol, max = n_weeks, direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
} else if( !missing( n_months ) ) {
paste0( paste( 'HMX', symbol, max = n_months, direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
} else if( missing( from ) & missing( to ) ) stop( 'no arguments set' ) else {
paste0( paste( 'HDT', symbol, date_begin = format( as.Date( from ), '%Y%m%d' ), date_end = format( as.Date( to ), '%Y%m%d' ), max = '', direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
}
candles = self$lookup( cmd )
if( is.null( candles ) ) return( NULL )
setnames( candles, c( 'date', 'high', 'low', 'open', 'close', 'volume', 'open_interest' ) )
setcolorder( candles, c( 'date', 'open', 'high', 'low', 'close', 'volume', 'open_interest' ) )
candles[, date := as.Date( date ) ][]
} )
.get_iqfeed_daily_candles = function( symbol, from, to ) {
self = iqfeed$new()
self$connect()
x = self$get_daily_candles( symbol = symbol, from = from, to = to )
self$disconnect()
return( x )
}
.get_iqfeed_recent_daily_candles = function( symbol, days = 10 ) {
self = iqfeed$new()
self$connect()
x = self$get_daily_candles( symbol = symbol, n_days = days )
self$disconnect()
return( x )
}
.get_iqfeed_candles = function( symbol, from, to, interval = 3600 ) {
self = iqfeed$new()
self$connect()
x = self$get_intraday_candles( symbol = symbol, interval = interval, from = from, to = to )
self$disconnect()
return( x )
}
.get_iqfeed_ticks = function( symbol, from, to = from ) {
self = iqfeed$new()
self$connect()
x = self$get_ticks( symbol = symbol, from = from, to = to )
self$disconnect()
return( x )
}
.get_iqfeed = function( cmd ) {
self = iqfeed$new()
self$connect()
x = self$lookup( cmd )
self$disconnect()
return( x )
}
.get_iqfeed_markets_info = function( ){
self = iqfeed$new()
self$connect()
x = self$get_markets()
self$disconnect()
return( x )
}
.get_iqfeed_security_types_info = function( ){
self = iqfeed$new()
self$connect()
x = self$get_security_types()
self$disconnect()
return( x )
}
.get_iqfeed_symbol_info = function( symbol, type_ids ){
cmd = paste0( 'SBF,s,', symbol, ',t,', paste( type_ids, collapse = ' ' ), '\r\n' )
info = .get_iqfeed( cmd )
if( is.null( info ) ) return()
setnames( info, c( 'symbol', 'market', 'type', 'description' ) )
.symbol = symbol
info = info[ symbol == .symbol ]
if( nrow( info ) == 0 ) return()
info[]
}
.get_iqfeed_trade_conditions_info = function( ){
self = iqfeed$new()
self$connect()
x = self$get_trade_conditions()
self$disconnect()
return( x )
}
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Defines functions .get_iqfeed_trade_conditions_info .get_iqfeed_symbol_info .get_iqfeed_security_types_info .get_iqfeed_markets_info .get_iqfeed .get_iqfeed_ticks .get_iqfeed_candles .get_iqfeed_recent_daily_candles .get_iqfeed_daily_candles
# Copyright (C) 2016 Stanislav Kovalevsky
#
# This file is part of QuantTools.
#
# QuantTools is free software: you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 2 of the License, or
# (at your option) any later version.
#
# QuantTools is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with QuantTools. If not, see <http://www.gnu.org/licenses/>.
#' IQFeed
#'
#' @name iqfeed
#' @examples
#' \donttest{
#' symbol = 'MSFT'
#' to = format( Sys.time() )
#' from = format( Sys.time() - as.difftime( 3, units = 'days' ) )
#' days = 10
#' # ticks
#' get_iqfeed_data( symbol, from, to, 'tick' )
#' # candles
#' get_iqfeed_data( symbol, from, to, '1min' )
#' # daily candles
#' get_iqfeed_data( symbol, from, to )
#' }
#'
#' @details Retrieves IQFeed historical market data like ticks and candles.
#'
#' @section Basis For Last:
#' \tabular{ll}{
#' C \tab Last Qualified Trade \cr
#' E \tab Extended Trade = Form T trade \cr
#' O \tab Other Trade = Any trade not accounted for by C or E. \cr
#' S \tab Settle = Daily settle, only applicable to commodities.
#' }
#'
#' @section Markets:
#' \tabular{lll}{
#' \strong{Market Id} \tab \strong{Short Name} \tab \strong{Long Name} \cr
#' 1 \tab NGM \tab Nasdaq Global Market \cr
#' 2 \tab NCM \tab National Capital Market \cr
#' 3 \tab OTC \tab Nasdaq other OTC \cr
#' 4 \tab OTCBB \tab Nasdaq OTC Bulletin Board \cr
#' 5 \tab NASDAQ \tab Nasdaq \cr
#' 6 \tab NYSE_MKT \tab NYSE MKT (Equities and Bonds) \cr
#' 7 \tab NYSE \tab New York Stock Exchange \cr
#' 8 \tab CHX \tab Chicago Stock Exchange \cr
#' 9 \tab PHLX \tab Philadelphia Stock Exchange \cr
#' 10 \tab NSX \tab National Stock Exchange \cr
#' 11 \tab NYSE_ARCA \tab NYSE Archipelago \cr
#' 12 \tab BX \tab Boston Stock Exchange \cr
#' 13 \tab CBOE \tab Chicago Board Options Exchange \cr
#' 14 \tab OPRA \tab OPRA System \cr
#' 15 \tab NASD_ADF \tab Nasdaq Alternate Display facility \cr
#' 16 \tab ISE \tab International Stock Exchange \cr
#' 17 \tab BOX \tab Boston Options Exchange \cr
#' 18 \tab BATS \tab Better Alternative Trading System \cr
#' 19 \tab NTRF \tab Nasdaq Trade Reporting Facility \cr
#' 20 \tab PBOT \tab Philadelphia Board Of Trade \cr
#' 21 \tab NGSM \tab Nasdaq Global Select Market \cr
#' 22 \tab CANTOR \tab Cantor Fitzgerald Exchange Treasury Funds \cr
#' 23 \tab C2 \tab CBOE C2 Options Exchange \cr
#' 24 \tab NYSE_TRF \tab NYSE Trade Reporting Facility \cr
#' 25 \tab EDGA \tab Direct Edge A \cr
#' 26 \tab EDGX \tab Direct Edge X \cr
#' 27 \tab DTN \tab DTN \cr
#' 28 \tab BYX \tab BATS Y Exchange \cr
#' 29 \tab RUSSELL-FL \tab Russell Investments (Fee-Liable) \cr
#' 30 \tab CBOT \tab Chicago Board Of Trade \cr
#' 31 \tab DJ \tab Dow Jones (CBOT) \cr
#' 32 \tab CFE \tab CBOE Futures Exchange \cr
#' 33 \tab KCBOT \tab Kansas City Board Of Trade \cr
#' 34 \tab CME \tab Chicago Mercantile Exchange \cr
#' 35 \tab MGE \tab Minneapolis Grain Exchange \cr
#' 36 \tab NYMEX \tab New York Mercantile Exchange \cr
#' 37 \tab COMEX \tab Commodities Exchange Center \cr
#' 38 \tab ICEFU \tab International Commodities Exchange Futures US \cr
#' 39 \tab NYLUS \tab NYSE LIFFE US \cr
#' 40 \tab CME-FL \tab CME Indexes (Fee Liable) \cr
#' 42 \tab CBOTMINI \tab Chicago Board Of Trade Mini Sized Contracts \cr
#' 43 \tab CMEMINI \tab Chicago Mercantile Exchange Mini Sized Contracts \cr
#' 44 \tab USFE \tab US Futures Exchange \cr
#' 45 \tab NYMEXMINI \tab Commodities Exchange Center Mini Sized Contracts \cr
#' 46 \tab GREENX \tab The Green Exchange \cr
#' 47 \tab CLEARPORT \tab New York Mercantile Exchange \cr
#' 48 \tab COMEXMINI \tab New York Mercantile Exchange Mini Sized Contracts \cr
#' 50 \tab TSE \tab Toronto Stock Exchange \cr
#' 51 \tab MSE \tab Montreal Stock Exchange \cr
#' 52 \tab CVE \tab Canadian Venture Exchange \cr
#' 53 \tab WSE \tab Winnipeg Stock Exchange \cr
#' 54 \tab ICEFC \tab International Commodities Exchange Futures Canada \cr
#' 55 \tab MX \tab Montreal Exchange \cr
#' 56 \tab LSE \tab London Stock Exchange \cr
#' 57 \tab FTSE \tab Financial Times Stock Exchange \cr
#' 60 \tab MDEX \tab Bursa Malaysia Derivatives \cr
#' 61 \tab ICEFI \tab International Commodities Exchange Futures Derivatives \cr
#' 62 \tab LME \tab London Metals Exchange \cr
#' 63 \tab ICEEC \tab International Commodities Exchange European Commodities\cr
#' 64 \tab ASXCM \tab ASX24 Commodities Exchange \cr
#' 65 \tab DME \tab Dubai Mercantile Exchange \cr
#' 66 \tab BMF \tab Brazilian Mercantile & Future Exchange \cr
#' 67 \tab SGX \tab Singapore International Monetary Exchange \cr
#' 68 \tab EUREX \tab European Exchange \cr
#' 69 \tab ENID \tab Euronext Index Derivatives \cr
#' 70 \tab ICEEF \tab International Commodities Exchange European Financials \cr
#' 71 \tab ENCOM \tab Euronext Commodities \cr
#' 72 \tab TULLETT \tab Tullett Liberty (Forex) \cr
#' 73 \tab BARCLAYS \tab Barclays Bank (Forex) \cr
#' 74 \tab FXCM \tab Forex Capital Markets \cr
#' 75 \tab WTB \tab Warenterminborse Hannover \cr
#' 76 \tab MGKB \tab MGE-KCBOT (InterCommodity Spreads) \cr
#' 77 \tab MGCB \tab MGE-CBOT (InterCommodity Spreads) \cr
#' 78 \tab TENFORE \tab Tenfore Systems \cr
#' 79 \tab NYDME \tab NYMEX-DME (InterCommodity Spreads) \cr
#' 80 \tab PSX \tab Philadelphia Stock Exchange \cr
#' 81 \tab TGE \tab Tokyo Grain Exchange \cr
#' 82 \tab TOCOM \tab Tokyo Commodities Exchange \cr
#' 83 \tab SAFEX \tab South African Futures Exchange \cr
#' 84 \tab EEXP \tab European Energy Exchange - Power \cr
#' 85 \tab EEXN \tab European Energy Exchange - Natural Gas \cr
#' 86 \tab EEXE \tab European Energy Exchange - Emission Rights \cr
#' 87 \tab EEXC \tab European Energy Exchange - Coal \cr
#' 88 \tab MIAX \tab Miami International Securities Exchange \cr
#' 89 \tab KBCB \tab KCBOT-CBOT (InterCommodity Spreads) \cr
#' 90 \tab PK_SHEETS \tab Pink Sheets - No Tier \cr
#' 91 \tab PK_QXPREM \tab Pink Sheets - OTCQX - PremierQX Tier \cr
#' 92 \tab PK_QXPRIME \tab Pink Sheets - OTCQX - PrimeQX Tier \cr
#' 93 \tab PK_IQXPREM \tab Pink Sheets - OTCQX - International PremierQX Tier \cr
#' 94 \tab PK_IQXPRIME \tab Pink Sheets - OTCQX - International PrimeQX Tier \cr
#' 95 \tab PK_OTCQB \tab Pink Sheets - OTCBB Pink Sheets dually Quoted Tier \cr
#' 96 \tab PK_BBONLY \tab Pink Sheets - OTCBB Only Tier \cr
#' 97 \tab PK_CURRENT \tab Pink Sheets - Current Tier \cr
#' 98 \tab PK_LIMITED \tab Pink Sheets - Limited Tier \cr
#' 99 \tab PK_NOINFO \tab Pink Sheets - No Information Tier \cr
#' 100 \tab PK_GREY \tab Pink Sheets - Grey Market Tier \cr
#' 101 \tab PK_YL_SHEETS\tab Yellow Sheets \cr
#' 102 \tab PK_PR_SHEETS\tab Partner Sheets \cr
#' 103 \tab PK_GL_SHEETS\tab Global Sheets \cr
#' 104 \tab PK_NYSE \tab Pink Sheets - NYSE Listed \cr
#' 105 \tab PK_NASDAQ \tab Pink Sheets - NASDAQ Listed \cr
#' 106 \tab PK_NYSE_AMEX\tab Pink Sheets - NYSE AMEX Listed \cr
#' 107 \tab PK_ARCA \tab Pink Sheets - ARCA Listed \cr
#' 108 \tab NYSE_AMEX \tab NYSE AMEX Options Exchange \cr
#' 109 \tab GLOBEX_RT \tab CME GLOBEX Group Authorization \cr
#' 110 \tab CME_GBX \tab Chicago Mercantile Exchange (GLOBEX) \cr
#' 111 \tab CBOT_GBX \tab Chicago Board Of Trade (GLOBEX) \cr
#' 112 \tab NYMEX_GBX \tab New York Mercantile Exchange (GLOBEX) \cr
#' 113 \tab COMEX_GBX \tab Commodities Exchange Center (GLOBEX) \cr
#' 114 \tab DME_GBX \tab Dubai Mercantile Exchange (GLOBEX) \cr
#' 115 \tab RUSSELL \tab Russell Investments \cr
#' 116 \tab BZX \tab BATS Z Exchange \cr
#' 117 \tab CFTC \tab US Commodity Futures Trading Commission \cr
#' 118 \tab USDA \tab US Department of Agriculture \cr
#' 119 \tab WASDE \tab World Supply and Demand Estimates Report \cr
#' 120 \tab GRNST \tab Grain Stock Report \cr
#' 121 \tab GEMINI \tab ISE Gemini Options Exchange \cr
#' 122 \tab ARGUS \tab Argus Energy \cr
#' 123 \tab RACKS \tab Racks Energy \cr
#' 124 \tab SNL \tab SNL Energy \cr
#' 125 \tab RFSPOT \tab Refined Fuels Spots Exchange \cr
#' 126 \tab EOXNGF \tab EOX Live Natural Gas Forward Curve \cr
#' 127 \tab EOXPWF \tab EOX Live Power Forward Curve \cr
#' 128 \tab EOXCOR \tab EOX Live Correlations \cr
#' 129 \tab ICEENDEX \tab ICE Energy Derivatives Exchange \cr
#' 130 \tab KCBOT_GBX \tab Kansas City Board of Trade (GLOBEX) \cr
#' 131 \tab MGE_GBX \tab Minneapolis Grain Exchange (GLOBEX) \cr
#' 132 \tab BLOOMBERG \tab Bloomberg Indices \cr
#' 133 \tab ELSPOT \tab Nord Pool Spot \cr
#' 134 \tab N2EX \tab NASDAQ OMX-Nord Pool \cr
#' 135 \tab ICEEA \tab International Commodities Exchange European Agriculture\cr
#' 136 \tab CMEUR \tab Chicage Mercantile Exchange Europe Ltd \cr
#' 137 \tab COMM3 \tab Commodity 3 Exchange \cr
#' 138 \tab JACOBSEN \tab The Jacobsen \cr
#' 139 \tab NFX \tab NASDAQ OMX Futures \cr
#' 140 \tab SGXAC \tab SGX Asia Clear \cr
#' 141 \tab PJMISO \tab Pa-Nj-Md Independent System Operator \cr
#' 142 \tab NYISO \tab New York Independent System Operator \cr
#' 143 \tab NEISO \tab New England Independent System Operator \cr
#' 144 \tab MWISO \tab Mid West Independent System Operator \cr
#' 145 \tab SPISO \tab SW Power Pool Independent System Operator \cr
#' 146 \tab CAISO \tab California Independent System Operator \cr
#' 147 \tab ERCOT \tab ERCOT Independent System Operator \cr
#' 148 \tab ABISO \tab Alberta Independent System Operator \cr
#' 149 \tab ONISO \tab Ontario Independent System Operator \cr
#' 150 \tab MERCURY \tab ISE Mercury Options Exchange \cr
#' 151 \tab DCE \tab Dalian Commodity Exchange \cr
#' 152 \tab ZCE \tab Zengchou Commodity Exchange \cr
#' 153 \tab IEX \tab Investors Exchange LLC \cr
#' 154 \tab MCX \tab Multi Commodity Exchange of India Limited \cr
#' 155 \tab NCDEX \tab National Commodity Exchange of India Limited \cr
#' 156 \tab PEARL \tab MIAX PEARL Options exchange \cr
#' 157 \tab CTS \tab CTS System \cr
#' 158 \tab LSEI \tab London Stock Exchange International \cr
#' 159 \tab UNKNOWN \tab Unknown Market
#' }
#' * to retireve above table use \code{QuantTools:::.get_iqfeed_markets_info()}
#'
#' @section Trade Conditions:
#' \tabular{lll}{
#' \strong{Condition Code} \tab \strong{Short Name} \tab \strong{Description} \cr
#' 01 \tab REGULAR \tab Normal Trade \cr
#' 02 \tab ACQ \tab Acquisition \cr
#' 03 \tab CASHM \tab Cash Only Market \cr
#' 04 \tab BUNCHED \tab Bunched Trade \cr
#' 05 \tab AVGPRI \tab Average Price Trade \cr
#' 06 \tab CASH \tab Cash Trade (same day clearing) \cr
#' 07 \tab DIST \tab Distribution \cr
#' 08 \tab NEXTDAY \tab Next Day Market \cr
#' 09 \tab BURSTBSKT \tab Burst Basket Execution \cr
#' 0A \tab BUNCHEDSOLD \tab Bunched Sold Trade \cr
#' 0B \tab ORDETAIL \tab Opening/Reopening Trade Detail \cr
#' 0C \tab INTERDAY \tab Intraday Trade Detail \cr
#' 0D \tab BSKTONCLOSE \tab Basket Index on Close \cr
#' 0E \tab RULE127 \tab Rule - 127 Trade NYSE \cr
#' 0F \tab RULE155 \tab Rule - 155 Trade AMEX \cr
#' 10 \tab SOLDLAST \tab Sold Last (late reporting) \cr
#' 11 \tab NEXTDAYCLR \tab Next Day Clearing \cr
#' 12 \tab LATEREP \tab Opened - Late Report of Opening Trade (in or out of sequence) \cr
#' 13 \tab PRP \tab Prior Reference Price \cr
#' 14 \tab SELLER \tab Seller \cr
#' 15 \tab SPLIT \tab Split Trade \cr
#' 16 \tab RSVD \tab (Reserved) \cr
#' 17 \tab FORMT \tab Form-T Trade \cr
#' 18 \tab CSTMBSKTX \tab Custom Basket Cross \cr
#' 19 \tab SOLDOSEQ \tab Sold Out of Sequence \cr
#' 1A \tab CANC \tab Cancelled Previous Transaction \cr
#' 1B \tab CANCLAST \tab Cancelled Last Transaction \cr
#' 1C \tab CANCOPEN \tab Cancelled Open Transaction \cr
#' 1D \tab CANCONLY \tab Cancelled Only Transaction \cr
#' 1E \tab OPEN \tab Late Report of Opening Trade - out of sequence \cr
#' 1F \tab OPNL \tab Late Report of Opening Trade - in correct sequence \cr
#' 20 \tab AUTO \tab Transaction Executed Electronically \cr
#' 21 \tab HALT \tab Halt \cr
#' 22 \tab DELAYED \tab Delayed \cr
#' 23 \tab NON_BOARDLOT \tab NON_BOARDLOT \cr
#' 24 \tab POSIT \tab POSIT \cr
#' 25 \tab REOP \tab Reopen After Halt \cr
#' 26 \tab AJST \tab Contract Adjustment for Stock Dividend - Split - etc. \cr
#' 27 \tab SPRD \tab Spread - Trade in Two Options in the Same Class (a buy and a sell in the same class) \cr
#' 28 \tab STDL \tab Straddle - Trade in Two Options in the Same Class (a buy and a sell in a put and a call) \cr
#' 29 \tab STPD \tab Follow a Non-stopped Trade \cr
#' 2A \tab CSTP \tab Cancel Stopped Transaction \cr
#' 2B \tab BWRT \tab Option Portion of a Buy/Write \cr
#' 2C \tab CMBO \tab Combo - Trade in Two Options in the Same Options Class (a buy and a sell in the same class)\cr
#' 2D \tab UNSPEC \tab Unspecified \cr
#' 2E \tab MC_OFCLCLOSE \tab Market Center Official Closing Price \cr
#' 2F \tab STPD_REGULAR \tab Stopped Stock - Regular Trade \cr
#' 30 \tab STPD_SOLDLAST \tab Stopped Stock - Sold Last \cr
#' 31 \tab STPD_SOLDOSEQ \tab Stopped Stock - Sold out of sequence \cr
#' 32 \tab BASIS \tab Basis \cr
#' 33 \tab VWAP \tab Volume-Weighted Average Price \cr
#' 34 \tab STS \tab Special Trading Session \cr
#' 35 \tab STT \tab Special Terms Trading \cr
#' 36 \tab CONTINGENT \tab Contingent Order \cr
#' 37 \tab INTERNALX \tab Internal Cross \cr
#' 38 \tab MOC \tab Market On Close Trade \cr
#' 39 \tab MC_OFCLOPEN \tab Market Center Official Opening Price \cr
#' 3A \tab FORTMTSOLDOSEQ \tab Form-T Sold Out of Sequence \cr
#' 3B \tab YELLOWFLAG \tab Yellow Flag \cr
#' 3C \tab AUTOEXEC \tab Auto Execution \cr
#' 3D \tab INTRMRK_SWEEP \tab Intramaket Sweep \cr
#' 3E \tab DERIVPRI \tab Derivately Priced \cr
#' 3F \tab REOPNING \tab Re-Opeing Prints \cr
#' 40 \tab CLSING \tab Closing Prints \cr
#' 41 \tab CAP_ELCTN \tab CAP (Conversion and Parity) election trade \cr
#' 42 \tab CROSS_TRADE \tab Cross Trade \cr
#' 43 \tab PRICE_VAR \tab Price Variation \cr
#' 44 \tab STKOPT_TRADE \tab Stock-Option Trade \cr
#' 45 \tab SPIM \tab stopped at price that did not constitute a Trade-Through \cr
#' 46 \tab BNMT \tab Benchmark Trade \cr
#' 47 \tab TTEXEMPT \tab Transaction is Trade Through Exempt \cr
#' 48 \tab LATE \tab Late Market \cr
#' 49 \tab XCHG_PHYSICAL \tab Exchange for Physical \cr
#' 4A \tab CABINET \tab Cabinet \cr
#' 4B \tab DIFFERENTIAL \tab Differential \cr
#' 4C \tab HIT \tab Hit \cr
#' 4D \tab IMPLIED \tab Implied \cr
#' 4E \tab LG_ORDER \tab Large Order \cr
#' 4F \tab SM_ORDER \tab Small Order \cr
#' 50 \tab MATCH \tab Match/Cross Trade \cr
#' 51 \tab NOMINAL \tab Nominal \cr
#' 52 \tab OPTION_EX \tab Option Exercise \cr
#' 53 \tab PERCENTAGE \tab Percentage \cr
#' 54 \tab AUTOQUOTE \tab Auto Quotes \cr
#' 55 \tab INDICATIVE \tab Indicative \cr
#' 56 \tab TAKE \tab Take \cr
#' 57 \tab NOMINAL_CABINET \tab Nominal Cabinet \cr
#' 58 \tab CHNG_TRANSACTION\tab Changing Transaction \cr
#' 59 \tab CHNG_TRANS_CAB \tab Changing Transaction Cabinet \cr
#' 5A \tab FAST \tab Fast Market (ssfutures) \cr
#' 5B \tab NOMINAL_UPDATE \tab Nominal Update \cr
#' 5C \tab INACTIVE \tab Inactive - Nominal - No Trade \cr
#' 5D \tab DELTA \tab Last Trade with Delta Exchange \cr
#' 5E \tab ERRATIC \tab Erratic \cr
#' 5F \tab RISK_FACTOR \tab Risk Factor \cr
#' 60 \tab OPT_ADDON \tab Short Option Add-On \cr
#' 61 \tab VOLATILITY \tab Volatility Trade \cr
#' 62 \tab SPD_RPT \tab Spread Reporting \cr
#' 63 \tab VOL_ADJ \tab Volume Adjustment \cr
#' 64 \tab BLANK \tab Blank out associated price \cr
#' 65 \tab SOLDLATE \tab Late report of transaction - in correct sequence \cr
#' 66 \tab BLKT \tab Block Trade \cr
#' 67 \tab EXPH \tab Exchange Future for Physical \cr
#' 68 \tab SPECIALIST_A \tab Ask from specialist Book \cr
#' 69 \tab SPECIALIST_B \tab Bid from specialist Book \cr
#' 6A \tab SPECIALIST_BA \tab Both Bid and Ask from Specialist Book \cr
#' 6B \tab ROTATION \tab Rotation \cr
#' 6C \tab HOLIDAY \tab Holiday \cr
#' 6D \tab PREOPENING \tab Pre Opening \cr
#' 6E \tab POST_FULL \tab Post Full \cr
#' 6F \tab POST_RESTRICTED \tab Post Restricted \cr
#' 70 \tab CLOSING_AUCTION \tab Closing Auction \cr
#' 71 \tab BATCH \tab Batch \cr
#' 72 \tab TRADING \tab Trading \cr
#' 73 \tab OFFICIAL \tab Official Bid/Ask price \cr
#' 74 \tab UNOFFICIAL \tab Unofficial Bid/Ask price \cr
#' 75 \tab MIDPRICE \tab Midprice last \cr
#' 76 \tab FLOOR \tab Floor B/A price \cr
#' 77 \tab CLOSE \tab Closing Price \cr
#' 78 \tab HIGH \tab End of Session High Price \cr
#' 79 \tab LOW \tab End of Session Low Price \cr
#' 7A \tab BACKWARDATION \tab Backwardation - immediate delivery costing more than future delivery \cr
#' 7B \tab CONTANGO \tab Contango - future delivery costing more than immediate delivery \cr
#' 7C \tab RF_SETTLEMENT \tab Refined Fuel Spot Settlement \cr
#' 7D \tab RF_RESERVED1 \tab Refined Fuel Spot Reserved - 1 \cr
#' 7E \tab RF_RESERVED2 \tab Refined Fuel Spot Reserved - 2 \cr
#' 7F \tab RF_RESERVED3 \tab Refined Fuel Spot Reserved - 3 \cr
#' 80 \tab RF_RESERVED4 \tab Refined Fuel Spot Reserved - 4 \cr
#' 81 \tab YIELD \tab Yield Price \cr
#' 82 \tab BASIS_HIGH \tab Current Basis High Value \cr
#' 83 \tab BASIS_LOW \tab Current Bases Low Value \cr
#' 84 \tab UNCLEAR \tab bid or offer price is unclear \cr
#' 85 \tab OTC \tab Over the counter trade \cr
#' 86 \tab MS \tab Trade entered by Market Supervision \cr
#' 87 \tab ODDLOT \tab Odd lot trade \cr
#' 88 \tab CORRCSLDLAST \tab Corrected Consolidated last \cr
#' 89 \tab QUALCONT \tab Qualified Contingent Trade \cr
#' 8A \tab MC_OPEN \tab Market Center Opening Trade \cr
#' 8B \tab CONFIRMED \tab Confirmed \cr
#' 8C \tab OUTAGE \tab Outage \cr
#' 8D \tab SPRD_LEG \tab CME spread leg trade \cr
#' 8E \tab BNDL_SPRD_LEG \tab Final CME MDP3 trade from Trade Summary message that could not be Un-Bundled \cr
#' 8F \tab LATECORR \tab LSE - Late Correction \cr
#' 90 \tab CONTRA \tab LSE - Previous days contra \cr
#' 91 \tab IF_TRANSFER \tab LSE - Inter-fund transfer \cr
#' 92 \tab IF_CROSS \tab LSE - Inter-fund Cross \cr
#' 93 \tab NEG_TRADE \tab LSE - Negotiated Trade \cr
#' 94 \tab OTC_CANC \tab LSE - OTC Trade Cancellation \cr
#' 95 \tab OTC_TRADE \tab LSE - OTC Trade \cr
#' 96 \tab SI_LATECORR \tab LSE - SI Late Correction \cr
#' 97 \tab SI_TRADE \tab LSE - SI Trade \cr
#' 98 \tab AUCT_TRADE \tab LSE - Auctions (bulk;individual) \cr
#' 99 \tab LATE \tab LSE - Late trade \cr
#' 9A \tab STRAT \tab LSE - Strategy vs. Strategy Trade trade \cr
#' 9B \tab INDICATIVE_AUCT \tab LSE - Indicative Auction Uncrossing Data
#' }
#' * to retireve above table use \code{QuantTools:::.get_iqfeed_trade_conditions_info()}
#'
#
NULL
iqfeed = R6::R6Class( 'iqfeed', lock_objects = F )
iqfeed$set( 'public', 'initialize', function( host = .settings$iqfeed_host, port = list( stream = 5009, lookup = .settings$iqfeed_port ), timeout = .settings$iqfeed_timeout, verbose = .settings$iqfeed_verbose, stream = FALSE ) {
self$stream = stream
self$settings = list( host = host, port = port, timeout = timeout, verbose = verbose, buffer_size = .settings$iqfeed_buffer )
self$settings$buffer_size_stream = 1000
} )
iqfeed$set( 'public', 'verbose_message', function( text ) {
text = paste( Sys.time(), substr( text, 1, 100 ), '...' )
text = gsub( '\n','\\\\n', text )
text = gsub( '\r','\\\\r', text )
if( self$settings$verbose ) message( text )
} )
iqfeed$set( 'public', 'read_chain', function( prefix, split, con, n ) {
text = paste0( prefix, readChar( con, n ) )
if( self$settings$timeout < 1 ) Sys.sleep( self$settings$timeout )
last_split = regexpr( paste0( split, '[^', split, ']*$' ), text )
if( last_split > 0 ) list(
complete = strtrim( text, last_split ),
tail = substr( text, last_split + 1, nchar( text ) )
) else list(
complete = '',
tail = text
)
} )
iqfeed$set( 'public', 'connect', function() {
## connect
self$connection = lapply( self$settings$port[ c( 'lookup', if( self$stream ) 'stream' ) ], socketConnection,
host = self$settings$host,
timeout = self$settings$timeout,
open = 'a+b',
blocking = TRUE )
## set protocol
protocol = 'S,SET PROTOCOL,5.2\r\n'
if( self$stream ) writeChar( protocol, self$connection$stream )
writeChar( protocol, self$connection$lookup )
if( self$settings$timeout < 1 ) Sys.sleep( self$settings$timeout )
## confirm lookup
confirmation = gsub( 'SET', 'CURRENT', protocol )
self$verbose_message( readChar( self$connection$lookup, n = nchar( confirmation ) ) )
} )
iqfeed$set( 'public', 'disconnect', function() {
if( self$stream ) close( self$connection$stream )
close( self$connection$lookup )
} )
iqfeed$set( 'public', 'subscribe', function( symbol ) {
if( is.null( self$subscribed ) ) self$subscribed = symbol else self$subscribed[ length( self$subscribed ) + 1 ] = symbol
cmd = paste0( 't', symbol, '\r\n' )
cat( cmd, file = self$connection$stream )
} )
iqfeed$set( 'public', 'unsubscribe', function( symbol ) {
self$subscribed = self$subscribed[ self$subscribed != symbol ]
cmd = paste0( 'r', symbol, '\r\n' )
cat( cmd, file = self$connection$stream )
} )
iqfeed$set( 'public', 'read', function() {
if( is.null( self$stream ) ) {
self$stream_messages = vector( 5e07, mode = 'list' )
self$stream_quotes = vector( 5e07, mode = 'list' )
self$stream_hbeats = vector( 5e07, mode = 'list' )
self$stream_index = 1
self$stream_tail = ''
}
curr_time = Sys.time() + as.difftime( 1, units = 'hours' )
attr( curr_time, 'tzone' ) = 'EST'
stop_message = paste0( 'T,', format( curr_time, '%Y%m%d %H:%M:%S' ) )
hbeats_names = c( 'T', 'time' )
quotes_names = c( 'Q','symbol','price','volume','time','trade_market_center','total_volume','bid','bid_volume','ask','ask_volume','open','high','low','close','contents','trade_conditions','tail' )
message_chunk = list( complete = '', tail = self$stream_tail )
repeat {
message_chunk = self$read_chain( message_chunk$tail, split = '\n', con = self$connection$stream, n = self$settings$buffer_size_stream )
self$stream_tail = message_chunk$tail
text = message_chunk$complete
messages = strsplit( text, '\n', fixed = TRUE )[[1]]
header_tag = 'S,CURRENT UPDATE FIELDNAMES,'
header = grep( header_tag, messages, fixed = T, value = T )
quotes = grep( '^Q,', messages, value = T )
hbeats = grep( '^T,', messages, value = T )
self$stream_messages[[ self$stream_index ]] = messages
if( length( quotes ) ) self$stream_quotes[[ self$stream_index ]] = fread( paste( c( quotes, '' ), collapse = '\n' ), header = F, col.names = quotes_names )[,-c( 'Q', 'tail' ) ]
if( length( hbeats ) ) self$stream_hbeats[[ self$stream_index ]] = fread( paste( c( hbeats, '' ), collapse = '\n' ), header = F, col.names = hbeats_names, sep = ',' )[,-'T' ]
# broken when 1 line fed to fread
self$stream_index = self$stream_index + 1
terminated = grepl( stop_message, message_chunk$complete, fixed = T )
if( terminated ) break
}
} )
iqfeed$set( 'public', 'get_trades', function() {
rbindlist( self$stream_quotes[ 2:self$stream_index - 1 ] )
} )
iqfeed$set( 'public', 'lookup', function( cmd, colClasses = NULL ) {
writeChar( cmd, self$connection$lookup )
message_chunks = vector( 5e06, mode = 'list' )
message_chunk_index = 1
retry_index = 0
max_n_retry = 10
terminator = '!ENDMSG!,\r\n'
no_data_tag = '!NO_DATA!'
invalid_tag = 'Unauthorized user ID.'
message_chunk = list( complete = '', tail = '' )
repeat {
message_chunk = self$read_chain( message_chunk$tail, split = '\n', con = self$connection$lookup, n = self$settings$buffer_size )
self$verbose_message( message_chunk$complete )
terminated = grepl( terminator, message_chunk$complete, fixed = T )
if( terminated ) {
if( grepl( no_data_tag, message_chunk$complete, fixed = T ) ) {
message( no_data_tag )
return( NULL )
}
if( grepl( invalid_tag, message_chunk$complete, fixed = T ) ) {
message( invalid_tag )
return( NULL )
}
message_chunk$complete = strtrim( message_chunk$complete, nchar( message_chunk$complete ) - nchar( terminator ) )
}
message_chunk$complete = gsub( ', ', ';', message_chunk$complete, fixed = TRUE )
if( message_chunk$complete != '' ) {
message_chunks[[ message_chunk_index ]] = fread( message_chunk$complete, sep = ',', colClasses = colClasses, fill = T )
} else {
retry_index = retry_index + 1
if( retry_index > max_n_retry ) return( message( 'Tried 10 times with no result. Check IQFeed client and try again. NULL returned.' ) )
}
if( terminated ) break
message_chunk_index = message_chunk_index + 1
}
x = rbindlist( message_chunks[ 1:message_chunk_index ] )
x[, -ncol( x ), with = FALSE ]
} )
iqfeed$set( 'public', 'lookup_mult', function( cmd ) {
#lapply( cmd, writeChar, self$connection$lookup )
writeChar( paste( cmd, collapse = '' ), self$connection$lookup )
message_chunks = vector( 5e06, mode = 'list' )
message_chunk_index = 1
retry_index = 0
max_n_retry = 10
terminator = '!ENDMSG!,\r\n'
n_terminator = 0
n_terminator_max = length( cmd )
nstr = function( x, pattern ) ( nchar( x ) - nchar( gsub( pattern, '', x, fixed = T ) ) ) / nchar( pattern )
repeat {
message_chunk = self$read_chain( message_chunk$tail, split = '\n', con = self$connection$lookup, n = self$settings$buffer_size )
self$verbose_message( message_chunk$complete )
n_terminator = n_terminator + nstr( message_chunk$complete, terminator )
terminated = n_terminator == n_terminator_max
message_chunk$complete = gsub( ', ', ';', message_chunk$complete, fixed = TRUE )
if( message_chunk$complete != '' ) message_chunks[[ message_chunk_index ]] = message_chunk$complete
if( terminated ) break
message_chunk_index = message_chunk_index + 1
}
x = paste( unlist( message_chunks[ 1:message_chunk_index ] ), collapse = '\r\n' )
x = strsplit( x, split = terminator, fixed = TRUE )[[1]]
x = lapply( x, gsub, pattern = ',\r', replacement = '', fixed = T )
x = lapply( x, fread )
names( x ) = cmd
return( x )
} )
iqfeed$set( 'public', 'get_markets', function() {
markets = self$lookup( cmd = 'SLM\r\n' )
setnames( markets, c( 'market_id', 'short_name', 'long_name', 'group_id', 'group_name' ) )
markets[]
} )
iqfeed$set( 'public', 'get_trade_conditions', function() {
codes = self$lookup( cmd = 'STC\r\n' )
setnames( codes, c( 'condition_code', 'short_name', 'description' ) )
codes[, condition_code := toupper( as.hexmode( condition_code ) ) ][]
} )
iqfeed$set( 'public', 'get_security_types', function() {
types = self$lookup( cmd = 'SST\r\n' )
setnames( types, c( 'type_id', 'short_name', 'long_name' ) )
types[]
} )
iqfeed$set( 'public', 'search_by_filter', function( search_field = 's', search_string = 'AAPL', filter_type = 't', filter_value = '' ) {
cmd = paste0( paste( 'SBF', search_field, search_string, filter_type, filter_value, sep = ',' ), '\r\n' )
search_result = self$lookup( cmd )
if( is.null( search_result ) ) return()
setnames( search_result, c( 'symbol', 'market', 'type', 'description' ) )
search_result
} )
iqfeed$set( 'public', 'get_ticks', function( symbol, n_ticks, n_days, from, to ) {
cmd = if( !missing( n_ticks ) ) {
paste0( paste( 'HTX', symbol, max = n_ticks, direction = '1', sep = ',' ), '\r\n' )
} else if( !missing( n_days ) ) {
paste0( paste( 'HTD', symbol, n_days, max = '', time_begin = '', time_end = '', direction = '1', sep = ',' ), '\r\n' )
} else if( missing( from ) & missing( to ) ) stop( 'no arguments set' ) else {
paste0( paste( 'HTT', symbol, datetime_begin = format( as.POSIXct( from ), '%Y%m%d %H%M%S' ), datetime_end = format( as.POSIXct( to ) + ( nchar( to ) == 10 ) * as.difftime( '24:00:00' ), '%Y%m%d %H%M%S' ), max = '', time_begin = '', time_end = '', direction = '1', sep = ',' ), '\r\n' )
}
colClasses = c( 'character', rep( 'numeric', 6 ), rep( 'character', 3 ), 'numeric' )
ticks = self$lookup( cmd, colClasses )
if( is.null( ticks ) ) return( NULL )
setnames( ticks, c( 'time','price','volume','size','bid','ask','tick_id','basis_for_last', 'trade_market_center', 'trade_conditions' ) )
ticks[, time := fasttime::fastPOSIXct( time, 'UTC' ) ][]
} )
iqfeed$set( 'public', 'get_intraday_candles', function( symbol, interval, n_candles, n_days, from, to, type = 's' ) {
cmd = if( !missing( n_candles ) ) {
paste0( paste( 'HIX', symbol, interval, max = n_candles, direction = '1', request_id = '', points_sent = '', type, sep = ',' ), '\r\n' )
} else if( !missing( n_days ) ) {
paste0( paste( 'HID', symbol, interval, n_days, max = '', time_begin = '', time_end = '', direction = '1', request_id = '', points_sent = '', type, sep = ',' ), '\r\n' )
} else if( missing( from ) & missing( to ) ) stop( 'no arguments set' ) else {
paste0( paste( 'HIT', symbol, interval, datetime_begin = format( as.POSIXct( from ), '%Y%m%d %H%M%S' ), datetime_end = format( as.POSIXct( to ) + ( nchar( to ) == 10 ) * as.difftime( '24:00:00' ), '%Y%m%d %H%M%S' ), max = '', time_begin = '', time_end = '', direction = '1', request_id = '', points_sent = '', type, sep = ',' ), '\r\n' )
}
candles = self$lookup( cmd )
if( is.null( candles ) ) return( NULL )
setnames( candles, c( 'time', 'high', 'low', 'open', 'close', 'total_volume', 'volume', 'n_trades' ) )
candles[, ':='( total_volume = NULL, n_trades = NULL ) ]
setcolorder( candles, c( 'time', 'open', 'high', 'low', 'close', 'volume' ) )
candles[, time := fasttime::fastPOSIXct( time, 'UTC' ) ][]
} )
iqfeed$set( 'public', 'get_daily_candles', function( symbol, n_days, n_weeks, n_months, from, to ) {
cmd = if( !missing( n_days ) ) {
paste0( paste( 'HDX', symbol, max = n_days, direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
} else if( !missing( n_weeks ) ) {
paste0( paste( 'HWX', symbol, max = n_weeks, direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
} else if( !missing( n_months ) ) {
paste0( paste( 'HMX', symbol, max = n_months, direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
} else if( missing( from ) & missing( to ) ) stop( 'no arguments set' ) else {
paste0( paste( 'HDT', symbol, date_begin = format( as.Date( from ), '%Y%m%d' ), date_end = format( as.Date( to ), '%Y%m%d' ), max = '', direction = '1', request_id = '', points_sent = '', sep = ',' ), '\r\n' )
}
candles = self$lookup( cmd )
if( is.null( candles ) ) return( NULL )
setnames( candles, c( 'date', 'high', 'low', 'open', 'close', 'volume', 'open_interest' ) )
setcolorder( candles, c( 'date', 'open', 'high', 'low', 'close', 'volume', 'open_interest' ) )
candles[, date := as.Date( date ) ][]
} )
.get_iqfeed_daily_candles = function( symbol, from, to ) {
self = iqfeed$new()
self$connect()
x = self$get_daily_candles( symbol = symbol, from = from, to = to )
self$disconnect()
return( x )
}
.get_iqfeed_recent_daily_candles = function( symbol, days = 10 ) {
self = iqfeed$new()
self$connect()
x = self$get_daily_candles( symbol = symbol, n_days = days )
self$disconnect()
return( x )
}
.get_iqfeed_candles = function( symbol, from, to, interval = 3600 ) {
self = iqfeed$new()
self$connect()
x = self$get_intraday_candles( symbol = symbol, interval = interval, from = from, to = to )
self$disconnect()
return( x )
}
.get_iqfeed_ticks = function( symbol, from, to = from ) {
self = iqfeed$new()
self$connect()
x = self$get_ticks( symbol = symbol, from = from, to = to )
self$disconnect()
return( x )
}
.get_iqfeed = function( cmd ) {
self = iqfeed$new()
self$connect()
x = self$lookup( cmd )
self$disconnect()
return( x )
}
.get_iqfeed_markets_info = function( ){
self = iqfeed$new()
self$connect()
x = self$get_markets()
self$disconnect()
return( x )
}
.get_iqfeed_security_types_info = function( ){
self = iqfeed$new()
self$connect()
x = self$get_security_types()
self$disconnect()
return( x )
}
.get_iqfeed_symbol_info = function( symbol, type_ids ){
cmd = paste0( 'SBF,s,', symbol, ',t,', paste( type_ids, collapse = ' ' ), '\r\n' )
info = .get_iqfeed( cmd )
if( is.null( info ) ) return()
setnames( info, c( 'symbol', 'market', 'type', 'description' ) )
.symbol = symbol
info = info[ symbol == .symbol ]
if( nrow( info ) == 0 ) return()
info[]
}
.get_iqfeed_trade_conditions_info = function( ){
self = iqfeed$new()
self$connect()
x = self$get_trade_conditions()
self$disconnect()
return( x )
}
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