vignettes/ibrokers_design.md

In algoquant/IBrokers2: R API to Interactive Brokers (clone of IBrokers)

Overview

The package IBrokers2 executes real-time trading strategies using the functions from package IBrokers plus some additional functions. The additional functions mostly provide trade execution capabilities, for running systematic trading strategies. For example, the original function IBrokers::reqRealTimeBars() can be used for running trading strategies, by passing to it a customized event wrapper (eWrapper) function called IBrokers2::trade_wrapper().

Implementation Details

The function IBrokers::reqRealTimeBars() collects real-time bar data (OHLC data) from Interactive Brokers and saves it to a file. It relies on an eWrapper function to write each bar of OHLC data. An eWrapper is an R environment which contains variables and handler functions, and serves as a buffer for the streaming real-time market data. An eWrapper function creates an eWrapper environment, defines its member (handler) functions, and returns the eWrapper environment.

The function IBrokers::reqRealTimeBars() calls IBrokers::twsCALLBACK(), which first creates an eWrapper environment by calling an eWrapper function, and then passes the eWrapper environment into IBrokers::processMsg() and calls it in a callback loop. The callback loop is performed inside the function IBrokers::twsCALLBACK(), which calls IBrokers::processMsg() in a loop, which in turn calls realtimeBars() (defined inside IBrokers2::trade_wrapper()). The function IBrokers::processMsg() calls the data handlers in the eWrapper environment to process and save each bar of the OHLC data. This way the eWrapper environment created by IBrokers2::trade_wrapper() persists as a mutable state in the evaluation environment of the function twsCALLBACK(), in between bar data arrivals.

The function IBrokers2::trade_wrapper() is an eWrapper function which is customized for trading. It creates an eWrapper environment, defines the member function realtimeBars(), and returns the eWrapper environment. The function realtimeBars() is where the trading code resides. The trading code updates a trading model with new data, runs the model, and then executed trades based on its output. The function IBrokers2::trade_wrapper() is derived from the function IBrokers::eWrapper.RealTimeBars.CSV().

An example of a simple trading strategy can be run with the code in the file IB_scripts.R in the scripts sub-directory. The user can customize this strategy by modifying the trading code in realtimeBars().

System Architecture

The Interactive Brokers API uses numerical codes to indicate the type of messages and the data that are being transmitted. IBrokers maintains several named lists with the numerical IB codes, called: .twsIncomingMSG, .twsOutgoingMSG, .twsTickType, and .twsOrderID. The variable curMsg is the value returned by readBin(). The variable curMsg is parsed by comparing it with the elements of .twsIncomingMSG. The list .twsOutgoingMSG is used to create strings for outgoing messages, which are then passed into writeBin().

Installation and Loading

Install package IBrokers2 from github:

if (!("package:devtools" %in% search() || require("devtools", quietly=TRUE)))
    install.packages("devtools")
devtools::install_github(repo="algoquant/IBrokers2")
library(IBrokers2)

algoquant/IBrokers2 documentation built on Nov. 3, 2021, 10:18 p.m.