R/Scanner.R

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

.reqScannerParameters <- function(twsconn) {
  if( !is.twsConnection(twsconn))
    stop('invalid twsConnection')
  
  VERSION <- "1"
  
  writeBin(c(.twsOutgoingMSG$REQ_SCANNER_PARAMETERS, VERSION), twsconn[[1]])
}

reqScannerParameters <- function(twsconn) {
  .reqScannerParameters(twsconn)

  con <- twsconn[[1]]
  eW <- eWrapper()

  while(TRUE) {
    socketSelect(list(con), FALSE, NULL)
    curMsg <- readBin(con, character(), 1L)
    msg <- processMsg(curMsg, con, eW)
    if( curMsg == .twsIncomingMSG$SCANNER_PARAMETERS)
      return(invisible(msg[2]))
  }
}

.reqScannerSubscription <- function(twsconn, subscription, tickerId=1) {
  if( !is.twsConnection(twsconn))
    stop('invalid twsConnection')
  if( !inherits(subscription, "twsScannerSubscription"))
    stop('invalid twsScannerSubscription')
  
  VERSION <- "3"
   
  msg <- c(.twsOutgoingMSG$REQ_SCANNER_SUBSCRIPTION,
           VERSION,
           tickerId,
           subscription$numberOfRows,
           subscription$instrument,
           subscription$locationCode,
           subscription$scanCode,
           subscription$abovePrice,
           subscription$belowPrice,
           subscription$aboveVolume,
           subscription$marketCapAbove,
           subscription$marketCapBelow,
           subscription$moodyRatingAbove,
           subscription$moodyRatingBelow,
           subscription$spRatingAbove,
           subscription$spRatingBelow,
           subscription$maturityDateAbove,
           subscription$maturityDateBelow,
           subscription$couponRateAbove,
           subscription$couponRateBelow,
           subscription$excludeConvertible,
           subscription$averageOptionVolumeAbove,
           subscription$scannerSettingPairs,
           subscription$stockTypeFilter)

  writeBin(as.character(msg), twsconn[[1]])
}

reqScannerSubscription <- function(twsconn, subscription, tickerId=1) {
  scanner <- data.frame(reqId=NULL,
                         rank =NULL,
                         symbol=NULL,
                         expiry=NULL,
                         strike=NULL,
                         right=NULL,
                         exch=NULL,
                         currency=NULL,
                         local=NULL,
                         marketName=NULL,
                         tradingClass=NULL,
                         distance=NULL,
                         benchmark=NULL,
                         projection=NULL,
                         legsStr=NULL)
  .reqScannerSubscription(twsconn, subscription, tickerId)
  on.exit(cancelScannerSubscription(twsconn, tickerId))

  con <- twsconn[[1]]
  while(TRUE) {
    socketSelect(list(con), FALSE, NULL)
    curMsg <- readBin(con, character(), 1L)
    if(curMsg == .twsIncomingMSG$SCANNER_DATA) {
      cD <- twsContractDetails()
        version <- readBin(con, character(), 1L)
        reqId <- readBin(con, character(), 1L)
        numberOfElements <- as.integer(readBin(con, character(), 1L))
        for (i in 1:numberOfElements) {
            msg <- readBin(con, character(), 16L)
            rank <- msg[1]
            cD$contract$conId <- msg[2]
            cD$contract$symbol <- msg[3]
            cD$contract$sectype <- msg[4]
            cD$contract$expiry <- msg[5]
            cD$contract$strike <- msg[6]
            cD$contract$right <- msg[7]
            cD$contract$exch <- msg[8]
            cD$contract$currency <- msg[9]
            cD$contract$local <- msg[10]
            cD$marketName <- msg[11]
            cD$tradingClass <- msg[12]
            distance <- msg[13]
            benchmark <- msg[14]
            projection <- msg[15]
            legsStr <- msg[16]
            ctr <- cD$contract
            scanner <- rbind(scanner, 
                        data.frame(reqId,rank,symbol=ctr$symbol,
                                   expiry=ctr$expiry,strike=ctr$strike,
                                   right=ctr$right,exch=ctr$exch,
                                   currency=ctr$currency,local=ctr$local,
                                   marketName=cD$marketName,tradingClass=cD$tradingClass,
                                   distance,benchmark,projection,
                                   legsStr,stringsAsFactors=FALSE))

      }
      return(scanner)
    } else processMsg(curMsg, con, eWrapper(NULL))
  } 
}

cancelScannerSubscription <- function(twsconn, tickerId=1) {
  if( !is.twsConnection(twsconn))
    stop('invalid twsConnection')
  
  VERSION <- "1"
   
  msg <- c(.twsOutgoingMSG$CANCEL_SCANNER_SUBSCRIPTION,
           VERSION,
           tickerId)
  writeBin(as.character(msg), twsconn[[1]])
}