R/reqMktDepth.R

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

`reqMktDepth` <-
function (conn, Contract, tickerId = "1", numRows="20",
          timeStamp=TRUE, playback=1,
          file='', verbose=TRUE,
          eventWrapper=eWrapper(),
          CALLBACK=twsCALLBACK,...) 
{
    if (!is.twsConnection(conn))
        stop("tws connection object required")

    if(!is.twsPlayback(conn)) {
      # if playback from a file, don't test or require contract
      if(class(Contract) == "twsContract") Contract <- list(Contract)
  
      for(n in 1:length(Contract)) {
        if (class(Contract[[n]]) != "twsContract") 
            stop("twsContract required")
      }
    }

    con <- conn[[1]]
    if (!isOpen(con)) 
        stop("connection to TWS has been closed")

    cancelMktDepth <- function(con,tickerId) {
      if(inherits(con, 'sockconn')) {
        for(i in 1:length(tickerId)) {
          writeBin(.twsOutgoingMSG$CANCEL_MKT_DEPTH,con)
          writeBin('1',con)
          writeBin(tickerId[i],con)
        }
      } else {
        # reset to beginning of file
        seek(con,0)
      }
    }

    if(!is.character(timeStamp) & timeStamp) {
      timeStamp <- "%Y%m%d %H:%M:%OS"
    } else {
      timeStamp <- NULL
    }

    if(is.null(CALLBACK))
      CALLBACK <- twsDEBUG

    VERSION <- "3"
 
    ticker_id <- as.character(tickerId)

    if(inherits(con, 'sockconn')) {
      # write to live TWS Connection
      for(n in 1:length(Contract)) {
        signals <- c(.twsOutgoingMSG$REQ_MKT_DEPTH,
                     VERSION, 
                     ticker_id,
                     Contract[[n]]$symbol,
                     Contract[[n]]$sectype,
                     Contract[[n]]$expiry,
                     Contract[[n]]$strike, 
                     Contract[[n]]$right,
                     Contract[[n]]$multiplier,
                     Contract[[n]]$exch,
                     Contract[[n]]$currency,
                     Contract[[n]]$local,
                     numRows)
    
    
        for (i in 1:length(signals)) {
            writeBin(signals[i], con)
        }
        ticker_id <- as.character(as.numeric(tickerId)+n)
      }
      msg_expected_length <- NA
    } else {
      msg_expected_length <- as.numeric(readBin(con, character(), 1))
    } 

    if(!missing(CALLBACK) && is.na(list(CALLBACK))) {
      if(inherits(conn, 'twsPlayback')) {
        seek(conn[[1]], 0)
        stop("CALLBACK=NA is not available for playback")
      }
      return(as.character(as.numeric(tickerId):length(Contract)))
    }
    on.exit(cancelMktDepth(con, as.character(as.numeric(tickerId):length(Contract))))

    CALLBACK(conn, eWrapper=eventWrapper, timestamp=timeStamp, file=file,
             playback=playback, ...)
}

`cancelMktDepth` <- function(conn,tickerId) {
  if(!inherits(conn, "twsConnection"))
    stop("twsConnection object required")

  con <- conn[[1]]

  for(i in 1:length(tickerId)) {
    writeBin(.twsOutgoingMSG$CANCEL_MKT_DEPTH,con)
    writeBin('1',con)
    writeBin(tickerId[i],con)
  }
}