scripts/ibrokers_processMsg.R

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

processMsg <- function (curMsg, con, eWrapper, timestamp, file, twsconn, ...) {
    if (curMsg == .twsIncomingMSG$TICK_PRICE) {
        msg <- readBin(con, "character", 6)
        eWrapper$tickPrice(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$TICK_SIZE) {
        msg <- readBin(con, "character", 4)
        eWrapper$tickSize(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$ORDER_STATUS) {
        msg <- readBin(con, "character", 11)
        eWrapper$orderStatus(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$ERR_MSG) {
        msg <- readBin(con, "character", 4)
        eWrapper$errorMessage(curMsg, msg, timestamp, file, twsconn, ...)
    }
    else if (curMsg == .twsIncomingMSG$OPEN_ORDER) {
        msg <- readBin(con, "character", 84)
        # modified according to:
        # https://stackoverflow.com/questions/34703679/r-ibrokers-reqopenorders-hangs
        x <- eWrapper$openOrder(curMsg, msg, timestamp, file, ...)
        return(x)
    }
    else if (curMsg == .twsIncomingMSG$ACCT_VALUE) {
        msg <- readBin(con, "character", 5)
        eWrapper$updateAccountValue(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$PORTFOLIO_VALUE) {
        msg <- readBin(con, "character", 18)
        eWrapper$updatePortfolio(curMsg, msg, timestamp, file, 
            ...)
    }
    else if (curMsg == .twsIncomingMSG$ACCT_UPDATE_TIME) {
        msg <- readBin(con, "character", 2)
        eWrapper$updateAccountTime(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$NEXT_VALID_ID) {
        msg <- readBin(con, "character", 2)
        eWrapper$nextValidId(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$CONTRACT_DATA) {
        msg <- readBin(con, "character", 28)
        eWrapper$contractDetails(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$EXECUTION_DATA) {
        msg <- readBin(con, "character", 24)
        eWrapper$execDetails(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$MARKET_DEPTH) {
        msg <- readBin(con, "character", 7)
        eWrapper$updateMktDepth(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$MARKET_DEPTH_L2) {
        msg <- readBin(con, "character", 8)
        eWrapper$updateMktDepthL2(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$NEWS_BULLETINS) {
        msg <- readBin(con, "character", 5)
        eWrapper$newsBulletins(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$MANAGED_ACCTS) {
        msg <- readBin(con, "character", 2)
        eWrapper$managedAccounts(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$RECEIVE_FA) {
        msg <- readBin(con, "character", 2)
        stop("xml data currently unsupported")
        eWrapper$receiveFA(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$HISTORICAL_DATA) {
        header <- readBin(con, character(), 5)
        nbin <- as.numeric(header[5]) * 9
        msg <- readBin(con, character(), nbin)
        eWrapper$historicalData(curMsg, msg, timestamp, file, 
            ...)
    }
    else if (curMsg == .twsIncomingMSG$BOND_CONTRACT_DATA) {
        warning("BOND_CONTRACT_DATA unimplemented as of yet")
        eWrapper$bondContractDetails(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$SCANNER_PARAMETERS) {
        version <- readBin(con, character(), 1L)
        msg <- readBin(con, raw(), 1000000L)
        eWrapper$scannerParameters(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$SCANNER_DATA) {
        cD <- twsContractDetails()
        version <- readBin(con, character(), 1L)
        tickerId <- readBin(con, character(), 1L)
        numberOfElements <- as.integer(readBin(con, character(), 
            1L))
        for (i in 1:numberOfElements) {
            msg <- readBin(con, character(), 16L)
            rank <- msg[1]
            cD$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$tradingClass <- msg[12]
            distance <- msg[13]
            benchmark <- msg[14]
            projection <- msg[15]
            legsStr <- msg[16]
            eWrapper$scannerData(curMsg, tickerId, rank, cD, 
                distance, benchmark, projection, legsStr)
        }
    }
    else if (curMsg == .twsIncomingMSG$TICK_OPTION_COMPUTATION) {
        msg <- readBin(con, "character", 11)
        eWrapper$tickOptionComputation(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$TICK_GENERIC) {
        msg <- readBin(con, "character", 4)
        eWrapper$tickGeneric(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$TICK_STRING) {
        msg <- readBin(con, "character", 4)
        eWrapper$tickString(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$TICK_EFP) {
        msg <- readBin(con, "character", 10)
        eWrapper$tickEFP(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$CURRENT_TIME) {
        msg <- readBin(con, "character", 2)
        eWrapper$currentTime(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$REAL_TIME_BARS) {
        msg <- readBin(con, "character", 10)
        eWrapper$realtimeBars(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$FUNDAMENTAL_DATA) {
        msg <- readBin(con, "character", 3)
        eWrapper$fundamentalData(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$CONTRACT_DATA_END) {
        msg <- readBin(con, "character", 2)
        eWrapper$contractDetailsEnd(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$OPEN_ORDER_END) {
        msg <- readBin(con, "character", 1)
        eWrapper$openOrderEnd(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$ACCT_DOWNLOAD_END) {
        msg <- readBin(con, "character", 2)
        eWrapper$accountDownloadEnd(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$EXECUTION_DATA_END) {
        msg <- readBin(con, "character", 2)
        eWrapper$execDetailsEnd(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$DELTA_NEUTRAL_VALIDATION) {
        msg <- readBin(con, "character", 5)
        eWrapper$deltaNeutralValidation(curMsg, msg, timestamp, file, ...)
    }
    else if (curMsg == .twsIncomingMSG$TICK_SNAPSHOT_END) {
        msg <- readBin(con, "character", 2)
        eWrapper$tickSnapshotEnd(curMsg, msg, timestamp, file, ...)
    }
    else {
        warning(paste("Unknown incoming message: ", curMsg, ". Please reset connection", 
            sep = ""), call. = FALSE)
    }
}  # end processMsg