R/getQuote.BATS.R
In gsee/qmao: Quantmod Add-on
Defines functions
getQuote.BATS
asks
bids
ladder
trades
depth
print.ladder
print.depth
print.bats
plot.ladder
plot.depth
plot.bats
Documented in
depth
getQuote.BATS
ladder
plot.bats
plot.depth
plot.ladder
print.bats
print.depth
print.ladder
trades
# jsonbzx <- fromJSON(paste("http://www.batstrading.com/json", "bzx",
# "book", Symbol, sep="/"))
# jsonbyx <- fromJSON(paste("http://www.batstrading.com/json", "byx",
# "book", Symbol, sep="/"))
# getQuote ----
#' getQuote from BATS
#'
#' \code{getQuote.BATS} is a \code{\link[quantmod]{getQuote}} "method" for BATS,
#' although it may be called directly.
#'
#' This downloads data from BATS for a given stock and exchange and parses it
#' into a list using \code{\link[RJSONIO]{fromJSON}}. By default
#' (\code{what="bats"}), this list is given a class of \code{bats} and returned.
#' Currently, the other values for \code{what} just specify how to
#' reformat/subset the data.
#'
#' With \code{what="bbo"}, a \code{data.frame} will be returned with
#' a row for each of the \code{Symbols} and columns "BidSize", "BidPrice",
#' "AskPrice", "AskSize", "Last", "LastSize" (any of those columns that are all
#' NA are omitted; e.g. when the market is closed the returned \code{data.frame}
#' will likely only have the "TradeTime", "Last" and "LastSize" columns.
#'
#' If \code{what="ladder"}, an object of class \code{ladder} is returned. It
#' will be a \code{matrix} at its core with 3 columns: BidQty, Price, AskQty.
#' The Price column is from highest to lowest. There should only be a
#' BidQty or an AskQty at a given price, and the other will be NA (otherwise,
#' the market would be crossed). An object of class \code{ladder} will also
#' have the following attributes: "timestamp", "company", "volume",
#' "last.price", and "last.qty"
#'
#' When called with \code{what="depth"}, an object of class \code{depth} will
#' be returned which is very similar to a \code{ladder} object except it has
#' 4 columns and (usually) no NAs. Instead of stacking the prices on top of
#' each other, they are side-by-side. A \code{depth} object is a \code{matrix}
#' at its core and has 4 columns: "BidQty", "BidPrice", "AskPrice", "AskQty".
#' Under usual market conditions it will have 5 rows. It also has all the
#' attributes that a \code{ladder} object has.
#'
#' If \code{what="trades"}, an xts object is returned that has the "Qty" and
#' "Price" of the last 10 trades.
#'
#' There are \code{print} methods for \code{bats}, \code{ladder}, and
#' \code{depth} that make use of \code{pander::pandoc.table}
#'
#' There are also \code{plot} methods for \code{bats}, \code{ladder}, and
#' \code{depth}. These make it incredibly easy to make a nice looking shiny
#' app.
#'
#' @param Symbols a vector of ticker symbols. If length is greater than 1, a
#' list will be returned unless \code{what="bbo"} in which case a multi-row
#' \code{data.frame} will be returned.
#' @param what character. What to return. See details
#' @param exch character. "bzx" or "byx". ("opt" is completely untested and
#' most likely does not work)
#' @param x a bats object
#' @param ... pass through arguments
#' @return market data. The type of object returned depends on the value of
#' \code{what}. See Details. If \code{Symbols} is of length greater than 1
#' and type is not "bbo", a list will be returned.
#' @author Garrett See
#' @references \url{http://www.batstrading.com/market_data/}
#' @note "opt" exch has NOT been TESTED AT ALL
#' @seealso \code{\link[quantmod]{getQuote}}
#' @examples
#' \dontrun{ # can't run the examples because they require internet access
#' ## These should be run while the U.S. stock market is open
#' getQuote("SPY", src="BATS")
#' getQuote("SPY", src="BATS", exch="byx")
#'
#' getQuote("SPY", src="BATS", what="bbo")
#' getQuote("SPY", src="BATS", what="ladder")
#' print(getQuote("SPY", src="BATS", what="ladder"), header=FALSE)
#' getQuote("SPY", src="BATS", what="depth")
#' getQuote("SPY", src="BATS", what="trades")
#'
#' plot(getQuote("SPY", src="BATS"))
#' plot(getQuote("SPY", src="BATS", what="ladder"))
#' plot(getQuote("SPY", src="BATS", what="depth"))
#' }
#' @export
#' @rdname getQuote.BATS
getQuote.BATS <- function(Symbols,
what=c("bats", "bbo", "ladder", "depth", "trades"), #, "most.active"),
exch=c("bzx", "byx", "opt")) {
#require(RJSONIO) # added at top of script; fromJSON will be Imported from RJSONIO in NAMESPACE
what <- tolower(what)
exch <- tolower(exch)
what <- match.arg(what)
exch <- match.arg(exch)
# if Symbols is more than 1 symbol, then return a multi-row data.frame if
# what="bbo" or a list if what is anything else
if (length(Symbols) > 1L) {
L <- setNames(lapply(Symbols, getQuote.BATS, what=what, exch=exch), Symbols)
if (what == "bbo") {
return(do.call(rbind, L))
} else return(L)
} else Symbol <- Symbols
x <- fromJSON(paste("http://www.batstrading.com/json", exch,
"book", Symbol, sep="/"))
if (length(x$data$trades) > 0L) {
x$LastSize <- as.numeric(x$data$trades[[1L]][2L])
x$Last <- as.numeric(x$data$trades[[1L]][3L])
x$TradeTime <- x$data$trades[[1L]][1L]
} else {
x$LastSize <- x$Last <- x$TradeTime <- NA
}
class(x) <- c("bats", class(x))
if (length(x$data$asks) == 0L) x$data$asks <- NULL
if (length(x$data$bids) == 0L) x$data$bids <- NULL
switch(what,
"bats"={
x
}, "bbo"={
data.frame(cbind(TradeTime=x$TradeTime,
BidSize=as.numeric(x$data$bids[[1L]][1L]),
BidPrice=as.numeric(x$data$bids[[1L]][2L]),
AskPrice=as.numeric(x$data$asks[[1L]][2L]),
AskSize=as.numeric(x$data$asks[[1L]][1L]),
Last=x$Last,
LastSize=x$LastSize,
row.names=Symbol))
}, "ladder"={
ladder(x)
}, "depth"={
depth(x)
}, "trades"={
trades(x)
}) #, "active"=, "most.active"=, "mostactive"={
# stop('what="most.active" not yet supported')
# })
}
#' @export
#' @rdname getQuote.BATS
getQuote.bats <- getQuote.BATS
# benchmarking -----
## See benchmark.getQuote.BATS.R for benchmark results of 5 different methods
## for converting trades data to xts.
# utility ----
asks <- function(x, rev=FALSE) {
if (length(x$data$asks) > 0L) {
if (isTRUE(rev)) {
matrix(rev(unlist(x$data$asks)), ncol=2, byrow=TRUE)
} else matrix(unlist(x$data$asks), ncol=2, byrow=TRUE)
} else NULL
}
bids <- function(x, rev=FALSE) {
if (length(x$data$bids) > 0L) {
if (isTRUE(rev)) {
matrix(rev(unlist(x$data$bids)), ncol=2, byrow=TRUE)
} else matrix(unlist(x$data$bids), ncol=2, byrow=TRUE)
} else NULL
}
# extractors ----
# @param x BATS data parsed by \code{fromJSON}
#x <- fromJSON(paste("http://www.batstrading.com/json", match.arg(exch),
# "book", Symbol, sep="/"))
#' @rdname getQuote.BATS
ladder <- function(x) {
out <- rbind(cbind(NA, asks(x, rev=TRUE)), cbind(bids(x), NA))
if (NCOL(out) == 3L) colnames(out) <- c("BidQty", "Price", "AskQty")
structure(out, timestamp=x$data$timestamp, company=x$data$company,
volume=x$data$volume,
last.price=x$Last,
last.qty=x$LastSize, class="ladder")
}
#' @rdname getQuote.BATS
trades <- function(x) {
ul <- unlist(rev(x$data$trades))
if (length(ul) == 0L) return(NA)
times <- as.POSIXct(paste(Sys.Date(), ul[c(TRUE, FALSE, FALSE)]))
structure(setNames(xts(matrix(as.numeric(ul[c(FALSE, TRUE, TRUE)]), ncol=2,
byrow=TRUE), times), c("Qty", "Price")),
class=c("trades", "xts", "zoo"))
}
#' @rdname getQuote.BATS
depth <- function(x, ...) {
if (inherits(x, "depth")) return(x) # simpler than making generic for now
if (!inherits(x, 'bats')) stop("x is not a 'bats' object")
b <- bids(x)
a <- asks(x)
if (length(b) > 0L && length(a) > 0L) {
out <- cbind(b, a[, 2:1])
colnames(out) <- c("BidQty", "BidPrice", "AskPrice", "AskQty")
structure(out, timestamp=x$data$timestamp, company=x$data$company,
volume=x$data$volume, last.price=x$Last,
last.qty=x$LastSize, class="depth")
} else {
structure(sapply(c("BidQty", "BidPrice", "AskPrice", "AskQty"), function(x) rep(NA, 5)),
timestamp=x$data$timestamp, company=x$data$company,
volume=x$data$volume, last.price=x$Last,
last.qty=x$LastSize, class="depth")
}
}
#depth(x)
#pandoc.table(depth(x), style='grid')
# mostActive <- function(exch=c("bzx", "bzx"),
# tape=c("all", "a", "b", "c"),
# n=c("25", "10", "50", "100"), ...) {
# #http://www.batstrading.com/most_active/25/
# }
# print methods -----
#' ladder class print method
#'
#' @method print ladder
#' @S3method print ladder
#' @keywords internal
print.ladder <- function(x, style=c("grid", "multiline"), digits=6, header=TRUE, ...) {
#require(pander) # This will be at top of script or will importFrom(pander, pandoc.table) in NAMESPACE
if (isTRUE(header)) {
cat(" ", attr(x, "company"), "\n",
" Time: ", attr(x, "timestamp"), "\n",
" Volume: ", attr(x, "volume"), "\n",
" Last:", attr(x, "last.qty"), "@", attr(x, "last.price"))
}
pandoc.table(unname(x), style=match.arg(style), digits=6, ...)
}
#print(ladder(x), style='multiline')
#unclass(ladder(x))
#' depth class print method
#'
#' @method print depth
#' @S3method print depth
#' @keywords internal
print.depth <- function(x, style=c("simple", "multiline", "grid"), ...) {
pandoc.table(x, style=match.arg(style), digits=6)
}
#' bats class print method
#'
#' @method print bats
#' @S3method print bats
#' @keywords internal
print.bats <- function(x, ...) {
print(ladder(x), ...)
print(trades(x), ...)
}
# plot methods ----
#' ladder class plot method
#'
#' @method plot ladder
#' @S3method plot ladder
#' @keywords internal
plot.ladder <- function(x, cex=1.5, font=2, ...) {
#FIXME: rect can be vectorized which may be quicker; see plot.bats
#TODO: add other attributes to plot: timestamp, company, volume, last.qty
font <- rep(font, length.out=3) # if font is vector it can be different for bids, prices, asks.
old.par <- par(no.readonly = TRUE)
on.exit(par(old.par))
par(mar=c(0, 0, 2, 0) + 0.1, ...)
# NOTE: User should set width and height of the plotting device
# (maybe width=400, height=700, or 500 X 900)
dev.hold() # I put this in because plot.default has it; don't know if it's needed
on.exit(dev.flush()) # This also was taken from plot.default without much thought
plot.new()
n <- NROW(x)
if (all(is.na(x))) {
if (length(attr(x, "last.qty")) < 1L || length(attr(x, "last.price")) < 1L) {
stop("no data to plot")
}
#warning("No bids or offers")
text(0.5/2, 1, label="Quantity", col='black', font=font[[1L]], cex=cex)
text(1.5/2, 1, label="Price", col='black', font=font[[1L]], cex=cex)
rect(0, 8.5/10, 1/2, 9.5/10, col='grey')
text(0.5/2, 9/10, label=attr(x, "last.qty"), col='black', font=font[[1L]], cex=cex)
rect(1, 8.5/10, 1/2, 9.5/10, col='grey')
text(1.5/2, 9/10, label=attr(x, "last.price"), col='black', font=font[[1L]], cex=cex)
title(main=attr(x, "company")) #attr(x, "timestamp"))
par(old.par)
return(invisible(x))
}
for (i in seq_len(n)) {
#rect(0, (i-1)/n, 1/3, i/n, col=ifelse(i <= 5, 'blue2', 'darkblue')) # I like this better, but...
rect(0, (i-1)/n, 1/3, i/n, col=ifelse(i <= 5, 'turquoise3', 'turquoise4'))
text((0.5)/3, (i-0.5)/n, label=x[n-i+1, 1], col="white", font=font[[1L]], cex=cex)
rect(1/3, (i-1)/n, 2/3, i/n,
col=ifelse(isTRUE(all.equal(round(as.numeric(attr(x, "last.price")), 2),
x[n-i+1, 2])), 'slategrey', 'grey'))
text((1.5)/3, (i-0.5)/n, label=x[n-i+1, 2], col="black", font=font[[2L]], cex=cex)
#rect(2/3, (i-1)/n, 3/3, i/n, col=ifelse(i <= 5, 'darkred', 'red2')) # I like this better, but...
rect(2/3, (i-1)/n, 3/3, i/n, col=ifelse(i <= 5, 'tomato4', 'tomato3'))
#rect(2/3, (i-1)/n, 3/3, i/n, col=ifelse(i <= 5, 'firebrick4', 'firebrick3'))
text((2.5)/3, (i-0.5)/n, label=x[n-i+1, 3], col="white", font=font[[3L]], cex=cex)
}
title(main=attr(x, "company"))
par(old.par)
invisible(x)
}
#plot(ladder(x))
#' depth class plot method
#'
#' @method plot depth
#' @S3method plot depth
#' @keywords internal
plot.depth <- function(x, cex=1.5, font=2, bg=c("black", "white"), ...) {
#TODO: add other attributes to plot: timestamp, company, volume, last.qty
# if font is vector it can be different for bid qty, bid prc, askprice, ask qty.
font <- rep(font, length.out=4)
bg <- match.arg(bg)
fg <- if(bg == "black") { "white" } else "black"
old.par <- par(no.readonly = TRUE)
on.exit(par(old.par))
par(mar=c(0, 0, 2, 0) + 0.1, bg=bg, ...)
# NOTE: User should set width and height of the plotting device
# (maybe width=400, height=700, or 500 X 900)
dev.hold() # I put this in because plot.default has it; don't know if it's needed
on.exit(dev.flush()) # This also was taken from plot.default without much thought
plot.new()
n <- NROW(x)
if (all(is.na(x))) {
if (length(attr(x, "last.qty")) < 1L || length(attr(x, "last.price")) < 1L) {
stop("no data to plot")
}
#warning("No bids or offers")
text(0.5/2, 1, label="Quantity", col=fg, font=font[[1L]], cex=cex)
text(1.5/2, 1, label="Price", col=fg, font=font[[2L]], cex=cex)
rect(0, 8.5/10, 1/2, 9.5/10, col='grey')
text(0.5/2, 9/10, label=attr(x, "last.qty"), col='black', font=font[[1L]], cex=cex)
rect(1, 8.5/10, 1/2, 9.5/10, col='grey')
text(1.5/2, 9/10, label=as.numeric(attr(x, "last.price")), col='black', font=font[[2L]], cex=cex)
title(main=list(attr(x, "company"), col=fg), sub=list(attr(x, "timestamp"), col=fg)) #attr(x, "timestamp")))
par(old.par)
return(invisible(x))
}
# TODO: I'd kind of like to have the prices fade from white to cyan and
# use heat colors for the quantities depending on the qty
#ramp <- cm.colors(n*1.9)[seq_len(n)] # I like this, but it's a little too light
#ramp <- heat.colors(n*1.9)[seq_len(n)]
#ramp <- rev(rainbow(n, start=3/6, end=3.5/6)) # this is okay; a little too blue
#ramp <- heat.colors(n*1.9)[seq_len(n)]
ramp <- colorRampPalette(c("cyan", "white"))(5)
for (i in seq_len(n)) {
rect(0, (i-1)/(n+1), 2.25/10, i/(n + 1), col=ramp[i])
text(1.125/10, (i-0.5)/(n+1), label=x[n-i+1, 1], col="black", font=font[[1L]], cex=cex)
rect(2.25/10, (i-1)/(n+1), 4.5/10, i/(n+1), col=ramp[i])
text(3.375/10, (i-0.5)/(n+1), label=x[n-i+1, 2], col="black", font=font[[2L]], cex=cex)
rect(5.5/10, (i-1)/(n+1), 7.75/10, i/(n+1), col=ramp[i])
text(6.625/10, (i-0.5)/(n+1), label=x[n-i+1, 3], col="black", font=font[[3L]], cex=cex)
rect(7.75/10, (i-1)/(n+1), 10/10, i/(n+1), col=ramp[i])
text(8.875/10, (i-0.5)/(n+1), label=x[n-i+1, 4], col="black", font=font[[4L]], cex=cex)
}
rect(0, 5/6, 2.25/10, 5.5/6, col='grey40')
text(1.125/10, 5.25/6, label="Shares", col="white")
rect(2.25/10, 5/6, 4.5/10, 5.5/6, col='grey40')
text(3.375/10, 5.25/6, label="Price", col="white")
rect(5.5/10, 5/6, 7.75/10, 5.5/6, col='grey40')
text(6.625/10, 5.25/6, label="Price", col="white")
rect(7.75/10, 5/6, 10/10, 5.5/6, col='grey40')
text(8.875/10, 5.25/6, label="Shares", col="white")
title(main=attr(x, "company"), sub=attr(x, "timestamp"), col.main=fg, col.sub=fg)
#title(main=list(attr(x, "company"), col=fg, cex=2), sub=list(attr(x, "timestamp"), col=fg))
par(old.par)
invisible(x)
}
#' bats class plot method
#'
#' @method plot bats
#' @S3method plot bats
#' @keywords internal
plot.bats <- function(x, cex=1, ...) {
# this is the template
# http://www.batstrading.com/bzx/book/SPY/
if (!inherits(x, "bats")) stop("bats object required for plot.bats method")
plot.new()
text(1/5, 13.5/14, label="Orders Accepted", col="#414141", family="sans")
text(1/5, 12.75/14, label=format(x$data$orders, big.mark=","), col="#414141", family="sans")
text(3.5/5, 13.5/14, label="Total Volume", col="#414141", family="sans")
text(3.5/5, 12.75/14, label=format(x$data$volume, big.mark=","), col="#414141", family="sans")
rect(0, 10/14, 2/5, 12/14, col="#565656") #"#595959"
text(1/5, 11.5/14, label="TOP OF BOOK", col="white", font=2, family="sans", cex=cex)
text(0.5/5, 10.5/14, label="SHARES", col="white", font=2, family="sans", cex=cex)
text(1.5/5, 10.5/14, label="PRICE", col="white", font=2, family="sans", cex=cex)
rect(2/5, 10/14, 5/5, 12/14, col="#565656") #"#595959"
text(3.5/5, 11.5/14, label="LAST 10 TRADES", col="white", font=2, family="sans", cex=cex)
text(2.5/5, 10.5/14, label="TIME", col="white", font=2, family="sans", cex=cex)
text(3.5/5, 10.5/14, label="PRICE", col="white", font=2, family="sans", cex=cex)
text(4.5/5, 10.5/14, label="SHARES", col="white", font=2, family="sans", cex=cex)
# plot trades
# First draw grid
n <- length(x$data$trades)
cvec <- rep(c("#EFEFEF", "#FFFFFF"), length.out=n) #color vector: grey, white, grey, etc
rect(2/5, (10-1:10)/14, 5/5, (11-1:10)/14, col=cvec, border='lightgrey')
bidramp <- colorRampPalette(c("#9bbc5b", "#c2dd96"))(5) # bids
#bidramp <- colorRampPalette(c("#c2dd96", "#9bbc5b"))(5) # bids
rect(0/5, (10-6:10)/14, 2/5, (11-6:10)/14, col=bidramp, border=NA)
#askramp <- colorRampPalette(c("#99bbe8", "#cbddf3"))(5) # asks
askramp <- colorRampPalette(c("#cbddf3", "#99bbe8"))(5) # asks # this looks opposite of BATS website
rect(0/5, (10-1:5)/14, 2/5, (11-1:5)/14, col=askramp, border=NA)
# draw borders
rect(2/5, 0, 5/5, 10/14)
rect(0/5, 5/14, 2/5, 10/14)
rect(0/5, 0, 2/5, 5/14)
bid <- bids(x)
ask <- asks(x, rev=TRUE)[, 2:1]
if (all(is.null(bid))) bid <- matrix(NA, 5, 2)
if (all(is.null(ask))) ask <- matrix(NA, 5, 2)
tob <- rbind(ask, bid)
# can I vectorize text()?
for (i in seq_len(NROW(tob))) {
# top of book; tob
text(0.5/5, (10.5 - i)/14, label=tob[i, 1], col='black')
text(1.5/5, (10.5 - i)/14, label=tob[i, 2], col='black', font=ifelse(i %in% 5:6, 2, 1))
}
for (i in seq_len(n)) {
# trades
dat <- x$data$trades[[i]]
text(2.5/5, (10.5 - i)/14, label=dat[1L], col='black')
text(3.5/5, (10.5 - i)/14, label=dat[3L], col='black')
text(4.5/5, (10.5 - i)/14, label=dat[2L], col='black')
}
title(main=x$data$company, sub=x$data$timestamp)
invisible(x)
}
# static data for testing ----
# #dput(x)
# x <- structure(list(reload = 7539.69950675964, data = structure(list(
# volume = 17693374, tick_type = "", asks = list(c(400, 141.94
# ), c(24000, 141.95), c(36100, 141.96), c(41800, 141.97),
# c(54100, 141.98)), auction = FALSE, timestamp = "15:50:39",
# symbol = "SPY", trades = list(c("15:50:29", "400", "141.9400"
# ), c("15:50:29", "200", "141.9400"), c("15:50:29", "4700",
# "141.9400"), c("15:50:29", "1000", "141.9400"), c("15:50:29",
# "500", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "300", "141.9400")), bids = list(
# c(43200, 141.93), c(26540, 141.92), c(44200, 141.91),
# c(41500, 141.9), c(36800, 141.89)), company = "SPDR S&P 500 ETF TR TR UNIT",
# orders = 947488), .Names = c("volume", "tick_type", "asks",
# "auction", "timestamp", "symbol", "trades", "bids", "company",
# "orders")), success = TRUE), .Names = c("reload", "data", "success"
# ), class = "bats")
#
# #dput(jsonbzx)
# jsonbzx <- structure(list(reload = 7539.69950675964, data = structure(list(
# volume = 17693374, tick_type = "", asks = list(c(400, 141.94
# ), c(24000, 141.95), c(36100, 141.96), c(41800, 141.97),
# c(54100, 141.98)), auction = FALSE, timestamp = "15:50:39",
# symbol = "SPY", trades = list(c("15:50:29", "400", "141.9400"
# ), c("15:50:29", "200", "141.9400"), c("15:50:29", "4700",
# "141.9400"), c("15:50:29", "1000", "141.9400"), c("15:50:29",
# "500", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "300", "141.9400")), bids = list(
# c(43200, 141.93), c(26540, 141.92), c(44200, 141.91),
# c(41500, 141.9), c(36800, 141.89)), company = "SPDR S&P 500 ETF TR TR UNIT",
# orders = 947488), .Names = c("volume", "tick_type", "asks",
# "auction", "timestamp", "symbol", "trades", "bids", "company",
# "orders")), success = TRUE), .Names = c("reload", "data", "success"
# ))
#
# #dput(jsonbyx)
# jsonbyx <- structure(list(reload = 5000, data = structure(list(volume = 3116428,
# tick_type = "", asks = list(c(2600, 141.95), c(8000, 141.96
# ), c(7600, 141.97), c(24800, 141.98), c(13100, 141.99)),
# auction = FALSE, timestamp = "15:50:45", symbol = "SPY",
# trades = list(c("15:50:40", "100", "141.9400"), c("15:50:39",
# "100", "141.9500"), c("15:50:37", "100", "141.9500"), c("15:50:35",
# "100", "141.9400"), c("15:50:34", "500", "141.9500"), c("15:50:34",
# "100", "141.9500"), c("15:50:32", "500", "141.9400"), c("15:50:32",
# "500", "141.9400"), c("15:50:31", "500", "141.9400"), c("15:50:31",
# "500", "141.9400")), bids = list(c(600, 141.94), c(20700,
# 141.93), c(8300, 141.92), c(14100, 141.91), c(13100, 141.9
# )), company = "SPDR S&P 500 ETF TR TR UNIT", orders = 408810), .Names = c("volume",
# "tick_type", "asks", "auction", "timestamp", "symbol", "trades",
# "bids", "company", "orders")), success = TRUE), .Names = c("reload",
# "data", "success"))
# Demo ----
#par(mfcol=c(1,2))
#plot(ladder(jsonbzx))
#plot(ladder(jsonbyx))
gsee/qmao documentation built on May 17, 2019, 8:54 a.m.
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Defines functions getQuote.BATS asks bids ladder trades depth print.ladder print.depth print.bats plot.ladder plot.depth plot.bats
Documented in depth getQuote.BATS ladder plot.bats plot.depth plot.ladder print.bats print.depth print.ladder trades
# jsonbzx <- fromJSON(paste("http://www.batstrading.com/json", "bzx",
# "book", Symbol, sep="/"))
# jsonbyx <- fromJSON(paste("http://www.batstrading.com/json", "byx",
# "book", Symbol, sep="/"))
# getQuote ----
#' getQuote from BATS
#'
#' \code{getQuote.BATS} is a \code{\link[quantmod]{getQuote}} "method" for BATS,
#' although it may be called directly.
#'
#' This downloads data from BATS for a given stock and exchange and parses it
#' into a list using \code{\link[RJSONIO]{fromJSON}}. By default
#' (\code{what="bats"}), this list is given a class of \code{bats} and returned.
#' Currently, the other values for \code{what} just specify how to
#' reformat/subset the data.
#'
#' With \code{what="bbo"}, a \code{data.frame} will be returned with
#' a row for each of the \code{Symbols} and columns "BidSize", "BidPrice",
#' "AskPrice", "AskSize", "Last", "LastSize" (any of those columns that are all
#' NA are omitted; e.g. when the market is closed the returned \code{data.frame}
#' will likely only have the "TradeTime", "Last" and "LastSize" columns.
#'
#' If \code{what="ladder"}, an object of class \code{ladder} is returned. It
#' will be a \code{matrix} at its core with 3 columns: BidQty, Price, AskQty.
#' The Price column is from highest to lowest. There should only be a
#' BidQty or an AskQty at a given price, and the other will be NA (otherwise,
#' the market would be crossed). An object of class \code{ladder} will also
#' have the following attributes: "timestamp", "company", "volume",
#' "last.price", and "last.qty"
#'
#' When called with \code{what="depth"}, an object of class \code{depth} will
#' be returned which is very similar to a \code{ladder} object except it has
#' 4 columns and (usually) no NAs. Instead of stacking the prices on top of
#' each other, they are side-by-side. A \code{depth} object is a \code{matrix}
#' at its core and has 4 columns: "BidQty", "BidPrice", "AskPrice", "AskQty".
#' Under usual market conditions it will have 5 rows. It also has all the
#' attributes that a \code{ladder} object has.
#'
#' If \code{what="trades"}, an xts object is returned that has the "Qty" and
#' "Price" of the last 10 trades.
#'
#' There are \code{print} methods for \code{bats}, \code{ladder}, and
#' \code{depth} that make use of \code{pander::pandoc.table}
#'
#' There are also \code{plot} methods for \code{bats}, \code{ladder}, and
#' \code{depth}. These make it incredibly easy to make a nice looking shiny
#' app.
#'
#' @param Symbols a vector of ticker symbols. If length is greater than 1, a
#' list will be returned unless \code{what="bbo"} in which case a multi-row
#' \code{data.frame} will be returned.
#' @param what character. What to return. See details
#' @param exch character. "bzx" or "byx". ("opt" is completely untested and
#' most likely does not work)
#' @param x a bats object
#' @param ... pass through arguments
#' @return market data. The type of object returned depends on the value of
#' \code{what}. See Details. If \code{Symbols} is of length greater than 1
#' and type is not "bbo", a list will be returned.
#' @author Garrett See
#' @references \url{http://www.batstrading.com/market_data/}
#' @note "opt" exch has NOT been TESTED AT ALL
#' @seealso \code{\link[quantmod]{getQuote}}
#' @examples
#' \dontrun{ # can't run the examples because they require internet access
#' ## These should be run while the U.S. stock market is open
#' getQuote("SPY", src="BATS")
#' getQuote("SPY", src="BATS", exch="byx")
#'
#' getQuote("SPY", src="BATS", what="bbo")
#' getQuote("SPY", src="BATS", what="ladder")
#' print(getQuote("SPY", src="BATS", what="ladder"), header=FALSE)
#' getQuote("SPY", src="BATS", what="depth")
#' getQuote("SPY", src="BATS", what="trades")
#'
#' plot(getQuote("SPY", src="BATS"))
#' plot(getQuote("SPY", src="BATS", what="ladder"))
#' plot(getQuote("SPY", src="BATS", what="depth"))
#' }
#' @export
#' @rdname getQuote.BATS
getQuote.BATS <- function(Symbols,
what=c("bats", "bbo", "ladder", "depth", "trades"), #, "most.active"),
exch=c("bzx", "byx", "opt")) {
#require(RJSONIO) # added at top of script; fromJSON will be Imported from RJSONIO in NAMESPACE
what <- tolower(what)
exch <- tolower(exch)
what <- match.arg(what)
exch <- match.arg(exch)
# if Symbols is more than 1 symbol, then return a multi-row data.frame if
# what="bbo" or a list if what is anything else
if (length(Symbols) > 1L) {
L <- setNames(lapply(Symbols, getQuote.BATS, what=what, exch=exch), Symbols)
if (what == "bbo") {
return(do.call(rbind, L))
} else return(L)
} else Symbol <- Symbols
x <- fromJSON(paste("http://www.batstrading.com/json", exch,
"book", Symbol, sep="/"))
if (length(x$data$trades) > 0L) {
x$LastSize <- as.numeric(x$data$trades[[1L]][2L])
x$Last <- as.numeric(x$data$trades[[1L]][3L])
x$TradeTime <- x$data$trades[[1L]][1L]
} else {
x$LastSize <- x$Last <- x$TradeTime <- NA
}
class(x) <- c("bats", class(x))
if (length(x$data$asks) == 0L) x$data$asks <- NULL
if (length(x$data$bids) == 0L) x$data$bids <- NULL
switch(what,
"bats"={
x
}, "bbo"={
data.frame(cbind(TradeTime=x$TradeTime,
BidSize=as.numeric(x$data$bids[[1L]][1L]),
BidPrice=as.numeric(x$data$bids[[1L]][2L]),
AskPrice=as.numeric(x$data$asks[[1L]][2L]),
AskSize=as.numeric(x$data$asks[[1L]][1L]),
Last=x$Last,
LastSize=x$LastSize,
row.names=Symbol))
}, "ladder"={
ladder(x)
}, "depth"={
depth(x)
}, "trades"={
trades(x)
}) #, "active"=, "most.active"=, "mostactive"={
# stop('what="most.active" not yet supported')
# })
}
#' @export
#' @rdname getQuote.BATS
getQuote.bats <- getQuote.BATS
# benchmarking -----
## See benchmark.getQuote.BATS.R for benchmark results of 5 different methods
## for converting trades data to xts.
# utility ----
asks <- function(x, rev=FALSE) {
if (length(x$data$asks) > 0L) {
if (isTRUE(rev)) {
matrix(rev(unlist(x$data$asks)), ncol=2, byrow=TRUE)
} else matrix(unlist(x$data$asks), ncol=2, byrow=TRUE)
} else NULL
}
bids <- function(x, rev=FALSE) {
if (length(x$data$bids) > 0L) {
if (isTRUE(rev)) {
matrix(rev(unlist(x$data$bids)), ncol=2, byrow=TRUE)
} else matrix(unlist(x$data$bids), ncol=2, byrow=TRUE)
} else NULL
}
# extractors ----
# @param x BATS data parsed by \code{fromJSON}
#x <- fromJSON(paste("http://www.batstrading.com/json", match.arg(exch),
# "book", Symbol, sep="/"))
#' @rdname getQuote.BATS
ladder <- function(x) {
out <- rbind(cbind(NA, asks(x, rev=TRUE)), cbind(bids(x), NA))
if (NCOL(out) == 3L) colnames(out) <- c("BidQty", "Price", "AskQty")
structure(out, timestamp=x$data$timestamp, company=x$data$company,
volume=x$data$volume,
last.price=x$Last,
last.qty=x$LastSize, class="ladder")
}
#' @rdname getQuote.BATS
trades <- function(x) {
ul <- unlist(rev(x$data$trades))
if (length(ul) == 0L) return(NA)
times <- as.POSIXct(paste(Sys.Date(), ul[c(TRUE, FALSE, FALSE)]))
structure(setNames(xts(matrix(as.numeric(ul[c(FALSE, TRUE, TRUE)]), ncol=2,
byrow=TRUE), times), c("Qty", "Price")),
class=c("trades", "xts", "zoo"))
}
#' @rdname getQuote.BATS
depth <- function(x, ...) {
if (inherits(x, "depth")) return(x) # simpler than making generic for now
if (!inherits(x, 'bats')) stop("x is not a 'bats' object")
b <- bids(x)
a <- asks(x)
if (length(b) > 0L && length(a) > 0L) {
out <- cbind(b, a[, 2:1])
colnames(out) <- c("BidQty", "BidPrice", "AskPrice", "AskQty")
structure(out, timestamp=x$data$timestamp, company=x$data$company,
volume=x$data$volume, last.price=x$Last,
last.qty=x$LastSize, class="depth")
} else {
structure(sapply(c("BidQty", "BidPrice", "AskPrice", "AskQty"), function(x) rep(NA, 5)),
timestamp=x$data$timestamp, company=x$data$company,
volume=x$data$volume, last.price=x$Last,
last.qty=x$LastSize, class="depth")
}
}
#depth(x)
#pandoc.table(depth(x), style='grid')
# mostActive <- function(exch=c("bzx", "bzx"),
# tape=c("all", "a", "b", "c"),
# n=c("25", "10", "50", "100"), ...) {
# #http://www.batstrading.com/most_active/25/
# }
# print methods -----
#' ladder class print method
#'
#' @method print ladder
#' @S3method print ladder
#' @keywords internal
print.ladder <- function(x, style=c("grid", "multiline"), digits=6, header=TRUE, ...) {
#require(pander) # This will be at top of script or will importFrom(pander, pandoc.table) in NAMESPACE
if (isTRUE(header)) {
cat(" ", attr(x, "company"), "\n",
" Time: ", attr(x, "timestamp"), "\n",
" Volume: ", attr(x, "volume"), "\n",
" Last:", attr(x, "last.qty"), "@", attr(x, "last.price"))
}
pandoc.table(unname(x), style=match.arg(style), digits=6, ...)
}
#print(ladder(x), style='multiline')
#unclass(ladder(x))
#' depth class print method
#'
#' @method print depth
#' @S3method print depth
#' @keywords internal
print.depth <- function(x, style=c("simple", "multiline", "grid"), ...) {
pandoc.table(x, style=match.arg(style), digits=6)
}
#' bats class print method
#'
#' @method print bats
#' @S3method print bats
#' @keywords internal
print.bats <- function(x, ...) {
print(ladder(x), ...)
print(trades(x), ...)
}
# plot methods ----
#' ladder class plot method
#'
#' @method plot ladder
#' @S3method plot ladder
#' @keywords internal
plot.ladder <- function(x, cex=1.5, font=2, ...) {
#FIXME: rect can be vectorized which may be quicker; see plot.bats
#TODO: add other attributes to plot: timestamp, company, volume, last.qty
font <- rep(font, length.out=3) # if font is vector it can be different for bids, prices, asks.
old.par <- par(no.readonly = TRUE)
on.exit(par(old.par))
par(mar=c(0, 0, 2, 0) + 0.1, ...)
# NOTE: User should set width and height of the plotting device
# (maybe width=400, height=700, or 500 X 900)
dev.hold() # I put this in because plot.default has it; don't know if it's needed
on.exit(dev.flush()) # This also was taken from plot.default without much thought
plot.new()
n <- NROW(x)
if (all(is.na(x))) {
if (length(attr(x, "last.qty")) < 1L || length(attr(x, "last.price")) < 1L) {
stop("no data to plot")
}
#warning("No bids or offers")
text(0.5/2, 1, label="Quantity", col='black', font=font[[1L]], cex=cex)
text(1.5/2, 1, label="Price", col='black', font=font[[1L]], cex=cex)
rect(0, 8.5/10, 1/2, 9.5/10, col='grey')
text(0.5/2, 9/10, label=attr(x, "last.qty"), col='black', font=font[[1L]], cex=cex)
rect(1, 8.5/10, 1/2, 9.5/10, col='grey')
text(1.5/2, 9/10, label=attr(x, "last.price"), col='black', font=font[[1L]], cex=cex)
title(main=attr(x, "company")) #attr(x, "timestamp"))
par(old.par)
return(invisible(x))
}
for (i in seq_len(n)) {
#rect(0, (i-1)/n, 1/3, i/n, col=ifelse(i <= 5, 'blue2', 'darkblue')) # I like this better, but...
rect(0, (i-1)/n, 1/3, i/n, col=ifelse(i <= 5, 'turquoise3', 'turquoise4'))
text((0.5)/3, (i-0.5)/n, label=x[n-i+1, 1], col="white", font=font[[1L]], cex=cex)
rect(1/3, (i-1)/n, 2/3, i/n,
col=ifelse(isTRUE(all.equal(round(as.numeric(attr(x, "last.price")), 2),
x[n-i+1, 2])), 'slategrey', 'grey'))
text((1.5)/3, (i-0.5)/n, label=x[n-i+1, 2], col="black", font=font[[2L]], cex=cex)
#rect(2/3, (i-1)/n, 3/3, i/n, col=ifelse(i <= 5, 'darkred', 'red2')) # I like this better, but...
rect(2/3, (i-1)/n, 3/3, i/n, col=ifelse(i <= 5, 'tomato4', 'tomato3'))
#rect(2/3, (i-1)/n, 3/3, i/n, col=ifelse(i <= 5, 'firebrick4', 'firebrick3'))
text((2.5)/3, (i-0.5)/n, label=x[n-i+1, 3], col="white", font=font[[3L]], cex=cex)
}
title(main=attr(x, "company"))
par(old.par)
invisible(x)
}
#plot(ladder(x))
#' depth class plot method
#'
#' @method plot depth
#' @S3method plot depth
#' @keywords internal
plot.depth <- function(x, cex=1.5, font=2, bg=c("black", "white"), ...) {
#TODO: add other attributes to plot: timestamp, company, volume, last.qty
# if font is vector it can be different for bid qty, bid prc, askprice, ask qty.
font <- rep(font, length.out=4)
bg <- match.arg(bg)
fg <- if(bg == "black") { "white" } else "black"
old.par <- par(no.readonly = TRUE)
on.exit(par(old.par))
par(mar=c(0, 0, 2, 0) + 0.1, bg=bg, ...)
# NOTE: User should set width and height of the plotting device
# (maybe width=400, height=700, or 500 X 900)
dev.hold() # I put this in because plot.default has it; don't know if it's needed
on.exit(dev.flush()) # This also was taken from plot.default without much thought
plot.new()
n <- NROW(x)
if (all(is.na(x))) {
if (length(attr(x, "last.qty")) < 1L || length(attr(x, "last.price")) < 1L) {
stop("no data to plot")
}
#warning("No bids or offers")
text(0.5/2, 1, label="Quantity", col=fg, font=font[[1L]], cex=cex)
text(1.5/2, 1, label="Price", col=fg, font=font[[2L]], cex=cex)
rect(0, 8.5/10, 1/2, 9.5/10, col='grey')
text(0.5/2, 9/10, label=attr(x, "last.qty"), col='black', font=font[[1L]], cex=cex)
rect(1, 8.5/10, 1/2, 9.5/10, col='grey')
text(1.5/2, 9/10, label=as.numeric(attr(x, "last.price")), col='black', font=font[[2L]], cex=cex)
title(main=list(attr(x, "company"), col=fg), sub=list(attr(x, "timestamp"), col=fg)) #attr(x, "timestamp")))
par(old.par)
return(invisible(x))
}
# TODO: I'd kind of like to have the prices fade from white to cyan and
# use heat colors for the quantities depending on the qty
#ramp <- cm.colors(n*1.9)[seq_len(n)] # I like this, but it's a little too light
#ramp <- heat.colors(n*1.9)[seq_len(n)]
#ramp <- rev(rainbow(n, start=3/6, end=3.5/6)) # this is okay; a little too blue
#ramp <- heat.colors(n*1.9)[seq_len(n)]
ramp <- colorRampPalette(c("cyan", "white"))(5)
for (i in seq_len(n)) {
rect(0, (i-1)/(n+1), 2.25/10, i/(n + 1), col=ramp[i])
text(1.125/10, (i-0.5)/(n+1), label=x[n-i+1, 1], col="black", font=font[[1L]], cex=cex)
rect(2.25/10, (i-1)/(n+1), 4.5/10, i/(n+1), col=ramp[i])
text(3.375/10, (i-0.5)/(n+1), label=x[n-i+1, 2], col="black", font=font[[2L]], cex=cex)
rect(5.5/10, (i-1)/(n+1), 7.75/10, i/(n+1), col=ramp[i])
text(6.625/10, (i-0.5)/(n+1), label=x[n-i+1, 3], col="black", font=font[[3L]], cex=cex)
rect(7.75/10, (i-1)/(n+1), 10/10, i/(n+1), col=ramp[i])
text(8.875/10, (i-0.5)/(n+1), label=x[n-i+1, 4], col="black", font=font[[4L]], cex=cex)
}
rect(0, 5/6, 2.25/10, 5.5/6, col='grey40')
text(1.125/10, 5.25/6, label="Shares", col="white")
rect(2.25/10, 5/6, 4.5/10, 5.5/6, col='grey40')
text(3.375/10, 5.25/6, label="Price", col="white")
rect(5.5/10, 5/6, 7.75/10, 5.5/6, col='grey40')
text(6.625/10, 5.25/6, label="Price", col="white")
rect(7.75/10, 5/6, 10/10, 5.5/6, col='grey40')
text(8.875/10, 5.25/6, label="Shares", col="white")
title(main=attr(x, "company"), sub=attr(x, "timestamp"), col.main=fg, col.sub=fg)
#title(main=list(attr(x, "company"), col=fg, cex=2), sub=list(attr(x, "timestamp"), col=fg))
par(old.par)
invisible(x)
}
#' bats class plot method
#'
#' @method plot bats
#' @S3method plot bats
#' @keywords internal
plot.bats <- function(x, cex=1, ...) {
# this is the template
# http://www.batstrading.com/bzx/book/SPY/
if (!inherits(x, "bats")) stop("bats object required for plot.bats method")
plot.new()
text(1/5, 13.5/14, label="Orders Accepted", col="#414141", family="sans")
text(1/5, 12.75/14, label=format(x$data$orders, big.mark=","), col="#414141", family="sans")
text(3.5/5, 13.5/14, label="Total Volume", col="#414141", family="sans")
text(3.5/5, 12.75/14, label=format(x$data$volume, big.mark=","), col="#414141", family="sans")
rect(0, 10/14, 2/5, 12/14, col="#565656") #"#595959"
text(1/5, 11.5/14, label="TOP OF BOOK", col="white", font=2, family="sans", cex=cex)
text(0.5/5, 10.5/14, label="SHARES", col="white", font=2, family="sans", cex=cex)
text(1.5/5, 10.5/14, label="PRICE", col="white", font=2, family="sans", cex=cex)
rect(2/5, 10/14, 5/5, 12/14, col="#565656") #"#595959"
text(3.5/5, 11.5/14, label="LAST 10 TRADES", col="white", font=2, family="sans", cex=cex)
text(2.5/5, 10.5/14, label="TIME", col="white", font=2, family="sans", cex=cex)
text(3.5/5, 10.5/14, label="PRICE", col="white", font=2, family="sans", cex=cex)
text(4.5/5, 10.5/14, label="SHARES", col="white", font=2, family="sans", cex=cex)
# plot trades
# First draw grid
n <- length(x$data$trades)
cvec <- rep(c("#EFEFEF", "#FFFFFF"), length.out=n) #color vector: grey, white, grey, etc
rect(2/5, (10-1:10)/14, 5/5, (11-1:10)/14, col=cvec, border='lightgrey')
bidramp <- colorRampPalette(c("#9bbc5b", "#c2dd96"))(5) # bids
#bidramp <- colorRampPalette(c("#c2dd96", "#9bbc5b"))(5) # bids
rect(0/5, (10-6:10)/14, 2/5, (11-6:10)/14, col=bidramp, border=NA)
#askramp <- colorRampPalette(c("#99bbe8", "#cbddf3"))(5) # asks
askramp <- colorRampPalette(c("#cbddf3", "#99bbe8"))(5) # asks # this looks opposite of BATS website
rect(0/5, (10-1:5)/14, 2/5, (11-1:5)/14, col=askramp, border=NA)
# draw borders
rect(2/5, 0, 5/5, 10/14)
rect(0/5, 5/14, 2/5, 10/14)
rect(0/5, 0, 2/5, 5/14)
bid <- bids(x)
ask <- asks(x, rev=TRUE)[, 2:1]
if (all(is.null(bid))) bid <- matrix(NA, 5, 2)
if (all(is.null(ask))) ask <- matrix(NA, 5, 2)
tob <- rbind(ask, bid)
# can I vectorize text()?
for (i in seq_len(NROW(tob))) {
# top of book; tob
text(0.5/5, (10.5 - i)/14, label=tob[i, 1], col='black')
text(1.5/5, (10.5 - i)/14, label=tob[i, 2], col='black', font=ifelse(i %in% 5:6, 2, 1))
}
for (i in seq_len(n)) {
# trades
dat <- x$data$trades[[i]]
text(2.5/5, (10.5 - i)/14, label=dat[1L], col='black')
text(3.5/5, (10.5 - i)/14, label=dat[3L], col='black')
text(4.5/5, (10.5 - i)/14, label=dat[2L], col='black')
}
title(main=x$data$company, sub=x$data$timestamp)
invisible(x)
}
# static data for testing ----
# #dput(x)
# x <- structure(list(reload = 7539.69950675964, data = structure(list(
# volume = 17693374, tick_type = "", asks = list(c(400, 141.94
# ), c(24000, 141.95), c(36100, 141.96), c(41800, 141.97),
# c(54100, 141.98)), auction = FALSE, timestamp = "15:50:39",
# symbol = "SPY", trades = list(c("15:50:29", "400", "141.9400"
# ), c("15:50:29", "200", "141.9400"), c("15:50:29", "4700",
# "141.9400"), c("15:50:29", "1000", "141.9400"), c("15:50:29",
# "500", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "300", "141.9400")), bids = list(
# c(43200, 141.93), c(26540, 141.92), c(44200, 141.91),
# c(41500, 141.9), c(36800, 141.89)), company = "SPDR S&P 500 ETF TR TR UNIT",
# orders = 947488), .Names = c("volume", "tick_type", "asks",
# "auction", "timestamp", "symbol", "trades", "bids", "company",
# "orders")), success = TRUE), .Names = c("reload", "data", "success"
# ), class = "bats")
#
# #dput(jsonbzx)
# jsonbzx <- structure(list(reload = 7539.69950675964, data = structure(list(
# volume = 17693374, tick_type = "", asks = list(c(400, 141.94
# ), c(24000, 141.95), c(36100, 141.96), c(41800, 141.97),
# c(54100, 141.98)), auction = FALSE, timestamp = "15:50:39",
# symbol = "SPY", trades = list(c("15:50:29", "400", "141.9400"
# ), c("15:50:29", "200", "141.9400"), c("15:50:29", "4700",
# "141.9400"), c("15:50:29", "1000", "141.9400"), c("15:50:29",
# "500", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "700", "141.9400"), c("15:50:29",
# "700", "141.9400"), c("15:50:29", "300", "141.9400")), bids = list(
# c(43200, 141.93), c(26540, 141.92), c(44200, 141.91),
# c(41500, 141.9), c(36800, 141.89)), company = "SPDR S&P 500 ETF TR TR UNIT",
# orders = 947488), .Names = c("volume", "tick_type", "asks",
# "auction", "timestamp", "symbol", "trades", "bids", "company",
# "orders")), success = TRUE), .Names = c("reload", "data", "success"
# ))
#
# #dput(jsonbyx)
# jsonbyx <- structure(list(reload = 5000, data = structure(list(volume = 3116428,
# tick_type = "", asks = list(c(2600, 141.95), c(8000, 141.96
# ), c(7600, 141.97), c(24800, 141.98), c(13100, 141.99)),
# auction = FALSE, timestamp = "15:50:45", symbol = "SPY",
# trades = list(c("15:50:40", "100", "141.9400"), c("15:50:39",
# "100", "141.9500"), c("15:50:37", "100", "141.9500"), c("15:50:35",
# "100", "141.9400"), c("15:50:34", "500", "141.9500"), c("15:50:34",
# "100", "141.9500"), c("15:50:32", "500", "141.9400"), c("15:50:32",
# "500", "141.9400"), c("15:50:31", "500", "141.9400"), c("15:50:31",
# "500", "141.9400")), bids = list(c(600, 141.94), c(20700,
# 141.93), c(8300, 141.92), c(14100, 141.91), c(13100, 141.9
# )), company = "SPDR S&P 500 ETF TR TR UNIT", orders = 408810), .Names = c("volume",
# "tick_type", "asks", "auction", "timestamp", "symbol", "trades",
# "bids", "company", "orders")), success = TRUE), .Names = c("reload",
# "data", "success"))
# Demo ----
#par(mfcol=c(1,2))
#plot(ladder(jsonbzx))
#plot(ladder(jsonbyx))
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