eWrapper.MktDepth.CSV <- function() {
eW <- eWrapper(NULL)
eW$updateMktDepth <- function(curMsg, msg, timestamp, file, ...) {
#symbols <- eW$get.Data("symbols")
e_update_mkt_depth_csv(NULL, msg, timestamp, file, ...)
}
eW
}
e_update_mkt_depth_csv <- function (msg, contents, timeStamp, file, ...)
{
id <- as.numeric(contents[2])
file <- file[[id]]
cat(id,",",
as.character(timeStamp),",",
contents[3],",", # position
contents[4],",", # 0=insert, 1=update, 2=delete (operation)
contents[5],",", # 1=bid, 2=ask (side)
contents[6],",", # price
contents[7], # size
"\n",
sep="",file=file,append=TRUE)
}
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