reqRealTimeBars: Request Real Time Bars from TWS

In jlaultman/ibrokers: R API to Interactive Brokers Trader Workstation

Description

Allows for streaming real-time bars to be handled in R

Usage

reqRealTimeBars(conn,
                Contract,
                whatToShow = "TRADES", 
                barSize = "5",
                useRTH = TRUE,
                playback = 1,
                tickerId = "1",
                file = "",
                verbose = TRUE,
                eventWrapper=eWrapper(),
                CALLBACK=twsCALLBACK,
                ...) 

cancelRealTimeBars(conn, tickerId)

Arguments

conn	a valid twsConnection or twsPlayback object
Contract	twsContract object(s) requested
tickerId	the ticker id to associate with the returned bars
whatToShow	what to show
barSize	bar size - currently on 5 secs is TWS supported
playback	playback speed adjustment
useRTH	regular trading hours (logical)
file	passed to internal cat calls. See associated help.
verbose	print diagnostics
eventWrapper	eventWrapper object
CALLBACK	main reciever callback
...	additional args to callback

Details

This function provides R level access to real time (5 second) bars returned by the TWS API. The Interactive Brokers documentation should be reference for the exact meaning of the returned data.

If the conn is a connection of data to be played back all other arguments are ignores, except for playback, which is a multiplier of the bar size in seconds. To force all data to be read without pause set this to 0.

Callbacks, via eventRealTimeBars and CALLBACK are designed to allow for R level processing of the real-time data stream.

eventWrapper allows for direct manipulation of the actual signal recieved. These may be user-defined functions taking the appropriate arguments. Each message recieved (each new bar) will invoke one of this callback. By default when nothing is specified, the code will call the default method for printing the results to the screen via 'cat'.

Note that the use of the argument 'file' will be passed to these 'cat' calls, and therefore it will be possible to use the functionality of 'cat' directly - e.g. piping output or writing to a connection. The simplest use of file would be to specify the name of a file, or open connection to append the output of the stream to.

The 'CALLBACK' argument is used for more control of the incoming results. This requires user-level error checking as well as TWS API interaction. It is here for advanced use and until documented should be left alone.

Value

The real-time bar data requested.

Note

As R is single threaded - this request will run until interupted by an error or by user action. Both will clean up after themselves when appropriate.

Author(s)

Jeffrey A. Ryan

References

Interactive Brokers TWS API http://individuals.interactivebrokers.com/php/apiguide/apiguide.htm

See Also

twsConnect,twsContract,eWrapper

Examples

## Not run: 
tws <- twsConnect()
contract <- twsEquity("QQQQ","SMART","ISLAND")
reqRealTimeBars(tws, contract)

# write to an open file connection
fh <- file('out.dat',open='a')
reqRealTimeBars(tws, contract, file=fh)
close(fh)

## End(Not run)

jlaultman/ibrokers documentation built on May 19, 2019, 12:46 p.m.