R/IBClient.R
In lbilli/rib: An Implementation of 'Interactive Brokers' API
IBClient <- R6Class("IBClient",
class= FALSE,
cloneable= FALSE,
lock_class= TRUE,
private= list(
socket= NULL, # Socket connection
serverVersion= NULL, # Returned on connection
serverTimestamp= NULL, # Returned on connection
id= NULL, # Client ID
decoder= NULL, # Decoder
#
# Finalizer
#
finalize= function() {
self$disconnect()
},
#
# Encode and send a message
#
# msg: character vector
#
encodeMsg= function(msg, api_sign=FALSE) {
stopifnot(is.character(msg),
!is.na(msg))
raw_msg <- writeBin(msg, raw())
if(api_sign) {
# Chop last '\0'
raw_msg <- head(raw_msg, -1L)
}
len <- length(raw_msg)
stopifnot(raw_msg < as.raw(0x80L), # Only ASCII chars are allowed
len <= MAX_MSG_LEN)
header <- writeBin(len, raw(), size=HEADER_LEN, endian="big")
res <- if(api_sign) c(API_SIGN, header, raw_msg)
else c(header, raw_msg)
# Write to socket
writeBin(res, private$socket)
},
#
# Read one message. BLOCKING
#
# Return the fields in a character vector
#
readOneMsg= function() {
# Read header and decode message length
len <- readBin(private$socket, integer(), size=HEADER_LEN, endian="big")
# Invalid socket
if(length(len) == 0L)
stop("lost connection")
# Header consistency check
stopifnot(len > 0L,
len <= MAX_MSG_LEN)
raw_msg <- readBin(private$socket, raw(), n=len)
# Count the fields
n <- sum(raw_msg == as.raw(0L))
# Consistency checks
stopifnot(length(raw_msg) == len, # Entire message is read
raw_msg[len] == as.raw(0L), # Last byte is 0x00
n > 0L) # At least 1 field
readBin(raw_msg, character(), n=n)
},
# Return character vector
sanitize= function(v) {
stopifnot(is.list(v))
# Convert NA -> ""
v[is.na(v)] <- ""
# Convert bool -> integer (0,1)
if(length(idx <- which(vapply(v, is.logical, NA))) > 0L)
v[idx] <- as.integer(v[idx])
# Convert Inf -> "Infinity"
if(length(idx <- which(vapply(v, function(x) x == Inf, NA))) > 0L)
v[idx] <- "Infinity"
as.character(v)
},
# Convenience wrapper for simple payload requests
req_simple= function(msgid, ...)
private$encodeMsg(c(msgid, ...))
),
active= list(
serVersion= function() private$serverVersion,
serTimestamp= function() private$serverTimestamp,
clientId= function() private$id
),
public= list(
connect= function(host="localhost", port=4002L, clientId=1L, connectOptions="", optionalCapabilities="") {
stopifnot(is.null(private$socket))
# Open connection to server
private$socket <- socketConnection(host=host, port=port, open="r+b", blocking=TRUE)
# Prefix " " to connectOptions, if not empty
if(nzchar(connectOptions, keepNA=TRUE))
connectOptions <- paste0(" ", connectOptions)
# Start handshake
private$encodeMsg(paste0("v", MIN_CLIENT_VER, "..", MAX_CLIENT_VER, connectOptions), api_sign=TRUE)
# Server response
res <- private$readOneMsg()
stopifnot(length(res) == 2L)
message("server version: ", res[1L], " timestamp: ", res[2L])
private$serverVersion <- as.integer(res[1L])
private$serverTimestamp <- res[2L]
# Check server version
if(private$serverVersion < MIN_CLIENT_VER ||
private$serverVersion > MAX_CLIENT_VER) {
self$disconnect()
stop("unsupported version")
}
# startAPI
self$startApi(clientId, optionalCapabilities)
private$id <- clientId
# TODO
# Verify that connection was successful
# Instantiate Decoder
private$decoder <- Decoder$new(private$serverVersion)
},
disconnect= function() {
if(!is.null(private$socket)) {
close(private$socket)
private$socket <-
private$serverVersion <-
private$serverTimestamp <-
private$id <-
private$decoder <- NULL
}
},
#
# Process server responses
#
# Block up to timeout
# If wrap is missing, messages are discarded
# otherwise callbacks are dispatched
#
checkMsg= function(wrap, timeout=0.2) {
count <- 0L
while(socketSelect(list(private$socket), write=FALSE, timeout=timeout)) {
count <- count + 1L
msg <- private$readOneMsg()
if(!missing(wrap)) {
# Decode message
res <- private$decoder$decode(msg)
# Dispatch callback
if(!is.null(res))
do.call(wrap[[res$fname]], res$fargs)
}
}
count
},
# ########################################################################
#
# Send requests to the server
#
# ########################################################################
reqMktData= function(tickerId, contract, genericTicks, snapshot, regulatorySnaphsot=FALSE, mktDataOptions=character()) {
msg <- c("1", "11") ### REQ_MKT_DATA
payload <- c(contract[1L:12L],
if(contract$secType == "BAG")
c(length(contract$comboLegs),
do.call(c, lapply(contract$comboLegs, function(l) l[1L:4L]))),
if(is.list(contract$deltaNeutralContract))
c(TRUE, contract$deltaNeutralContract)
else
FALSE,
genericTicks,
snapshot,
regulatorySnaphsot,
pack_tagvalue(mktDataOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelMktData= function(tickerId) private$req_simple("2", "2", tickerId), ### CANCEL_MKT_DATA
placeOrder= function(id, contract, order) {
msg <- "3" ### PLACE_ORDER
payload <- c(contract[c(1L:12L, 14L, 15L)],
order[4L:9L], # "action" -> "tif"
order[c("ocaGroup",
"account",
"openClose")],
map_enum2int("Origin", order$origin),
order[14L:22L], # "orderRef" -> "hidden"
if(contract$secType == "BAG")
c(length(contract$comboLegs),
do.call(c, contract$comboLegs),
length(order$orderComboLegs),
order$orderComboLegs,
length(order$smartComboRoutingParams),
pack_tagvalue(order$smartComboRoutingParams, mode="unfold")),
"", # Deprecated sharesAllocation
order[c("discretionaryAmt",
"goodAfterTime",
"goodTillDate",
"faGroup",
"faMethod",
"faPercentage")],
if(self$serVersion < MIN_SERVER_VER_FA_PROFILE_DESUPPORT)
"", # Deprecated faProfile
order[c("modelCode",
"shortSaleSlot",
"designatedLocation",
"exemptCode",
"ocaType",
"rule80A",
"settlingFirm",
"allOrNone",
"minQty",
"percentOffset")],
FALSE, # Deprecated eTradeOnly
FALSE, # Deprecated firmQuoteOnly
"", # Deprecated nbboPriceCap
map_enum2int("AuctionStrategy", order$auctionStrategy),
order[c("startingPrice",
"stockRefPrice",
"delta",
"stockRangeLower",
"stockRangeUpper",
"overridePercentageConstraints",
"volatility",
"volatilityType",
"deltaNeutralOrderType",
"deltaNeutralAuxPrice")],
if(nzchar(order$deltaNeutralOrderType, keepNA=TRUE))
order[54L:61L], # "deltaNeutralConId" -> "deltaNeutralDesignatedLocation"
order[c("continuousUpdate",
"referencePriceType",
"trailStopPrice",
"trailingPercent",
"scaleInitLevelSize",
"scaleSubsLevelSize",
"scalePriceIncrement")],
if(!is.na(order$scalePriceIncrement) &&
order$scalePriceIncrement > 0)
order[69L:75L], # "scalePriceAdjustValue" -> "scaleRandomPercent"
order[c("scaleTable",
"activeStartTime",
"activeStopTime",
"hedgeType")],
if(nzchar(order$hedgeType, keepNA=TRUE))
order$hedgeParam,
order[c("optOutSmartRouting",
"clearingAccount",
"clearingIntent",
"notHeld")],
if(is.list(contract$deltaNeutralContract))
c(TRUE, contract$deltaNeutralContract)
else
FALSE,
order$algoStrategy,
if(nzchar(order$algoStrategy, keepNA=TRUE))
c(length(order$algoParams),
pack_tagvalue(order$algoParams, mode="unfold")),
order[c("algoId",
"whatIf")],
pack_tagvalue(order$orderMiscOptions, mode="string"),
order[c("solicited",
"randomizeSize",
"randomizePrice")],
if(order$orderType == "PEG BENCH")
order[c("referenceContractId",
"isPeggedChangeAmountDecrease",
"peggedChangeAmount",
"referenceChangeAmount",
"referenceExchangeId")],
length(order$conditions),
if(length(order$conditions) > 0L)
c(do.call(c, lapply(order$conditions,
function(cond)
c(map_enum2int("Condition", cond$type), cond[-1L]))),
order[c("conditionsIgnoreRth",
"conditionsCancelOrder")]),
order[c("adjustedOrderType",
"triggerPrice",
"lmtPriceOffset",
"adjustedStopPrice",
"adjustedStopLimitPrice",
"adjustedTrailingAmount",
"adjustableTrailingUnit",
"extOperator")],
order$softDollarTier[c("name", "val")],
order[c("cashQty",
"mifid2DecisionMaker",
"mifid2DecisionAlgo",
"mifid2ExecutionTrader",
"mifid2ExecutionAlgo",
"dontUseAutoPriceForHedge",
"isOmsContainer",
"discretionaryUpToLimitPrice",
"usePriceMgmtAlgo",
"duration",
"postToAts",
"autoCancelParent",
"advancedErrorOverride",
"manualOrderTime")],
if(contract$exchange == "IBKRATS")
order$minTradeQty,
if(order$orderType == "PEG BEST")
order[c("minCompeteSize",
"competeAgainstBestOffset")],
if(order$orderType == "PEG BEST" && order$competeAgainstBestOffset == Inf ||
order$orderType == "PEG MID")
order[c("midOffsetAtWhole",
"midOffsetAtHalf")],
if(self$serVersion >= MIN_SERVER_VER_CUSTOMER_ACCOUNT)
order$customerAccount,
if(self$serVersion >= MIN_SERVER_VER_PROFESSIONAL_CUSTOMER)
order$professionalCustomer)
msg <- c(msg, id, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelOrder= function(id, manualOrderCancelTime) {
msg <- c("4", "1", ### CANCEL_ORDER
id,
manualOrderCancelTime)
private$encodeMsg(msg)
},
reqOpenOrders= function() private$req_simple("5", "1"), ### REQ_OPEN_ORDERS
reqAccountUpdates= function(subscribe, acctCode) {
msg <- c("6", "2", ### REQ_ACCT_DATA
private$sanitize(list(subscribe, acctCode)))
private$encodeMsg(msg)
},
reqExecutions= function(reqId, filter) {
msg <- c("7", "3", ### REQ_EXECUTIONS
reqId,
private$sanitize(filter))
private$encodeMsg(msg)
},
reqIds= function()
# Hardcode numIds = 1. It's deprecated and unused.
private$req_simple("8", "1", "1"), ### REQ_IDS
reqContractDetails= function(reqId, contract) {
msg <- c("9", "8", ### REQ_CONTRACT_DATA
reqId,
private$sanitize(contract[1L:15L]),
contract$issuerId)
private$encodeMsg(msg)
},
reqMktDepth= function(tickerId, contract, numRows, isSmartDepth, mktDepthOptions=character()) {
msg <- c("10", "5") ### REQ_MKT_DEPTH
payload <- c(contract[1L:12L],
numRows,
isSmartDepth,
pack_tagvalue(mktDepthOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelMktDepth= function(tickerId, isSmartDepth) {
msg <- c("11", "1", ### CANCEL_MKT_DEPTH
tickerId,
private$sanitize(list(isSmartDepth)))
private$encodeMsg(msg)
},
reqNewsBulletins= function(allMsgs) {
msg <- c("12", "1", ### REQ_NEWS_BULLETINS
private$sanitize(list(allMsgs)))
private$encodeMsg(msg)
},
cancelNewsBulletins= function() private$req_simple("13", "1"), ### CANCEL_NEWS_BULLETINS
setServerLogLevel= function(logLevel) private$req_simple("14", "1", logLevel), ### SET_SERVER_LOGLEVEL
reqAutoOpenOrders= function(bAutoBind) {
msg <- c("15", "1", ### REQ_AUTO_OPEN_ORDERS
private$sanitize(list(bAutoBind)))
private$encodeMsg(msg)
},
reqAllOpenOrders= function() private$req_simple("16", "1"), ### REQ_ALL_OPEN_ORDERS
reqManagedAccts= function() private$req_simple("17", "1"), ### REQ_MANAGED_ACCTS
requestFA= function(faDataType) private$req_simple("18", "1", map_enum2int("FaDataType", faDataType)), ### REQ_FA
replaceFA= function(reqId, faDataType, xml) {
msg <- c("19", "1", ### REPLACE_FA
map_enum2int("FaDataType", faDataType),
xml,
reqId)
private$encodeMsg(msg)
},
reqHistoricalData= function(tickerId, contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate, keepUpToDate, chartOptions=character()) {
msg <- "20" ### REQ_HISTORICAL_DATA
payload <- c(contract[1L:13L],
endDateTime,
barSizeSetting,
durationStr,
useRTH,
whatToShow,
formatDate,
if(contract$secType == "BAG")
c(length(contract$comboLegs),
do.call(c, lapply(contract$comboLegs, function(l) l[1L:4L]))),
keepUpToDate,
pack_tagvalue(chartOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
exerciseOptions= function(tickerId, contract, exerciseAction, exerciseQuantity,
account, override, manualOrderTime, customerAccount,
professionalCustomer) {
msg <- c("21", "2") ### EXERCISE_OPTIONS
payload <- c(contract[c(1L:8L, 10L:12L)],
exerciseAction,
exerciseQuantity,
account,
override,
if(self$serVersion >= MIN_SERVER_VER_MANUAL_ORDER_TIME_EXERCISE_OPTIONS)
manualOrderTime,
if(self$serVersion >= MIN_SERVER_VER_CUSTOMER_ACCOUNT)
customerAccount,
if(self$serVersion >= MIN_SERVER_VER_PROFESSIONAL_CUSTOMER)
professionalCustomer)
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
reqScannerSubscription= function(tickerId, subscription, scannerSubscriptionOptions=character(), scannerSubscriptionFilterOptions=character()) {
msg <- "22" ### REQ_SCANNER_SUBSCRIPTION
payload <- c(subscription[1L:21L],
pack_tagvalue(scannerSubscriptionFilterOptions, mode="string"),
pack_tagvalue(scannerSubscriptionOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelScannerSubscription= function(tickerId) private$req_simple("23", "1", tickerId), ### CANCEL_SCANNER_SUBSCRIPTION
reqScannerParameters= function() private$req_simple("24", "1"), ### REQ_SCANNER_PARAMETERS
cancelHistoricalData= function(tickerId) private$req_simple("25", "1", tickerId), ### CANCEL_HISTORICAL_DATA
reqCurrentTime= function() private$req_simple("49", "1"), ### REQ_CURRENT_TIME
reqRealTimeBars= function(tickerId, contract, barSize, whatToShow, useRTH, realTimeBarsOptions=character()) {
msg <- c("50", "3") ### REQ_REAL_TIME_BARS
payload <- c(contract[1L:12L],
barSize,
whatToShow,
useRTH,
pack_tagvalue(realTimeBarsOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelRealTimeBars= function(tickerId) private$req_simple("51", "1", tickerId), ### CANCEL_REAL_TIME_BARS
reqFundamentalData= function(reqId, contract, reportType, fundamentalDataOptions=character()) {
msg <- c("52", "2", ### REQ_FUNDAMENTAL_DATA
reqId,
private$sanitize(contract[c(1L:3L, 8L:11L)]),
reportType,
pack_tagvalue(fundamentalDataOptions, mode="string"))
private$encodeMsg(msg)
},
cancelFundamentalData= function(reqId) private$req_simple("53", "1", reqId), ### CANCEL_FUNDAMENTAL_DATA
calculateImpliedVolatility= function(reqId, contract, optionPrice, underPrice, miscOptions=character()) {
msg <- c("54", "2") ### REQ_CALC_IMPLIED_VOLAT
payload <- c(contract[1L:12L],
optionPrice,
underPrice,
pack_tagvalue(miscOptions, mode="string"))
msg <- c(msg, reqId, private$sanitize(payload))
private$encodeMsg(msg)
},
calculateOptionPrice= function(reqId, contract, volatility, underPrice, miscOptions=character()) {
msg <- c("55", "2") ### REQ_CALC_OPTION_PRICE
payload <- c(contract[1L:12L],
volatility,
underPrice,
pack_tagvalue(miscOptions, mode="string"))
msg <- c(msg, reqId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelCalculateImpliedVolatility= function(reqId) private$req_simple("56", "1", reqId), ### CANCEL_CALC_IMPLIED_VOLAT
cancelCalculateOptionPrice= function(reqId) private$req_simple("57", "1", reqId), ### CANCEL_CALC_OPTION_PRICE
reqGlobalCancel= function() private$req_simple("58", "1"), ### REQ_GLOBAL_CANCEL
reqMarketDataType= function(marketDataType) private$req_simple("59", "1", marketDataType), ### REQ_MARKET_DATA_TYPE
reqPositions= function() private$req_simple("61", "1"), ### REQ_POSITIONS
reqAccountSummary= function(reqId, groupName, tags) private$req_simple("62", "1", reqId, groupName, tags), ### REQ_ACCOUNT_SUMMARY
cancelAccountSummary= function(reqId) private$req_simple("63", "1", reqId), ### CANCEL_ACCOUNT_SUMMARY
cancelPositions= function() private$req_simple("64", "1"), ### CANCEL_POSITIONS
verifyRequest= function(apiName, apiVersion) {
# WARN: Assume extraAuth = TRUE
msg <- c("65", "1", ### VERIFY_REQUEST
apiName,
apiVersion)
private$encodeMsg(msg)
},
verifyMessage= function(apiData) private$req_simple("66", "1", apiData), ### VERIFY_MESSAGE
queryDisplayGroups= function(reqId) private$req_simple("67", "1", reqId), ### QUERY_DISPLAY_GROUPS
subscribeToGroupEvents= function(reqId, groupId) private$req_simple("68", "1", reqId, groupId), ### SUBSCRIBE_TO_GROUP_EVENTS
updateDisplayGroup= function(reqId, contractInfo) private$req_simple("69", "1", reqId, contractInfo), ### UPDATE_DISPLAY_GROUP
unsubscribeFromGroupEvents= function(reqId) private$req_simple("70", "1", reqId), ### UNSUBSCRIBE_FROM_GROUP_EVENTS
startApi= function(clientId, optionalCapabilities) private$req_simple("71", "2", clientId, optionalCapabilities), ### START_API
verifyAndAuthRequest= function(apiName, apiVersion, opaqueIsvKey) {
# WARN: Assume extraAuth = TRUE
msg <- c("72", "1", ### VERIFY_AND_AUTH_REQUEST
apiName,
apiVersion,
opaqueIsvKey)
private$encodeMsg(msg)
},
verifyAndAuthMessage= function(apiData, xyzResponse) private$req_simple("73", "1", apiData, xyzResponse), ### VERIFY_AND_AUTH_MESSAGE
reqPositionsMulti= function(reqId, account, modelCode) private$req_simple("74", "1", reqId, account, modelCode), ### REQ_POSITIONS_MULTI
cancelPositionsMulti= function(reqId) private$req_simple("75", "1", reqId), ### CANCEL_POSITIONS_MULTI
reqAccountUpdatesMulti= function(reqId, account, modelCode, ledgerAndNLV) {
msg <- c("76", "1", ### REQ_ACCOUNT_UPDATES_MULTI
reqId,
account,
modelCode,
private$sanitize(list(ledgerAndNLV)))
private$encodeMsg(msg)
},
cancelAccountUpdatesMulti= function(reqId) private$req_simple("77", "1", reqId), ### CANCEL_ACCOUNT_UPDATES_MULTI
reqSecDefOptParams= function(reqId, underlyingSymbol, futFopExchange, underlyingSecType, underlyingConId) {
msg <- c("78", ### REQ_SEC_DEF_OPT_PARAMS
reqId,
underlyingSymbol,
futFopExchange,
underlyingSecType,
underlyingConId)
private$encodeMsg(msg)
},
reqSoftDollarTiers= function(reqId) private$req_simple("79", reqId), ### REQ_SOFT_DOLLAR_TIERS
reqFamilyCodes= function() private$req_simple("80"), ### REQ_FAMILY_CODES
reqMatchingSymbols= function(reqId, pattern) private$req_simple("81", reqId, pattern), ### REQ_MATCHING_SYMBOLS
reqMktDepthExchanges= function() private$req_simple("82"), ### REQ_MKT_DEPTH_EXCHANGES
reqSmartComponents= function(reqId, bboExchange) private$req_simple("83", reqId, bboExchange), ### REQ_SMART_COMPONENTS
reqNewsArticle= function(requestId, providerCode, articleId, newsArticleOptions=character()) {
msg <- c("84", ### REQ_NEWS_ARTICLE
requestId,
providerCode,
articleId,
pack_tagvalue(newsArticleOptions, mode="string"))
private$encodeMsg(msg)
},
reqNewsProviders= function() private$req_simple("85"), ### REQ_NEWS_PROVIDERS
reqHistoricalNews= function(requestId, conId, providerCodes, startDateTime, endDateTime, totalResults, historicalNewsOptions=character()) {
msg <- c("86", ### REQ_HISTORICAL_NEWS
requestId,
conId,
providerCodes,
startDateTime,
endDateTime,
totalResults,
pack_tagvalue(historicalNewsOptions, mode="string"))
private$encodeMsg(msg)
},
reqHeadTimestamp= function(tickerId, contract, whatToShow, useRTH, formatDate) {
msg <- c("87", ### REQ_HEAD_TIMESTAMP
tickerId,
private$sanitize(c(contract[1L:13L], useRTH)),
whatToShow,
formatDate)
private$encodeMsg(msg)
},
reqHistogramData= function(reqId, contract, useRTH, timePeriod) {
msg <- c("88", ### REQ_HISTOGRAM_DATA
reqId,
private$sanitize(c(contract[1L:13L], useRTH)),
timePeriod)
private$encodeMsg(msg)
},
cancelHistogramData= function(reqId) private$req_simple("89", reqId), ### CANCEL_HISTOGRAM_DATA
cancelHeadTimestamp= function(tickerId) private$req_simple("90", tickerId), ### CANCEL_HEAD_TIMESTAMP
reqMarketRule= function(marketRuleId) private$req_simple("91", marketRuleId), ### REQ_MARKET_RULE
reqPnL= function(reqId, account, modelCode) private$req_simple("92", reqId, account, modelCode), ### REQ_PNL
cancelPnL= function(reqId) private$req_simple("93", reqId), ### CANCEL_PNL
reqPnLSingle= function(reqId, account, modelCode, conId) private$req_simple("94", reqId, account, modelCode, conId), ### REQ_PNL_SINGLE
cancelPnLSingle= function(reqId) private$req_simple("95", reqId), ### CANCEL_PNL_SINGLE
reqHistoricalTicks= function(reqId, contract, startDateTime, endDateTime, numberOfTicks, whatToShow, useRth, ignoreSize, miscOptions=character()) {
msg <- "96" ### REQ_HISTORICAL_TICKS
payload <- c(contract[1L:13L],
startDateTime,
endDateTime,
numberOfTicks,
whatToShow,
useRth,
ignoreSize)
msg <- c(msg, reqId, private$sanitize(payload), pack_tagvalue(miscOptions, mode="string"))
private$encodeMsg(msg)
},
reqTickByTickData= function(reqId, contract, tickType, numberOfTicks, ignoreSize) {
msg <- c("97", ### REQ_TICK_BY_TICK_DATA
reqId,
private$sanitize(contract[1L:12L]),
tickType,
numberOfTicks,
private$sanitize(list(ignoreSize)))
private$encodeMsg(msg)
},
cancelTickByTickData= function(reqId) private$req_simple("98", reqId), ### CANCEL_TICK_BY_TICK_DATA
reqCompletedOrders= function(apiOnly) {
msg <- c("99", ### REQ_COMPLETED_ORDERS
private$sanitize(list(apiOnly)))
private$encodeMsg(msg)
},
reqWshMetaData= function(reqId) private$req_simple("100", reqId), ### REQ_WSH_META_DATA
cancelWshMetaData= function(reqId) private$req_simple("101", reqId), ### CANCEL_WSH_META_DATA
reqWshEventData= function(reqId, wshEventData) {
msg <- c("102", ### REQ_WSH_EVENT_DATA
reqId,
private$sanitize(wshEventData))
private$encodeMsg(msg)
},
cancelWshEventData= function(reqId) private$req_simple("103", reqId), ### CANCEL_WSH_EVENT_DATA
reqUserInfo= function(reqId) private$req_simple("104", reqId) ### REQ_USER_INFO
)
)
lbilli/rib documentation built on April 22, 2024, 7:26 p.m.
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IBClient <- R6Class("IBClient",
class= FALSE,
cloneable= FALSE,
lock_class= TRUE,
private= list(
socket= NULL, # Socket connection
serverVersion= NULL, # Returned on connection
serverTimestamp= NULL, # Returned on connection
id= NULL, # Client ID
decoder= NULL, # Decoder
#
# Finalizer
#
finalize= function() {
self$disconnect()
},
#
# Encode and send a message
#
# msg: character vector
#
encodeMsg= function(msg, api_sign=FALSE) {
stopifnot(is.character(msg),
!is.na(msg))
raw_msg <- writeBin(msg, raw())
if(api_sign) {
# Chop last '\0'
raw_msg <- head(raw_msg, -1L)
}
len <- length(raw_msg)
stopifnot(raw_msg < as.raw(0x80L), # Only ASCII chars are allowed
len <= MAX_MSG_LEN)
header <- writeBin(len, raw(), size=HEADER_LEN, endian="big")
res <- if(api_sign) c(API_SIGN, header, raw_msg)
else c(header, raw_msg)
# Write to socket
writeBin(res, private$socket)
},
#
# Read one message. BLOCKING
#
# Return the fields in a character vector
#
readOneMsg= function() {
# Read header and decode message length
len <- readBin(private$socket, integer(), size=HEADER_LEN, endian="big")
# Invalid socket
if(length(len) == 0L)
stop("lost connection")
# Header consistency check
stopifnot(len > 0L,
len <= MAX_MSG_LEN)
raw_msg <- readBin(private$socket, raw(), n=len)
# Count the fields
n <- sum(raw_msg == as.raw(0L))
# Consistency checks
stopifnot(length(raw_msg) == len, # Entire message is read
raw_msg[len] == as.raw(0L), # Last byte is 0x00
n > 0L) # At least 1 field
readBin(raw_msg, character(), n=n)
},
# Return character vector
sanitize= function(v) {
stopifnot(is.list(v))
# Convert NA -> ""
v[is.na(v)] <- ""
# Convert bool -> integer (0,1)
if(length(idx <- which(vapply(v, is.logical, NA))) > 0L)
v[idx] <- as.integer(v[idx])
# Convert Inf -> "Infinity"
if(length(idx <- which(vapply(v, function(x) x == Inf, NA))) > 0L)
v[idx] <- "Infinity"
as.character(v)
},
# Convenience wrapper for simple payload requests
req_simple= function(msgid, ...)
private$encodeMsg(c(msgid, ...))
),
active= list(
serVersion= function() private$serverVersion,
serTimestamp= function() private$serverTimestamp,
clientId= function() private$id
),
public= list(
connect= function(host="localhost", port=4002L, clientId=1L, connectOptions="", optionalCapabilities="") {
stopifnot(is.null(private$socket))
# Open connection to server
private$socket <- socketConnection(host=host, port=port, open="r+b", blocking=TRUE)
# Prefix " " to connectOptions, if not empty
if(nzchar(connectOptions, keepNA=TRUE))
connectOptions <- paste0(" ", connectOptions)
# Start handshake
private$encodeMsg(paste0("v", MIN_CLIENT_VER, "..", MAX_CLIENT_VER, connectOptions), api_sign=TRUE)
# Server response
res <- private$readOneMsg()
stopifnot(length(res) == 2L)
message("server version: ", res[1L], " timestamp: ", res[2L])
private$serverVersion <- as.integer(res[1L])
private$serverTimestamp <- res[2L]
# Check server version
if(private$serverVersion < MIN_CLIENT_VER ||
private$serverVersion > MAX_CLIENT_VER) {
self$disconnect()
stop("unsupported version")
}
# startAPI
self$startApi(clientId, optionalCapabilities)
private$id <- clientId
# TODO
# Verify that connection was successful
# Instantiate Decoder
private$decoder <- Decoder$new(private$serverVersion)
},
disconnect= function() {
if(!is.null(private$socket)) {
close(private$socket)
private$socket <-
private$serverVersion <-
private$serverTimestamp <-
private$id <-
private$decoder <- NULL
}
},
#
# Process server responses
#
# Block up to timeout
# If wrap is missing, messages are discarded
# otherwise callbacks are dispatched
#
checkMsg= function(wrap, timeout=0.2) {
count <- 0L
while(socketSelect(list(private$socket), write=FALSE, timeout=timeout)) {
count <- count + 1L
msg <- private$readOneMsg()
if(!missing(wrap)) {
# Decode message
res <- private$decoder$decode(msg)
# Dispatch callback
if(!is.null(res))
do.call(wrap[[res$fname]], res$fargs)
}
}
count
},
# ########################################################################
#
# Send requests to the server
#
# ########################################################################
reqMktData= function(tickerId, contract, genericTicks, snapshot, regulatorySnaphsot=FALSE, mktDataOptions=character()) {
msg <- c("1", "11") ### REQ_MKT_DATA
payload <- c(contract[1L:12L],
if(contract$secType == "BAG")
c(length(contract$comboLegs),
do.call(c, lapply(contract$comboLegs, function(l) l[1L:4L]))),
if(is.list(contract$deltaNeutralContract))
c(TRUE, contract$deltaNeutralContract)
else
FALSE,
genericTicks,
snapshot,
regulatorySnaphsot,
pack_tagvalue(mktDataOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelMktData= function(tickerId) private$req_simple("2", "2", tickerId), ### CANCEL_MKT_DATA
placeOrder= function(id, contract, order) {
msg <- "3" ### PLACE_ORDER
payload <- c(contract[c(1L:12L, 14L, 15L)],
order[4L:9L], # "action" -> "tif"
order[c("ocaGroup",
"account",
"openClose")],
map_enum2int("Origin", order$origin),
order[14L:22L], # "orderRef" -> "hidden"
if(contract$secType == "BAG")
c(length(contract$comboLegs),
do.call(c, contract$comboLegs),
length(order$orderComboLegs),
order$orderComboLegs,
length(order$smartComboRoutingParams),
pack_tagvalue(order$smartComboRoutingParams, mode="unfold")),
"", # Deprecated sharesAllocation
order[c("discretionaryAmt",
"goodAfterTime",
"goodTillDate",
"faGroup",
"faMethod",
"faPercentage")],
if(self$serVersion < MIN_SERVER_VER_FA_PROFILE_DESUPPORT)
"", # Deprecated faProfile
order[c("modelCode",
"shortSaleSlot",
"designatedLocation",
"exemptCode",
"ocaType",
"rule80A",
"settlingFirm",
"allOrNone",
"minQty",
"percentOffset")],
FALSE, # Deprecated eTradeOnly
FALSE, # Deprecated firmQuoteOnly
"", # Deprecated nbboPriceCap
map_enum2int("AuctionStrategy", order$auctionStrategy),
order[c("startingPrice",
"stockRefPrice",
"delta",
"stockRangeLower",
"stockRangeUpper",
"overridePercentageConstraints",
"volatility",
"volatilityType",
"deltaNeutralOrderType",
"deltaNeutralAuxPrice")],
if(nzchar(order$deltaNeutralOrderType, keepNA=TRUE))
order[54L:61L], # "deltaNeutralConId" -> "deltaNeutralDesignatedLocation"
order[c("continuousUpdate",
"referencePriceType",
"trailStopPrice",
"trailingPercent",
"scaleInitLevelSize",
"scaleSubsLevelSize",
"scalePriceIncrement")],
if(!is.na(order$scalePriceIncrement) &&
order$scalePriceIncrement > 0)
order[69L:75L], # "scalePriceAdjustValue" -> "scaleRandomPercent"
order[c("scaleTable",
"activeStartTime",
"activeStopTime",
"hedgeType")],
if(nzchar(order$hedgeType, keepNA=TRUE))
order$hedgeParam,
order[c("optOutSmartRouting",
"clearingAccount",
"clearingIntent",
"notHeld")],
if(is.list(contract$deltaNeutralContract))
c(TRUE, contract$deltaNeutralContract)
else
FALSE,
order$algoStrategy,
if(nzchar(order$algoStrategy, keepNA=TRUE))
c(length(order$algoParams),
pack_tagvalue(order$algoParams, mode="unfold")),
order[c("algoId",
"whatIf")],
pack_tagvalue(order$orderMiscOptions, mode="string"),
order[c("solicited",
"randomizeSize",
"randomizePrice")],
if(order$orderType == "PEG BENCH")
order[c("referenceContractId",
"isPeggedChangeAmountDecrease",
"peggedChangeAmount",
"referenceChangeAmount",
"referenceExchangeId")],
length(order$conditions),
if(length(order$conditions) > 0L)
c(do.call(c, lapply(order$conditions,
function(cond)
c(map_enum2int("Condition", cond$type), cond[-1L]))),
order[c("conditionsIgnoreRth",
"conditionsCancelOrder")]),
order[c("adjustedOrderType",
"triggerPrice",
"lmtPriceOffset",
"adjustedStopPrice",
"adjustedStopLimitPrice",
"adjustedTrailingAmount",
"adjustableTrailingUnit",
"extOperator")],
order$softDollarTier[c("name", "val")],
order[c("cashQty",
"mifid2DecisionMaker",
"mifid2DecisionAlgo",
"mifid2ExecutionTrader",
"mifid2ExecutionAlgo",
"dontUseAutoPriceForHedge",
"isOmsContainer",
"discretionaryUpToLimitPrice",
"usePriceMgmtAlgo",
"duration",
"postToAts",
"autoCancelParent",
"advancedErrorOverride",
"manualOrderTime")],
if(contract$exchange == "IBKRATS")
order$minTradeQty,
if(order$orderType == "PEG BEST")
order[c("minCompeteSize",
"competeAgainstBestOffset")],
if(order$orderType == "PEG BEST" && order$competeAgainstBestOffset == Inf ||
order$orderType == "PEG MID")
order[c("midOffsetAtWhole",
"midOffsetAtHalf")],
if(self$serVersion >= MIN_SERVER_VER_CUSTOMER_ACCOUNT)
order$customerAccount,
if(self$serVersion >= MIN_SERVER_VER_PROFESSIONAL_CUSTOMER)
order$professionalCustomer)
msg <- c(msg, id, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelOrder= function(id, manualOrderCancelTime) {
msg <- c("4", "1", ### CANCEL_ORDER
id,
manualOrderCancelTime)
private$encodeMsg(msg)
},
reqOpenOrders= function() private$req_simple("5", "1"), ### REQ_OPEN_ORDERS
reqAccountUpdates= function(subscribe, acctCode) {
msg <- c("6", "2", ### REQ_ACCT_DATA
private$sanitize(list(subscribe, acctCode)))
private$encodeMsg(msg)
},
reqExecutions= function(reqId, filter) {
msg <- c("7", "3", ### REQ_EXECUTIONS
reqId,
private$sanitize(filter))
private$encodeMsg(msg)
},
reqIds= function()
# Hardcode numIds = 1. It's deprecated and unused.
private$req_simple("8", "1", "1"), ### REQ_IDS
reqContractDetails= function(reqId, contract) {
msg <- c("9", "8", ### REQ_CONTRACT_DATA
reqId,
private$sanitize(contract[1L:15L]),
contract$issuerId)
private$encodeMsg(msg)
},
reqMktDepth= function(tickerId, contract, numRows, isSmartDepth, mktDepthOptions=character()) {
msg <- c("10", "5") ### REQ_MKT_DEPTH
payload <- c(contract[1L:12L],
numRows,
isSmartDepth,
pack_tagvalue(mktDepthOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelMktDepth= function(tickerId, isSmartDepth) {
msg <- c("11", "1", ### CANCEL_MKT_DEPTH
tickerId,
private$sanitize(list(isSmartDepth)))
private$encodeMsg(msg)
},
reqNewsBulletins= function(allMsgs) {
msg <- c("12", "1", ### REQ_NEWS_BULLETINS
private$sanitize(list(allMsgs)))
private$encodeMsg(msg)
},
cancelNewsBulletins= function() private$req_simple("13", "1"), ### CANCEL_NEWS_BULLETINS
setServerLogLevel= function(logLevel) private$req_simple("14", "1", logLevel), ### SET_SERVER_LOGLEVEL
reqAutoOpenOrders= function(bAutoBind) {
msg <- c("15", "1", ### REQ_AUTO_OPEN_ORDERS
private$sanitize(list(bAutoBind)))
private$encodeMsg(msg)
},
reqAllOpenOrders= function() private$req_simple("16", "1"), ### REQ_ALL_OPEN_ORDERS
reqManagedAccts= function() private$req_simple("17", "1"), ### REQ_MANAGED_ACCTS
requestFA= function(faDataType) private$req_simple("18", "1", map_enum2int("FaDataType", faDataType)), ### REQ_FA
replaceFA= function(reqId, faDataType, xml) {
msg <- c("19", "1", ### REPLACE_FA
map_enum2int("FaDataType", faDataType),
xml,
reqId)
private$encodeMsg(msg)
},
reqHistoricalData= function(tickerId, contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate, keepUpToDate, chartOptions=character()) {
msg <- "20" ### REQ_HISTORICAL_DATA
payload <- c(contract[1L:13L],
endDateTime,
barSizeSetting,
durationStr,
useRTH,
whatToShow,
formatDate,
if(contract$secType == "BAG")
c(length(contract$comboLegs),
do.call(c, lapply(contract$comboLegs, function(l) l[1L:4L]))),
keepUpToDate,
pack_tagvalue(chartOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
exerciseOptions= function(tickerId, contract, exerciseAction, exerciseQuantity,
account, override, manualOrderTime, customerAccount,
professionalCustomer) {
msg <- c("21", "2") ### EXERCISE_OPTIONS
payload <- c(contract[c(1L:8L, 10L:12L)],
exerciseAction,
exerciseQuantity,
account,
override,
if(self$serVersion >= MIN_SERVER_VER_MANUAL_ORDER_TIME_EXERCISE_OPTIONS)
manualOrderTime,
if(self$serVersion >= MIN_SERVER_VER_CUSTOMER_ACCOUNT)
customerAccount,
if(self$serVersion >= MIN_SERVER_VER_PROFESSIONAL_CUSTOMER)
professionalCustomer)
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
reqScannerSubscription= function(tickerId, subscription, scannerSubscriptionOptions=character(), scannerSubscriptionFilterOptions=character()) {
msg <- "22" ### REQ_SCANNER_SUBSCRIPTION
payload <- c(subscription[1L:21L],
pack_tagvalue(scannerSubscriptionFilterOptions, mode="string"),
pack_tagvalue(scannerSubscriptionOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelScannerSubscription= function(tickerId) private$req_simple("23", "1", tickerId), ### CANCEL_SCANNER_SUBSCRIPTION
reqScannerParameters= function() private$req_simple("24", "1"), ### REQ_SCANNER_PARAMETERS
cancelHistoricalData= function(tickerId) private$req_simple("25", "1", tickerId), ### CANCEL_HISTORICAL_DATA
reqCurrentTime= function() private$req_simple("49", "1"), ### REQ_CURRENT_TIME
reqRealTimeBars= function(tickerId, contract, barSize, whatToShow, useRTH, realTimeBarsOptions=character()) {
msg <- c("50", "3") ### REQ_REAL_TIME_BARS
payload <- c(contract[1L:12L],
barSize,
whatToShow,
useRTH,
pack_tagvalue(realTimeBarsOptions, mode="string"))
msg <- c(msg, tickerId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelRealTimeBars= function(tickerId) private$req_simple("51", "1", tickerId), ### CANCEL_REAL_TIME_BARS
reqFundamentalData= function(reqId, contract, reportType, fundamentalDataOptions=character()) {
msg <- c("52", "2", ### REQ_FUNDAMENTAL_DATA
reqId,
private$sanitize(contract[c(1L:3L, 8L:11L)]),
reportType,
pack_tagvalue(fundamentalDataOptions, mode="string"))
private$encodeMsg(msg)
},
cancelFundamentalData= function(reqId) private$req_simple("53", "1", reqId), ### CANCEL_FUNDAMENTAL_DATA
calculateImpliedVolatility= function(reqId, contract, optionPrice, underPrice, miscOptions=character()) {
msg <- c("54", "2") ### REQ_CALC_IMPLIED_VOLAT
payload <- c(contract[1L:12L],
optionPrice,
underPrice,
pack_tagvalue(miscOptions, mode="string"))
msg <- c(msg, reqId, private$sanitize(payload))
private$encodeMsg(msg)
},
calculateOptionPrice= function(reqId, contract, volatility, underPrice, miscOptions=character()) {
msg <- c("55", "2") ### REQ_CALC_OPTION_PRICE
payload <- c(contract[1L:12L],
volatility,
underPrice,
pack_tagvalue(miscOptions, mode="string"))
msg <- c(msg, reqId, private$sanitize(payload))
private$encodeMsg(msg)
},
cancelCalculateImpliedVolatility= function(reqId) private$req_simple("56", "1", reqId), ### CANCEL_CALC_IMPLIED_VOLAT
cancelCalculateOptionPrice= function(reqId) private$req_simple("57", "1", reqId), ### CANCEL_CALC_OPTION_PRICE
reqGlobalCancel= function() private$req_simple("58", "1"), ### REQ_GLOBAL_CANCEL
reqMarketDataType= function(marketDataType) private$req_simple("59", "1", marketDataType), ### REQ_MARKET_DATA_TYPE
reqPositions= function() private$req_simple("61", "1"), ### REQ_POSITIONS
reqAccountSummary= function(reqId, groupName, tags) private$req_simple("62", "1", reqId, groupName, tags), ### REQ_ACCOUNT_SUMMARY
cancelAccountSummary= function(reqId) private$req_simple("63", "1", reqId), ### CANCEL_ACCOUNT_SUMMARY
cancelPositions= function() private$req_simple("64", "1"), ### CANCEL_POSITIONS
verifyRequest= function(apiName, apiVersion) {
# WARN: Assume extraAuth = TRUE
msg <- c("65", "1", ### VERIFY_REQUEST
apiName,
apiVersion)
private$encodeMsg(msg)
},
verifyMessage= function(apiData) private$req_simple("66", "1", apiData), ### VERIFY_MESSAGE
queryDisplayGroups= function(reqId) private$req_simple("67", "1", reqId), ### QUERY_DISPLAY_GROUPS
subscribeToGroupEvents= function(reqId, groupId) private$req_simple("68", "1", reqId, groupId), ### SUBSCRIBE_TO_GROUP_EVENTS
updateDisplayGroup= function(reqId, contractInfo) private$req_simple("69", "1", reqId, contractInfo), ### UPDATE_DISPLAY_GROUP
unsubscribeFromGroupEvents= function(reqId) private$req_simple("70", "1", reqId), ### UNSUBSCRIBE_FROM_GROUP_EVENTS
startApi= function(clientId, optionalCapabilities) private$req_simple("71", "2", clientId, optionalCapabilities), ### START_API
verifyAndAuthRequest= function(apiName, apiVersion, opaqueIsvKey) {
# WARN: Assume extraAuth = TRUE
msg <- c("72", "1", ### VERIFY_AND_AUTH_REQUEST
apiName,
apiVersion,
opaqueIsvKey)
private$encodeMsg(msg)
},
verifyAndAuthMessage= function(apiData, xyzResponse) private$req_simple("73", "1", apiData, xyzResponse), ### VERIFY_AND_AUTH_MESSAGE
reqPositionsMulti= function(reqId, account, modelCode) private$req_simple("74", "1", reqId, account, modelCode), ### REQ_POSITIONS_MULTI
cancelPositionsMulti= function(reqId) private$req_simple("75", "1", reqId), ### CANCEL_POSITIONS_MULTI
reqAccountUpdatesMulti= function(reqId, account, modelCode, ledgerAndNLV) {
msg <- c("76", "1", ### REQ_ACCOUNT_UPDATES_MULTI
reqId,
account,
modelCode,
private$sanitize(list(ledgerAndNLV)))
private$encodeMsg(msg)
},
cancelAccountUpdatesMulti= function(reqId) private$req_simple("77", "1", reqId), ### CANCEL_ACCOUNT_UPDATES_MULTI
reqSecDefOptParams= function(reqId, underlyingSymbol, futFopExchange, underlyingSecType, underlyingConId) {
msg <- c("78", ### REQ_SEC_DEF_OPT_PARAMS
reqId,
underlyingSymbol,
futFopExchange,
underlyingSecType,
underlyingConId)
private$encodeMsg(msg)
},
reqSoftDollarTiers= function(reqId) private$req_simple("79", reqId), ### REQ_SOFT_DOLLAR_TIERS
reqFamilyCodes= function() private$req_simple("80"), ### REQ_FAMILY_CODES
reqMatchingSymbols= function(reqId, pattern) private$req_simple("81", reqId, pattern), ### REQ_MATCHING_SYMBOLS
reqMktDepthExchanges= function() private$req_simple("82"), ### REQ_MKT_DEPTH_EXCHANGES
reqSmartComponents= function(reqId, bboExchange) private$req_simple("83", reqId, bboExchange), ### REQ_SMART_COMPONENTS
reqNewsArticle= function(requestId, providerCode, articleId, newsArticleOptions=character()) {
msg <- c("84", ### REQ_NEWS_ARTICLE
requestId,
providerCode,
articleId,
pack_tagvalue(newsArticleOptions, mode="string"))
private$encodeMsg(msg)
},
reqNewsProviders= function() private$req_simple("85"), ### REQ_NEWS_PROVIDERS
reqHistoricalNews= function(requestId, conId, providerCodes, startDateTime, endDateTime, totalResults, historicalNewsOptions=character()) {
msg <- c("86", ### REQ_HISTORICAL_NEWS
requestId,
conId,
providerCodes,
startDateTime,
endDateTime,
totalResults,
pack_tagvalue(historicalNewsOptions, mode="string"))
private$encodeMsg(msg)
},
reqHeadTimestamp= function(tickerId, contract, whatToShow, useRTH, formatDate) {
msg <- c("87", ### REQ_HEAD_TIMESTAMP
tickerId,
private$sanitize(c(contract[1L:13L], useRTH)),
whatToShow,
formatDate)
private$encodeMsg(msg)
},
reqHistogramData= function(reqId, contract, useRTH, timePeriod) {
msg <- c("88", ### REQ_HISTOGRAM_DATA
reqId,
private$sanitize(c(contract[1L:13L], useRTH)),
timePeriod)
private$encodeMsg(msg)
},
cancelHistogramData= function(reqId) private$req_simple("89", reqId), ### CANCEL_HISTOGRAM_DATA
cancelHeadTimestamp= function(tickerId) private$req_simple("90", tickerId), ### CANCEL_HEAD_TIMESTAMP
reqMarketRule= function(marketRuleId) private$req_simple("91", marketRuleId), ### REQ_MARKET_RULE
reqPnL= function(reqId, account, modelCode) private$req_simple("92", reqId, account, modelCode), ### REQ_PNL
cancelPnL= function(reqId) private$req_simple("93", reqId), ### CANCEL_PNL
reqPnLSingle= function(reqId, account, modelCode, conId) private$req_simple("94", reqId, account, modelCode, conId), ### REQ_PNL_SINGLE
cancelPnLSingle= function(reqId) private$req_simple("95", reqId), ### CANCEL_PNL_SINGLE
reqHistoricalTicks= function(reqId, contract, startDateTime, endDateTime, numberOfTicks, whatToShow, useRth, ignoreSize, miscOptions=character()) {
msg <- "96" ### REQ_HISTORICAL_TICKS
payload <- c(contract[1L:13L],
startDateTime,
endDateTime,
numberOfTicks,
whatToShow,
useRth,
ignoreSize)
msg <- c(msg, reqId, private$sanitize(payload), pack_tagvalue(miscOptions, mode="string"))
private$encodeMsg(msg)
},
reqTickByTickData= function(reqId, contract, tickType, numberOfTicks, ignoreSize) {
msg <- c("97", ### REQ_TICK_BY_TICK_DATA
reqId,
private$sanitize(contract[1L:12L]),
tickType,
numberOfTicks,
private$sanitize(list(ignoreSize)))
private$encodeMsg(msg)
},
cancelTickByTickData= function(reqId) private$req_simple("98", reqId), ### CANCEL_TICK_BY_TICK_DATA
reqCompletedOrders= function(apiOnly) {
msg <- c("99", ### REQ_COMPLETED_ORDERS
private$sanitize(list(apiOnly)))
private$encodeMsg(msg)
},
reqWshMetaData= function(reqId) private$req_simple("100", reqId), ### REQ_WSH_META_DATA
cancelWshMetaData= function(reqId) private$req_simple("101", reqId), ### CANCEL_WSH_META_DATA
reqWshEventData= function(reqId, wshEventData) {
msg <- c("102", ### REQ_WSH_EVENT_DATA
reqId,
private$sanitize(wshEventData))
private$encodeMsg(msg)
},
cancelWshEventData= function(reqId) private$req_simple("103", reqId), ### CANCEL_WSH_EVENT_DATA
reqUserInfo= function(reqId) private$req_simple("104", reqId) ### REQ_USER_INFO
)
)
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