getQuote.BATS: getQuote from BATS
In qmao: Quantmod Add-on

Description Usage Arguments Details Value Note Author(s) References See Also Examples

getQuote.BATS is a getQuote "method" for BATS, although it may be called directly.

  getQuote.BATS(Symbols,
    what = c("bats", "bbo", "ladder", "depth", "trades"),
    exch = c("bzx", "byx", "opt"))

  getQuote.bats(Symbols,
    what = c("bats", "bbo", "ladder", "depth", "trades"),
    exch = c("bzx", "byx", "opt"))

  ladder(x)

  trades(x)

  depth(x, ...)

`Symbols`	a vector of ticker symbols. If length is greater than 1, a list will be returned unless `what="bbo"` in which case a multi-row `data.frame` will be returned.
`what`	character. What to return. See details
`exch`	character. "bzx" or "byx". ("opt" is completely untested and most likely does not work)
`x`	a bats object
`...`	pass through arguments

This downloads data from BATS for a given stock and exchange and parses it into a list using fromJSON. By default (what="bats"), this list is given a class of bats and returned. Currently, the other values for what just specify how to reformat/subset the data.

With what="bbo", a data.frame will be returned with a row for each of the 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 data.frame will likely only have the "TradeTime", "Last" and "LastSize" columns.

If what="ladder", an object of class ladder is returned. It will be a 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 ladder will also have the following attributes: "timestamp", "company", "volume", "last.price", and "last.qty"

When called with what="depth", an object of class depth will be returned which is very similar to a 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 depth object is a 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 ladder object has.

If what="trades", an xts object is returned that has the "Qty" and "Price" of the last 10 trades.

There are print methods for bats, ladder, and depth that make use of pander::pandoc.table

There are also plot methods for bats, ladder, and depth. These make it incredibly easy to make a nice looking shiny app.

market data. The type of object returned depends on the value of what. See Details. If Symbols is of length greater than 1 and type is not "bbo", a list will be returned.

"opt" exch has NOT been TESTED AT ALL

Garrett See

http://www.batstrading.com/market_data/

getQuote

## Not run:  # 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"))

## End(Not run)