[R-SIG-Finance] IBrokers
Stephen Choularton
stephen at organicfoodmarkets.com.au
Tue Dec 7 07:24:33 CET 2010
Just for the record I though I should post this as it did actually place
the order I was after:
library(IBrokers)
myCALLBACK <-
function(twsCon, eWrapper, timestamp, file, playback = 1, ...) {
con <- twsCon[[1]]
traded <- FALSE
while (TRUE) {
socketSelect(list(con), FALSE, NULL)
#data
curMsg <- readBin(con, character(), 1)
if (!is.null(timestamp)) {
processMsg(curMsg, con, eWrapper, format(Sys.time(),
timestamp), file, ...)
} else {
processMsg(curMsg, con, eWrapper, timestamp, file, ...)
}
# EXTRACT DATA HERE
BidSize <- as.numeric(eWrapper$.Data$data[[1]][,1])
BidPrice <- as.numeric(eWrapper$.Data$data[[1]][,2])
AskPrice <- as.numeric(eWrapper$.Data$data[[1]][,3])
AskSize <- as.numeric(eWrapper$.Data$data[[1]][,4])
Last <- as.numeric(eWrapper$.Data$data[[1]][,5])
LastSize <- as.numeric(eWrapper$.Data$data[[1]][,6])
Volume <- as.numeric(eWrapper$.Data$data[[1]][,7])
print(c("BidSize: ", BidSize, "BidPrice: ", BidPrice, "AskPrice: ",
AskPrice, "AskSize: ", AskSize, "Last: ", Last, "LastSize : ", LastSize
, "Volume: ", Volume ))
# TRADE LOGIC HERE
if(!traded && !is.na(Last) && Last >= 49) {
print(c("inside the trading logic "))
id <- reqIds(twsCon)
#placeOrder(tws, twsEquity("CBA","ASX","AUD"), twsOrder(id,
"BUY", "1", "MKT"))
traded <- TRUE
}
}
}
con = twsConnect()
#reqMktData(con, twsEquity("GOOG"), event=eWrapper.data(1),
CALLBACK=myCALLBACK)
reqMktData(con, twsEquity("CBA","ASX","AUD"), event=eWrapper.data(1),
CALLBACK=myCALLBACK)
closeAllConnections()
I imagine I will be back as I am actually trying to use this for spreads
- so now I have to move on and try two symbols, etc but for what it is
worth the code is there for anyone who wants to use it.
Stephen Choularton Ph.D., FIoD
On 06/12/2010 10:17 AM, Jeff Ryan wrote:
> Stephen,
>
> Comments inline:
>
> On Sun, Dec 5, 2010 at 1:23 PM, Stephen Choularton
> <stephen at organicfoodmarkets.com.au> wrote:
>> Hi
>>
>> If you read this list you will have noticed I have been working on callbacks
>> and I finally got to some code that appears to work so I though I would
>> share it:
>>
>> library(IBrokers)
>>
>> myCALLBACK<-
>> function(twsCon, eWrapper, timestamp, file, playback = 1, ...) {
>> con<- twsCon[[1]]
>> twsOC<- twsConnect(2) # our order connection
>> con2<- twsOC[[1]]
>> ocWrapper<- eWrapper(TRUE)
>> traded<- FALSE
>> while (TRUE) {
>> cons<- socketSelect(list(con, con2), FALSE, 0.01)
>> if(cons[1]) { #data
>> curMsg<- readBin(con, character(), 1)
>> if (!is.null(timestamp)) {
>> processMsg(curMsg, con, eWrapper, format(Sys.time(),
>> timestamp), file, ...)
>> } else {
>> processMsg(curMsg, con, eWrapper, timestamp, file, ...)
>> }
>> } else if(cons[2]) {
>> curMsg<- readBin(con2, character(), 1)
>> if (!is.null(timestamp)) {
>> processMsg(curMsg, con2, ocWrapper, format(Sys.time(),
>> timestamp), file, ...)
>> } else {
>> processMsg(curMsg, con2, ocWrapper, timestamp, file, ...)
>> }
>> } # TRADE LOGIC HERE
>> curBID<- as.numeric(eWrapper$.Data$data[[1]][3])
>> if(!traded ) { # add back on open:&& !is.na(curBID)&& curBID>
>> 141.00
>>
>> print(c("the cur bid is ", curBID))
>> # IBrokers:::.placeOrder(twsOC, twsEquity("CBA","ASX","AUD"),
>> twsOrder(1053, "BUY", "0", "MKT"))
>> traded<- TRUE
>> }
>> }
>> twsDisconnect(twsOC)
>> }
>>
>> con = twsConnect(1)
>>
>> # contracts<- list(twsSTK("MSFT"),twsSTK("AAPL")))
>>
>>
>> reqMktData(con, twsEquity("GOOG"), CALLBACK=myCALLBACK)
>>
>> twsDisconnect(con)
>>
>> However, even though I have tried to close down my twsCnnections, if I run
>> the code twice I get a warning along the lines:
>>
>> unable to connect. client id already in use. retry with unique client id
>>
>> and R freezes. Does anyone know how to solve the problem?
> R is likely "freezing" due to buffering on Windows (which you can turn
> off in the GUI), but that isn't really the core issue. You don't need
> to have a second connection opened in the CALLBACK. It is in the
> examples of one of my talks to illustrate having an external mkt data
> feed and IB execution. If you are only looking at IB (for data and
> execution), DON'T use a second connection. Seriously it is not needed
> at all, and it is just making things more confusing I suspect.
>
> > From there (on connection) close(con) or twsDisconnect(con) should
> indeed free up the client id. You can always go the route of
> closeAllConnections() route in R to 'start over'.
>
>> Incidentally I notice that the code gets curBID<-
>> as.numeric(eWrapper$.Data$data[[1]][3]). Does anyone know what the
>> appropriate indices are for the other data in eWrapper$.Data and what that
>> data is?
>>
> As Mark points out in his reply, look at the source for the answers/hints:
>
> In order: BidSize, BidPrice, AskPrice, AskSize, Last, LastSize and
> Volume. The first four ordering mimic what it looks like when you
> stand in the pit on the floor and look at the CRTs (or your own custom
> screen...) ;-)
>
>
> # from the source
>> eWrapper.data
> function (n)
> {
> eW<- eWrapper(NULL)
> eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,
> 7), nc = 7), 0), .Dimnames = list(NULL, c("BidSize",
> "BidPrice", "AskPrice", "AskSize", "Last", "LastSize",
> "Volume")))), n))
> eW$tickPrice<- function(curMsg, msg, timestamp, file, ...) {
> tickType = msg[3]
> msg<- as.numeric(msg)
> id<- msg[2]
> data<- eW$get.Data("data")
> attr(data[[id]], "index")<- as.numeric(Sys.time())
> nr.data<- NROW(data[[id]])
> if (tickType == .twsTickType$BID) {
> data[[id]][nr.data, 1:2]<- msg[5:4]
> }
> else if (tickType == .twsTickType$ASK) {
> data[[id]][nr.data, 3:4]<- msg[4:5]
> }
> else if (tickType == .twsTickType$LAST) {
> data[[id]][nr.data, 5]<- msg[4]
> }
> eW$assign.Data("data", data)
> c(curMsg, msg)
> }
> eW$tickSize<- function(curMsg, msg, timestamp, file, ...) {
> data<- eW$get.Data("data")
> tickType = msg[3]
> msg<- as.numeric(msg)
> id<- as.numeric(msg[2])
> attr(data[[id]], "index")<- as.numeric(Sys.time())
> nr.data<- NROW(data[[id]])
> if (tickType == .twsTickType$BID_SIZE) {
> data[[id]][nr.data, 1]<- msg[4]
> }
> else if (tickType == .twsTickType$ASK_SIZE) {
> data[[id]][nr.data, 4]<- msg[4]
> }
> else if (tickType == .twsTickType$LAST_SIZE) {
> data[[id]][nr.data, 6]<- msg[4]
> }
> else if (tickType == .twsTickType$VOLUME) {
> data[[id]][nr.data, 7]<- msg[4]
> }
> eW$assign.Data("data", data)
> c(curMsg, msg)
> }
> return(eW)
> }
> <environment: namespace:IBrokers>
>
> You can of course do whatever you like to make it more logical to you.
> Reading IBrokers source and the official Java source (yikes) is the
> way to get to a different end if you so require.
>
> Best,
> Jeff
>
>>
>>
>> --
>> Stephen Choularton Ph.D., FIoD
>>
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>>
>
>
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