[R-SIG-Finance] IBrokers storing Interactive data.

[BBands]

If you can't find the exact solution you want, there is a neat project
that you might want to look at, TradingShim. The author, Russ Herrold,
is a long-time R user. http://www.trading-shim.org/ The shim can
capture your data in the background and you can easily access it from
R.

    John

On Sat, Jul 20, 2013 at 9:38 PM, ganesha0701 <ganesha0701 at gmail.com> wrote:
> I came across IBrokers, and was impressed. My goal is to save real time
> data through the Interactive Brokers API and am looking to use it.
>
> The data I need should be in the following format
>
> timestamp, product, bid1Price, bid1Size, ask1Price, ask1Size,bid2Price,
> bid2Size, ask2Price, ask2Size,bid3Price, bid3Size, ask3Price,
> ask3Size,bid4Price, bid4Size, ask4Price, ask4Size,bid5Price, bid5Size,
> ask5Price, ask5Size, last Trade Price, last Trade Size
>
> So basically I am looking for all the 5 levels and the last trade
> information if there was any.
>
> I understand their API and know that I need to call the reqMarketDepth
> method. The problem is that they don't really give any time stamp
> information.
>
> So my question is can I use this package to do the above, if yes, how do
> you generate the time stamp info? How do I get the last trade info?
>
> I would be grateful to you if you could offer any light on the matter.