[R-SIG-Finance] IBrokers - reqMktData - snapshot
diego peroni
d|egoperon|1971 @end|ng |rom gm@||@com
Mon Dec 14 08:32:54 CET 2020
Hi Josh,
Thanks for you answer… :-)
I’ve an IB account for NYMEX futures and snapshot requests works for all instruments:
ex.
fut = twsFUT(symbol="NQ", exch="GLOBEX", expiry="202012")
snapshot = reqMktData_modified(tws, fut, snapshot=TRUE)
If I select others markets or instruments (where I don’t have real time data):
reqMktDataType(tws, 3)
fut = twsFUT("KC", exch="NYBOT", expiry="202103")
snapshot = reqMktData_modified(tws, fut, snapshot=TRUE)
But I have to change ticker mapping:
Delayed Bid 66 Delayed bid price. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Ask 67 Delayed ask price. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Last 68 Delayed last traded price. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Bid Size 69 Delayed bid size. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickSize <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a1844eb442fb657c0f2cc0a63e4e74eba> -
Delayed Ask Size 70 Delayed ask size. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickSize <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a1844eb442fb657c0f2cc0a63e4e74eba> -
Delayed Last Size 71 Delayed last size. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickSize <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a1844eb442fb657c0f2cc0a63e4e74eba> -
Delayed High Price 72 Delayed highest price of the day. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Low Price 73 Delayed lowest price of the day. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html> IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Volume 74 Delayed traded volume of the day. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>
I know that real IB "Snapshot Market Data" service (0.03 cents per request) works just for the following instruments (does not exists for ICE/NYBOT):
https://ibkr.info/article/2830 <https://ibkr.info/article/2830>
——————————
I’ve found that updatePortfolio doesn’t work with my TWS and I’ve remapped the following tickers:
portfolioValue = list()
portfolioValue$position = as.numeric(msg[13])
portfolioValue$marketPrice = as.numeric(msg[14])
portfolioValue$marketValue = as.numeric(msg[15])
portfolioValue$averageCost = as.numeric(msg[16])
portfolioValue$unrealizedPNL = as.numeric(msg[17])
portfolioValue$realizedPNL = as.numeric(msg[18])
portfolioValue$accountName = msg[19]
I’m not sure that’s the right way to fix the problem or not…
Let me know if I’m wrong.
Thanks for your help!
Regards
Diego
> On 13 Dec 2020, at 17:35, Joshua Ulrich <josh.m.ulrich using gmail.com> wrote:
>
> Hi Diego,
>
> Can you give me an example of a snapshot request that works for you
> when you remove the stop()?
>
> Thanks,
> Josh
>
> On Fri, Dec 11, 2020 at 5:26 AM diego peroni <diegoperoni1971 using gmail.com> wrote:
>>
>> Hi all,
>> I’m using IBrokers package from GITHUB ("joshuaulrich/IBrokers")
>>
>> I’ve found in the code this line that BLOCKs every snapshot data request.
>>
>> ——————————————————————————
>> if(snapshot == "1") {
>> stop("Snapshot not working (?)”)
>> ——————————————————————————
>>
>> Is there a reason for that?
>>
>> Removing this line the snapshot requests works for me….
>>
>> Thanks for your help.
>>
>> Diego
>> [[alternative HTML version deleted]]
>>
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>
>
>
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
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