Apologies for the repost.  It has been six week, and I still haven't resolved this issue.


Hi, 

So in starting to work on some code, I've quickly discovered the need to record and playback a trading day.  Since I often code when the market is closed, I need to be able to playback a stream of trading data. 

I do see how twsConnect() will take a filename, but I don't understand to how properly record the data.   

I did try to save things to a file following an example in the docs, but then am unable read them back: 
tws <- twsConnect(clientId = 1) 
f <- file.choose() 
fh <- file(f, open='a') 
reqMktData(tws, contract, file=fh) 
# At this point, I do see a file with a bunch of transaction data on my hard drive 

Then, attempting to playback the data: 
twsPlay <- twsConnect(clientId=2, filename=f) 
reqMktData(twsPlay, contract, playback=1) 

This gives me the following error: 
Error in socketSelect(list(con), FALSE, 0.25) : not a socket connection 


My goal is to have a short cron script call R in the morning with a script so that I can record the day's transactions to a file.  Doing this for a few days will give me a nice working set of data to use doing development. 

What am I doing wrong? 


-- 
Noah Silverman 
UCLA Department of Statistics 
8117 Math Sciences Building 
Los Angeles, CA 90095 



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