IBrokers twsFOP call in R

I'm trying to get the following to pull some data from IB (Nasdaq 100 e-mini futures options data). I am using the snapShot callback (included below). Could someone tell me what is wrong with my code?

require(IBrokers) tws <- twsConnect() test3<- twsFOP("NQ","GLOBEX",expiry="20141121",strike="4000",right="C") test4 <- reqMktData(tws, test3, eventWrapper=eWrapper.data(length(1)),CALLBACK=snapShot)

Thanks a bunch. I've searched high and low online and found little documentation on twsFOP, besides the CRAN documentation which points to twsFuture. Snapshot call included below:

snapShot <- function (twsCon, eWrapper, timestamp, file, playback = 1, ...) { if (missing(eWrapper)) eWrapper <- eWrapper() names(eWrapper$.Data$data) <- eWrapper$.Data$symbols con <- twsCon[[1]] if (inherits(twsCon, "twsPlayback")) { sys.time <- NULL while (TRUE) { if (!is.null(timestamp)) { last.time <- sys.time sys.time <- as.POSIXct(strptime(paste(readBin(con, character(), 2), collapse = " "), timestamp)) if (!is.null(last.time)) { Sys.sleep((sys.time - last.time) * playback) } curMsg <- .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) if (length(curMsg) < 1) next processMsg(curMsg, con, eWrapper, format(sys.time, timestamp), file, ...) } else { curMsg <- readBin(con, character(), 1) if (length(curMsg) < 1) next processMsg(curMsg, con, eWrapper, timestamp, file, ...) if (curMsg == .twsIncomingMSG$REAL_TIME_BARS) Sys.sleep(5 * playback) } } } else { while (TRUE) { socketSelect(list(con), FALSE, NULL) curMsg <- .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) if (!is.null(timestamp)) { processMsg(curMsg, con, eWrapper, format(Sys.time(), timestamp), file, ...) } else { processMsg(curMsg, con, eWrapper, timestamp, file, ...) } if (!any(sapply(eWrapper$.Data$data, is.na))) return(do.call(rbind, lapply(eWrapper$.Data$data, as.data.frame))) } } }


The function is not going to return until there is a price update.

If I change the instrument to a future, it works just fine.

test3<- twsFUT("NQ","GLOBEX",expiry="20141219") test4 <- reqMktData(tws, test3, eventWrapper=eWrapper.data(length(1)),CALLBACK=snapShot) test4 # BidSize BidPrice AskPrice AskSize Last LastSize Volume #NQZ4 14 3984 3984.25 1 3984.25 11 1702

Your FOP instrument appears to be valid because you can call reqContractDetails(tws, test3) and you get back all the contract details.

Finally, using the market data call with the FOP contract looks like it is correct as well. I'm able to connect to the market data farm using your code...

test3<- twsFOP("NQ","GLOBEX",expiry="20141121",strike="4000",right="C") reqMktData(tws, test3, eventWrapper=eWrapper.data(length(1)),CALLBACK=snapShot) #2 -1 2104 Market data farm connection is OK:usfuture #2 -1 2106 HMDS data farm connection is OK:ushmds.us #2 -1 2107 HMDS data farm connection is inactive but should be available upon demand.cashhmds #2 -1 2106 HMDS data farm connection is OK:ushmds

Now we just need to wait until there is a price update.


If you want the last price without waiting for an update, you can pull it using reqHistoricalData, with the current time as the endDateTime. If you want data for the Bid, Ask, and Trades, then you have to make 3 separate requests. Here's how to get the last trade from the historical data service

dat <- reqHistoricalData(tws, test3, endDateTime=paste(format(Sys.time(), "%Y%m%d %H:%M:%S")), barSize="1 min", duration="5 D", useRTH=0, whatToShow="TRADES") #waiting for TWS reply on NQ .... done. last(dat) # NQX4 C4000.Open NQX4 C4000.High NQX4 C4000.Low NQX4 C4000.Close NQX4 C4000.Volume NQX4 C4000.WAP 2014-10-01 16:14:00 101.75 101.75 101.75 101.75 0 101.75 NQX4 C4000.hasGaps NQX4 C4000.Count 2014-10-01 16:14:00 0 0

You'd need to use whatToShow="BID" and whatToShow="ASK" to get Bid and Ask data.

人吐槽 人点赞



用户名: 密码:
验证码: 匿名发表


查看评论:IBrokers twsFOP call in R