[R-SIG-Finance] IBrokers - record and playback

[Noah Silverman]

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