[R-SIG-Finance] IBrokers: reqMktData, but for LastPrice only

[G See]

See attached file "eWrapper.data.Last.R"

> source("eWrapper.data.Last.R")
> reqMktData(tws, twsSTK("SPY"),
eventWrapper=eWrapper.data.Last(1),CALLBACK=snapShot)
2 -1 2104 Market data farm connection is OK:cusfuture
2 -1 2104 Market data farm connection is OK:usfuture
2 -1 2104 Market data farm connection is OK:eurofarm
2 -1 2104 Market data farm connection is OK:usopt
2 -1 2104 Market data farm connection is OK:usfarm
2 -1 2106 HMDS data farm connection is OK:ushmds2a
    Last LastSize
SPY    1   119.18

Here's a couple of other variations...

https://r-forge.r-project.org/scm/viewvc.php/pkg/twsInstrument/R/eWrapper.data.BID_ASK_OHLCV.R?view=markup&revision=101&root=twsinstrument

https://r-forge.r-project.org/scm/viewvc.php/pkg/twsInstrument/R/eWrapper.FXdata.R?view=markup&revision=90&root=twsinstrument

-Garrett


On Wed, Sep 21, 2011 at 11:10 AM, Johnny Paulo <johnny.jp.22 at gmail.com>wrote:

> Hi,
>
> I am using IBrokers to get RT prices thanks to Jeff Ryan's package,
> IBrokers.
>
> In order to deal with stocks having potentially low liquidity, without
> being
> penalized by long turnaround time, I would like to focus on getting the
> last
> price only.
> Can someone pls give me some pointers to what I should change in the
> traditional code provided by Jeff (see below)?
>
> Thanks
>
> Johnny
>
> reqMktData(tws,
> twsEquity(u),eventWrapper=eWrapper.data(1),CALLBACK=snapShot)
>
> with
> 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)))
>        }
>    }
> }
>
>        [[alternative HTML version deleted]]
>
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