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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)))
    }
  }
}
4

1 回答 1

2

在价格更新之前，该函数不会返回。

如果我将仪器更改为未来，它就可以正常工作。

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

您的 FOP 工具似乎是有效的，因为您可以调用reqContractDetails(tws, test3)并取回所有合同详细信息。

最后，使用 FOP 合约的市场数据调用看起来也是正确的。我可以使用您的代码连接到市场数据场...

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

现在我们只需要等到价格更新。

如果您想在不等待更新的情况下获得最新价格，您可以使用 拉取它reqHistoricalData，当前时间为endDateTime. 如果您想要买价、卖价和交易的数据，那么您必须提出 3 个单独的请求。以下是如何从历史数据服务中获取最后一笔交易

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

您需要使用whatToShow="BID"andwhatToShow="ASK"获取 Bid and Ask 数据。

于 2014-10-02T00:42:43.050 回答