r - 实时股价 R

Question

我正在尝试使用 R 进行一些市场分析。有没有办法使用软件包每隔一分钟获取实时股票报价？我熟悉 quantmod 并使用了 getSymbols() 函数，但是，我能够挖掘的所有数据都是 15 分钟前的。谢谢你。

Answer 1

我的qmao包有getQuoteBATS 和 google 的“方法”，它们都是近乎实时的

Sys.time()
#[1] "2014-11-19 14:27:48.727988 CST"
getQuote("SPY", src="google")
#              TradeTime   Last Change PctChg Exchange GoogleID
#SPY 2014-11-19 15:27:00 205.17  -0.38  -0.18 NYSEARCA   700145
getQuote("SPY", src="bats", what="bbo")
#  TradeTime BidSize BidPrice AskPrice AskSize   Last LastSize row.names
#1  15:27:24   15000   205.16   205.17     300 205.17      300       SPY

getQuote.bats对于您希望如何打印数据有几个选项：

getQuote("SPY", src="bats", what="ladder")
#  SPDR S&P 500 ETF TR TR UNIT 
#  Time:    15:27:44 
#  Volume:  8779553 
#  Last: 300 @ 205.17
#
#+-------+--------+-------+
#|       | 205.21 | 16700 |
#+-------+--------+-------+
#|       | 205.2  | 21900 |
#+-------+--------+-------+
#|       | 205.19 | 17300 |
#+-------+--------+-------+
#|       | 205.18 | 5572  |
#+-------+--------+-------+
#|       | 205.17 |  300  |
#+-------+--------+-------+
#| 15000 | 205.16 |       |
#+-------+--------+-------+
#| 12100 | 205.15 |       |
#+-------+--------+-------+
#| 11300 | 205.14 |       |
#+-------+--------+-------+
#| 23900 | 205.13 |       |
#+-------+--------+-------+
#| 10600 | 205.12 |       |
#+-------+--------+-------+

getQuote("SPY", src="bats", what="depth")
#
#
# BidQty   BidPrice   AskPrice   AskQty 
#-------- ---------- ---------- --------
# 15000     205.16     205.17     300   
# 12100     205.15     205.18     5572  
# 11300     205.14     205.19    17300  
# 23900     205.13     205.2     21900  
# 10600     205.12     205.21    16700  

还有绘图方法

plot(getQuote("SPY", src="bats"))

plot(getQuote("SPY", src="bats", what="ladder"))

plot(getQuote("SPY", src="bats", what="depth"))

---

而且，如果您仍在阅读，包中包含一个闪亮的应用程序，因此您可以实时更新这些“情节”。运行这个：

shinyBATS()

Answer 2

IB would probably be best for real-time stock data. You won't need to pay for it (*), but last time I looked you will need to open an account with a minimum amount of real money.

There is an R package: http://cran.r-project.org/web/packages/IBrokers/index.html

There is a vignette on getting real-time data, but it was last updated in 2009, so I would go with the general vignette: http://cran.r-project.org/web/packages/IBrokers/vignettes/IBrokers.pdf which was last update sep 2014.

(*: Not strictly true: for some exchanges you will need to pay an extra exchange fee.)