IBrokers - reqMktData - snapshot

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IBrokers - reqMktData - snapshot

diego peroni-2
Hi all,
I’m using IBrokers package from GITHUB ("joshuaulrich/IBrokers")

I’ve found in the code this line that BLOCKs every snapshot data request.

——————————————————————————
if(snapshot == "1") {
   stop("Snapshot not working (?)”)
——————————————————————————

Is there a reason for that?

Removing this line the snapshot requests works for me….

Thanks for your help.

Diego
        [[alternative HTML version deleted]]

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Re: IBrokers - reqMktData - snapshot

Joshua Ulrich
Hi Diego,

Can you give me an example of a snapshot request that works for you
when you remove the stop()?

Thanks,
Josh

On Fri, Dec 11, 2020 at 5:26 AM diego peroni <[hidden email]> wrote:

>
> Hi all,
> I’m using IBrokers package from GITHUB ("joshuaulrich/IBrokers")
>
> I’ve found in the code this line that BLOCKs every snapshot data request.
>
> ——————————————————————————
> if(snapshot == "1") {
>    stop("Snapshot not working (?)”)
> ——————————————————————————
>
> Is there a reason for that?
>
> Removing this line the snapshot requests works for me….
>
> Thanks for your help.
>
> Diego
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.



--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

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Re: IBrokers - reqMktData - snapshot

diego peroni-2
Hi Josh,

Thanks for you answer… :-)

I’ve an IB account for NYMEX futures and snapshot requests works for all instruments:

ex.
fut = twsFUT(symbol="NQ", exch="GLOBEX", expiry="202012")
snapshot = reqMktData_modified(tws, fut, snapshot=TRUE)

If I select others markets or instruments (where I don’t have real time data):

reqMktDataType(tws, 3)
fut = twsFUT("KC", exch="NYBOT", expiry="202103")
snapshot = reqMktData_modified(tws, fut, snapshot=TRUE)

But I have to change ticker mapping:
Delayed Bid 66 Delayed bid price. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Ask 67 Delayed ask price. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Last 68 Delayed last traded price. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Bid Size 69 Delayed bid size. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickSize <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a1844eb442fb657c0f2cc0a63e4e74eba> -
Delayed Ask Size 70 Delayed ask size. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickSize <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a1844eb442fb657c0f2cc0a63e4e74eba> -
Delayed Last Size 71 Delayed last size. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickSize <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a1844eb442fb657c0f2cc0a63e4e74eba> -
Delayed High Price 72 Delayed highest price of the day. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>. IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Low Price 73 Delayed lowest price of the day. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html> IBApi.EWrapper.tickPrice <https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#ae851ec3a1e0fa2d0964c7779b0c89718> -
Delayed Volume 74 Delayed traded volume of the day. See Market Data Types <https://interactivebrokers.github.io/tws-api/market_data_type.html>

I know that real IB "Snapshot Market Data" service (0.03 cents per request) works just for the following instruments (does not exists for ICE/NYBOT):

https://ibkr.info/article/2830 <https://ibkr.info/article/2830>

——————————

I’ve found that updatePortfolio doesn’t work with my TWS and I’ve remapped the following tickers:

    portfolioValue = list()
    portfolioValue$position = as.numeric(msg[13])
    portfolioValue$marketPrice = as.numeric(msg[14])
    portfolioValue$marketValue = as.numeric(msg[15])
    portfolioValue$averageCost = as.numeric(msg[16])
    portfolioValue$unrealizedPNL = as.numeric(msg[17])
    portfolioValue$realizedPNL = as.numeric(msg[18])
    portfolioValue$accountName = msg[19]

I’m not sure that’s the right way to fix the problem or not…
Let me know if I’m wrong.

Thanks for your help!

Regards

Diego





> On 13 Dec 2020, at 17:35, Joshua Ulrich <[hidden email]> wrote:
>
> Hi Diego,
>
> Can you give me an example of a snapshot request that works for you
> when you remove the stop()?
>
> Thanks,
> Josh
>
> On Fri, Dec 11, 2020 at 5:26 AM diego peroni <[hidden email]> wrote:
>>
>> Hi all,
>> I’m using IBrokers package from GITHUB ("joshuaulrich/IBrokers")
>>
>> I’ve found in the code this line that BLOCKs every snapshot data request.
>>
>> ——————————————————————————
>> if(snapshot == "1") {
>>   stop("Snapshot not working (?)”)
>> ——————————————————————————
>>
>> Is there a reason for that?
>>
>> Removing this line the snapshot requests works for me….
>>
>> Thanks for your help.
>>
>> Diego
>>        [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions should go.
>
>
>
> --
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com


        [[alternative HTML version deleted]]

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