SHOW:
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- or go back to the newest paste.
| 1 | - | #difference to the other is timer which waits 10s and |
| 1 | + | |
| 2 | library(IBrokers) | |
| 3 | #tws <- twsConnect() | |
| 4 | ||
| 5 | eWrapper.data.Last <- function(n) {
| |
| 6 | eW <- eWrapper(NULL) # use basic template | |
| 7 | eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,2),nc=2),0),
| |
| 8 | .Dimnames=list(NULL,c("LastSize","Last")))),n))
| |
| 9 | ||
| 10 | eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) | |
| 11 | {
| |
| 12 | tickType = msg[3] | |
| 13 | msg <- as.numeric(msg) | |
| 14 | id <- msg[2] #as.numeric(msg[2]) | |
| 15 | data <- eW$get.Data("data") #[[1]] # list position of symbol (by id == msg[2])
| |
| 16 | attr(data[[id]],"index") <- as.numeric(Sys.time()) | |
| 17 | nr.data <- NROW(data[[id]]) | |
| 18 | if(tickType == .twsTickType$LAST) {
| |
| 19 | data[[id]][nr.data,2] <- msg[4] | |
| 20 | } | |
| 21 | eW$assign.Data("data", data)
| |
| 22 | c(curMsg, msg) | |
| 23 | } | |
| 24 | eW$tickSize <- function(curMsg, msg, timestamp, file, ...) | |
| 25 | {
| |
| 26 | data <- eW$get.Data("data")
| |
| 27 | tickType = msg[3] | |
| 28 | msg <- as.numeric(msg) | |
| 29 | id <- as.numeric(msg[2]) | |
| 30 | attr(data[[id]],"index") <- as.numeric(Sys.time()) | |
| 31 | nr.data <- NROW(data[[id]]) | |
| 32 | if(tickType == .twsTickType$LAST_SIZE) {
| |
| 33 | data[[id]][nr.data,1] <- msg[4] | |
| 34 | } | |
| 35 | eW$assign.Data("data", data)
| |
| 36 | c(curMsg, msg) | |
| 37 | } | |
| 38 | return(eW) | |
| 39 | } | |
| 40 | ||
| 41 | snapShot <- function (twsCon, eWrapper, timestamp, file, playback = 1, ...) | |
| 42 | {
| |
| 43 | if (missing(eWrapper)) | |
| 44 | eWrapper <- eWrapper() | |
| 45 | names(eWrapper$.Data$data) <- eWrapper$.Data$symbols | |
| 46 | con <- twsCon[[1]] | |
| 47 | starttime <- Sys.time() | |
| 48 | if (inherits(twsCon, "twsPlayback")) {
| |
| 49 | sys.time <- NULL | |
| 50 | ||
| 51 | while (TRUE) {
| |
| 52 | if (!is.null(timestamp)) {
| |
| 53 | last.time <- sys.time | |
| 54 | sys.time <- as.POSIXct(strptime(paste(readBin(con, | |
| 55 | character(), 2), collapse = " "), timestamp)) | |
| 56 | if (!is.null(last.time)) {
| |
| 57 | Sys.sleep((sys.time - last.time) * playback) | |
| 58 | } | |
| 59 | curMsg <- .Internal(readBin(con, "character", | |
| 60 | 1L, NA_integer_, TRUE, FALSE)) | |
| 61 | if (length(curMsg) < 1) | |
| 62 | next | |
| 63 | processMsg(curMsg, con, eWrapper, format(sys.time, | |
| 64 | timestamp), file, ...) | |
| 65 | } | |
| 66 | else {
| |
| 67 | curMsg <- readBin(con, character(), 1) | |
| 68 | if (length(curMsg) < 1) | |
| 69 | next | |
| 70 | processMsg(curMsg, con, eWrapper, timestamp, | |
| 71 | file, ...) | |
| 72 | if (curMsg == .twsIncomingMSG$REAL_TIME_BARS) | |
| 73 | Sys.sleep(5 * playback) | |
| 74 | } | |
| 75 | } | |
| 76 | } | |
| 77 | else {
| |
| 78 | evalWithTimeout( | |
| 79 | while (TRUE) {
| |
| 80 | ||
| 81 | socketSelect(list(con), FALSE, NULL) | |
| 82 | curMsg <- .Internal(readBin(con, "character", 1L, | |
| 83 | NA_integer_, TRUE, FALSE)) | |
| 84 | if (!is.null(timestamp)) {
| |
| 85 | processMsg(curMsg, con, eWrapper, format(Sys.time(), | |
| 86 | timestamp), file, ...) | |
| 87 | } | |
| 88 | else {
| |
| 89 | processMsg(curMsg, con, eWrapper, timestamp, | |
| 90 | file, ...) | |
| 91 | } | |
| 92 | if (!any(sapply(eWrapper$.Data$data, is.na)) | Sys.time()-starttime > 10 ) {
| |
| 93 | cat(Sys.time()-starttime ) | |
| 94 | return(do.call(rbind, lapply(eWrapper$.Data$data, as.data.frame))) | |
| 95 | ||
| 96 | } | |
| 97 | }, timeout=20, onTimeout="warning" ) | |
| 98 | cat(Sys.time()-starttime ) | |
| 99 | ||
| 100 | } | |
| 101 | } |
