Last 30 days
-
r111
(o e_tick_string and _generic for RTValue (tickGeneric 233)...) committed by jeff.a.ryan
- o e_tick_string and _generic for RTValue (tickGeneric 233)
o twsConnect and twsConnect2: fixed connection issues with SERVER_VERSION 46
o added .twsTickType$HALTED
o cleaned up docs to pass R CMD check
o increased version to 0.2-6
o e_tick_string and _generic for RTValue (tickGeneric 233)
o twsConnect and twsConnect2: fixed connection issues with SERVER_VERSION 46
o added .twsTickType$HALTED
o cleaned up docs to pass R CMD check
o increased version to 0.2-6
-
r110
(o twsConnect2 client/server test mismatch fixed
) committed by jeff.a.ryan
- o twsConnect2 client/server test mismatch fixed
o twsConnect2 client/server test mismatch fixed
Older
-
r109
(o new reqExecutions and applicable changes throughout
o ...) committed by jeff.a.ryan
- o new reqExecutions and applicable changes throughout
o twsContract and derivatives gain conId arg
o .placeOrder is now exported
o twsConnect2 (experimental) improvements
o twsconn (object from twsConnect2) improved print method
o started formal testing work -- not yet in code
o new reqExecutions and applicable changes throughout
o twsContract and derivatives gain conId arg
o .placeOrder is now exported
o twsConnect2 (experimental) improvements
o twsconn (object from twsConnect2) improved print method
o started formal testing work -- not yet in code
-
r108
(o order management can now accept twsconn objects
o reqI...) committed by jeff.a.ryan
- o order management can now accept twsconn objects
o reqIds documentation file added
o order management can now accept twsconn objects
o reqIds documentation file added
-
r107
(o reqIds now maintains state on twsconn objects,
no lo...) committed by jeff.a.ryan
- o reqIds now maintains state on twsconn objects,
no longer calling the TWS for the next ID
o reqIds now maintains state on twsconn objects,
no longer calling the TWS for the next ID
-
r106
(o added (experimental) twsconn object via twsConnect2,
...) committed by jeff.a.ryan
- o added (experimental) twsconn object via twsConnect2,
this preserves nextValidId state for orders
o updated all calls to use is.twsConnection which checks
for twsConnection and twsconn objects
o exported setServerLogLevel
o added (experimental) twsconn object via twsConnect2,
this preserves nextValidId state for orders
o updated all calls to use is.twsConnection which checks
for twsConnection and twsconn objects
o exported setServerLogLevel
-
r105
(o replaced readBin calls with .Internal(readBin ...
fo...) committed by jeff.a.ryan
- o replaced readBin calls with .Internal(readBin ...
for efficiency reasons
o replaced readBin calls with .Internal(readBin ...
for efficiency reasons
-
r104
(o updated to 0.2-4 moved to 'alpha'
o documented new eW...) committed by jeff.a.ryan
- o updated to 0.2-4 moved to 'alpha'
o documented new eWrapper tools:
- eWrapper.data
- eWrapper.RealTimeBars.CSV
o updated to 0.2-4 moved to 'alpha'
o documented new eWrapper tools:
- eWrapper.data
- eWrapper.RealTimeBars.CSV
-
r103
(o continued changes to MktData.CSV wrapper
) committed by jeff.a.ryan
- o continued changes to MktData.CSV wrapper
o continued changes to MktData.CSV wrapper
-
r102
(o updated eWrapper.RealTimeBars.CSV to behave like
M...) committed by jeff.a.ryan
- o updated eWrapper.RealTimeBars.CSV to behave like
MktData.CSV; internal xts, 'n' arg on creation
o reqRealTimeBars no longer sets data in eWrapper
o updated eWrapper.RealTimeBars.CSV to behave like
MktData.CSV; internal xts, 'n' arg on creation
o reqRealTimeBars no longer sets data in eWrapper
-
r101
(o eWrapper.MktData.CSV now takes an argument 'n'
to ...) committed by jeff.a.ryan
- o eWrapper.MktData.CSV now takes an argument 'n'
to build the correct data slot used internally.
Consistent with eWrapper.data, this is now an
xts object with NROW=1
o eWrapper.MktData.CSV now takes an argument 'n'
to build the correct data slot used internally.
Consistent with eWrapper.data, this is now an
xts object with NROW=1
-
r100
(o eWrapper.data now takes an arg for the number of contrac...) committed by jeff.a.ryan
- o eWrapper.data now takes an arg for the number of contracts
to build internal data list.
o eWrapper.data now uses an xts object internally
o TWS error messages are printed to the screen, and return a value
when called for internal handling if applicable
o reqContractDetails now smarter to return a list
o data is now initialized at the point of eWrapper creation (if applicable)
This used to occur internal to the CALLBACK or req* calls
o eWrapper.data now takes an arg for the number of contracts
to build internal data list.
o eWrapper.data now uses an xts object internally
o TWS error messages are printed to the screen, and return a value
when called for internal handling if applicable
o reqContractDetails now smarter to return a list
o data is now initialized at the point of eWrapper creation (if applicable)
This used to occur internal to the CALLBACK or req* calls
-
r99
(o added eWrapper.RealTimeBars.CSV to record
incoming b...) committed by jeff.a.ryan
- o added eWrapper.RealTimeBars.CSV to record
incoming bar data to file(s) and memory
o all (except reqMktDepth) data wrappers
can now write multiple contracts to
one or more files. e.g.
reqMktData(tws, list(twsSTK("AAPL"),twsSTK("IBM")),
file=list("AAPL.tws","IBM.tws"), CALLBACK=NULL)
will create two files, one for each symbol
o symbol names are now sourced from the "local" name
of a contract; if unavailable, defaults to "symbol"
o added eWrapper.RealTimeBars.CSV to record
incoming bar data to file(s) and memory
o all (except reqMktDepth) data wrappers
can now write multiple contracts to
one or more files. e.g.
reqMktData(tws, list(twsSTK("AAPL"),twsSTK("IBM")),
file=list("AAPL.tws","IBM.tws"), CALLBACK=NULL)
will create two files, one for each symbol
o symbol names are now sourced from the "local" name
of a contract; if unavailable, defaults to "symbol"
-
r98
(o updated connection SERVER check
o eWrapper.data manag...) committed by jeff.a.ryan
- o updated connection SERVER check
o eWrapper.data manages internal updates to state prices
like eWrapper.MktData.CSV, but without the cat() calls
o processMsg fix from execData to execDetails call
o better handling of recorded real time bars
o updated connection SERVER check
o eWrapper.data manages internal updates to state prices
like eWrapper.MktData.CSV, but without the cat() calls
o processMsg fix from execData to execDetails call
o better handling of recorded real time bars
-
r97
(o small change to correct misspelling in cancelOrder
o ...) committed by jeff.a.ryan
- o small change to correct misspelling in cancelOrder
o eWrapper.data added as a new state-maintaining
event/data wrapper.
o small change to correct misspelling in cancelOrder
o eWrapper.data added as a new state-maintaining
event/data wrapper.
-
r96
(o begin adding .functionName for requests without
embe...) committed by jeff.a.ryan
- o begin adding .functionName for requests without
embedded processMsg/CALLBACK. Used in non-interactive
sessions and from within main CALLBACK/processMsg loop
o .cancelOrder, .reqRealTimeBars, .reqCurrentTime,
.reqOpenOrders, .reqContractDetails
o reqRealTimeBars now makes use of symbol name from
contract in place of numeric Id
o updates to eWrapper and e_real_time_bars
for default RTB handling
o removed old code from processMsg
o eWrapper()$contractDetails, contractDetailsEnd, and
bondContractDetails name changes to match API
o reqMktData now can maintain state vectors
for multiple symbols as a list internal to
the eWrapper object.
o eWrapper.MktData.CSV now maintains state
as mentioned above (first of all eWrappers
to do so)
o readBin.R removed
o begin adding .functionName for requests without
embedded processMsg/CALLBACK. Used in non-interactive
sessions and from within main CALLBACK/processMsg loop
o .cancelOrder, .reqRealTimeBars, .reqCurrentTime,
.reqOpenOrders, .reqContractDetails
o reqRealTimeBars now makes use of symbol name from
contract in place of numeric Id
o updates to eWrapper and e_real_time_bars
for default RTB handling
o removed old code from processMsg
o eWrapper()$contractDetails, contractDetailsEnd, and
bondContractDetails name changes to match API
o reqMktData now can maintain state vectors
for multiple symbols as a list internal to
the eWrapper object.
o eWrapper.MktData.CSV now maintains state
as mentioned above (first of all eWrappers
to do so)
o readBin.R removed
-
r95
(o new twsComboLeg and twsExecutionFilter classes/construct...) committed by jeff.a.ryan
- o new twsComboLeg and twsExecutionFilter classes/constructors
o added new tickTypes
o new .placeOrder function to send order (not listen)
o updating (in progress) eWrapper.MktData.CSV
o new twsComboLeg and twsExecutionFilter classes/constructors
o added new tickTypes
o new .placeOrder function to send order (not listen)
o updating (in progress) eWrapper.MktData.CSV
-
r94
(o exported .reqIds and .reqAccountUpdates
) committed by jeff.a.ryan
- o exported .reqIds and .reqAccountUpdates
o exported .reqIds and .reqAccountUpdates
-
r93
(o updated docs for function updates
) committed by jeff.a.ryan
- o updated docs for function updates
o updated docs for function updates
-
r92
(o reqRealTimeBars now useRTH=TRUE (was ="1")
cleaned u...) committed by jeff.a.ryan
- o reqRealTimeBars now useRTH=TRUE (was ="1")
cleaned up code internally
o new .reqIds and .reqAccountUpdates methods
that send requests, but do not listen
o reqIds now returns the next Id for interactive use only
o reqAccountUpdates now uses CALLBACK/processMsg
o eWrapper.MktData.CSV cleaned up
o reqRealTimeBars now useRTH=TRUE (was ="1")
cleaned up code internally
o new .reqIds and .reqAccountUpdates methods
that send requests, but do not listen
o reqIds now returns the next Id for interactive use only
o reqAccountUpdates now uses CALLBACK/processMsg
o eWrapper.MktData.CSV cleaned up
-
r91
(o new version 0.2-3, now corresponding to API 9.62
o eWr...) committed by jeff.a.ryan
- o new version 0.2-3, now corresponding to API 9.62
o eWrapper is more generic, able to be extended more
easily now. See updated eWrapper.MktData.CSV and
eWrapper.snapshot for an example.
o eWrapper is now moving toward maintaining
full state information w.r.t. quotes and more
o TWS errors are now being reported at the R level again
o eventHandler code for OPEN_OPDER events has
been updated to match API 9.62
o placeOrder at version 28
o reqContractDetails updates for 9.62
o reqIds changes to better handle output
o reqMktData update to version 8
o reqMktData now handles snaphots per the newest API
data is returned as a data.frame (supports > 1 symbol
per request)
o twsConnect CLIENT_VERSION 45
o twsContract updates to reflect new 'slots'
o twsOrder updates to reflect new 'slots'
o new version 0.2-3, now corresponding to API 9.62
o eWrapper is more generic, able to be extended more
easily now. See updated eWrapper.MktData.CSV and
eWrapper.snapshot for an example.
o eWrapper is now moving toward maintaining
full state information w.r.t. quotes and more
o TWS errors are now being reported at the R level again
o eventHandler code for OPEN_OPDER events has
been updated to match API 9.62
o placeOrder at version 28
o reqContractDetails updates for 9.62
o reqIds changes to better handle output
o reqMktData update to version 8
o reqMktData now handles snaphots per the newest API
data is returned as a data.frame (supports > 1 symbol
per request)
o twsConnect CLIENT_VERSION 45
o twsContract updates to reflect new 'slots'
o twsOrder updates to reflect new 'slots'
-
r90
(o new version 0.2-2
o twsConnect now set blocking=TRUE, re...) committed by jeff.a.ryan
- o new version 0.2-2
o twsConnect now set blocking=TRUE, removed OS test
o reqHistoricalData fixes when pulling a range of dates
o timeout between historical requests correctly set to 10s (per TWS)
o reqHistory request, gets 1 year of 1 min bars (takes 12 minutes)
o updates to above man/ pages
o new version 0.2-2
o twsConnect now set blocking=TRUE, removed OS test
o reqHistoricalData fixes when pulling a range of dates
o timeout between historical requests correctly set to 10s (per TWS)
o reqHistory request, gets 1 year of 1 min bars (takes 12 minutes)
o updates to above man/ pages
-
-
r89
(updated connection once again to reflect NEW! internal
use o...) committed by jeff.a.ryan
- updated connection once again to reflect NEW! internal
use of socketSelect in R.
This makes blocking=TRUE workable, and now 100% cross-platform while
allowing for multiple datafeeds.
twsConnect now uses blocking=TRUE by default (again)
updated connection once again to reflect NEW! internal
use of socketSelect in R.
This makes blocking=TRUE workable, and now 100% cross-platform while
allowing for multiple datafeeds.
twsConnect now uses blocking=TRUE by default (again)
-
r88
(new (unused) buffering readBin
updates to RealTime.Rnw
) committed by jeff.a.ryan
- new (unused) buffering readBin
updates to RealTime.Rnw
new (unused) buffering readBin
updates to RealTime.Rnw
-
r87
(added slightly clearer warning messages in processMsg loop
r...) committed by jeff.a.ryan
- added slightly clearer warning messages in processMsg loop
reqContactDetails now works with non-blocking connnections (thank Chris Martin)
added slightly clearer warning messages in processMsg loop
reqContactDetails now works with non-blocking connnections (thank Chris Martin)
-
r86
(processMsg now returns a warning on unknown messages (possib...) committed by jeff.a.ryan
- processMsg now returns a warning on unknown messages (possible workaround for Windows issue on non-
blocking connections)
reqHistoricalData now handles error and auto-connections more gracefully
processMsg now returns a warning on unknown messages (possible workaround for Windows issue on non-
blocking connections)
reqHistoricalData now handles error and auto-connections more gracefully
-
r85
(fixed on.exit call to properly reset connection on error -- ...) committed by jeff.a.ryan
- fixed on.exit call to properly reset connection on error -- thanks to Mark Breman for reporting
fixed on.exit call to properly reset connection on error -- thanks to Mark Breman for reporting
-
r84
(twsConnect check for 'unix', blocking=FALSE, else blocking=T...) committed by jeff.a.ryan
- twsConnect check for 'unix', blocking=FALSE, else blocking=TRUE
updated version to 0.2-1 to push to CRAN
twsConnect check for 'unix', blocking=FALSE, else blocking=TRUE
updated version to 0.2-1 to push to CRAN
-
r83
(fixed example to reflect API removal of twsConnection arg
) committed by jeff.a.ryan
- fixed example to reflect API removal of twsConnection arg
fixed example to reflect API removal of twsConnection arg
-
r82
(updated docs
reqHistoricalData no longer accepts a connectio...) committed by jeff.a.ryan
- updated docs
reqHistoricalData no longer accepts a connection. Dynamically created.
updated docs
reqHistoricalData no longer accepts a connection. Dynamically created.
-
r81
(conn argument is now ignored, a new connection is made
withi...) committed by jeff.a.ryan
- conn argument is now ignored, a new connection is made
within the reqHistoricalData call using blocking=TRUE
conn argument is now ignored, a new connection is made
within the reqHistoricalData call using blocking=TRUE
-
-
r79
(new vignette on the internals of IBrokers in the context
of ...) committed by jeff.a.ryan
- new vignette on the internals of IBrokers in the context
of discussing real-time data processing in R
new vignette on the internals of IBrokers in the context
of discussing real-time data processing in R
-
r78
(o new blocking=FALSE arg to twsConnect. This works on *nix,...) committed by jeff.a.ryan
- o new blocking=FALSE arg to twsConnect. This works on *nix, may need to
be reset to blocking=TRUE for Windows. Testing is in progress.
o processMsg function name changes for updateAccountValue, updatePortfolio,
and updateAccountTime
o new version 0.2-0 in zzz.R onLoad
o reqMktData now allows file export during playback
o new blocking=FALSE arg to twsConnect. This works on *nix, may need to
be reset to blocking=TRUE for Windows. Testing is in progress.
o processMsg function name changes for updateAccountValue, updatePortfolio,
and updateAccountTime
o new version 0.2-0 in zzz.R onLoad
o reqMktData now allows file export during playback
-
r77
(updates to all documentation files
new processMsg documentat...) committed by jeff.a.ryan
- updates to all documentation files
new processMsg documentation
most calls now use single eWrapper/eventWrapper arg now
updates to all documentation files
new processMsg documentation
most calls now use single eWrapper/eventWrapper arg now
-
r76
(new eWrapper tools including internal environment for data
t...) committed by jeff.a.ryan
- new eWrapper tools including internal environment for data
tighter integration of all calls with processMsg
playback working again after changes
see svn diff for further information
new eWrapper tools including internal environment for data
tighter integration of all calls with processMsg
playback working again after changes
see svn diff for further information
-
r75
(bug fix in MODEL_OPTION handling of option data
in processMs...) committed by jeff.a.ryan
- bug fix in MODEL_OPTION handling of option data
in processMsg and e_tick*
twsOption now defaults to right=""
reqContractDetails using processMsg
bug fix in MODEL_OPTION handling of option data
in processMsg and e_tick*
twsOption now defaults to right=""
reqContractDetails using processMsg
-
r74
(updated SERVER_VERSION check to include 44
) committed by jeff.a.ryan
- updated SERVER_VERSION check to include 44
updated SERVER_VERSION check to include 44
-
r73
(major upgrades to make use of processMsg in more
places (req...) committed by jeff.a.ryan
- major upgrades to make use of processMsg in more
places (reqIds, reqCurrentTime, reqRealTimBars)
added default stop() if unclassified message is seen in
main processMsg loop
eWrapper calls now include a preceeding message
representing the curMsg that they branch on.
reqMktData now reports 'symbols' aloong with Id by
default if eventWrapper is passed an instance of
eWrapper(symbols= LEN_OF_CONTRACTS)
reading/writing to file is now working again with new processMsg/twsCALLBACK
Many thanks to Arian Dragelescu and Dan Rie for their thoughts
and commentary on the code.
major upgrades to make use of processMsg in more
places (reqIds, reqCurrentTime, reqRealTimBars)
added default stop() if unclassified message is seen in
main processMsg loop
eWrapper calls now include a preceeding message
representing the curMsg that they branch on.
reqMktData now reports 'symbols' aloong with Id by
default if eventWrapper is passed an instance of
eWrapper(symbols= LEN_OF_CONTRACTS)
reading/writing to file is now working again with new processMsg/twsCALLBACK
Many thanks to Arian Dragelescu and Dan Rie for their thoughts
and commentary on the code.
-
r72
(fixed time constructor in reqHistoricalData to better
manage...) committed by jeff.a.ryan
- fixed time constructor in reqHistoricalData to better
manage user-defined TZs -- see xts change on 20090224
fixed time constructor in reqHistoricalData to better
manage user-defined TZs -- see xts change on 20090224
-
r71
(new MktDepth to CSV eWrapper
) committed by jeff.a.ryan
- new MktDepth to CSV eWrapper
new MktDepth to CSV eWrapper
-
r70
(new eWrapper documentation
) committed by jeff.a.ryan
- new eWrapper documentation
new eWrapper documentation
-
r69
(reqMktDepth now uses processMsg and twsCALLBACK
reqCurrentTi...) committed by jeff.a.ryan
- reqMktDepth now uses processMsg and twsCALLBACK
reqCurrentTime handles errors correctly, and uses processMsg
reqContractDetails correctly removes trailing messages from end marker
new eWrapper.MktData.CSV() to use in eventWrapper= on reqMktData to
write to csv format (~10 bytes per update/line of data compressed)
reqHistoricalData now prepends symbol e.g. SYMBOL.Open etc
updated version to 0.2-0
new exports
reqMktDepth now uses processMsg and twsCALLBACK
reqCurrentTime handles errors correctly, and uses processMsg
reqContractDetails correctly removes trailing messages from end marker
new eWrapper.MktData.CSV() to use in eventWrapper= on reqMktData to
write to csv format (~10 bytes per update/line of data compressed)
reqHistoricalData now prepends symbol e.g. SYMBOL.Open etc
updated version to 0.2-0
new exports
-
r68
(new:
setServerLogLevel
eWrapper (currently in use by reqMktD...) committed by jeff.a.ryan
- new:
setServerLogLevel
eWrapper (currently in use by reqMktData)
twsCALLBACK and twsDEBUG changes
new:
setServerLogLevel
eWrapper (currently in use by reqMktData)
twsCALLBACK and twsDEBUG changes
-
r67
(typo fix --- thanks Josh
) committed by jeff.a.ryan
- typo fix --- thanks Josh
-
r66
(added single event loop to handle all incoming data
twsCALLB...) committed by jeff.a.ryan
- added single event loop to handle all incoming data
twsCALLBACK and twsDEBUG for passing to CALLBACK
fixed reqAccountUpdates for message change, and automatic cancel
added single event loop to handle all incoming data
twsCALLBACK and twsDEBUG for passing to CALLBACK
fixed reqAccountUpdates for message change, and automatic cancel
-
r65
(fixed typo in reqHistoricalData if eventHistoricalData was p...) committed by jeff.a.ryan
- fixed typo in reqHistoricalData if eventHistoricalData was passed in
is/as twsContract function
updated .twsIncomingMSG to API version 9.6
fixed typo in reqHistoricalData if eventHistoricalData was passed in
is/as twsContract function
updated .twsIncomingMSG to API version 9.6
-
r64
(reqContractDetails now returns true subsettable contracts
as...) committed by jeff.a.ryan
- reqContractDetails now returns true subsettable contracts
as well as multiple contracts in list form
reqHistoricalData can now accept endDateTime vectors, automatically
pacing and rbinding the results of multiple queries
reqContractDetails now returns true subsettable contracts
as well as multiple contracts in list form
reqHistoricalData can now accept endDateTime vectors, automatically
pacing and rbinding the results of multiple queries
-
r63
(updated client version to 38 .. may still be behind here
req...) committed by jeff.a.ryan
- updated client version to 38 .. may still be behind here
reqContractDetails can now return multiple contracts per request --- returned as
a list of twsContract objects. *note on use: simply set local="" and symbol= to
the underlying.
reqMktData is now trying harder to find snapshots.
updated client version to 38 .. may still be behind here
reqContractDetails can now return multiple contracts per request --- returned as
a list of twsContract objects. *note on use: simply set local="" and symbol= to
the underlying.
reqMktData is now trying harder to find snapshots.
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