IBrokers reqMktData，如何正確脫身？

Question

我剛開始使用IBrokers軟件包，我想知道一旦tickGenerics被填充後，如何正確脫離reqMktData函數。謝謝您的回答。例如：

library(IBrokers) 
PATH <- "" 
# initialize log file 
fnIB <- paste(PATH,"IBlog.csv",sep="") 
if(file.exists(fnIB)) 
    file.remove(fnIB) 

tws <- twsConnect() 
file.csv <- file(fnIB,open="wa") 
reqMktData(tws, twsEquity("SPY", "SMART"),tickGenerics="456",file=file.csv) 
close(file.csv) 
twsDisconnect(tws) 

Answer 1

謝謝你的幫助。下面是可以找到snapShot函數的代碼的答案there（花了我一些時間來了解發生了什麼，並設置了一個有效的調試策略......）。

library(IBrokers) 
tws <- twsConnect() 
aaz <- reqMktData(tws,twsSTK("SPY"),tickGenerics="456",eventWrapper=eWrapper.mydata(1),CALLBACK=snapShot) 
twsDisconnect(tws) 

其中

eWrapper.mydata <- function (n) 
{ 
eW <- eWrapper(NULL) 
eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_, 
    9), ncol = 9), 0), .Dimnames = list(NULL, c("BidSize", 
    "BidPrice", "AskPrice", "AskSize", "Last", "LastSize", 
    "Volume","Ex-Date","Amount")))), n)) 
eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) { 
    tickType = msg[3] 
    msg <- as.numeric(msg) 
    id <- msg[2] 
    data <- eW$get.Data("data") 
    attr(data[[id]], "index") <- as.numeric(Sys.time()) 
    nr.data <- NROW(data[[id]]) 
    if (tickType == .twsTickType$BID) { 
     data[[id]][nr.data, 1:2] <- msg[5:4] 
    } 
    else if (tickType == .twsTickType$ASK) { 
     data[[id]][nr.data, 3:4] <- msg[4:5] 
    } 
    else if (tickType == .twsTickType$LAST) { 
     data[[id]][nr.data, 5] <- msg[4] 
    } 
    eW$assign.Data("data", data) 
    c(curMsg, msg) 
    } 
eW$tickSize <- function(curMsg, msg, timestamp, file, ...) { 
    data <- eW$get.Data("data") 
    tickType = msg[3] 
    msg <- as.numeric(msg) 
    id <- msg[2] 
    attr(data[[id]], "index") <- as.numeric(Sys.time()) 
    nr.data <- NROW(data[[id]]) 
    if (tickType == .twsTickType$BID_SIZE) { 
     data[[id]][nr.data, 1] <- msg[4] 
    } 
    else if (tickType == .twsTickType$ASK_SIZE) { 
     data[[id]][nr.data, 4] <- msg[4] 
    } 
    else if (tickType == .twsTickType$LAST_SIZE) { 
     data[[id]][nr.data, 6] <- msg[4] 
    } 
    else if (tickType == .twsTickType$VOLUME) { 
     data[[id]][nr.data, 7] <- msg[4] 
    } 
    eW$assign.Data("data", data) 
    c(curMsg, msg) 
    } 
eW$tickString <- function(curMsg, msg, timestamp, file, ...) { 
    data <- eW$get.Data("data") 
    tickType = msg[3] 
    id <- as.numeric(msg[2]) 
    attr(data[[id]], "index") <- as.numeric(Sys.time()) 
    nr.data <- NROW(data[[id]]) 
    if (tickType == 59) { 
    data[[id]][nr.data, 8:9] <- unlist(strsplit(msg[4],","))[3:4] 
    } 
    eW$assign.Data("data", data) 
    c(curMsg, msg) 
    } 
return(eW) 
} 

對於多行情（見下面的代碼）這是行不通的，因爲只有一個安全性得到tickGenerics（指爲「456」的tickString功能...）信息。

nms <- c("LQD","JNK") 
bbz <- reqMktData(tws,lapply(nms,twsSTK),tickGenerics="456",eventWrapper=eWrapper.mydata(length(nms)),CALLBACK=snapShot) 

Answer 2

爲了避免由IB提供的NA字段，「數據」結構應該用-1初始化。因此，進行以下修改：

is.negative <- function (x) { 
tmp <- FALSE 
if (is.numeric(x)) tmp <- (x<0) 
return (tmp) 
} 

eWrapper.mydata <- function (n) 
{ 
eW <- eWrapper(NULL) 
eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(-1, 2), ncol = 2), 0), .Dimnames = list(NULL, c("Ex-Date","Amount")))), n)) 

eW$tickString <- function(curMsg, msg, timestamp, file, ...) { 
    data <- eW$get.Data("data") 
    tickType = msg[3] 
    #print(paste("curMsg",curMsg,"tickString",tickType,sep=" ")) 
    #print(msg) 
    id <- as.numeric(msg[2]) 
    attr(data[[id]], "index") <- as.numeric(Sys.time()) 
    nr.data <- NROW(data[[id]]) 
    if (tickType == 59) { 
    data[[id]][nr.data, 1:2] <- unlist(strsplit(msg[4],","))[3:4] 
    } 
    #print(data) 
    eW$assign.Data("data", data) 
    c(curMsg, msg) 
} 
return(eW) 
} 

snapShot <- function (twsCon, eWrapper, timestamp, file, playback = 1, ...) 
{ 
if (missing(eWrapper)) eWrapper <- eWrapper() 
names(eWrapper$.Data$data) <- eWrapper$.Data$symbols 
con <- twsCon[[1]] 
# print("snapShot") 
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$REAL_TIME_BARS) 
       Sys.sleep(5 * playback) 
     } 
    } 
} 
else { 
    while (TRUE) { 
     socketSelect(list(con), FALSE, NULL) 
     curMsg <- .Internal(readBin(con, "character", 1L,NA_integer_, TRUE, FALSE)) 
     # print(paste("snapShot curMsg: ",curMsg,sep="")) 
     if (!is.null(timestamp)) { 
      processMsg(curMsg, con, eWrapper, format(Sys.time(),timestamp), file, ...) 
     } 
     else { 
      processMsg(curMsg, con, eWrapper, timestamp,file, ...) 
     } 
     if (!any(sapply(eWrapper$.Data$data, is.negative))) 
      return(do.call(rbind, lapply(eWrapper$.Data$data, as.data.frame))) 
    } 
} 
}