Permalink
Browse files

first commit

  • Loading branch information...
0 parents commit ae204774a7d9b66eb5c3e6d08e57dc6dc6ee989e B. W. Lewis committed Apr 22, 2010
Showing with 676 additions and 0 deletions.
  1. +191 −0 COPYING
  2. +13 −0 COPYRIGHT
  3. +11 −0 DESCRIPTION
  4. +1 −0 NAMESPACE
  5. +30 −0 R/controlCMD.R
  6. +53 −0 R/historic.R
  7. +9 −0 R/internal.R
  8. +75 −0 R/symbology.R
  9. +28 −0 README
  10. +44 −0 man/CEO.Rd
  11. +56 −0 man/HIT.Rd
  12. +32 −0 man/iqConf.Rd
  13. +5 −0 man/iqfeed-internal.Rd
  14. +41 −0 man/iqfeed-package.Rd
  15. +47 −0 man/osi.Rd
  16. +40 −0 man/osi2iq.Rd
191 COPYING
@@ -0,0 +1,191 @@
+ Apache License
+ Version 2.0, January 2004
+ http://www.apache.org/licenses/
+
+ TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
+
+ 1. Definitions.
+
+ "License" shall mean the terms and conditions for use, reproduction,
+ and distribution as defined by Sections 1 through 9 of this document.
+
+ "Licensor" shall mean the copyright owner or entity authorized by
+ the copyright owner that is granting the License.
+
+ "Legal Entity" shall mean the union of the acting entity and all
+ other entities that control, are controlled by, or are under common
+ control with that entity. For the purposes of this definition,
+ "control" means (i) the power, direct or indirect, to cause the
+ direction or management of such entity, whether by contract or
+ otherwise, or (ii) ownership of fifty percent (50%) or more of the
+ outstanding shares, or (iii) beneficial ownership of such entity.
+
+ "You" (or "Your") shall mean an individual or Legal Entity
+ exercising permissions granted by this License.
+
+ "Source" form shall mean the preferred form for making modifications,
+ including but not limited to software source code, documentation
+ source, and configuration files.
+
+ "Object" form shall mean any form resulting from mechanical
+ transformation or translation of a Source form, including but
+ not limited to compiled object code, generated documentation,
+ and conversions to other media types.
+
+ "Work" shall mean the work of authorship, whether in Source or
+ Object form, made available under the License, as indicated by a
+ copyright notice that is included in or attached to the work
+ (an example is provided in the Appendix below).
+
+ "Derivative Works" shall mean any work, whether in Source or Object
+ form, that is based on (or derived from) the Work and for which the
+ editorial revisions, annotations, elaborations, or other modifications
+ represent, as a whole, an original work of authorship. For the purposes
+ of this License, Derivative Works shall not include works that remain
+ separable from, or merely link (or bind by name) to the interfaces of,
+ the Work and Derivative Works thereof.
+
+ "Contribution" shall mean any work of authorship, including
+ the original version of the Work and any modifications or additions
+ to that Work or Derivative Works thereof, that is intentionally
+ submitted to Licensor for inclusion in the Work by the copyright owner
+ or by an individual or Legal Entity authorized to submit on behalf of
+ the copyright owner. For the purposes of this definition, "submitted"
+ means any form of electronic, verbal, or written communication sent
+ to the Licensor or its representatives, including but not limited to
+ communication on electronic mailing lists, source code control systems,
+ and issue tracking systems that are managed by, or on behalf of, the
+ Licensor for the purpose of discussing and improving the Work, but
+ excluding communication that is conspicuously marked or otherwise
+ designated in writing by the copyright owner as "Not a Contribution."
+
+ "Contributor" shall mean Licensor and any individual or Legal Entity
+ on behalf of whom a Contribution has been received by Licensor and
+ subsequently incorporated within the Work.
+
+ 2. Grant of Copyright License. Subject to the terms and conditions of
+ this License, each Contributor hereby grants to You a perpetual,
+ worldwide, non-exclusive, no-charge, royalty-free, irrevocable
+ copyright license to reproduce, prepare Derivative Works of,
+ publicly display, publicly perform, sublicense, and distribute the
+ Work and such Derivative Works in Source or Object form.
+
+ 3. Grant of Patent License. Subject to the terms and conditions of
+ this License, each Contributor hereby grants to You a perpetual,
+ worldwide, non-exclusive, no-charge, royalty-free, irrevocable
+ (except as stated in this section) patent license to make, have made,
+ use, offer to sell, sell, import, and otherwise transfer the Work,
+ where such license applies only to those patent claims licensable
+ by such Contributor that are necessarily infringed by their
+ Contribution(s) alone or by combination of their Contribution(s)
+ with the Work to which such Contribution(s) was submitted. If You
+ institute patent litigation against any entity (including a
+ cross-claim or counterclaim in a lawsuit) alleging that the Work
+ or a Contribution incorporated within the Work constitutes direct
+ or contributory patent infringement, then any patent licenses
+ granted to You under this License for that Work shall terminate
+ as of the date such litigation is filed.
+
+ 4. Redistribution. You may reproduce and distribute copies of the
+ Work or Derivative Works thereof in any medium, with or without
+ modifications, and in Source or Object form, provided that You
+ meet the following conditions:
+
+ (a) You must give any other recipients of the Work or
+ Derivative Works a copy of this License; and
+
+ (b) You must cause any modified files to carry prominent notices
+ stating that You changed the files; and
+
+ (c) You must retain, in the Source form of any Derivative Works
+ that You distribute, all copyright, patent, trademark, and
+ attribution notices from the Source form of the Work,
+ excluding those notices that do not pertain to any part of
+ the Derivative Works; and
+
+ (d) If the Work includes a "NOTICE" text file as part of its
+ distribution, then any Derivative Works that You distribute must
+ include a readable copy of the attribution notices contained
+ within such NOTICE file, excluding those notices that do not
+ pertain to any part of the Derivative Works, in at least one
+ of the following places: within a NOTICE text file distributed
+ as part of the Derivative Works; within the Source form or
+ documentation, if provided along with the Derivative Works; or,
+ within a display generated by the Derivative Works, if and
+ wherever such third-party notices normally appear. The contents
+ of the NOTICE file are for informational purposes only and
+ do not modify the License. You may add Your own attribution
+ notices within Derivative Works that You distribute, alongside
+ or as an addendum to the NOTICE text from the Work, provided
+ that such additional attribution notices cannot be construed
+ as modifying the License.
+
+ You may add Your own copyright statement to Your modifications and
+ may provide additional or different license terms and conditions
+ for use, reproduction, or distribution of Your modifications, or
+ for any such Derivative Works as a whole, provided Your use,
+ reproduction, and distribution of the Work otherwise complies with
+ the conditions stated in this License.
+
+ 5. Submission of Contributions. Unless You explicitly state otherwise,
+ any Contribution intentionally submitted for inclusion in the Work
+ by You to the Licensor shall be under the terms and conditions of
+ this License, without any additional terms or conditions.
+ Notwithstanding the above, nothing herein shall supersede or modify
+ the terms of any separate license agreement you may have executed
+ with Licensor regarding such Contributions.
+
+ 6. Trademarks. This License does not grant permission to use the trade
+ names, trademarks, service marks, or product names of the Licensor,
+ except as required for reasonable and customary use in describing the
+ origin of the Work and reproducing the content of the NOTICE file.
+
+ 7. Disclaimer of Warranty. Unless required by applicable law or
+ agreed to in writing, Licensor provides the Work (and each
+ Contributor provides its Contributions) on an "AS IS" BASIS,
+ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or
+ implied, including, without limitation, any warranties or conditions
+ of TITLE, NON-INFRINGEMENT, MERCHANTABILITY, or FITNESS FOR A
+ PARTICULAR PURPOSE. You are solely responsible for determining the
+ appropriateness of using or redistributing the Work and assume any
+ risks associated with Your exercise of permissions under this License.
+
+ 8. Limitation of Liability. In no event and under no legal theory,
+ whether in tort (including negligence), contract, or otherwise,
+ unless required by applicable law (such as deliberate and grossly
+ negligent acts) or agreed to in writing, shall any Contributor be
+ liable to You for damages, including any direct, indirect, special,
+ incidental, or consequential damages of any character arising as a
+ result of this License or out of the use or inability to use the
+ Work (including but not limited to damages for loss of goodwill,
+ work stoppage, computer failure or malfunction, or any and all
+ other commercial damages or losses), even if such Contributor
+ has been advised of the possibility of such damages.
+
+ 9. Accepting Warranty or Additional Liability. While redistributing
+ the Work or Derivative Works thereof, You may choose to offer,
+ and charge a fee for, acceptance of support, warranty, indemnity,
+ or other liability obligations and/or rights consistent with this
+ License. However, in accepting such obligations, You may act only
+ on Your own behalf and on Your sole responsibility, not on behalf
+ of any other Contributor, and only if You agree to indemnify,
+ defend, and hold each Contributor harmless for any liability
+ incurred by, or claims asserted against, such Contributor by reason
+ of your accepting any such warranty or additional liability.
+
+ END OF TERMS AND CONDITIONS
+
+ Copyright 2010, B. W. Lewis
+
+ Licensed under the Apache License, Version 2.0 (the "License");
+ you may not use this file except in compliance with the License.
+ You may obtain a copy of the License at
+
+ http://www.apache.org/licenses/LICENSE-2.0
+
+ Unless required by applicable law or agreed to in writing, software
+ distributed under the License is distributed on an "AS IS" BASIS,
+ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ See the License for the specific language governing permissions and
+ limitations under the License.
+
@@ -0,0 +1,13 @@
+Copyright 2010, B. W. Lewis
+
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+ http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing, software
+distributed under the License is distributed on an "AS IS" BASIS,
+WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+See the License for the specific language governing permissions and
+limitations under the License.
@@ -0,0 +1,11 @@
+Package: iqfeed
+Type: Package
+Title: IQFeed client for R
+Version: 0.1
+Date: 2010-01-26
+Author: B. W. Lewis
+Maintainer: B. W. Lewis <blewis@illposed.net>
+Description: IQFeed interface routines
+Depends: xts
+License: Apache License 2.0
+LazyLoad: yes
@@ -0,0 +1 @@
+exportPattern("^[[:alpha:]]+")
@@ -0,0 +1,30 @@
+# This file contains various control functions.
+`iqConf` <-
+function(host='localhost', ports=list(5009,9100,9200))
+{
+# Stash state in the redis enivronment describing this connection:
+ assign('host',host,envir=.iqEnv)
+ assign('ports',ports,envir=.iqEnv)
+ invisible()
+}
+
+`.iqConnect` <-
+function()
+{
+ con=vector("list",length(.iqEnv$ports))
+ k <- 1
+ for(j in .iqEnv$ports){
+ tryCatch(con[[k]] <- socketConnection(.iqEnv$host, j,open='a+b'),
+ error=function(e) {invisible()})
+ k <- k + 1
+ }
+ assign('con',con,envir=.iqEnv)
+}
+
+`.iqClose` <-
+function()
+{
+ for(x in .iqEnv$con)
+ tryCatch(close(x), error=function(e) {invisible()})
+ remove(list='con',envir=.iqEnv)
+}
@@ -0,0 +1,53 @@
+`HIT` <-
+ function(symbol, interval=3600,start,end,beginFilterTime="",endFilterTime="", tz="EDT")
+{
+ .iqConnect()
+ con <- .iqEnv$con[[2]]
+ start <- format(as.POSIXct(start,tz=tz),"%Y%m%d %H%M%S")
+ end <- format(as.POSIXct(end,tz=tz),"%Y%m%d %H%M%S")
+ cmd <- paste("HIT",symbol, interval, start, end, "", beginFilterTime,
+ endFilterTime, 0, "\r\n",sep=",")
+# socketSelect(list(con), write=TRUE)
+ cat(cmd, file=con)
+ .getHistoricData()
+}
+
+.getHistoricData <- function()
+{
+ con <- .iqEnv$con[[2]]
+ socketSelect(list(.iqEnv$con[[2]]))
+ dat <- tryCatch(readBin(con, 'raw', n=4096), error=function(e){})
+ rlen <- 50
+ j <- 1
+ r <- vector('list',rlen)
+ r[j] <- list(dat)
+ while(length(dat)>0) {
+ socketSelect(list(.iqEnv$con[[2]]),timeout=2)
+ dat <- tryCatch(readBin(con, 'raw', n=4096), error=function(e){})
+ j <- j + 1
+ if(j>rlen) {
+ rlen <- 2*rlen
+ length(r) <- rlen
+ }
+ r[j] <- list(dat)
+ }
+ .iqClose()
+ r <- do.call(c,r)
+ r <- rawToChar(r)
+ r <- unlist(strsplit(r,"\r\n"))
+ r <- r[r!="!ENDMSG!,"]
+ y <- strsplit(r,',')
+ z <- t(as.data.frame(y,stringsAsFactors=FALSE))
+ rownames(z) <- NULL
+ z <- as.data.frame(z,stringsAsFactors=FALSE)
+ z[,1] <- as.POSIXct(z[,1])
+ z[,2] <- as.numeric(z[,2])
+ z[,3] <- as.numeric(z[,3])
+ z[,4] <- as.numeric(z[,4])
+ z[,5] <- as.numeric(z[,5])
+ z[,6] <- as.numeric(z[,7])
+ z <- z[,1:6]
+ colnames(z)<-c("Date","High","Low","Open","Close","Volume")
+ z <- xts(z[,2:6],order.by=z[,1])
+ z
+}
@@ -0,0 +1,9 @@
+.iqEnv <- new.env()
+
+# .iqError may be called by any function when a serious error occurs.
+# It will print an indicated error message, attempt to reset the current
+# IQFeed server connection, and signal the error.
+.iqError <- function(msg)
+{
+ stop(msg)
+}
@@ -0,0 +1,75 @@
+`CEO` <- function(symbol,pc="pc",monthCodes="",near=1)
+{
+ .iqConnect()
+ con <- .iqEnv$con[[2]]
+ cmd <- paste("CEO",symbol, pc, monthCodes, near, "\r\n",sep=",")
+# socketSelect(list(con), write=TRUE)
+ cat(cmd, file=con)
+ .getChainData()
+}
+
+# Convert from IQFeed to OPRA OSI option symbol format
+osi <- function(symbol)
+{
+ s <- sub("([A-Z]*)[0-9]*[A-X][0-9.]*$","\\1",symbol,extend=TRUE)
+ m <- sub("[A-Z]*[0-9]*([A-X])[0-9.]*$","\\1",symbol,extend=TRUE)
+ yd <- sub("[A-Z]*([0-9]*)[A-X][0-9.]*$","\\1",symbol,extend=TRUE)
+ d <- as.integer(sub("..(.*)$","\\1",yd,extend=TRUE))
+ y <- as.integer(sub("(..).*$","\\1",yd,extend=TRUE))
+ p <- as.numeric(sub("([A-Z]*[0-9]*[A-X])([0-9.]*)$","\\2",symbol,extend=TRUE))
+ s <- strtrim(sprintf("%s ",s),6)
+ t <- "P"
+ if(m < "M") t <- "C"
+ m <- which(LETTERS==m) %% 12
+ m <- m + (m==0)*12
+ y <- sprintf("%02.0f",y)
+ m <- sprintf("%02.0f",m)
+ d <- sprintf("%02.0f",d)
+ p1 <- sprintf("%05.0f",p)
+ p2 <- sub(".*[.]","",sprintf("%0.3f",p))
+ paste(s,y,m,d,t,p1,p2,sep="")
+}
+
+# This one converts back to IQFeed symbology:
+osi2iq <- function(symbol)
+{
+ s <- sub("^(......).*$","\\1",symbol,extended=TRUE)
+ s <- sub("[[:blank:]].*","",s,extended=TRUE)
+ y <- sub("^......(..).*$","\\1",symbol,extended=TRUE)
+ m <- as.integer(sub("^........(..).*$","\\1",symbol,extended=TRUE))
+ d <- sub("^..........(..).*$","\\1",symbol,extended=TRUE)
+ t <- sub("^............(.).*$","\\1",symbol,extended=TRUE)
+ p1 <- as.numeric(sub("^.............(.....).*$","\\1",symbol,extended=TRUE))
+ p2 <- as.numeric(sub("^..................(...)$","\\1",symbol,extended=TRUE))
+ p <- p1 + p2/1000
+ m <- LETTERS[m + (t=="P")*12]
+ paste(s,y,d,m,p,sep="")
+}
+
+.getChainData <- function()
+{
+ con <- .iqEnv$con[[2]]
+ socketSelect(list(.iqEnv$con[[2]]))
+ dat <- tryCatch(readBin(con, 'raw', n=4096), error=function(e){})
+ rlen <- 50
+ j <- 1
+ r <- vector('list',rlen)
+ r[j] <- list(dat)
+ while(length(dat)>0) {
+ socketSelect(list(.iqEnv$con[[2]]),timeout=2)
+ dat <- tryCatch(readBin(con, 'raw', n=4096), error=function(e){})
+ j <- j + 1
+ if(j>rlen) {
+ rlen <- 2*rlen
+ length(r) <- rlen
+ }
+ r[j] <- list(dat)
+ }
+ .iqClose()
+ r <- do.call(c,r)
+ r <- rawToChar(r)
+ r <- unlist(strsplit(r,"\r\n"))[1]
+ r <- unlist(strsplit(r,","))
+ r <- r[unlist(lapply(r,nchar))>2]
+ r
+}
Oops, something went wrong.

0 comments on commit ae20477

Please sign in to comment.