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__IBapi-clientVer63-v002.r
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__IBapi-clientVer63-v002.r
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require(IBrokers)
###
# WARNING: This is not a complete implementation of the IB API Version 63,
# rather, we have implemented those things that need to be in place
# in order to use "hedgeType", "hedgeParam" orders for pairs trading.
# 30 Dec 2014
###
## Define the type of IB API that we are implementing here !!!
.IBAPI.VERSION <- 'clientV63' #client Version 63
## Define the type of IB API that we are implementing here !!!
.twsIncomingMSG <- IBrokers:::.twsIncomingMSG
# NEW in client v63
.twsIncomingMSG$MARKET_DATA_TYPE = '58'
.twsIncomingMSG$COMMISSION_REPORT = '59'
.twsIncomingMSG$POSITION_DATA = '61'
.twsIncomingMSG$POSITION_END = '62'
.twsIncomingMSG$ACCOUNT_SUMMARY = '63'
.twsIncomingMSG$ACCOUNT_SUMMARY_END = '64'
.twsIncomingMSG$VERIFY_MESSAGE_API = '65'
.twsIncomingMSG$VERIFY_COMPLETED = '66'
.twsIncomingMSG$DISPLAY_GROUP_LIST = '67'
.twsIncomingMSG$DISPLAY_GROUP_UPDATED = '68'
reqIds <- function (conn, numIds = 1)
{
#.reqIds(conn, numIds)
if (!is.twsConnection(conn))
stop("requires twsConnection object")
con <- conn[[1]]
VERSION <- "1"
writeBin(.twsOutgoingMSG$REQ_IDS, con)
writeBin(VERSION, con)
writeBin(as.character(numIds), con)
con <- conn[[1]]
#e_next_id <- eWrapper()
e_next_id <- eWrapper(NULL)
e_next_id$nextValidId <- function(curMsg, msg, timestamp,
file, ...) {
msg[2]
}
while (TRUE) {
socketSelect(list(con), FALSE, 0.1)
curMsg <- readBin(con, character(), 1)
nextValidID <- processMsg(curMsg, con, eWrapper = e_next_id,
timestamp = NULL, file = "")
if (curMsg == .twsIncomingMSG$NEXT_VALID_ID)
break
}
return(nextValidID)
}
twsConnect <-
function (clientId = 1, host = "localhost", port = 7496, verbose = TRUE,
timeout = 5, filename = NULL, blocking = .Platform$OS.type ==
"windows")
{
startApi <- function (conn, clientId)
{
if (!is.twsConnection(conn))
stop("requires twsConnection object")
con <- conn[[1]]
VERSION <- "1"
START_API <- "71"
writeBin(START_API, con)
writeBin(VERSION, con)
writeBin(as.character(clientId), con)
}
if (is.null(getOption("digits.secs")))
options(digits.secs = 6)
if (is.character(clientId))
filename <- clientId
if (is.null(filename)) {
start.time <- Sys.time()
s <- socketConnection(host = host, port = port, open = "ab",
blocking = blocking)
on.exit(close(s))
if (!isOpen(s)) {
close(s)
stop(paste("couldn't connect to TWS on port", port))
}
CLIENT_VERSION <- "63"
#writeBin(c(CLIENT_VERSION, as.character(clientId)), s) #omit clientId
writeBin(c(CLIENT_VERSION), s)
#
eW <- eWrapper(NULL)
eW$.Data <- environment()
SERVER_VERSION <- NEXT_VALID_ID <- CONNECTION_TIME <- NULL
# Server Version and connection time
while (TRUE) {
if (!is.null(CONNECTION_TIME))
break
if (!socketSelect(list(s), FALSE, 0.1))
next
curMsg <- readBin(s, character(), 1)
#cat(curMsg,'\n')
if (is.null(SERVER_VERSION)) {
SERVER_VERSION <- curMsg[1]
CONNECTION_TIME <- readBin(s, character(), 1)
next
}
}
on.exit()
twsconn <- new.env()
twsconn$conn <- s
twsconn$clientId <- clientId
#twsconn$nextValidId <- NEXT_VALID_ID
twsconn$port <- port
twsconn$server.version <- SERVER_VERSION
twsconn$connected.at <- CONNECTION_TIME
twsconn$connected <- NULL
class(twsconn) <- c("twsconn", "environment")
# set the clientId (needs an API call now)
startApi(twsconn, clientId)
# Get the NEXT_VALID_ID and set it in the global Env.
twsconn$nextValidId <- NEXT_VALID_ID <- as.integer(reqIds(twsconn,1))
assign(".NEXT_VALID_ID", NEXT_VALID_ID, .GlobalEnv)
#
return(twsconn)
}
else {
fh <- file(filename, open = "r")
dat <- scan(fh, what = character(), quiet = TRUE)
close(fh)
tmp <- tempfile()
fh <- file(tmp, open = "ab")
writeBin(dat, fh)
close(fh)
s <- file(tmp, open = "rb")
twsconn <- new.env()
twsconn$conn <- s
twsconn$clientId <- NULL
twsconn$nextValidId <- NULL
twsconn$port <- NULL
twsconn$server.version <- NULL
twsconn$connected.at <- filename
class(twsconn) <- c("twsplay", "twsconn", "environment")
return(twsconn)
}
}
#~ tws<- twsConnect(clientId=33, host="localhost",
#~ port=5001, verbose=TRUE,
#~ timeout=15, filename=NULL)
#~
#~ str(tws)
ibgConnect <- function (clientId = 1, host = "localhost", port = 4001, verbose = TRUE,
timeout = 5, filename = NULL, blocking = .Platform$OS.type ==
"windows")
{
twsConnect(clientId, host, port, verbose, timeout, filename)
}
# Enable the hedgeType and hedgeParam fields and possibly optOutSmartRouting.
twsOrder <- function (
orderId, action = "BUY", totalQuantity = "0", orderType = "LMT",
lmtPrice = "0.0", auxPrice = "", tif = "", outsideRTH = "0",
openClose = "O", origin = .twsOrderID$CUSTOMER, ocaGroup = "",
account = "", orderRef = "", transmit = TRUE, parentId = "0",
blockOrder = "0", sweepToFill = "0", displaySize = "0", triggerMethod = "0",
hidden = "0", discretionaryAmt = "0", goodAfterTime = "",
goodTillDate = "", faGroup = "", faMethod = "", faPercentage = "",
faProfile = "", shortSaleSlot = "0", designatedLocation = .twsOrderID$EMPTY_STR,
ocaType = "0", rule80A = "", settlingFirm = "", clearingAccount = "",
clearingIntent = "", allOrNone = "0", minQty = "", percentOffset = "",
eTradeOnly = "1", firmQuoteOnly = "1", nbboPriceCap = "",
auctionStrategy = "0", startingPrice = "", stockRefPrice = "",
delta = "", stockRangeLower = "", stockRangeUpper = "", overridePercentageConstraints = "0",
volatility = "", volatilityType = "", deltaNeutralOrderType = "",
deltaNeutralAuxPrice = "",
continuousUpdate = "0", referencePriceType = "",
trailStopPrice = "", basisPoints = "", basisPointsType = "",
scaleInitLevelSize = "", scaleSubsLevelSize = "", scalePriceIncrement = "",
notHeld = FALSE,
algoStrategy = "",
algoParams = NULL, #has count
whatIf = FALSE,
clientId = "", permId = "", exemptCode="-1",
hedgeType = "", hedgeParam = "" ,
optOutSmartRouting = FALSE, scaleTable="", activeStartTime="", activeStopTime="", trailingPercent="",
#NEW
deltaNeutralConId = "0",
deltaNeutralSettlingFirm = '',
deltaNeutralClearingAccount = '',
deltaNeutralClearingIntent = '',
deltaNeutralOpenClose = '',
deltaNeutralShortSale = "0",
deltaNeutralShortSaleSlot = "0",
deltaNeutralDesignatedLocation = '',
scalePriceAdjustValue = "0",
scalePriceAdjustInterval = "0",
scaleProfitOffset = "0",
scaleAutoReset = "0",
scaleInitPosition = "0",
scaleInitFillQty = "0",
scaleRandomPercent = "0",
smartComboRoutingParams = NULL, #has count
smartComboRoutingParamsCount = '0', #helper parameter only, used in OPEN_ORDER
orderComboLegs = NULL, #has count
orderComboLegsCount = '0', #helper parameter only, used in OPEN_ORDER
comboLegs = NULL, #dummy param, used in OPEN_ORDER
comboLegsCount = '0', #dummy param , used in OPEN_ORDER
orderMiscOptions = NULL
)
{
if (missing(orderId))
orderId <- ""
structure(list(orderId = orderId, clientId = clientId, permId = permId,
action = action, totalQuantity = as.character(as.numeric(totalQuantity)),
orderType = orderType, lmtPrice = as.character(lmtPrice),
auxPrice = as.character(auxPrice), tif = tif, ocaGroup = ocaGroup,
ocaType = ocaType, orderRef = orderRef, transmit = as.character(as.integer(transmit)),
parentId = parentId, blockOrder = blockOrder, sweepToFill = sweepToFill,
displaySize = displaySize, triggerMethod = triggerMethod,
outsideRTH = outsideRTH, hidden = hidden, goodAfterTime = goodAfterTime,
goodTillDate = goodTillDate, overridePercentageConstraints = overridePercentageConstraints,
rule80A = rule80A, allOrNone = allOrNone, minQty = minQty,
percentOffset = percentOffset, trailStopPrice = trailStopPrice,
faGroup = faGroup, faProfile = faProfile, faMethod = faMethod,
faPercentage = faPercentage, openClose = openClose, origin = origin,
shortSaleSlot = shortSaleSlot, designatedLocation = designatedLocation,
discretionaryAmt = discretionaryAmt, eTradeOnly = eTradeOnly,
firmQuoteOnly = firmQuoteOnly, nbboPriceCap = nbboPriceCap,
auctionStrategy = auctionStrategy, startingPrice = startingPrice,
stockRefPrice = stockRefPrice, delta = delta, stockRangeLower = stockRangeLower,
stockRangeUpper = stockRangeUpper, volatility = volatility,
volatilityType = volatilityType, continuousUpdate = continuousUpdate,
referencePriceType = referencePriceType, deltaNeutralOrderType = deltaNeutralOrderType,
deltaNeutralAuxPrice = deltaNeutralAuxPrice, basisPoints = basisPoints,
basisPointsType = basisPointsType, scaleInitLevelSize = scaleInitLevelSize,
scaleSubsLevelSize = scaleSubsLevelSize, scalePriceIncrement = scalePriceIncrement,
account = account, settlingFirm = settlingFirm, clearingAccount = clearingAccount,
clearingIntent = clearingIntent, algoStrategy = algoStrategy,
algoParams = algoParams, whatIf = as.character(as.integer(whatIf)),
notHeld = as.character(as.integer(notHeld)),
exemptCode = as.character(as.integer(exemptCode)), #NEW
hedgeType = hedgeType, #NEW !! using it
hedgeParam = hedgeParam, #NEW !! using it
optOutSmartRouting = as.character(as.integer(optOutSmartRouting)), #NEW
scaleTable = scaleTable, #NEW
activeStartTime = activeStartTime, #NEW
activeStopTime = activeStopTime , #NEW
trailingPercent = trailingPercent, #NEW
#NEW all below
deltaNeutralConId = deltaNeutralConId,
deltaNeutralSettlingFirm = deltaNeutralSettlingFirm,
deltaNeutralClearingAccount = deltaNeutralClearingAccount,
deltaNeutralClearingIntent = deltaNeutralClearingIntent,
deltaNeutralOpenClose = deltaNeutralOpenClose,
deltaNeutralShortSale = deltaNeutralShortSale,
deltaNeutralShortSaleSlot = deltaNeutralShortSaleSlot,
deltaNeutralDesignatedLocation = deltaNeutralDesignatedLocation,
scalePriceAdjustValue = scalePriceAdjustValue,
scalePriceAdjustInterval = scalePriceAdjustInterval,
scaleProfitOffset = scaleProfitOffset,
scaleAutoReset = scaleAutoReset,
scaleInitPosition = scaleInitPosition,
scaleInitFillQty = scaleInitFillQty,
scaleRandomPercent = scaleRandomPercent,
smartComboRoutingParams = smartComboRoutingParams, #has count
smartComboRoutingParamsCount = smartComboRoutingParamsCount,
orderComboLegs = orderComboLegs, #has count
orderComboLegsCount = orderComboLegsCount,
comboLegs = comboLegs, #has count. dummy only
comboLegsCount = comboLegsCount, # dummy only
orderMiscOptions = orderMiscOptions
), class = "twsOrder")
}
twsExecution <- function (orderId, clientId, execId, time, acctNumber, exchange,
side, shares, price, permId, liquidation, cumQty, avgPrice, orderRef="", evRule="", evMultiplier="")
{
if (is.null(names(match.call()[-1])))
#return(do.call("twsExecution", rep(list(NULL), 13)))
return(do.call("twsExecution", rep(list(NULL), 16)))
structure(list(orderId = orderId, clientId = clientId, execId = execId,
time = time, acctNumber = acctNumber, exchange = exchange,
side = side, shares = shares, price = price, permId = permId,
liquidation = liquidation, cumQty = cumQty, avgPrice = avgPrice,
orderRef=orderRef, evRule=evRule, evMultiplier=evMultiplier
),
class = "twsExecution")
}
twsOrderState <- function(status = NULL, initMargin = NULL, maintMargin = NULL,
equityWithLoan = NULL, commission = 0, minCommission = 0,
maxCommission = 0, commissionCurrency = NULL, warningText = NULL)
{
structure(list(status = status, initMargin = initMargin,
maintMargin = maintMargin, equityWithLoan = equityWithLoan,
commission = commission, minCommission = minCommission,
maxCommission = maxCommission, commissionCurrency = commissionCurrency,
warningText = warningText), class = "twsOrderState")
}
# in processMsg() use incoming message 'version' to determine the fields to read !!!
processMsg <- function (curMsg, con, eWrapper, timestamp, file, twsconn, ...)
{
if (curMsg == .twsIncomingMSG$TICK_PRICE) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 6L, NA_integer_,
TRUE, FALSE))
eWrapper$tickPrice(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$TICK_SIZE) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 4L, NA_integer_,
TRUE, FALSE))
eWrapper$tickSize(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$ORDER_STATUS) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 11L, NA_integer_,
TRUE, FALSE))
eWrapper$orderStatus(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$ERR_MSG) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 4L, NA_integer_,
TRUE, FALSE))
eWrapper$errorMessage(curMsg, msg, timestamp, file, twsconn,
...)
}
else if (curMsg == .twsIncomingMSG$OPEN_ORDER) { #v63 length ADAPTED.
#msg <- .Internal(readBin(con, "character", 101L, NA_integer_, TRUE, FALSE))
msg <- .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE))
version <- as.integer(msg[1])
msg <- c(msg, .Internal(readBin(con, "character", 7L, NA_integer_, TRUE, FALSE)) )
if (version >= 32) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, .Internal(readBin(con, "character", 3L, NA_integer_, TRUE, FALSE)) )
if (version >= 32) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, tmp <-.Internal(readBin(con, "character", 50L, NA_integer_, TRUE, FALSE)) )
order.deltaNeutralOrderType <- tmp[49]
#cat('order.deltaNeutralOrderType',tmp[49],'\n')
if (order.deltaNeutralOrderType != '') {
if (version >= 27 & !is.na(order.deltaNeutralOrderType)) {
msg <- c(msg, .Internal(readBin(con, "character", 4L, NA_integer_, TRUE, FALSE)) )
}
if (version >= 31 & !is.na(order.deltaNeutralOrderType)) {
msg <- c(msg, .Internal(readBin(con, "character", 4L, NA_integer_, TRUE, FALSE)) )
}
}
msg <- c(msg, tmp <-.Internal(readBin(con, "character", 3L, NA_integer_, TRUE, FALSE)) )
if (version >= 30) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, tmp <-.Internal(readBin(con, "character", 3L, NA_integer_, TRUE, FALSE)) )
if (version >= 29) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
#cat(tmp[1],'\n')
if (tmp[1]!='') {
comboLegsCount <- as.integer(tmp[1])
if (comboLegsCount > 0) {
msg <- c(msg, .Internal(readBin(con, "character", comboLegsCount*8L, NA_integer_, TRUE, FALSE)) )
}
}
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
if (tmp[1]!='') {
orderComboLegsCount <- as.integer(tmp[1])
if (orderComboLegsCount > 0) {
msg <- c(msg, .Internal(readBin(con, "character", orderComboLegsCount*1L, NA_integer_, TRUE, FALSE)) )
}
}
}
if (version >= 26) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
if (tmp[1]!='') {
smartComboRoutingParamsCount <- as.integer(tmp[1])
if( smartComboRoutingParamsCount > 0) {
msg <- c(msg, .Internal(readBin(con, "character", smartComboRoutingParamsCount*2L, NA_integer_, TRUE, FALSE)) )
}
}
}
msg <- c(msg, tmp <-.Internal(readBin(con, "character", 3L, NA_integer_, TRUE, FALSE)) )
order.scalePriceIncrement <- as.integer(tmp[3])
#cat('order.scalePriceIncrement','\n')
#cat(tmp[3],'\n')
if (!is.na(order.scalePriceIncrement)) {
if (version >= 28 & order.scalePriceIncrement > 0.0 ) {
msg <- c(msg, .Internal(readBin(con, "character", 7L, NA_integer_, TRUE, FALSE)) )
}
}
if( version >= 24) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
order.hedgeType <- tmp[1]
#cat('order.hedgeType','\n')
#cat(tmp[1],'\n')
if( order.hedgeType != '' ) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
}
if( version >= 25) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 2L, NA_integer_, TRUE, FALSE)) )
if( version >= 22) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 20) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
underCompPresent <- as.integer(tmp[1])
if( !is.na(underCompPresent)) {
if (underCompPresent > 0) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 3L, NA_integer_, TRUE, FALSE)) )
}
}
}
if( version >= 21) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
order.algoStrategy <- tmp[1]
if( order.algoStrategy != '' ) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
algoParamsCount <- as.integer(tmp[1])
if( algoParamsCount > 0) {
msg <- c(msg, tmp<-.Internal(readBin(con, "character", algoParamsCount*2L, NA_integer_, TRUE, FALSE)) )
}
}
}
msg <- c(msg, tmp<-.Internal(readBin(con, "character", 10L, NA_integer_, TRUE, FALSE)) )
## Must read 8 more fields here .... !!! doing it in order.deltaNeutralOrderType. now OK !!!
#cat('FINAL',msg,'\n',sep='-')
#cat(length(msg),'\n')
#cat( paste(1:length(msg),msg,sep=':'), sep='\n')
eWrapper$openOrder(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$ACCT_VALUE) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 5L, NA_integer_,
TRUE, FALSE))
eWrapper$updateAccountValue(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$PORTFOLIO_VALUE) { #v63 length ADAPTED.
msg <- .Internal(readBin(con, "character", 19L, NA_integer_,
TRUE, FALSE))
eWrapper$updatePortfolio(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$ACCT_UPDATE_TIME) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$updateAccountTime(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$NEXT_VALID_ID) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$nextValidId(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$CONTRACT_DATA) { #v63 length ADAPTED.
msg <- .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE))
version <- as.integer(msg[1])
if( version >= 3) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, .Internal(readBin(con, "character", 16L, NA_integer_, TRUE, FALSE)) )
if( version >= 4) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 5) {
msg <- c(msg, .Internal(readBin(con, "character", 2L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 6) {
msg <- c(msg, .Internal(readBin(con, "character", 7L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 8) {
msg <- c(msg, .Internal(readBin(con, "character", 2L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 7) {
msg <- c(msg, secIdListCount<-.Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
if( as.integer(secIdListCount) > 0) {
msg <- c(msg, .Internal(readBin(con, "character", as.integer(secIdListCount)*2L, NA_integer_, TRUE, FALSE)) )
}
}
eWrapper$contractDetails(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$EXECUTION_DATA) { #v63 length ADAPTED.
msg <- .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE))
version <- as.integer(msg[1])
if( version >= 7) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, .Internal(readBin(con, "character", 7L, NA_integer_, TRUE, FALSE)) )
if( version >= 9) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, .Internal(readBin(con, "character", 3L, NA_integer_, TRUE, FALSE)) )
if (version >= 10) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
msg <- c(msg, .Internal(readBin(con, "character", 10L, NA_integer_, TRUE, FALSE)) )
if( version >= 6) {
msg <- c(msg, .Internal(readBin(con, "character", 2L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 8) {
msg <- c(msg, .Internal(readBin(con, "character", 1L, NA_integer_, TRUE, FALSE)) )
}
if( version >= 9) {
msg <- c(msg, .Internal(readBin(con, "character", 2L, NA_integer_, TRUE, FALSE)) )
}
eWrapper$execDetails(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$MARKET_DEPTH) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 7L, NA_integer_,
TRUE, FALSE))
eWrapper$updateMktDepth(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$MARKET_DEPTH_L2) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 8L, NA_integer_,
TRUE, FALSE))
eWrapper$updateMktDepthL2(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$NEWS_BULLETINS) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 5L, NA_integer_,
TRUE, FALSE))
eWrapper$newsBulletins(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$MANAGED_ACCTS) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$managedAccounts(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$RECEIVE_FA) { #v63 length ADAPTED, but xml implementation pending
msg <- .Internal(readBin(con, "character", 3L, NA_integer_,
TRUE, FALSE))
stop("xml data currently unsupported")
eWrapper$receiveFA(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$HISTORICAL_DATA) { #v63 length OK.
header <- readBin(con, character(), 5)
nbin <- as.numeric(header[5]) * 9
msg <- .Internal(readBin(con, "character", as.integer(nbin),
NA_integer_, TRUE, FALSE))
eWrapper$historicalData(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$BOND_CONTRACT_DATA) { #Implementation pending. not trading.
stop("unimplemented as of yet")
eWrapper$bondContractDetails(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$SCANNER_PARAMETERS) { #v63 length OK.
version <- readBin(con, character(), 1L)
msg <- readBin(con, raw(), 1000000L)
eWrapper$scannerParameters(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$SCANNER_DATA) { #v63 length OK.
cD <- twsContractDetails()
version <- readBin(con, character(), 1L)
tickerId <- readBin(con, character(), 1L)
numberOfElements <- as.integer(readBin(con, character(), 1L))
for (i in 1:numberOfElements) {
msg <- readBin(con, character(), 16L)
rank <- msg[1]
cD$contract$conId <- msg[2]
cD$contract$symbol <- msg[3]
cD$contract$sectype <- msg[4]
cD$contract$expiry <- msg[5]
cD$contract$strike <- msg[6]
cD$contract$right <- msg[7]
cD$contract$exch <- msg[8]
cD$contract$currency <- msg[9]
cD$contract$local <- msg[10]
cD$marketName <- msg[11]
cD$tradingClass <- msg[12]
distance <- msg[13]
benchmark <- msg[14]
projection <- msg[15]
legsStr <- msg[16]
eWrapper$scannerData(curMsg, tickerId, rank, cD,
distance, benchmark, projection, legsStr)
}
}
else if (curMsg == .twsIncomingMSG$TICK_OPTION_COMPUTATION) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 11L, NA_integer_,
TRUE, FALSE))
eWrapper$tickOptionComputation(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$TICK_GENERIC) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 4L, NA_integer_,
TRUE, FALSE))
eWrapper$tickGeneric(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$TICK_STRING) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 4L, NA_integer_,
TRUE, FALSE))
eWrapper$tickString(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$TICK_EFP) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 10L, NA_integer_,
TRUE, FALSE))
eWrapper$tickEFP(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$CURRENT_TIME) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$currentTime(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$REAL_TIME_BARS) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 10L, NA_integer_,
TRUE, FALSE))
eWrapper$realtimeBars(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$FUNDAMENTAL_DATA) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 3L, NA_integer_,
TRUE, FALSE))
eWrapper$fundamentalData(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$CONTRACT_DATA_END) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$contractDetailsEnd(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$OPEN_ORDER_END) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 1L, NA_integer_,
TRUE, FALSE))
eWrapper$openOrderEnd(curMsg, msg, timestamp, file, ...)
}
else if (curMsg == .twsIncomingMSG$ACCT_DOWNLOAD_END) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$accountDownloadEnd(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$EXECUTION_DATA_END) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$execDetailsEnd(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$DELTA_NEUTRAL_VALIDATION) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 5L, NA_integer_,
TRUE, FALSE))
eWrapper$deltaNeutralValidation(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$TICK_SNAPSHOT_END) { #v63 length OK.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$tickSnapshotEnd(curMsg, msg, timestamp, file,
...)
}
else if (curMsg == .twsIncomingMSG$MARKET_DATA_TYPE) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 3L, NA_integer_,
TRUE, FALSE))
eWrapper$marketDataType(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$COMMISSION_REPORT) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 7L, NA_integer_,
TRUE, FALSE))
eWrapper$commissionReport(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$POSITION_DATA) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 15L, NA_integer_,
TRUE, FALSE))
eWrapper$positionData(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$POSITION_END) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 1L, NA_integer_,
TRUE, FALSE))
eWrapper$positionEnd(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$ACCOUNT_SUMMARY) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 6L, NA_integer_,
TRUE, FALSE))
eWrapper$accountSummary(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$ACCOUNT_SUMMARY_END) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$accountSummaryEnd(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$VERIFY_MESSAGE_API) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 2L, NA_integer_,
TRUE, FALSE))
eWrapper$verifyMessageAPI(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$VERIFY_COMPLETED) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 3L, NA_integer_,
TRUE, FALSE))
eWrapper$verifyCompleted(curMsg, msg, timestamp,
file, ...) # ===> calls startApi() in the cpp implementation.
}
else if (curMsg == .twsIncomingMSG$DISPLAY_GROUP_LIST) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 3L, NA_integer_,
TRUE, FALSE))
eWrapper$displayGroupList(curMsg, msg, timestamp,
file, ...)
}
else if (curMsg == .twsIncomingMSG$DISPLAY_GROUP_UPDATED) { #v63 NEW.
msg <- .Internal(readBin(con, "character", 3L, NA_integer_,
TRUE, FALSE))
eWrapper$displayGroupUpdated(curMsg, msg, timestamp,
file, ...)
}
else {
warning(paste("Unknown incoming message: ", curMsg, ". Please reset connection",
sep = ""), call. = FALSE)
}
}
# Force import of some functions from the IBrokers namespace.
# These are needed if we want to call eWrapper(FALSE) for printing,
# eWrapper(NULL) for no output and eWrapper(TRUE) for debug output.
# (xx<-ls(getNamespace("IBrokers"), all.names=TRUE))[grep('^e_.*',xx)]
e_account_time <- IBrokers:::e_account_time
e_account_value <- IBrokers:::e_account_value
#e_execDetails <- IBrokers:::e_execDetails # changed below
#e_execution_data <- IBrokers:::e_execution_data # changed below
#e_commissionReport #NEW see below
e_fundamentalData <- IBrokers:::e_fundamentalData
#e_open_order <- IBrokers:::e_open_order # changed below
#e_order_status <- IBrokers:::e_order_status # fixed below (was not returning eos)
e_portfolio_value <- IBrokers:::e_portfolio_value
e_real_time_bars <- IBrokers:::e_real_time_bars
e_scannerData <- IBrokers:::e_scannerData
e_tick_EFP <- IBrokers:::e_tick_EFP
e_tick_generic <- IBrokers:::e_tick_generic
e_tick_option <- IBrokers:::e_tick_option
e_tick_price <- IBrokers:::e_tick_price
e_tick_size <- IBrokers:::e_tick_size
e_tick_string <- IBrokers:::e_tick_string
e_update_mkt_depth <- IBrokers:::e_update_mkt_depth
e_update_mkt_depthL2 <- IBrokers:::e_update_mkt_depthL2
e_open_order <- function (curMsg, contents, ...)
{
tmp <- NULL
shift <- 0
version <- as.integer(contents[1])
if (version<32) stop('e_open_order: only version>=32 supported at this time')
if (contents[62]=='') stop('e_open_order: Expecting "None" or another non-empty value for for deltaNeutralOrderType')
if (contents[79]!='0') stop('e_open_order: Expecting comboLegsCount==0. NO comboLegs supoprted at the moment')
if (contents[80]!='0') stop('e_open_order: Expecting orderComboLegsCount==0. NO orderComboLegs supoprted at the moment')
if (contents[81]!='0') stop('e_open_order: Expecting smartComboRoutingParamsCount==0. NO smartComboRoutingParams supoprted at the moment')
if (contents[84]!='') stop('e_open_order: Expecting scalePriceIncrement=="". NO scalePriceIncrement supoprted at the moment')
if (contents[85]=='') { #hedgeType=''
if (contents[90]!='0') stop('e_open_order: Expecting underCompPresent=="0". NO underCompPresent supoprted at the moment')
if (contents[91]!='') stop('e_open_order: Expecting algoStrategy=="". NO algoStrategy supoprted at the moment')
} else { #hedgeType='P', etc.... inserts a shift by one for the fields that follow.
shift <- 1
if (contents[91]!='0') stop('e_open_order: Expecting underCompPresent=="0". NO underCompPresent supoprted at the moment')
if (contents[92]!='') stop('e_open_order: Expecting algoStrategy=="". NO algoStrategy supoprted at the moment')
}
eoo <- list(
contract = twsContract(
conId = contents[3],
symbol = contents[4],
sectype = contents[5],
expiry = contents[6],
strike = contents[7],
right = contents[8],
multiplier = contents[9],
exch = contents[10],
currency = contents[11],
local = contents[12],
tradingClass = contents[13] ,
combo_legs_desc = contents[78], # value dfined in order, further below...
primary = NULL,
include_expired = NULL,
comboleg = NULL
),
order = twsOrder(
orderId = contents[2],
action = contents[14], # 14
totalQuantity = contents[15],
orderType = contents[16],
lmtPrice = contents[17],
auxPrice = contents[18],
tif = contents[19],
ocaGroup = contents[20],
account = contents[21],
openClose = contents[22],
origin = contents[23],
orderRef = contents[24],
clientId = contents[25],
permId = contents[26],
outsideRTH = contents[27],
hidden = contents[28],
discretionaryAmt = contents[29],
goodAfterTime = contents[30],
#31 is deprecated
faGroup = contents[32],
faMethod = contents[33],
faPercentage = contents[34],
faProfile = contents[35],
goodTillDate = contents[36],
rule80A = contents[37],
percentOffset = contents[38],
settlingFirm = contents[39],
shortSaleSlot = contents[40],
designatedLocation = contents[41],
exemptCode = contents[42],
auctionStrategy = contents[43],
startingPrice = contents[44],
stockRefPrice = contents[45],
delta = contents[46],
stockRangeLower = contents[47],
stockRangeUpper = contents[48],
displaySize = contents[49],
blockOrder = contents[50],
sweepToFill = contents[51],
allOrNone = contents[52],
minQty = contents[53],
ocaType = contents[54],
eTradeOnly = contents[55],
firmQuoteOnly = contents[56],
nbboPriceCap = contents[57],
parentId = contents[58],
triggerMethod = contents[59],
volatility = contents[60],
volatilityType = contents[61],
deltaNeutralOrderType = contents[62],
deltaNeutralAuxPrice = contents[63], #
deltaNeutralConId = contents[64],
deltaNeutralSettlingFirm = contents[65],
deltaNeutralClearingAccount = contents[66],
deltaNeutralClearingIntent = contents[67],
deltaNeutralOpenClose = contents[68],
deltaNeutralShortSale = contents[69],
deltaNeutralShortSaleSlot = contents[70],
deltaNeutralDesignatedLocation = contents[71],
continuousUpdate = contents[72],
referencePriceType = contents[73],
trailStopPrice = contents[74],
trailingPercent = contents[75],
basisPoints = contents[76],
basisPointsType = contents[77],
#comboLegsDescrip = contents[78], # 78 # see above in Contract...combo_legs_desc
comboLegsCount = contents[79], # 79
comboLegs = NULL,
#~ comboLegs = if (version >= 29 & !is.null(tmp)) {
#~ if (as.integer(tmp)>0) {
#~ shift <- shift + 1 #does not work. shift is only modified locally !?
#~ ll <- list()
#~ ll[1:(8L*as.integer(tmp))] <- contents[shift+66 +1:(8L*as.integer(tmp))]
#~ shift <- shift + 8L*as.integer(tmp) -1
#~ ll #not entirely correct since this should be a list of lists of length 8...
#~ } else NULL
#~ } else NULL,
orderComboLegsCount = contents[80], # 80
orderComboLegs = NULL,
#~ orderComboLegs = if (version >= 29 & !is.null(tmp)) {
#~ if (as.integer(tmp)>0) {
#~ shift <- shift + 1 #does not work. shift is only modified locally !?
#~ ll <- list()
#~ ll[1:(1L*as.integer(tmp))] <- contents[shift+66 +1:(1L*as.integer(tmp))]
#~ shift <- shift + 1L*as.integer(tmp) -1
#~ ll #not entirely correct since this should be a list of lists of length 1...
#~ } else NULL
#~ } else NULL,
smartComboRoutingParamsCount = contents[81], # 81
smartComboRoutingParams = NULL,
#~ smartComboRoutingParams = if (version >= 26 & !is.null(tmp)) {
#~ if (as.integer(tmp)>0) {
#~ shift <- shift + 1 #does not work. shift is only modified locally !?
#~ ll <- list()
#~ ll[1:(2L*as.integer(tmp))] <- contents[shift+66 +1:(2L*as.integer(tmp))]
#~ shift <- shift + 2L*as.integer(tmp) -1
#~ ll #not entirely correct since this should be a list of lists of length 2...
#~ } else NULL
#~ } else NULL,
scaleInitLevelSize = contents[82],
scaleSubsLevelSize = contents[83],
scalePriceIncrement = contents[84],
scalePriceAdjustValue = NULL,
scalePriceAdjustInterval = NULL,
scaleProfitOffset = NULL,
scaleAutoReset = NULL,
scaleInitPosition = NULL,
scaleInitFillQty = NULL,
scaleRandomPercent = NULL,
hedgeType = contents[85]->tmp,
hedgeParam = if (tmp!='') contents[86] else NULL,
optOutSmartRouting = contents[shift+86],
clearingAccount = contents[shift+87],
#clearingIntent = {cat('clearingIntent',contents[shift+88],' shift:',shift,'\n');contents[shift+88]},
clearingIntent = contents[shift+88],
#notHeld = {cat('notHeld',contents[shift+89],'\n');contents[shift+89]},
notHeld = contents[shift+89],
#underCompPresent = contents[shift+90],
#underCompConId = NULL,
#~ underCompConId = if (!is.null(tmp)) {
#~ if (!is.na(tmp2<-as.integer(tmp))) {
#~ if (tmp2>0) {shift<-shift+1;contents[shift+72]} else NULL #does not work. shift is only modified locally !?
#~ } else NULL
#~ } else NULL,
#underCompDelta = NULL,
#~ underCompDelta = if (!is.null(tmp)) {
#~ if (!is.na(tmp2<-as.integer(tmp))) {
#~ if (tmp2>0) {shift<-shift+1;contents[shift+72]} else NULL #does not work. shift is only modified locally !?
#~ } else NULL
#~ } else NULL,
#underCompPrice =NULL,
#~ underCompPrice = if (!is.null(tmp)) {
#~ if (!is.na(tmp2<-as.integer(tmp))) {
#~ if (tmp2>0) {shift<-shift+1;contents[shift+72]} else NULL #does not work. shift is only modified locally !?
#~ } else NULL
#~ } else NULL,
#algoStrategy = {cat('algoStrategy',contents[shift+91],'\n');contents[shift+91]},
algoStrategy = contents[shift+91],
#algoParamsCount = (if (!is.null(tmp)) {if (tmp!='') {shift<-shift+1;contents[shift+72]} else NULL} else NULL)->tmp2,
#~ algoParams = if (!is.null(tmp2)) {
#~ if (as.integer(tmp2)>0) {
#~ shift <- shift + 1 #does not work. shift is only modified locally !?