r-IBrokers reqMktData，如何正确退出

Question

我刚刚开始使用IBrokers包，我想知道一旦tickGenerics被填充，如何正确地退出reqMktData函数。谢谢你的回答。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

感谢您的帮助。以下是snapShot函数所在代码的答案（我花了一些时间来了解发生了什么，并设置了一个有效的调试策略…）

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)
}

对于多个ticker（请参阅下面的代码），它不起作用，因为只有一个安全性可以获得tickGenerics（它指的是tickString函数的"456"…）信息。

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

Answer 2

为了避免IB提供NA字段，"数据"结构应该用-1初始化。因此进行了以下修改：

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)))
    }
}
}