Using IBrokers and R, what is the appropriate way to retrieve last traded price during live trading session?

Question

So current I do it like this:

  contract <- lapply(sym, function(x) twsEquity(x, 'SMART','ISLAND'))
  lapply(contract, function(x) reqHistoricalData(tws, Contract=x, barSize = "1 day", duration = "1 D", verbose = FALSE))

sym is merely a vector of 30 or so stock symbols. This is extremely slow.

Therefore, this could not be the right way to do it. In my live trading session, I must monitor 100s of stocks. Updates to their last traded price must be retrieve in slip seconds, not minutes.

score 1 · Accepted Answer · answered Aug 31 '20 at 16:46

You can use the function reqMktData with snapshot set to TRUE.

sym <- c("AAPL", "MSFT")
contracts <- lapply(sym, function(x) twsEquity(x, 'SMART','ISLAND'))

last_prices <-   lapply(contracts, function(x) reqMktData(tws, 
                                                          Contract = x,
                                                          snapshot = TRUE))

Ignore the warnings you are getting.

And note that the lastTimeStamp is in your local time, not the timestamp on the exchange.

last_prices
[[1]]
        lastTimeStamp symbol bidSize bidPrice askPrice askSize lastPrice  Volume   Open   High Low  Close
1 2020-08-31 18:38:48   AAPL       4   129.46   129.48       3    129.48 1311118 127.67 130.05 126 124.81

[[2]]
        lastTimeStamp symbol bidSize bidPrice askPrice askSize lastPrice Volume  Open  High    Low  Close
1 2020-08-31 18:38:47   MSFT       1   225.68    225.7       3    225.69 146282 227.1 228.7 224.31 228.91

for a vector of 32 stock symbols, the reqMktData took over 7 seconds. This still does not look right. It shouldn't take more than 1 second? — Bear Bile Farming is Torture, Aug 31 '20 at 21:48

Using IBrokers and R, what is the appropriate way to retrieve last traded price during live trading session?

1 Answers1