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List:       r-sig-finance
Subject:    Re: [R-SIG-Finance] IBrokers storing Interactive data.
From:       ganesha0701 <ganesha0701 () gmail ! com>
Date:       2013-07-26 5:20:19
Message-ID: CA+j8qo2PyC+JHrhjxLWT2r4nXfX5vXo2jDfx3nquE5iiJ19gjA () mail ! gmail ! com
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Thanks, much appreciated. I will look into it.


On Mon, Jul 22, 2013 at 9:32 PM, BBands <bbands@gmail.com> wrote:

> If you can't find the exact solution you want, there is a neat project
> that you might want to look at, TradingShim. The author, Russ Herrold,
> is a long-time R user. http://www.trading-shim.org/ The shim can
> capture your data in the background and you can easily access it from
> R.
>
>     John
>
> On Sat, Jul 20, 2013 at 9:38 PM, ganesha0701 <ganesha0701@gmail.com>
> wrote:
> > I came across IBrokers, and was impressed. My goal is to save real time
> > data through the Interactive Brokers API and am looking to use it.
> >
> > The data I need should be in the following format
> >
> > timestamp, product, bid1Price, bid1Size, ask1Price, ask1Size,bid2Price,
> > bid2Size, ask2Price, ask2Size,bid3Price, bid3Size, ask3Price,
> > ask3Size,bid4Price, bid4Size, ask4Price, ask4Size,bid5Price, bid5Size,
> > ask5Price, ask5Size, last Trade Price, last Trade Size
> >
> > So basically I am looking for all the 5 levels and the last trade
> > information if there was any.
> >
> > I understand their API and know that I need to call the reqMarketDepth
> > method. The problem is that they don't really give any time stamp
> > information.
> >
> > So my question is can I use this package to do the above, if yes, how do
> > you generate the time stamp info? How do I get the last trade info?
> >
> > I would be grateful to you if you could offer any light on the matter.
>

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