Requesting real-time bars IB API

A simple example how to get real-time bars from the Interactive Brokers API, using package rib.

Load and attach the package first. We set option warn to 1, so that any warning is shown at once. 

options(warn = 1)  ## show warnings at once
library("rib")

The main task is to define a wrapper that handles the incoming messages. Here, we simply print the contract, the open and the close. 

wrap <-
R6::R6Class("IBWrapCustom",
    class      = FALSE,
    cloneable  = FALSE,
    lock_class = TRUE,
    inherit = rib::IBWrap,

    public = list(

        Data = NULL,
        initialize = function() {
            self$Data <- new.env()
            self$Data$labels <- c("fgbl", "fesx")
            self$Data$RTbars <- list()
        },

        error = function(id, errorCode, errorString,
                         advancedOrderRejectJson) {
            ## errors and other messages are shown
            message(errorString)
        },

        nextValidId =      function(orderId)
            NULL,  ## data is ignored
        managedAccounts =  function(accountsList)
            NULL,  ## data is ignored

        realtimeBar= function(reqId, time,
                                open, high, low, close,
                                volume, wap, count) {
            message(self$Data$labels[reqId],
                      " | ", .POSIXct(time), " | ", open, " | ", close)
        }
    )
)

Create an instance of the wrapper. 

wr <- wrap$new()

We define two contracts (see Finding the contract specification). 

fgbl <- rib::IBContract(
               localSymbol = "FGBL 20231207 M",
               secType = "FUT",
               currency = "EUR",
               exchange = "EUREX")

fesx <- rib::IBContract(
               localSymbol = "FSXE 20231215 M",
               secType = "FUT",
               currency = "EUR",
               exchange = "EUREX")

Now we have the ingredients. It remains to get the data. Create a client. 

ic <- IBClient$new()
ic$connect(port = 7496, clientId = 1)
ic$checkMsg(wr)

server version: 180 timestamp: 20231130 19:39:30 CET
Market data farm connection is OK:....
## .... and more messages

Now the client requests real-time bars. As said initially, we simply print open and close information for the bars. 

ic$reqRealTimeBars(tickerId = 1,
                   contract = fgbl, barSize = 5,
                   whatToShow = "MIDPOINT", useRTH = TRUE)

ic$reqRealTimeBars(tickerId = 2,
                   contract = fesx, barSize = 5,
                   whatToShow = "MIDPOINT", useRTH = TRUE)


repeat {
    Sys.sleep(2)
    ic$checkMsg(wr)
}

fgbl | 2023-11-30 19:40:45 | 132.255 | 132.255
fesx | 2023-11-30 19:40:45 | 4392 | 4392
fgbl | 2023-11-30 19:40:50 | 132.255 | 132.255
fesx | 2023-11-30 19:40:50 | 4392 | 4392
fgbl | 2023-11-30 19:40:55 | 132.255 | 132.255
fesx | 2023-11-30 19:40:55 | 4392 | 4392
fgbl | 2023-11-30 19:41:00 | 132.255 | 132.255
fesx | 2023-11-30 19:41:00 | 4392 | 4392
fgbl | 2023-11-30 19:41:05 | 132.255 | 132.255
fesx | 2023-11-30 19:41:05 | 4392 | 4392
....

Cancel bars for one contract. 

ic$cancelRealTimeBars(tickerId = 2)

repeat {
    Sys.sleep(2)
    ic$checkMsg(wr)
}

fgbl | 2023-11-30 20:32:45 | 132.255 | 132.26
fgbl | 2023-11-30 20:32:50 | 132.26 | 132.26
fgbl | 2023-11-30 20:32:55 | 132.26 | 132.255
fgbl | 2023-11-30 20:33:00 | 132.255 | 132.265
fgbl | 2023-11-30 20:33:05 | 132.265 | 132.26
fgbl | 2023-11-30 20:33:10 | 132.26 | 132.255
fgbl | 2023-11-30 20:33:15 | 132.255 | 132.265
....

ic$disconnect()