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Build Working Example to Change How reqMktData in R's IBrokers Package Displays and Uses Data

I regularly code in the R Programming Language to conduct statistical analysis on the financial markets. I consider myself a lower-intermediate level R programmer.

I am looking for: (1) help on modifying twsCALLBACK and eWrapper (and other things??... processMsg??) in the IBrokers package *AND* (2) LOTS of documentation in the R code you write so I can understand how the code works and how I could modify it further in the future. *Understanding the code is just as important to me as having the code.*

The following two webpages have been helpful for me, but haven't been enough:

[login to view URL]

[login to view URL]

I would like a working example that:

(1) modifies CALLBACK, eventWrapper (and others?) so that when I call the code below, it prints a nice "snapshot" of the data to the screen:

[login to view URL] <- reqContractDetails(tws, twsCurrency("USD", "CAD"))[[1]]$contract

reqMktData(tws, [login to view URL])

example snapshot:

BidSize BidPrice AskPrice AskSize LastPrice LastSize Volume

USDCAD .... ..... ...... ....... ...... ....... ....

(2) a function, along with appropriate modifications to CALLBACK, eventWrapper (and others??) so that it monitors the real time market data of three securities at the same time, extracts relevant prices on a real time basis, computes a simple equation involving the prices on a real time basis, prints an update to the console on a real time basis and plays a sound when a certain condition is met.

For example, you could use the JUN, JUL and AUG futures contracts on [login to view URL] and each second print to the console:

"LONG" if the ask price of JUN > 1.01 * ( average(mid price of JUL, mid price of AUG);

"SHORT" if the bid price of JUN < 0.99 * ( average(mid price of JUL, mid price of AUG);

"FLAT" otherwise

The first time we change from FLAT to LONG or from FLAT to SHORT R plays a sound (like an alarm).

Successful completion of this project could lead to more work.

Навички: Фінанси, Мова програмування R , Архітектура ПЗ

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Про роботодавця:
( 0 відгуки(-ів) ) Surrey, Canada

ID Проекту: #17108982

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sysdesigner13

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