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

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

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.

Solution

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