[英]IBrokers R API and same day intraday prices
我認為這是一個 IB API,而不是 IBrokers R package。 我正在使用reqHistoricalData
獲取 30 分鍾的盤中歷史數據。 市場開盤了,我沒有得到當天的數據。 我只得到昨天的數據。
是否可以獲得當天的盤中柱數據? 這是我正在使用的代碼,它只提供前一天的數據,而不是同一天。
library(tidyverse)
library(IBrokers)
tws = twsConnect()
contract <- twsEquity('VOD','SMART')
VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "20210408 13:24:28", barSize = "1 min", duration = "1 D")
VOD_intraday %>% as.data.frame() %>% rownames_to_column(var = "time") %>% arrange(desc(time)) %>% head()
2021-04-08 格林威治標准時間 13:27,倫敦開放。 這是響應 - 它僅提供 2020-04-07 的數據:
> contract <- twsEquity('VOD','SMART')
> VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "20210408 13:24:28", barSize = "1 min", duration = "1 D")
waiting for TWS reply on VOD .... done.
> VOD_intraday %>% as.data.frame() %>% rownames_to_column(var = "time") %>% arrange(desc(time)) %>% head()
time VOD.Open VOD.High VOD.Low VOD.Close VOD.Volume VOD.WAP VOD.hasGaps VOD.Count
1 2021-04-07 20:59:00 18.96 18.98 18.95 18.98 1131 18.958 0 265
2 2021-04-07 20:58:00 18.96 18.96 18.95 18.96 90 18.957 0 42
3 2021-04-07 20:57:00 18.96 18.97 18.95 18.95 258 18.960 0 72
4 2021-04-07 20:56:00 18.96 18.96 18.95 18.95 124 18.959 0 58
5 2021-04-07 20:55:00 18.96 18.96 18.95 18.96 56 18.958 0 34
6 2021-04-07 20:54:00 18.95 18.96 18.95 18.95 26 18.951 0 12
在美國市場開放時,您可以使用 SPY、MSFT 或任何美國證券,而不是 VOD。
編輯:事實證明,您需要實時訂閱才能獲取當天數據。 下面的答案有效。
必須指定結束時間,或將其留空以獲取可用的最新數據。
嘗試這個:
VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endTime = "", barSize = "1 min", duration = "1 D")
這是我運行它時的執行:
> library(tidyverse)
> library(IBrokers)
IBrokers version 0.9-10. Implementing API Version 9.64
IBrokers comes with NO WARRANTY. Not intended for production use!
See ?IBrokers for details.
> tws = twsConnect()
> contract <- twsEquity('SPY','SMART')
> VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "", barSize = "1 min", duration = "1 D")
waiting for TWS reply on SPY ........... done.
> head(VOD_intraday)
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.WAP SPY.hasGaps SPY.Count
2021-04-08 07:30:00 407.93 407.98 407.68 407.80 5042 407.846 0 1709
2021-04-08 07:31:00 407.81 408.00 407.74 407.98 1615 407.844 0 1065
2021-04-08 07:32:00 407.99 408.05 407.81 407.90 2451 407.932 0 1560
2021-04-08 07:33:00 407.89 407.98 407.88 407.95 2353 407.932 0 1300
2021-04-08 07:34:00 407.95 407.97 407.81 407.81 1708 407.907 0 1012
2021-04-08 07:35:00 407.82 407.86 407.61 407.67 2729 407.726 0 1458
對於符號 VOD:
> contract <- twsEquity('VOD','SMART')
> VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "", barSize = "1 min", duration = "1 D")
waiting for TWS reply on VOD .... done.
> head(VOD_intraday)
VOD.Open VOD.High VOD.Low VOD.Close VOD.Volume VOD.WAP VOD.hasGaps VOD.Count
2021-04-08 07:30:00 18.95 18.95 18.91 18.92 246 18.921 0 49
2021-04-08 07:31:00 18.91 18.91 18.90 18.90 69 18.905 0 31
2021-04-08 07:32:00 18.90 18.90 18.87 18.87 237 18.881 0 44
2021-04-08 07:33:00 18.87 18.87 18.86 18.87 45 18.870 0 20
2021-04-08 07:34:00 18.87 18.87 18.85 18.86 173 18.860 0 57
2021-04-08 07:35:00 18.86 18.87 18.85 18.86 39 18.859 0 19
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