Will it be possible for someone to provide me a working example of reqExecutions? I am having a hard time with the ewrapper and callback mechanism. After searching google for working examples, I could not get my hands on anything that would simply work. Please note that I am not a programmer and that is why having a hard time getting my head wrapped around ewrapper and callback.
reqExecutions IBrokers package
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Disclaimer
Before answering this question, I feel I should emphasize the disclaimer given at the very start of the IBrokers documentation:
So it looks like this package is designed and maintained by independent programmers who may or may not have a good tie-in with official IB API development now or in the future.
Further to the above, I looked at a lot of the package source, and it's fairly incomplete, vis-à-vis the actual IB API source. In fact, you've stumbled upon one of the strands of incompleteness; in the IBrokers Reference Card it says:
(Note: You can access the reference card with
IBrokersRef(), if you've configured youroptions()$pdfviewer. If not, you can just open the PDF manually; runsystem.file('doc/IBrokersREFCARD.pdf',package='IBrokers')to get its location.)So, the bottom line is, be careful with this package; you shouldn't rely on it for real trading unless you really know what you're doing.
Functionality
Taking a look at the actual
reqExecutions()package function, we have:To summarize the above, it:
is.twsConnection(), it just checks that it inherits fromtwsConnectionortwsconn. You can create such a connection withtwsConnect(). It's a plain R environment internally, classed astwsconn.`[[`()function for thetwsconnclass. If you look intoIBrokers:::`[[.twsconn`, you see it just returns thetwsconn$connenvironment entry.writeBin()): a request type enumeration, a request version, a request identifier (which could be used to differentiate multiple simultaneous requests of the same type), and then 7 filter fields. (Unfortunately, it requires the caller to fully specify all filter fields.) It then returns immediately without waiting for a response.Contrast the above with a fully-implemented request function,
reqCurrentTime():This:
.reqCurrentTime()to send the actual request, similar to whatreqExecutions()does. I won't include it here, but you can view its body withIBrokers:::.reqCurrentTime.eWrapper()which it strangely namese_current_time.currentTime()on the callback list object. The handler simply returns the second field,msg[2], which represents the server's idea of the current time, encoded as a Unix epoch value (seconds since 1970-01-01).curMsg, which is a code representing the message type, and callsprocessMsg()on it. This is another function provided by theIBrokerspackage. This is the function that actually switches on the message code and calls the appropriate callback function one_current_time, passing itcurMsgas well as the code-specific trailing fields, decoded via a call toreadBin()(not shown above; seeprocessMsgfor the code).msg[2], the second field after the message code) intocurrentTime.processMsg()actually triggered a default handler which doesn't do anything useful, and thecurrentTimevalue would be ignored.)currentTimevalue. All that's really required here is classing it as POSIXt and POSIXct, since the POSIXct type is conveniently implemented by storing the Unix epoch time to represent a date/time point.So, as you can see,
reqCurrentTime()is doing a lot more thanreqExecutions(). In its current form,reqExecutions()doesn't do anything to process the response, so it's not really useful at all.Solution
Since I'm familiar with the IB API, I was able to fill in the missing functionality, which I present below.
As a side note, I referenced the C++ API source code which is available from https://www.interactivebrokers.com/en/index.php?f=5041; the official API source can be taken as authoritative with respect to how the client needs to interact with the socket. For example, you can view the
EClient::reqExecutions()function in/TWS API/source/CppClient/client/EClient.cppto see how it encodes request fields onto the socket, and similarly you can view theEDecoder::processExecutionDataMsg()function in the/TWS API/source/CppClient/client/EDecoder.cppfile to see how it decodes the response from the server. Basically, it uses some C preprocessor macros (ENCODE_FIELD()andDECODE_FIELD()) which expand to a call to some C++ template functions for encoding (template<class T> void EClient::EncodeField(std::ostream& os, T value)) and C++ overloaded functions for decoding (bool EDecoder::DecodeField(bool/int/long/double/std::string& doubleValue, const char*& ptr, const char* endPtr)) which ultimately use the C++ streaming operators to stream primitive fields to the socketstd::ostreamfollowed by a NUL for encoding, and callatoi(),atof(), orstd::string::operator=()for decoding right from the socket buffer.I also recommend looking into the official API documentation at https://www.interactivebrokers.com/en/software/api/api.htm.
Firstly, notice that
IBrokersprovides functions liketwsContract()andtwsOrder()to allow constructing TWS-specific data objects. There's notwsExecution()function, so I wrote my own, following the same style of object construction, including attaching atwsExecutionS3 class. I also wrote aprint.twsExecution()function sotwsExecutionobjects would print the same way as the others, which basically meansstr(unclass(x)).Secondly, I wrote my own replacement for
reqExecutions()calledreqExecutions2()which encodes the request data onto the socket as perreqExecutions(), and then overrides the response handler and iterates on the socket waiting for response messages, similar toreqCurrentTime(). I was a little bit more verbose with the code, as I tried to follow the C++ algorithm as closely as possible, including its request version checks on response handling to conditionally take certain fields off the socket. I also included monitoring for error messages from the server, so that the while loop automatically breaks and the function returns on errors.reqExecutions2()returns all response records as a list, where each component is a nested list ofreqId,contract, andexecutioncomponents. This follows theexecDetails()callback design in the official API; see https://www.interactivebrokers.com/en/software/api/api.htm (C++ -> Class EWrapper Functions -> Executions -> execDetails()).Lastly, for convenience I wrote a wrapper around
reqExecutions2()calledreqExecutionsFrame(), which converts the list of records into a single data.frame.So, without further ado, here's the code:
Here's a demo on my paper trading account: