Sections:

1. Connection

Connect to TT Demo server: ttConnect()

options(warn=-1)
require(rClr)
## Loading required package: rClr
## Loading the dynamic library for Microsoft .NET runtime...
## Loaded Common Language Runtime version 4.0.30319.42000
require(rFdk)
## Loading required package: rFdk
ttConnect("", "", "")
## Loading required package: data.table
## [1] 0

2. Feed history (bars and quotes)

Get 10000 bars of EURUSD symbol:

head(ttBarsHistory(“EURUSD”))

ttBarsHistory("EURUSD")
##           high     low    open   close    volume                from
##     1: 1.16495 1.16384 1.16403 1.16438 166228000 2015-08-24 13:18:00
##     2: 1.16577 1.16394 1.16429 1.16403 319100000 2015-08-24 13:17:00
##     3: 1.16558 1.16284 1.16498 1.16431 383327000 2015-08-24 13:16:00
##     4: 1.16698 1.16477 1.16640 1.16492 273653000 2015-08-24 13:15:00
##     5: 1.16962 1.16630 1.16637 1.16648 733995000 2015-08-24 13:14:00
##    ---                                                              
##  9996: 1.11447 1.11436 1.11438 1.11438 220950000 2015-08-13 15:41:00
##  9997: 1.11444 1.11409 1.11410 1.11438 204300000 2015-08-13 15:40:00
##  9998: 1.11424 1.11399 1.11420 1.11410 130250000 2015-08-13 15:39:00
##  9999: 1.11442 1.11416 1.11436 1.11420 135400000 2015-08-13 15:38:00
## 10000: 1.11451 1.11431 1.11450 1.11436 207305000 2015-08-13 15:37:00
##                         to
##     1: 2015-08-24 13:19:00
##     2: 2015-08-24 13:18:00
##     3: 2015-08-24 13:17:00
##     4: 2015-08-24 13:16:00
##     5: 2015-08-24 13:15:00
##    ---                    
##  9996: 2015-08-13 15:42:00
##  9997: 2015-08-13 15:41:00
##  9998: 2015-08-13 15:40:00
##  9999: 2015-08-13 15:39:00
## 10000: 2015-08-13 15:38:00

Get 10000 bar quotes of EURUSD symbol:

bars = ttBarsQuotesHistory(“EURUSD”)

ttBarsQuotesHistory("EURUSD")
##        askHigh  askLow askopen askClose askVolume bidHigh  bidLow bidOpen
##     1: 1.16504 1.16389 1.16416  1.16442 232449000 1.16495 1.16384 1.16403
##     2: 1.16591 1.16404 1.16444  1.16415 294619000 1.16577 1.16394 1.16429
##     3: 1.16577 1.16274 1.16493  1.16441 290236000 1.16558 1.16284 1.16498
##     4: 1.16710 1.16488 1.16649  1.16501 514247000 1.16698 1.16477 1.16640
##     5: 1.16977 1.16620 1.16627  1.16663 250990000 1.16962 1.16630 1.16637
##    ---                                                                   
##  9996: 1.11448 1.11437 1.11440  1.11443 315800000 1.11447 1.11436 1.11438
##  9997: 1.11447 1.11413 1.11414  1.11440 409454000 1.11444 1.11409 1.11410
##  9998: 1.11425 1.11401 1.11420  1.11414 389616000 1.11424 1.11399 1.11420
##  9999: 1.11444 1.11418 1.11440  1.11420 315050000 1.11442 1.11416 1.11436
## 10000: 1.11453 1.11434 1.11453  1.11438 312800000 1.11451 1.11431 1.11450
##        bidClose bidVolume                from                  to
##     1:  1.16431 169728000 2015-08-24 13:18:00 2015-08-24 13:19:00
##     2:  1.16403 319100000 2015-08-24 13:17:00 2015-08-24 13:18:00
##     3:  1.16431 383327000 2015-08-24 13:16:00 2015-08-24 13:17:00
##     4:  1.16492 273653000 2015-08-24 13:15:00 2015-08-24 13:16:00
##     5:  1.16648 733995000 2015-08-24 13:14:00 2015-08-24 13:15:00
##    ---                                                           
##  9996:  1.11438 220950000 2015-08-13 15:41:00 2015-08-13 15:42:00
##  9997:  1.11438 204300000 2015-08-13 15:40:00 2015-08-13 15:41:00
##  9998:  1.11410 130250000 2015-08-13 15:39:00 2015-08-13 15:40:00
##  9999:  1.11420 135400000 2015-08-13 15:38:00 2015-08-13 15:39:00
## 10000:  1.11436 207305000 2015-08-13 15:37:00 2015-08-13 15:38:00

Get quotes

now <-as.POSIXct(Sys.time())
# 300 seconds from present
prevNow <-as.POSIXct(now-(300))

ttQuotesHistory("EURUSD", startTime = prevNow, endTime=now)
##           ask     bid          createTime
##    1: 1.16630 1.16640 2015-08-24 10:13:36
##    2: 1.16643 1.16653 2015-08-24 10:13:36
##    3: 1.16627 1.16637 2015-08-24 10:13:36
##    4: 1.16627 1.16637 2015-08-24 10:13:36
##    5: 1.16627 1.16637 2015-08-24 10:13:36
##   ---                                    
## 1577: 1.16440 1.16431 2015-08-24 10:18:35
## 1578: 1.16442 1.16431 2015-08-24 10:18:35
## 1579: 1.16442 1.16431 2015-08-24 10:18:35
## 1580: 1.16442 1.16431 2015-08-24 10:18:35
## 1581: 1.16440 1.16431 2015-08-24 10:18:35

Get quotes L2

now <-as.POSIXct(Sys.time())
# 1000 seconds from present
prevNow <-as.POSIXct(now-1000)

ttQuotesLevel2History('EURUSD', prevNow, now, depth=1)
##       volumeBid volumeAsk priceBid priceAsk          createTime
##    1:    550000   3500000  1.15708  1.15712 2015-08-24 13:01:59
##    2:     50000    500000  1.15710  1.15711 2015-08-24 13:01:59
##    3:   1550000    500000  1.15707  1.15710 2015-08-24 13:01:59
##    4:   1500000    500000  1.15707  1.15710 2015-08-24 13:01:59
##    5:   1550000    500000  1.15707  1.15710 2015-08-24 13:01:59
##   ---                                                          
## 5040:    500000   1500000  1.16445  1.16456 2015-08-24 13:18:37
## 5041:    500000    500000  1.16445  1.16456 2015-08-24 13:18:38
## 5042:    500000    500000  1.16445  1.16456 2015-08-24 13:18:38
## 5043:   1050000   1500000  1.16446  1.16458 2015-08-24 13:18:38
## 5044:   2000000   4500000  1.16446  1.16458 2015-08-24 13:18:38
##         quoteIndex level
##    1: 1.440421e+12     1
##    2: 1.440421e+12     1
##    3: 1.440421e+12     1
##    4: 1.440421e+12     1
##    5: 1.440421e+12     1
##   ---                   
## 5040: 1.440422e+12     1
## 5041: 1.440422e+12     1
## 5042: 1.440422e+12     1
## 5043: 1.440422e+12     1
## 5044: 1.440422e+12     1