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(ttFeed.BarHistory(“EURUSD”))

ttFeed.BarHistory("EURUSD")
##           high     low    open   close    volume                from
##     1: 1.11862 1.11838 1.11862 1.11838 213150000 2015-09-08 08:27:00
##     2: 1.11866 1.11848 1.11853 1.11862 475900000 2015-09-08 08:26:00
##     3: 1.11861 1.11847 1.11857 1.11853 654350000 2015-09-08 08:25:00
##     4: 1.11870 1.11849 1.11864 1.11857 392800000 2015-09-08 08:24:00
##     5: 1.11866 1.11848 1.11854 1.11866 408000000 2015-09-08 08:23:00
##    ---                                                              
##  9996: 1.12732 1.12702 1.12732 1.12703 330204000 2015-08-28 10:52:00
##  9997: 1.12738 1.12716 1.12722 1.12732 406038000 2015-08-28 10:51:00
##  9998: 1.12742 1.12720 1.12741 1.12722 348161000 2015-08-28 10:50:00
##  9999: 1.12743 1.12722 1.12731 1.12741 561465000 2015-08-28 10:49:00
## 10000: 1.12743 1.12731 1.12743 1.12731 646856000 2015-08-28 10:48:00
##                         to
##     1: 2015-09-08 08:28:00
##     2: 2015-09-08 08:27:00
##     3: 2015-09-08 08:26:00
##     4: 2015-09-08 08:25:00
##     5: 2015-09-08 08:24:00
##    ---                    
##  9996: 2015-08-28 10:53:00
##  9997: 2015-08-28 10:52:00
##  9998: 2015-08-28 10:51:00
##  9999: 2015-08-28 10:50:00
## 10000: 2015-08-28 10:49:00

Get quotes

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

ttFeed.TickBestHistory("EURUSD", startTime = prevNow, endTime=now)
##           ask     bid          createTime
##    1: 1.11857 1.11853 2015-09-08 05:22:25
##    2: 1.11857 1.11853 2015-09-08 05:22:25
##    3: 1.11857 1.11853 2015-09-08 05:22:25
##    4: 1.11857 1.11853 2015-09-08 05:22:26
##    5: 1.11857 1.11856 2015-09-08 05:22:26
##   ---                                    
## 1043: 1.11841 1.11838 2015-09-08 05:27:18
## 1044: 1.11841 1.11838 2015-09-08 05:27:18
## 1045: 1.11841 1.11838 2015-09-08 05:27:18
## 1046: 1.11841 1.11838 2015-09-08 05:27:19
## 1047: 1.11841 1.11838 2015-09-08 05:27:19

Get quotes L2

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

ttFeed.TickLevel2History('EURUSD', prevNow, now, depth=1)
##       volumeBid volumeAsk priceBid priceAsk          createTime
##    1:    500000   1000000  1.11777  1.11779 2015-09-08 08:10:47
##    2:    500000   1000000  1.11777  1.11779 2015-09-08 08:10:48
##    3:    500000   1000000  1.11777  1.11779 2015-09-08 08:10:48
##    4:    500000   1000000  1.11777  1.11779 2015-09-08 08:10:48
##    5:    500000   1000000  1.11777  1.11780 2015-09-08 08:10:48
##   ---                                                          
## 3677:   2500000    500000  1.11838  1.11841 2015-09-08 08:27:18
## 3678:   2500000    500000  1.11838  1.11841 2015-09-08 08:27:18
## 3679:   2500000   1500000  1.11838  1.11841 2015-09-08 08:27:18
## 3680:   2500000   1500000  1.11838  1.11841 2015-09-08 08:27:19
## 3681:   2500000   1500000  1.11838  1.11841 2015-09-08 08:27:19
##         quoteIndex level
##    1: 1.441700e+12     1
##    2: 1.441700e+12     1
##    3: 1.441700e+12     1
##    4: 1.441700e+12     1
##    5: 1.441700e+12     1
##   ---                   
## 3677: 1.441701e+12     1
## 3678: 1.441701e+12     1
## 3679: 1.441701e+12     1
## 3680: 1.441701e+12     1
## 3681: 1.441701e+12     1