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: stringi
## 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: 1.08397 1.08378 1.08379 1.08388 1611000 2016-01-12 13:20:00
##       2: 1.08377 1.08347 1.08347 1.08377 2754000 2016-01-12 13:19:00
##       3: 1.08356 1.08331 1.08353 1.08347 3757000 2016-01-12 13:18:00
##       4: 1.08375 1.08353 1.08365 1.08353 3429000 2016-01-12 13:17:00
##       5: 1.08374 1.08347 1.08349 1.08365 3663000 2016-01-12 13:16:00
##      ---                                                            
## 1296847: 1.30551 1.30546 1.30546 1.30550     124 2012-05-08 00:04:00
## 1296848: 1.30560 1.30546 1.30554 1.30546     204 2012-05-08 00:03:00
## 1296849: 1.30573 1.30534 1.30570 1.30554     583 2012-05-08 00:02:00
## 1296850: 1.30600 1.30560 1.30596 1.30570     560 2012-05-08 00:01:00
## 1296851: 1.30601 1.30568 1.30591 1.30597     936 2012-05-08 00:00:00
##                           to
##       1: 2016-01-12 13:21:00
##       2: 2016-01-12 13:20:00
##       3: 2016-01-12 13:19:00
##       4: 2016-01-12 13:18:00
##       5: 2016-01-12 13:17:00
##      ---                    
## 1296847: 2012-05-08 00:05:00
## 1296848: 2012-05-08 00:04:00
## 1296849: 2012-05-08 00:03:00
## 1296850: 2012-05-08 00:02:00
## 1296851: 2012-05-08 00:01:00

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: 1.08352 1.08352 2016-01-12 10:15:50
##    2: 1.08352 1.08352 2016-01-12 10:15:50
##    3: 1.08352 1.08350 2016-01-12 10:15:50
##    4: 1.08352 1.08350 2016-01-12 10:15:51
##    5: 1.08351 1.08350 2016-01-12 10:15:51
##   ---                                    
## 1869: 1.08408 1.08405 2016-01-12 10:20:49
## 1870: 1.08409 1.08406 2016-01-12 10:20:50
## 1871: 1.08409 1.08406 2016-01-12 10:20:50
## 1872: 1.08409 1.08406 2016-01-12 10:20:50
## 1873: 1.08408 1.08405 2016-01-12 10:20:50

Get quotes L2

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

ttFeed.TickLevel2History('EURUSD', prevNow, now, depth=5)
##        volumeBid volumeAsk priceBid priceAsk          createTime
##     1:      9000   1000000  1.08381  1.08382 2016-01-12 13:04:19
##     2:    491000   2500000  1.08380  1.08383 2016-01-12 13:04:19
##     3:   1000000   1000000  1.08379  1.08384 2016-01-12 13:04:19
##     4:      2000   5000000  1.08358  1.08385 2016-01-12 13:04:19
##     5:    100000      2000  1.08352  1.08464 2016-01-12 13:04:19
##    ---                                                          
## 30446:      9000   6000000  1.08404  1.08407 2016-01-12 13:20:58
## 30447:   1991000   2500000  1.08403  1.08408 2016-01-12 13:20:58
## 30448:      2000   1000000  1.08325  1.08409 2016-01-12 13:20:58
## 30449:      2000   4000000  1.08324  1.08410 2016-01-12 13:20:58
## 30450:      2000      6000  1.08322  1.08436 2016-01-12 13:20:58
##        quoteIndex level
##     1:          0     1
##     2:          0     2
##     3:          0     3
##     4:          0     4
##     5:          0     5
##    ---                 
## 30446:          0     1
## 30447:          0     2
## 30448:          0     3
## 30449:          0     4
## 30450:          0     5