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] TRUE

2. Feed history (bars and quotes)

Get 10000 bar quotes of EURUSD symbol:

bars = ttFeed.BarHistory(“EURUSD”)

ttFeed.BarHistory("EURUSD")

##             high     low    open   close    volume                from
##       1: 1.12367 1.12354 1.12359 1.12366 617788000 2016-09-13 12:02:00
##       2: 1.12363 1.12345 1.12354 1.12359 840804000 2016-09-13 12:01:00
##       3: 1.12358 1.12335 1.12338 1.12354 518650000 2016-09-13 12:00:00
##       4: 1.12356 1.12338 1.12355 1.12338 392084000 2016-09-13 11:59:00
##       5: 1.12356 1.12351 1.12353 1.12355 257634000 2016-09-13 11:58:00
##      ---                                                              
## 1546794: 1.29325 1.29313 1.29325 1.29313       261 2012-05-10 00:04:00
## 1546795: 1.29331 1.29306 1.29322 1.29325       563 2012-05-10 00:03:00
## 1546796: 1.29324 1.29307 1.29316 1.29322       309 2012-05-10 00:02:00
## 1546797: 1.29337 1.29308 1.29333 1.29316       598 2012-05-10 00:01:00
## 1546798: 1.29348 1.29323 1.29344 1.29333       614 2012-05-10 00:00:00
##                           to
##       1: 2016-09-13 12:03:00
##       2: 2016-09-13 12:02:00
##       3: 2016-09-13 12:01:00
##       4: 2016-09-13 12:00:00
##       5: 2016-09-13 11:59:00
##      ---                    
## 1546794: 2012-05-10 00:05:00
## 1546795: 2012-05-10 00:04:00
## 1546796: 2012-05-10 00:03:00
## 1546797: 2012-05-10 00:02:00
## 1546798: 2012-05-10 00:01:00

Get quotes

now <-as.POSIXct(Sys.time(), tz="GMT")
# 300 seconds from present
prevNow <-as.POSIXct(now-(300), tz="GMT")

ttFeed.TickBestHistory("EURUSD", startTime = prevNow, endTime=now)

##           ask     bid          createTime
##    1: 1.12353 1.12349 2016-09-13 12:01:41
##    2: 1.12353 1.12349 2016-09-13 12:01:42
##    3: 1.12353 1.12349 2016-09-13 12:01:42
##    4: 1.12353 1.12350 2016-09-13 12:01:42
##    5: 1.12353 1.12350 2016-09-13 12:01:42
##   ---                                    
## 2521: 1.12388 1.12385 2016-09-13 12:06:38
## 2522: 1.12388 1.12385 2016-09-13 12:06:38
## 2523: 1.12388 1.12384 2016-09-13 12:06:38
## 2524: 1.12388 1.12384 2016-09-13 12:06:38
## 2525: 1.12388 1.12383 2016-09-13 12:06:39

Get quotes L2

now <-as.POSIXct(Sys.time(), tz="GMT")
# 1000 seconds from present
prevNow <-as.POSIXct(now-(1000), tz="GMT")

ttFeed.TickLevel2History('EURUSD', prevNow, now, depth=1)

##       volumeBid volumeAsk priceBid priceAsk          createTime quoteIndex
##    1:   1500000     1e+05  1.12339  1.12342 2016-09-13 11:50:09          0
##    2:   1500000     1e+05  1.12339  1.12342 2016-09-13 11:50:09          0
##    3:    500000     1e+05  1.12340  1.12342 2016-09-13 11:50:10          0
##    4:    500000     2e+06  1.12340  1.12343 2016-09-13 11:50:10          0
##    5:    500000     2e+06  1.12340  1.12343 2016-09-13 11:50:10          0
##   ---                                                                     
## 6402:    100000     1e+06  1.12387  1.12388 2016-09-13 12:06:49          0
## 6403:    100000     1e+06  1.12387  1.12388 2016-09-13 12:06:49          0
## 6404:    100000     1e+06  1.12387  1.12386 2016-09-13 12:06:49          0
## 6405:    100000     1e+06  1.12387  1.12387 2016-09-13 12:06:49          0
## 6406:    100000     1e+06  1.12387  1.12386 2016-09-13 12:06:49          0
##       level
##    1:     1
##    2:     1
##    3:     1
##    4:     1
##    5:     1
##   ---      
## 6402:     1
## 6403:     1
## 6404:     1
## 6405:     1
## 6406:     1

History rFdk

1. Connection

2. Feed history (bars and quotes)