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Best Practices for Coding Market Data Functions with R

Best Practice

Join the IBKR Traders’ Academy team and learn how to code different types of market data. Get practical examples on how to retrieve streaming and historical data with the reqMktData, reqMktDepth and reqRealTimeBars functions.

Here is an example from the course Trading Using R in collaboration with QuantInsti:

Notice the instructor first defines the contract for which he wants to pull the streaming data on line 8.

Next, on line 11, the instructor applies the function reqMktData function which connects to the TWS, and assigns the security objects as the arguments. Observe that upon execution, the algo app returns a continuous stream of market data.

Visit IBKR Traders’ Academy for additional examples on how to code these functions and to take this complimentary course: https://tradersacademy.online/trading-courses/ibkr-api/trading-using-r

Disclosure: Interactive Brokers

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

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