Cancel Market Data

Cancel an existing market data subscription.

cancel_mkt_data(req_names)

Arguments

req_names	Character vector containing the names of the subscriptions you wish to cancel. May contain any or all existing market data subsription names. If left blank or set to value "all", then `cancel_mkt_data`() will cancel every active market data subscription.

Value

TRUE upon success (invisible), FALSE or error otherwise.

Examples

# --> This example may be run on a paper trading account with no market data
# feed. This will be the case if you start up a new IB account without
# purchasing a subscription. In that case, you'll see a "Market Data not
# subscribed..." message, which means everything is operating normally. If you
# purchase a data subscription, this message will not appear.

# Create a connection to IB
create_new_connections()

#### Snapshot Example: Exxon stock
################################################################################
# Fetch a delayed market data snapshot for Exxon (XOM)
req_mkt_data(
  contract = c(
    symbol   = "XOM",
    secType  = "STK",
    currency = "USD",
    exchange = "SMART"
  ),
  snapshot    = TRUE,
  data_name   = "Exxon_delayed",
  mktDataType = "DELAYED"
)

# Note that a "mkt_data" subscription now appears:
subscriptions$mkt_data
#> # A tibble: 1 x 8
#>   req_name contract mktDataType snapshot regulatorySnaps… req_id conn_row
#>   <chr>    <list>         <dbl> <lgl>    <lgl>             <dbl>    <dbl>
#> 1 Exxon_d… <chr [4…           3 TRUE     FALSE                 0        4
#> # … with 1 more variable: client_id <int>

# For the sake of this example, wait 3 seconds or so to be sure that the data
# has time to arrive.
Sys.sleep(3)

# Read the data off the sock and update "mkt_data"
read_sock_drawer()

# Now you have a market data snapshot in your mkt_data slate! You can access it
# with the "$" operator, like this:
mkt_data$Exxon_delayed$TICK_PRICE
#> # A tibble: 7 x 3
#>   tick               price  size
#>   <chr>              <dbl> <dbl>
#> 1 Delayed Last        33.3     1
#> 2 Delayed High Price  36.7     0
#> 3 Delayed Low Price   33.3     0
#> 4 Delayed Close       36.8     0
#> 5 Delayed Open         0       0
#> 6 Delayed Bid         33.3     4
#> 7 Delayed Ask         33.3     8
mkt_data$Exxon_delayed$TICK_SIZE
#> # A tibble: 1 x 2
#>   tick             size
#>   <chr>           <dbl>
#> 1 Delayed Volume 237409
mkt_data$Exxon_delayed$`Delayed Last Timestamp`
#> [1] "2020-03-18 12:48:49 EDT"
mkt_data$Exxon_delayed$TICK_REQ_PARAMS
#> # A tibble: 1 x 3
#>   minTick bboExchange snapshotPermissions
#>     <dbl> <chr>                     <dbl>
#> 1    0.01 a60001                        1
# ...etc

# Note that the mkt_data subscription has been destroyed. This is because you 
# set snapshot to TRUE -- when read_sock_drawer() finds a completed snapshot,
# it automatically updates the subscription.
subscriptions$mkt_data
#> NULL


#### Subscription Example: Five stocks
################################################################################
# Snapshots are great if you just want to quickly fetch market data for a
# contract and move on. Often, however, you'll want to stay up-to-date on market
# data by creating a persistent subscription, causing the data in the mkt_data
# slate to update every time read_sock_drawer() is called.

# To do this, first create a sock for yourself (if you didn't already):
create_new_connections()

# Now, set up market data subscriptions to Tesla, Apple, Facebook, 3M,
# Interactive Brokers and whatever else you want to follow. Below, the walk()
# function from package "purrr" is used to call req_mkt_data on each stock.
c("TSLA", "AAPL", "FB", "MMM", "IBKR") %>%
  purrr::walk(
    function(stock_symbol){
      req_mkt_data(
        contract = c(
          symbol   = stock_symbol,
          secType  = "STK",
          currency = "USD",
          exchange = "SMART"
        ),
        mktDataType = "DELAYED",
        snapshot    = FALSE,
        channel     = "async"
      )
    }
  )

# Note that the mkt_data subscriptions you just created appear in the
# subscriptions variable:
subscriptions$mkt_data
#> # A tibble: 5 x 8
#>   req_name contract mktDataType snapshot regulatorySnaps… req_id conn_row
#>   <chr>    <list>         <dbl> <lgl>    <lgl>             <dbl>    <dbl>
#> 1 1_TSLA   <chr [4…           3 FALSE    FALSE                 1        4
#> 2 2_AAPL   <chr [4…           3 FALSE    FALSE                 2        5
#> 3 3_FB     <chr [4…           3 FALSE    FALSE                 3        4
#> 4 4_MMM    <chr [4…           3 FALSE    FALSE                 4        4
#> 5 5_IBKR   <chr [4…           3 FALSE    FALSE                 5        5
#> # … with 1 more variable: client_id <int>

# Wait a bit for the data to come through for example's sake...
Sys.sleep(3)

# Read the sock drawer as many times as you want
read_sock_drawer()

# Access your data:
mkt_data$`1_TSLA`$TICK_PRICE
#> # A tibble: 7 x 3
#>   tick               price  size
#>   <chr>              <dbl> <dbl>
#> 1 Delayed Bid         380.     3
#> 2 Delayed Ask         380.     6
#> 3 Delayed Last        380.     1
#> 4 Delayed High Price  405.     0
#> 5 Delayed Low Price   378.     0
#> 6 Delayed Close       430.     0
#> 7 Delayed Open          0      0
mkt_data$`4_MMM`$TICK_PRICE
#> # A tibble: 7 x 3
#>   tick               price  size
#>   <chr>              <dbl> <dbl>
#> 1 Delayed Last        133.     1
#> 2 Delayed High Price  139.     0
#> 3 Delayed Low Price   128.     0
#> 4 Delayed Close       134.     0
#> 5 Delayed Open          0      0
#> 6 Delayed Bid         132.     1
#> 7 Delayed Ask         133.     3
# ...etc

# Because these subscriptions aren't for snapshots, they'll stay active until
# cancelled. When you're ready, cancel any/all of your subscriptions:
cancel_mkt_data()

# Subscriptions are gone! 
subscriptions$mkt_data
#> NULL

Arguments

Value

See also

Examples

Contents