Get historical quotes from Interactive Brokers

xib.r

# 01/16/2020 11:14 PM gets historical quotes for specified symbols at various frequencies
.proctime00 = proc.time()
library(IBrokers)
tws <- twsConnect()
print.contract.details = TRUE
get.mkt.data <- FALSE
get.hist.data <- FALSE
get.intraday.data <- TRUE
tws <- twsConnect()
symbols <- c("SPY","TLT")
nsym <- length(symbols)
# set the intervals for which data should be downloaded to TRUE
one.min <- FALSE
two.min <- FALSE
three.min <- FALSE
five.min <- FALSE
fifteen.min <- FALSE
thirty.min <- FALSE
hourly <- TRUE
if (get.mkt.data) print(reqMktData(tws, twsEquity(symbols[1])))
for (sym in symbols) {
    contract <- twsEquity(sym,'SMART','ISLAND')
    if (print.contract.details) print(reqContractDetails(tws, twsEquity(sym)))
    if (get.hist.data) {
        # by default retrieves 30 days of daily data
        xdaily <-  reqHistoricalData(tws, Contract=contract)
        print(xdaily)
    }
    if (get.intraday.data) {
        # by default retrieves a year of 1 minute bars
        if (one.min) {
            cat("\ngetting 1-minute data for ",sym,"\n")
            out.file <- paste("1_min_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            # was unable to download much more than 120 days of 1-minute bars, so duration set to 120 days
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "1 min",duration = "120 D", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
        if (two.min) {
            cat("\ngetting 2-minute data for ",sym,"\n")
            out.file <- paste("2_min_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "2 mins",duration = "1 Y", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
        if (three.min) {
            cat("\ngetting 3-minute data for ",sym,"\n")
            out.file <- paste("3_min_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "3 mins",duration = "1 Y", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
        if (five.min) {
            cat("\ngetting 5-minute data for ",sym,"\n")
            out.file <- paste("5_min_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "5 mins",duration = "1 Y", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
        if (fifteen.min) {
            cat("\ngetting 15-minute data for ",sym,"\n")
            out.file <- paste("15_min_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "15 mins",duration = "1 Y", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
        if (thirty.min) {
            cat("\ngetting 30-minute data for ",sym,"\n")
            out.file <- paste("30_min_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "30 mins",duration = "1 Y", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
        if (hourly) {
            cat("\ngetting hourly data for ",sym,"\n")
            out.file <- paste("hourly_",sym,".csv",sep="")
            cat("\nwriting to",out.file,"\n")
            xintra <- reqHistoricalData(tws, Contract=contract, barSize = "1 hour",duration = "1 Y", file=out.file)
            Sys.sleep(10) # mandatory 10s between request to avoid IB pacing violation
        }
    }
}
if (nsym > 0) {
    dtime <- (proc.time() - .proctime00)[3]
    cat("\n for #symbols =",nsym,"\n Time elapsed(s) (total,per_symbol): ",dtime,dtime/nsym,"\n")
}