Track the S&P 500 throughout the trading day

intraday-sp500.R

require(quantmod)

do_chart <- function(symbol) {
   quote <- getQuote(symbol)
   quote$Close <- quote$Last
   xts(OHLCV(quote), quote[,"Trade Time"],
       pct_change = quote[,"% Change"])
}

filename <- "intraday-sp500.rds"
if (file.exists(filename)) {
  x <- readRDS(filename)
}
if (!exists("x")) {
  x <- NULL
}

market_closed <- TRUE
errored <- FALSE
repeat {
  now_t <- xts(,Sys.time())
  now <- .indexhour(now_t)*100 + .indexmin(now_t)
  if (now > 1530) {
    cat(format(index(now_t)), "after close;",
        "writing data and sleeping for an hour\n")
    
    if (!is.na(last(Cl(x)))) {
      x <- rbind(x, last(x) * NA)
    }

    saveRDS(x, filename)
    Sys.sleep(3600)
    next
  } else if (now < 828) {
    if (now < 720) {
      cat(format(index(now_t)), "before open; sleeping for an hour\n")
      Sys.sleep(3600)
    } else if (now > 721 && now < 810) {
      cat(format(index(now_t)), "before open; sleeping for 10 minutes\n")
      Sys.sleep(600)
    } else {
      cat("2-20 min before open; sleeping for 1 min\n")
      Sys.sleep(60)
    }
    next
  } else if (now > 830 && market_closed) {
    cat("market open\n")
    market_closed <- FALSE
  }
  y <- try(do_chart("^GSPC"), silent = TRUE)
  if (inherits(y, "try-error")) {
    msg <- attr(y, "condition")[["message"]]
    cat("Error! ", msg, "\n")
    errored <- TRUE
    Sys.sleep(15)
    next
  } else if (errored) {
    errored <- FALSE
    cat("...recovered\n")
  }
  x <- rbind(x, y)
  if (nrow(x) > 5) {
    cname <- paste(Cl(last(x)), attr(y, "pct_change"), sep = "\t")
    price <- last(Cl(x), "2 days")
    cs <- chart_Series(price, name = cname)
    plot(cs)
  }
  Sys.sleep(15)
}

x <- x[!duplicated(data.frame(.index(x),x[,4:5])),]
saveRDS(x, filename)

Fun