Add support for reqHistoricalTicks & reqTickByTickData #127
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mvberg
changed the title
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@mvberg Thanks for the great contribution. Merged and published as v0.2.5. |
| exchange = this.dequeue(); | ||
| specialConditions = this.dequeue(); | ||
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| this._emit('historicalTickTradeData', reqId, date, mask, price, size, exchange, specialConditions); |
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The name historicalTickTradeData doesn't match the IB API documentation for TRADE data ticks. It should be historicalTicksLast. I've spent quite a bit of time trying to figure out this mismatch, because node-ib doesn't have documentation and points at the official IB API docs.
| sizeBid = this.dequeueInt(); | ||
| priceAsk = this.dequeueFloat(); | ||
| sizeAsk = this.dequeueInt(); | ||
| this._emit('historicalTickBidAskData', reqId, date, mask, priceBid, priceAsk, sizeBid, sizeAsk); |
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This should be historicalTicksBidAsk.
| price = this.dequeueFloat(); | ||
| size = this.dequeueInt(); | ||
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| this._emit('historicalTickMidPointData', reqId, date, price, size); |
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This should be historicalTicks for conformance with the IB API documentation.
| var done = this.dequeueBool(); | ||
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| if (done) { | ||
| this._emit('historicalTickDataEnd', reqId); |
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Useful event but no correspondence with the IB API. By reading the documentation, I expected two parameters - an array of ticks, and a Boolean done. I agree it's helpful to do this sort of work for the user, but this breaks the expectations of those who read the official IB API docs.
| } | ||
| }; | ||
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| Incoming.prototype._HISTORICAL_TICKS = function() { // MIDPOINT (size appears to always be zero) |
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Thanks @meteorpublish this is very helpful. Could you please submit a PR for this change? |
example is in example/reqHistTickData.js
IB Docs: https://interactivebrokers.github.io/tws-api/historical_time_and_sales.html (TWS 968+)
also adds support for
reqTickByTickData(streaming time & sales)IB Docs: https://interactivebrokers.github.io/tws-api/tick_data.html