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XLLoop examples

Today I want to follow up with the XLLoop framework post. Please read the XLLoop framework post first to setup the XLLoop before trying the examples below.

My first example is based on the TFX Package – to retrieve real-time FX quotes. To try this example, please first install the TFX Package. Please note that you would need R (>= 2.15.0) to run TFX.

# TFX : R (>= 2.15.0)
install.packages(c('XML','bitops','TFX'), repos = 'http://cran.r-project.org', dependencies = 'Imports')

Next, let’s create a function to retrieve real-time FX quotes.

# http://rpubs.com/gsee/TFX
# https://gist.github.com/4122626
getFX <- function() {
	require(TFX)
	qtf <- QueryTrueFX()
	qtf$TimeStamp <- as.character(qtf$TimeStamp)
	names(qtf)[6] <- "TimeStamp (GMT)"
	qtf[, c(6, 1:3, 5:4)]
}

Finally, you will need to add getFX() function to the rstart.r script. For this, I created a user.r file to hold all user functions that you want to be available in Excel and added source(“user.R”) to rstart.r script to load our functions. I have updated the xlloop-basic.zip archive with this new functionality.

At this point you might download xlloop-basic.zip archive and follow the steps in the XLLoop framework post to setup the XLLoop. Next, play with xlloop_TFX.xls

If all works well, you will see following Excel spreadsheet that will update every 3 seconds. You can stop/start updating by clicking Stop/Start buttons. You can also change the speed of updates by entering a different number in cell J5.

plot1.png.small

Another example that I want to share today will retrieve real-time stock quotes from BATS Exchange. Please first install the RJSONIO Package:

install.packages('RJSONIO', repos = 'http://cran.r-project.org', dependencies = 'Imports')

Next, let’s create a function to retrieve real-time stock quotes.

#=FS("bats.quote","IBM")
# http://www.batstrading.com/book/IBM/
bats.quote <- function(ticker) {
	require(RJSONIO)

	url = paste('http://www.batstrading.com/json/bzx/book/', ticker, sep = '')
	x = fromJSON(url)

	# create output
	out = matrix('', 15,6)
	out[1,2] = x$data$timestamp
	out[1,3] = x$data$symbol
	out[1,4] = x$data$company

	out[2,2] = 'Orders'
	out[2,5] = 'Volume'
	out[3,2] = x$data$orders
	out[3,5] = x$data$volume

	out[4,2] = 'Top of the Book'
	out[4,5] = paste('Last', length(x$data$trades), 'trades')

	out[5,] = c('','Shares','Price','Time','Shares','Price')

	out[6,1] = 'Asks'
	if(length(x$data$asks) > 0) out[6:10,2:3] = t(sapply(x$data$asks, unlist))
	out[11,1] = 'Bids'
	if(length(x$data$bids) > 0) out[11:15,2:3] = t(sapply(x$data$bids, unlist))

	if(length(x$data$trades) > 0) out[6:15,4:6] = t(sapply(x$data$trades, unlist))

	out
}

I have added bats.quote() to a user.r file in the xlloop-basic.zip archive for this example. Next, play with xlloop_BATS.xls

If all works well, you will see following Excel spreadsheet that will update every 3 seconds. You can stop/start updating by clicking Stop/Start buttons. You can also change the speed of updates by entering a different number in cell J5. You can also change the company by entering a different ticker in cell C2.

plot2.png.small

Please let me know what problems you run into while experimenting with these examples.

I have noticed that FX quotes on my system do not update as often as I would expect.

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Categories: R
  1. December 11, 2012 at 3:23 am

    very impressive Michael; extremely helpful

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