R IBrokers reqopenorder不更新

Question

我正在使用来自IBrokers包的代码查询TWS Interactive中悬而未决的订单列表。

函数reqOpenOrders(tws)中有一个错误，因为它挂起了如图所示的here，而且即使当它工作时输出也是混乱的，如所示的here。

我从不同的来源收集了一些代码片段，以创建一个清晰/合乎逻辑的函数，同时输出结果的data.frame。

该函数如下所示，它在第一次使用时运行良好。但是，当在TWS中进行更改时(例如取消挂起的订单，或发出跟踪订单)，如果在R中运行下面的函数，则不会更新更改。

如果我关闭并再次打开到TWS的连接，则在运行下面的函数后得到一个空的data.frame。如果关闭所有连接并多次尝试该函数，它最终会返回更新的结果。

有人知道为什么调用函数不查询TWS中更新最多的更改吗？

我认为这与与TWS的R连接有关。该函数似乎在等待连接最终可用。如果我重新启动R，当我第一次运行该函数时，结果将被更新，这意味着如果恢复了所有连接，则该函数运行良好。对这个问题有什么建议吗？

我想知道是否所有的套接字和连接在退出函数后都需要关闭？我尝试了这个解决方案的不同版本，但没有成功。

任何帮助都是非常感谢的。

library(IBrokers)

Get.Open.Orders<- function(tws)
{
library(dplyr)
Open.Orders <- function(tws)
  {
   con <- tws[[1]] #connector used to communicate with TWS
   VERSION <- "1"
   writeBin(c(.twsOutgoingMSG$REQ_OPEN_ORDERS, VERSION), con) #send request for open orders
   eW  <- eWrapper()                         #Creates a custom function to get the data that was requested
   socketSelect(list(con), FALSE, NULL)      #Wait for first socket connection to become available
   curMsg <- readBin(con, character(), 1L)   #read the response received from IB            
   processMsg(curMsg, con, eW)               #Process message 
 }

#orginize the data recieved into a data.frame, selects only  set of vaiables received.
open <- data.frame()
 i <- 0
   while(i < 2)
   {
     x <- Open.Orders(tws)
       if(!is.null(x) && x[1] == 53) # OPEN_ORDER_END
       {i = i + 1 } else if(!is.null(x) && x[1] == 5) # For Open Orders
         {
           x <- data.frame(t(x), stringsAsFactors = FALSE)
           open <- bind_rows(open, x)
         }
     rm(x)
   }

if(nrow(open) > 0)
{
 open <- open %>% distinct() %>%
   rename(conId = X4, symbol = X5, sectype = X6, strike = X10,
         currency = X11, action = X13, totalQuantity = X14,
         orderType = X15, lmtPrice = X16, auxPrice = X17,
         tif = X18, outsideRTH = X19, account = X20, orderId = X25, Status = X77
  ) %>%
  select(account, orderId, conId, symbol, sectype, strike, currency,
         action, totalQuantity, orderType, lmtPrice, auxPrice, tif, Status) %>%
  mutate(orderId = as.integer(orderId)
         , totalQuantity = as.numeric(totalQuantity)
         , lmtPrice = as.numeric(lmtPrice)
         , auxPrice = as.numeric(auxPrice) )
} else
{
open <- data.frame(account = character()
                   , orderId = integer()
                   , conId = character()
                   , symbol = character()
                   , sectype = character()
                   , strike = character()
                   , currency = character()
                   , action = character()
                   , totalQuantity = numeric()
                   , orderType = character()
                   , lmtPrice = numeric()
                   , auxPrice = numeric()
                   , tif = character()
                   , Status = character()
                   , stringsAsFactors = FALSE)
 }

 assign("IB.open.orders", open, envir = .GlobalEnv)
 rm(i, Open.Orders, open)
 return(data.frame(IB.open.orders))
 }


 #now connect to IB and get active orders; it works fine first time
 tws = twsConnect()
 Get.Open.Orders (tws)

 # now go to TWS and delete any given pending order for the sake of an example. Then in R run function again to request pending orders
Get.Open.Orders (tws)

#The change in TWS is now reflected in the output, so I disconnect TWS, and connect again

twsDisconnect(tws)  #disconned TWS
tws = twsConnect()  #connect to TWS
Get.Open.Orders (tws)

#the result is an empty dataframe. If I run the three lines of code above...say 10 times, eventually the updated results are returned.

showConnections(all = TRUE)
closeAllConnections()
tws = twsConnect()
Get.Open.Orders (tws)

Answer 1

这可能不是最好的解决方案，但我找到了从TWS获得关于开放订单的最新数据的方法。上面的原始函数似乎只有在正确的连接被使用时才能工作。在尝试之间，它返回一个空的data.frame。因此，我所做的就是创建一个while循环，它向TWS发送查询，直到正确的连接被使用为止。代码在下面。经过几次尝试，它将工作并返回正确的数据。我认为我共享代码作为临时解决方案。

tws = twsConnect()

#Current pending orders
  OpenOrders=Get.Open.Orders (tws)
  showConnections(all = TRUE)    
  nOP=nrow(OpenOrders)

while (nOP==0){
  tws = twsConnect()
  OpenOrders=Get.Open.Orders (tws)  
  nOP=nrow(OpenOrders)
  quiet = TRUE
}