I think this is be an IB API more than the IBrokers R package.
I am using reqHistoricalData to get 30 minutes intraday historical data. The market is open and I am not getting the same day's data. I only get yesterday's data.
Is it possible to get the same day intraday bar data? here is the code I am using, it only gives data for the previous day, not same day.
library(tidyverse)
library(IBrokers)
tws = twsConnect()
contract <- twsEquity('VOD','SMART')
VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "20210408 13:24:28", barSize = "1 min", duration = "1 D")
VOD_intraday %>% as.data.frame() %>% rownames_to_column(var = "time") %>% arrange(desc(time)) %>% head()
It's 13:27 GMT on 2021-04-08 and London is open. And here is the response - it only gives data from 2020-04-07:
> contract <- twsEquity('VOD','SMART')
> VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "20210408 13:24:28", barSize = "1 min", duration = "1 D")
waiting for TWS reply on VOD .... done.
> VOD_intraday %>% as.data.frame() %>% rownames_to_column(var = "time") %>% arrange(desc(time)) %>% head()
time VOD.Open VOD.High VOD.Low VOD.Close VOD.Volume VOD.WAP VOD.hasGaps VOD.Count
1 2021-04-07 20:59:00 18.96 18.98 18.95 18.98 1131 18.958 0 265
2 2021-04-07 20:58:00 18.96 18.96 18.95 18.96 90 18.957 0 42
3 2021-04-07 20:57:00 18.96 18.97 18.95 18.95 258 18.960 0 72
4 2021-04-07 20:56:00 18.96 18.96 18.95 18.95 124 18.959 0 58
5 2021-04-07 20:55:00 18.96 18.96 18.95 18.96 56 18.958 0 34
6 2021-04-07 20:54:00 18.95 18.96 18.95 18.95 26 18.951 0 12
Instead of VOD, you can use SPY, MSFT or any US security while the US market is open.
Edit: It turns out you need realtime subscription to get same day data. The answer below works.
One has to specify the ending time, or leave it blank to get the most recent data available.
Try this:
VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endTime = "", barSize = "1 min", duration = "1 D")
Here's the execution when I run it:
> library(tidyverse)
> library(IBrokers)
IBrokers version 0.9-10. Implementing API Version 9.64
IBrokers comes with NO WARRANTY. Not intended for production use!
See ?IBrokers for details.
> tws = twsConnect()
> contract <- twsEquity('SPY','SMART')
> VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "", barSize = "1 min", duration = "1 D")
waiting for TWS reply on SPY ........... done.
> head(VOD_intraday)
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.WAP SPY.hasGaps SPY.Count
2021-04-08 07:30:00 407.93 407.98 407.68 407.80 5042 407.846 0 1709
2021-04-08 07:31:00 407.81 408.00 407.74 407.98 1615 407.844 0 1065
2021-04-08 07:32:00 407.99 408.05 407.81 407.90 2451 407.932 0 1560
2021-04-08 07:33:00 407.89 407.98 407.88 407.95 2353 407.932 0 1300
2021-04-08 07:34:00 407.95 407.97 407.81 407.81 1708 407.907 0 1012
2021-04-08 07:35:00 407.82 407.86 407.61 407.67 2729 407.726 0 1458
And for symbol VOD:
> contract <- twsEquity('VOD','SMART')
> VOD_intraday = IBrokers::reqHistoricalData(tws, Contract = contract, endDateTime = "", barSize = "1 min", duration = "1 D")
waiting for TWS reply on VOD .... done.
> head(VOD_intraday)
VOD.Open VOD.High VOD.Low VOD.Close VOD.Volume VOD.WAP VOD.hasGaps VOD.Count
2021-04-08 07:30:00 18.95 18.95 18.91 18.92 246 18.921 0 49
2021-04-08 07:31:00 18.91 18.91 18.90 18.90 69 18.905 0 31
2021-04-08 07:32:00 18.90 18.90 18.87 18.87 237 18.881 0 44
2021-04-08 07:33:00 18.87 18.87 18.86 18.87 45 18.870 0 20
2021-04-08 07:34:00 18.87 18.87 18.85 18.86 173 18.860 0 57
2021-04-08 07:35:00 18.86 18.87 18.85 18.86 39 18.859 0 19