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  1. #1

    R Client for lightstreamer

    Hi. I have setup an R client for lightstreamer towards IG,
    to subscribe on 1 minute OHLCV (Open, High, Close, Volume) data.

    Background to move into lightstreamer is that IG:s REST API
    sends to many NULL in their content, resulting in that my system removes 30% OHLC lines.

    I have a client lightstreaming working that looks as below.
    Since this is my first time to setup a client following the TLCP,
    i am not familiar with how the stream exactly should look like.
    I thought that if I subscribe on 1 minutes data I would get PROBE-lines and the OHLCV data,
    but I get also all the data changes in between.

    My parameter settings:

    LS_session=Sa9447dbaae6d3456T2643148
    LS_op=add
    LS_id=CHART:IX.D.OMX.IFM.IP:1MINUTE
    LS_schema=UTM + BID_OPEN + BID_HIGH + BID_LOW + BID_CLOSE + CONS_END
    LS_mode=MERGE
    LS_table=1
    LS_reqId=1
    LS_subId=1
    LS_group=item1
    LS_data_adapterQUOTE ADAPTER

    Question1) Could you please confirm if a subscription of 1 minutes data should have data in between the 1 minutes screenshots?

    Question2) Above each trading-data line there is a character/number combination.
    I do not find in the documentation what they mean. Could you please clarify or refer where
    to find explanation.

    Question3) Is it correct to assume that an empty filed between two "pipe" characters should be
    interpreted as that value is unchanged thus if having a dataframe one should populate the unchanged value with previous changed value.

    #### Extraction from the data stream

    << C
    << 1,1||||||1
    <<

    << 7
    << PROBE
    <<

    << 1D
    << 1,1|1497276480000|$|$|$|$|0
    <<

    << 27
    << 1,1||1639.75|1639.75|1639.63|1639.63|
    <<

    << 19
    << 1,1|||1639.88||1639.88|
    <<

    << 19
    << 1,1|||1640.13||1640.13|
    <<

    << 19
    << 1,1|||1640.38||1640.25|
    <<

    << 12
    << 1,1|||||1640.38|
    <<

    << 12
    << 1,1|||||1640.13|
    <<

    ###############################

    My final goal is to have the data as below, in a time-series format. (called xts in R).
    I am aware that I might be need to decode the pipe-separated list-of-values.

    [open], [high], [low], [close], [volume]
    line1-1min resolution - [streamvalue - open], [streamvalue - high], [streamvalue - low], [streamvalue - close], [streamvalue - volume]
    line2-1min resolution - [streamvalue - open], [streamvalue - high], [streamvalue - low], [streamvalue - close], [streamvalue - volume],
    etc...etc....

    / Regards, Alonso
    Last edited by toolbox; June 12th, 2017 at 03:49 PM.

 

 

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