IEX

.travis.yml

@@ -25,6 +25,5 @@ after_failure:
 
 notifications:
   email:
-    on_success: change
-    on_failure: change
-
+    on_success: [email protected]
+    on_failure: [email protected]

R/getQuote.R

@@ -3,6 +3,7 @@
 # getQuote.IBrokers
 # getQuote.RBloomberg
 # getQuote.OpenTick
+# getQuote.IEX
 
 `getQuote` <-
 function(Symbols,src='yahoo',what, ...) {
@@ -173,3 +174,58 @@ yahooQuote.EOD <- structure(list("ohgl1v", c("Open", "High",
   nms <- optshort[w]
   return(structure(list(str,nms),class='quoteFormat'))
 }
+
+
+
+
+
+
+getQuote.IEX <- function(symbols='vxx') {
+  convert.TOPS.time(
+    jsonlite::fromJSON(
+      curl::curl(
+        form.IEX.url(symbols)
+        )
+      )
+    )
+  }
+
+
+
+form.IEX.url <- function(symbols) {
+  paste0( 'https://api.iextrading.com/1.0/tops/last?symbols=',  #TOPS only
+        paste0(
+          curl::curl_escape(symbols),  #eg AGI+ needs to be AGI%2b
+          collapse=','
+          )
+       )
+  }
+
+
+convert.TOPS.time <- function(quote.from.TOPS) {
+  #time (milliseconds since epoch) comes in as the fourth parameter
+  time.from.TOPS <- quote.from.TOPS[,4]
+  milliseconds.from.TOPS <- time.from.TOPS
+
+  #very light error checking
+  if( any(!is.numeric(milliseconds.from.TOPS)) ) {
+          stop(   "I thought TOPS was going to give me a numeric time (milliseconds since the epoch) ..."   )
+          }
+  if( any(milliseconds.from.TOPS < 1e12) ) {
+          stop(   "That number of milliseconds is probably wrong (it dates back to 2001, before IEX was founded...)"    )
+          }
+  if( any(milliseconds.from.TOPS > 2e12) ) {
+          stop(   "That number of milliseconds is probably wrong (it's the year 2033, by which time this software package will either be obsolete or updated)."   )
+          }
+
+  #conversion
+  epoch <- '1970-01-01'
+  seconds.from.TOPS <- milliseconds.from.TOPS / 1000L
+
+  #edit only the fourth column
+  time.from.TOPS <- as.POSIXct(seconds.from.TOPS, origin=epoch)
+  quote.from.TOPS[,4] <- time.from.TOPS
+
+  #but return the whole object
+  return(quote.from.TOPS)
+  }

tests/tests.R

@@ -1,32 +1,118 @@
+
+
+
+
+
 # Call as.zoo before quantmod is loaded and registers its S3 method
+
 dc <- c("2015-01-01", "2016-01-01", "2017-01-01")
 dd <- as.Date(dc)
 
+
+
+
 f <- data.frame(a = 1:3)
 r <- f
 rownames(r) <- dc
 
+
+
+
 zz.f.date <- zoo::as.zoo(f, order.by = dd)
 zz.f.char <- zoo::as.zoo(f, order.by = dc)
 zz.f <- zoo::as.zoo(f)
 
+
+
 zz.r.date <- zoo::as.zoo(r, order.by = dd)
 zz.r.char <- zoo::as.zoo(r, order.by = dc)
 zz.r <- zoo::as.zoo(r)
 
+
+
 library(quantmod)
 
+
+
 ### quantmod:::as.zoo.data.frame
 
+
+
 # should be the same as zoo:::as.zoo.data.frame when order.by is provided
+
 stopifnot(identical(zz.f.char, as.zoo(f, order.by = dc)))
 stopifnot(identical(zz.f.date, as.zoo(f, order.by = dd)))
 stopifnot(identical(zz.r.char, as.zoo(r, order.by = dc)))
 stopifnot(identical(zz.r.date, as.zoo(r, order.by = dd)))
 
+
+
 # should not throw a warning
+
 op.warn <- getOption("warn")
 options(warn = 2)
 quantmod::getSymbols("SPY", src = "google", from = Sys.Date() - 10)
 options(warn = op.warn)
 
+
+#IEX tests
+here.now.vxx.snap <-
+structure(list(symbol = c("VXX", "SNAP"), price = c(12.785, 17.27),
+               size = c(100L, 200L), time = c(1498075199.954, 1498075184.411),
+               .Names = c("symbol", "price", "size", "time"),
+               row.names = 1:2, class = "data.frame")
+          )
+
+
+
+
+
+
+
+#net test       
+
+try(  quantmod:::getQuote.IEX('vxx')  )
+try(  quantmod:::getQuote.IEX( c('vxx','snap') ) )
+try(  quantmod::getQuote.IEX( list('vxx','snap') ) )
+
+
+
+
+
+
+
+#right shape
+stopifnot( identical(
+          dim(quantmod:::getQuote.IEX('cat')),
+          c(1L,4L)
+          )
+)
+
+
+
+
+
+#called the expected thing
+
+stopifnot( identical(
+                    c("symbol", "price", "size", "time"),
+                    names(  quantmod:::getQuote.IEX('slb') )
+                    )
+          )
+
+
+
+
+
+#IEX quotes are of the expected type
+
+expected_types <- structure(list(symbol = "character", price = "numeric", size = "integer", 
+    time = c("POSIXct", "POSIXt")), .Names = c("symbol", "price", "size", "time"))
+
+
+
+stopifnot( identical(
+                    lapply(quantmod:::getQuote.IEX('chd'), FUN=class),
+                    expected_types
+                    )
+          )