add quotes from IEX TOPS

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(
+    fromJSON(
+      curl(
+        form.IEX.url(symbols)
+        )
+      )
+    )
+  }
+
+
+
+form.IEX.url <- function(symbols) {
+  paste0( 'https://api.iextrading.com/1.0/tops/last?symbols=',  #TOPS only
+        paste0(
+          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]
+  time.from.TOPS -> milliseconds.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'
+  milliseconds.from.TOPS / 1000L -> seconds.from.TOPS
+
+  #edit only the fourth column
+  as.POSIXct(seconds.from.TOPS, origin=epoch) -> time.from.TOPS
+  time.from.TOPS -> quote.from.TOPS[,4]
+
+  #but return the whole object
+  return(quote.from.TOPS)
+  }

tests/tests.R

@@ -30,3 +30,44 @@ options(warn = 2)
 quantmod::getSymbols("SPY", src = "google", from = Sys.Date() - 10)
 options(warn = op.warn)
 
+
+
+#IEX tests
+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") -> here.now.vxx.snap
+
+
+
+#net test       
+try(  getQuote.IEX('vxx')  )
+try(  getQuote.IEX( c('vxx','snap') ) )
+try(  getQuote.IEX( list('vxx','snap') ) )
+
+
+
+#right shape
+stopifnot( identical(
+          dim(getQuote.IEX('cat')),
+          c(1L,4L)
+          )
+)
+
+
+#called the expected thing
+stopifnot( identical(
+                    c("symbol", "price", "size", "time"),
+                    names(  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(getQuote.IEX('chd'), FUN=class),
+                    expected.types
+                    )
+          )