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Check out IBrokers: http://cran.r-project.org/web/packages/IBrokers/index.html http://cran.r-project.org/web/packages/IBrokers/index.html It'll get you up and

• zygomega 13y ago
  Yeah, IBrokers is great. R is even better! Everytime I need a specialist piece of code it seems to already exist as an R package and to have been released in the last few weeks.
• brotchie 13y ago
  On a similar note, a while back I wrote a bi-directional, fan-out adapter between the Interactive Brokers API and ZeroMQ. https://github.com/brotchie/ib-zmq https://github.com/brotchie/ib-zmq The annoying thing about the IB API is that there's no framing; that is, you can't simply consume the message types you are interested in without parsing the entirety of every variable length messages. ib-zmq resolves this annoyance by parsing incoming messages and placing them individually into ZeroMQ message frames. I also wrote an alternative to the IBrokers R package with a much nicer interface using this ZeroMQ adapter. It parses most IB API messages, but hasn't been used in production yet. https://github.com/brotchie/r-zerotws https://github.com/brotchie/r-zerotws