Category: Finance

Last week, I posted an R extension DLL that downloads historical data from Reuters using the SFC API. This time around, I am posting an extension DLL that can subscribe to real-time updates using the RFA API. This extension allows you to specify a list of items and data fields, and subscribe for a specified amount of time to updates on those items.

Here is an example:

# Load the DLL
dyn.load("RfaClient")

# Low-level subscription function wrapper
rsub < - function(time, items, func, sessionName, config, debug) { .Call("subscribe", as.integer(time), items, func , sessionName, config, debug) } # Define items and fields to subscribe to items <- list() fields <- c("BID","ASK","TIMCOR") items[[1]] <- c("IDN_SELECTFEED", "GBP=", fields) items[[2]] <- c("IDN_SELECTFEED", "JPY=", fields) # Callback function (invoked when data items update) callback <- function(df) { print(paste("Received an update for",df$ITEM, ", update time=", df$TIMCOR)) } # Subscribe for 5 seconds using the supplied config parameters rsub(5000, items, callback, "clientSession", "rfa.cfg", FALSE)

A short introductory guide is supplied:

The functionality is pretty basic right now, and there may be issues with the code (e.g. memory leaks, performance issues). Any feedback is gratefully received.

The package, including source, can be downloaded here:

It was built with R 2.8.0 and RFA C++ 6.0.2, using Visual C++ 2005.

This is an upload of the historical data retrieval component of the R/Reuters interface that I presented at the R user conference in August 2008 (see the presentation here).

The extension is a C++ DLL that uses the Reuters SFC API to retrieve limited time series data from the TS1 time series service. It is compiled under Visual Studio 2005 and Windows XP, but could be cross-compiled to Linux without too much difficulty.

The DLL comes with a .R file that contains commands to load the DLL, and set up some necessary initialization. If you are familiar with Reuters infrastructure and APIs, the following points are important:

• This extension has been built with support for SSL infrastructure only;
• You will need to provide appropriate parameters to the init() function (see the documentation for details).

The extension, plus the associated source and documentation can be downloaded here:

The package makes retrieving time series data for analysis easy: I have provided a single entrypoint for retrieving data, called fetch(). This will return a data frame with a Date column and one or more data columns, depending on the data being requested.

Some examples follow:

First, an example that fetches historical daily price data for Microsoft stock and creates a price/volume chart (the historical data returned contains OHLC price data and volume data):

msft.vol < - fetch("MSFT.O",sd="1/1/2008",ed="10/31/2008") layout(matrix(c(1,1,1,1,2,2), 3, 2, T)) plot(msft.vol$Date, msft.vol$CLS, main="MSFT Close Price", type="l", ylab="", xlab="Date") plot(msft.vol$Date, msft.vol$VOL, main="Volume", type='h', ylab="", xlab="")

The next example retrieves historical price data for the highest and lowest-rated ABX subprime indices – sometimes called the barometers of the subprime crisis:

abx.aaa < - fetch("ABXAA38FGB=MP", sd="1/1/2007", ed="12/1/2008", t="d") abx.bbb <- fetch("ABXBM38FGB=MP", sd="1/1/2007", ed="12/1/2008", t="d") op <- par(mfcol=c(2,1),las=2) plot(...)

Finally, an example that shows the yield spreads between AAA and BBB-rated benchmark corporate bonds, and a 10-year US treasury bond:

library(zoo)
aaa10y < - fetch("AAAUSD10Y=", n=600, t="d") bbb10y <- fetch("BBBUSD10Y=", n=600, t="d") ust10y <- fetch("US10YT=RR", n=600, t="d") aaa10y.series <- zoo(aaa10y, order.by=aaa10y$Date) bbb10y.series <- zoo(bbb10y, order.by=bbb10y$Date) ust10y.series < - zoo(ust10y, order.by=ust10y$Date) full.series <- merge(aaa10y.series, bbb10y.series, ust10y.series, all=FALSE) ...

There are many more examples, plus documentation of the required R functions and their usage, in the manual:

UPDATE: The above package was built in Visual C++ 2005 using debug mode. I have attached another package below that was built in release mode. This package also includes the msvcrt redistributable DLLs, in case you get linker issues when R is loading the extension (as it was built using the MSVCRT 8.0 runtime).

NB: This extension also depends on the Reuters SFC DLLs – specifically it loads ssl45w3280.dll and sipc3280.dll. These are available in the Reuters SSL C++ SDK version 4.5.5 (the latest version at the time of writing). I cannot legally redistribute these DLLs, so I would suggest that you download them from the Reuters development support site. Once downloaded, these DLLs should be in your system PATH (or in the same directory as the extension), so they can be loaded on demand.

DISCLAIMER: This software is not developed by Thomson Reuters and Thomson Reuters are in no way responsible for support or malfunction of this software.