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by brotchie
4820 days ago
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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 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 |
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