[R-SIG-Finance] Interactive Broker API
jeff.a.ryan at gmail.com
Fri Jun 5 16:29:21 CEST 2009
This is less an R question, and more of an IB question. In general
you'll always need to the research yourself to find the best answer,
or construct a very detailed (with examples) question for this list to
get useful help.
That said, the IBrokers *R* API to the IB API is relatively complete.
Meaning you can pull RT data and execute orders. Of course the caveat
coming that you are playing with your money and not mine, and with the
full understanding that there is no support provided or warranty
implied for the R API, or the TWS API for that matter.
To answer you questions:
IB supports many different order types as well as the ability to pull
concurrent symbols. I'd suggest you start looking at the documentation
for the details:
The IBrokers documentation (which would have answered some of your
questions had you looked) is also useful.
A MAJOR caveat to IB is that they do not claim to be a data vendor.
Their data is aggregated in 1/5 or 1/3 sec. increments, so not truly
tick-level. Of course, most people are not _really_ needing that
[tick-level] granularity from a _retail_ product, though it always
sounds cool to say you do. :)
IB does (on Windows) offer eSignal as a data supplier -- I don't have
personal experience on this though, but I suspect the data from the
API would then be 'eSignal' data instead of IB. Again a question for
IB/TWS/API forums, not here.
You can now (with IBrokers and R) pull data from a secondary source
(of your own API/etc) and use IB to execute. This is probably the
smartest route if you require top-notch feeds. Coding this isn't
entirely trivial, but is easy enough. I may (or may not) be making a
DTN interface available, though the structure of the terms on that
from DTN make open-source not possible. Contact me off list if you
An additional point on the data: large quantities of data requires
large bandwidth, which may cost more in hardware and infrastructure
than you are expecting.
On Fri, Jun 5, 2009 at 7:53 AM, zubin<binabina at bellsouth.net> wrote:
> Hello, quick question - does the Interactive Broker API provide the ability
> a) execute a simultaneous trade of a couple of stocks and options?
> b) ability to receive REAL TIME data from a few hundred stocks and option
> chains to monitor for a trade?
> if not, are there brokers that support this type of trading?
> R-SIG-Finance at stat.math.ethz.ch mailing list
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jeffrey.ryan at insightalgo.com
ia: insight algorithmics
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