[R-SIG-Finance] CQG API

Brian G. Peterson brian at braverock.com
Tue Jun 23 13:21:33 CEST 2009

Samuel Kemp wrote:
> Has anyone used R to interface with the CQG API and can give me some
> pointers on how they did it? 
> It would be could to have a CQG interface that is similar to the RBloomberg
> package.

I asked this exact question a week ago, and got no answers on CQG, as a 
quick list archive search would have shown.

Now, as for pointers, the docs for the CQG COM API are all available online:


I believe that the model will end up being a combination of approaches 
taken by Ana Nelson and the RBloomberg team and approach taken by Jeff 
Ryan for IBrokers.  The CQG functionality is closer to IBrokers, but, 
alas, the API is a COM API, so accessing it from R will require rcom or 
RDCOMclient, as per RBloomberg.

This is pretty far down on my list of priorities right now, though it is 
definitely on the list, I just don't have time to write it now.  I'll 
help in any way that I can.  I make the assumption that you would 
contribute any effort that you put into this back to the community so 
that this question doesn't need to get asked again.


     - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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