[R-SIG-Finance] Screeningn with IBrokers

[Jeff Ryan]

Hi Peter,

Since you are passing in a list, use lapply to build it from a
character string (read from your file via scan/read.table/etc (R-help
question if you need to know how to do that ..)

> reqMktData(tws, lapply(c("AAPL","BBY","MSFT"),twsSTK), snapshot=TRUE)
        lastTimeStamp symbol bidSize bidPrice askPrice askSize lastPrice Volume
1 2009-12-28 10:00:26   AAPL       1   213.18   213.19       3    213.17  84944
2 2009-12-28 10:08:48    BBY       3    40.89    40.90       1     40.90      0
3 2009-12-28 10:07:12   MSFT    1452    30.99    31.00   12344     31.00      0
    Open   High    Low  Close
1 211.15 213.95 211.10 209.04
2  40.85  41.20  40.80  40.70
3  31.00  31.00  30.97  31.00

Note that snapshot=TRUE tends to be 1) slow and 2) delayed from
real-time.  You would be better off pulling chunks of data with some
sort of custom eWrapper object passed to reqMktData or
reqRealTimeBars.  A further limit is that IB imposes (on data calls) a
limit of 100 concurrent symbols (+/-, depending on account).

With respect to #2, IB can't provide that any better than Yahoo or a
local database.

See:

library(quantmod)
?getSymbols
?getQuote
?Cl

HTH
Jeff
On Sun, Dec 27, 2009 at 8:10 AM, Peter Rote <r.rote12 at googlemail.com> wrote:
> Dear All,
>
> I would like to check a large list of stocks Tickers (300) if the open
> today is greater then yesterdays high (gap up).
> As result i would like to have a variable with symbols which meet the
> condition. My Ticker list is a csv file.
>
> my start point is reqMktData(tws, list(twsSTK("AAPL"),twsSTK("SBUX")),
> snapshot=TRUE)
>
> 1. but how do I put the Tickers in the reqMktData without having to
> type all 300 tickers.
> 2. how do I get the Yesterday High and compare that too today open.
>
> Does anyone have any ideas about that, please?
>
> Thanks for any help,
> Sincerely,
> Peter
>
>        [[alternative HTML version deleted]]
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com