[R-SIG-Finance] Unable to get option historical data using IBrokers
mdelvaux at gmail.com
Sat Jun 12 19:49:42 CEST 2010
I am trying to use IBrokers to get historical data for options. The
exact problem is the inability to figure how to construct a valid
contract or in general to construct a valid request for options
- Working under windows, version 2.10.1
- IBrokers reports version 0.2.7 (alpha)
- TWS reports Build 906.2, Jun 10, 2010 6:27:24 PM
- I am able to connect and download stock historical data
I tried to use both the local symbol found using the TWS contact
details and the contract ID, and playing with some function
parameters, but to no avail at this time. I guess I just need one
small nudge to see what I do wrong, but currently I am poking in the
dark and would appreciate any help. Example session below.
On a side topic, thank you Jeff for IBrokers, it is a tremendous
simpler way to get data in R than trying to use directly the IB API.
R version 2.10.1 (2009-12-14)
Copyright (C) 2009 The R Foundation for Statistical Computing
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
IBrokers version 0.2-7: (alpha)
Implementing API Version 9.62
This software comes with NO WARRANTY. Not intended for production use!
See ?IBrokers for details
[Previously saved workspace restored]
system i386, mingw32
svn rev 50720
version.string R version 2.10.1 (2009-12-14)
Loading required package: xts
Loading required package: zoo
> tws <- twsConnect()
> aapl <- reqHistoricalData(tws,twsSTK("AAPL"))
TWS Message: 2 -1 2104 Market data farm connection is OK:usopt
TWS Message: 2 -1 2104 Market data farm connection is OK:usfarm
TWS Message: 2 -1 2106 HMDS data farm connection is OK:ushmds2a
waiting for TWS reply ..... done.
An ‘xts’ object from 2010-05-13 to 2010-06-11 containing:
Data: num [1:21, 1:8] 263 255 255 257 250 ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:8] "AAPL.Open" "AAPL.High" "AAPL.Low" "AAPL.Close" ...
- attr(*, "from")= chr "20100512 18:43:14"
- attr(*, "to")= chr "20100612 18:43:14"
- attr(*, "src")= chr "IB"
- attr(*, "updated")= POSIXct[1:1], format: "2010-06-12 10:43:15.887"
Indexed by objects of class: [POSIXt,POSIXct] TZ:
List of 4
$ from : chr "20100512 18:43:14"
$ to : chr "20100612 18:43:14"
$ src : chr "IB"
$ updated: POSIXct[1:1], format: "2010-06-12 10:43:15.887"
> nly_put <- reqHistoricalData(tws,twsOPT("NLY 100717P00017000"))
TWS Message: 2 1 366 No historical data query found for ticker id:1
waiting for TWS reply .....
Error: Unable to complete historical data request
In addition: Warning message:
In errorHandler(con, verbose, OK = c(165, 300, 366, 2104, 2106, :
No security definition has been found for the request.
More information about the R-SIG-Finance