[R-SIG-Finance] pairs trading with IBroker

[Soumendra]

Hi all.

if I use reqMktData(), it gives me a continuous feed of market data of
a SINGLE stock/future and then I can write callback functions to
handle the incoming data.

For the task at hand, I need a feed of at least two (preferably 40)
different assets/derivatives. At each iteration, I would like to pick
up the market data for about 40 stocks/futures. Currently, there
doesn't seem to be anything in IBrokers that could help me with this
(please correct me if I am wrong). twsBag seemed it could fit the
bill, but I can't figure out given the extreme lack of documentation.

It would be possible to have two different feeds getting the data
using to different connections (client ids) and use a third routine to
look at them and do some kind of pseudo-synchronisation and take the
trading decisions, but that would be an ugly solution.

Any ideas?

Thanks in advance,

Soumendra