[R-SIG-Finance] ibrokers

[Stephen Choularton]

Hi Jeff

Thanks, they all seem to work now although reqRealTimeBars and 
reqMktDepth only work while the market is trading, which i suppose is 
correct anyway.

I'm mainly looking at spreads and I wrote this charting function that 
seems to work very well:



chartIB <- function(sym1, sym2)  {

     one <- reqHistoricalData(tws, twsEquity(sym1, exch='ASX', 
currency="AUD"),duration = "6 M")
     two <- reqHistoricalData(tws, twsEquity(sym2, exch='ASX', 
currency="AUD"),duration = "6 M")

     chartSeries(one - two, type='line',name=c(' ', sym1, ' - ', 
sym2),theme=chartTheme('white'),TA=NULL)
     addBBands(n = 20, sd = 2, maType = "SMA", draw = 'bands', on = -1)


}

library(IBrokers)
library('quantmod')
tws <- twsConnect()
tws
chartIB('CBA','NAB')
dev.new()
chartIB('CBA','WBC')

I'm using the bollinger function to draw 2 standard deviations which are 
my boundaries and if the spread is outside them I open short or long and 
hold until I get back to the mean.  I test for co-integration first but 
I haven't done any work on time to revert to mean or indeed on if 2 
standard deviations is the optimum boundary..

I wouldn't  mind doing the same sort of thing with reqRealTime Bars, but 
I'm still having a lot of trouble using the callbacks in IBrokers.  Did 
I read you are going to run some sort of courses?  is there a more 
fulsome tutorial (with lots of code examples ;-)

I've read your paper Real Time Market Data and Trade Execution but the 
example 2.5 is missing.   I'd love to see it.

Stephen Choularton Ph.D., FIoD