[R-SIG-Finance] Help with Futures in IBrokers

[Jeff Ryan]

As expected, trying currency="EUR"

> reqContractDetails(tws, twsFUT("ESTX50","DTB","201103", currency="EUR"))
[[1]]
List of 18
 $ version       : chr "6"
 $ contract      :List of 16
  ..$ conId          : chr "76324422"
  ..$ symbol         : chr "ESTX50"
  ..$ sectype        : chr "FUT"
  ..$ exch           : chr "DTB"
  ..$ primary        : chr ""
  ..$ expiry         : chr "20110318"
  ..$ strike         : chr "0"
  ..$ currency       : chr "EUR"
  ..$ right          : chr ""
  ..$ local          : chr "FESX MAR 11"
  ..$ multiplier     : chr "10"
  ..$ combo_legs_desc: chr ""
  ..$ comboleg       : chr ""
  ..$ include_expired: chr ""
  ..$ secIdType      : chr ""
  ..$ secId          : chr ""
  ..- attr(*, "class")= chr "twsContract"
 $ marketName    : chr "FESX"
 $ tradingClass  : chr "FESX"
 $ conId         : chr "76324422"
 $ minTick       : chr "1.0"
 $ orderTypes    : chr [1:34] "ACTIVETIM" "ADJUST" "ALERT" "ALLOC" ...
 $ validExchanges: chr [1:2] "DTB" "MIBSX"
 $ priceMagnifier: chr "1"
 $ underConId    : chr "4356500"
 $ longName      : chr "Dow Jones Euro STOXX50"
 $ contractMonth : chr "201103"
 $ industry      : chr ""
 $ category      : chr ""
 $ subcategory   : chr ""
 $ timeZoneId    : chr "MET"
 $ tradingHours  : chr "20101210:0750-2203;20101213:0750-2203"
 $ liquidHours   : chr "20101210:0750-2203;20101213:0750-2203"

HTH
Jeff

On Fri, Dec 10, 2010 at 7:36 AM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
> Saul,
>
> reqMktData is an infinite loop awaiting incoming data, so forcing it
> close is the expected and only result of calling it typically.
>
> You'll need to be able to handle errors/warning in your code generally
> -- as there are potentially hundreds of different ones, all warnings
> from the TWS that may or may not matter to your system.
>
> In effect, your issue is that the contract you are requesting is
> misspecified in some way.  I am not at my desk, but in general you'lll
> need to try:
>
> reqContractDetails to understand the correct specification. I suspect
> you are missing the correct "currency" arg in the twsFUT call, as it
> defaults to USD.  As I alluded to in an earlier reply to another
> posted, I'll likely change this to a global option or provide
> something like a lookup based on exchange...  of course reading the
> docs (IBrokers and IBs) is the first step in figuring out what is
> wrong.
>
> Best,
> Jeff
>
> On Fri, Dec 10, 2010 at 5:23 AM, Saul Sala Peñalver <akrabolsa at gmail.com> wrote:
>> Hi everyone,
>>
>> I am starting to use Ibrokers with R but I keep receiving an error message when trying to get Futures Data that I have real-timein Ibrokers:
>>
>> reqMktData(tws,twsFUT("ESTX50","DTB","201103"))
>> TWS Message: 2 1 200 No secutiry definition has been found for the request
>>
>> and R keep working and I have to force closing since it doesn't respond
>>
>> Thank you,
>> _______________________________________________
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>>
>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan at lemnica.com
>
> www.lemnica.com
>



-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com