[R-SIG-Finance] reqMktDepth

[Stephen Choularton]

OK, so I have that generic US subscription that costs you nothing if you 
produce more than $30 commissions a month.  Do you think that means I 
have to go for the more specific subscriptions (which I think cost more)?

Second, I am directly subscribed for ASX but didn't get the desired 
results I get this (the market was open at the time):


 > tws <- twsConnect(9)
 > tws
<twsConnection,9 @ 20101214 10:01:45 Eastern Standard Time (New South 
Wales), nextId=>
 >
 > reqMktDepth(tws, list(twsEquity("CBA","ASX","AUD")))
TWS Message: 2 -1 2104 Market data farm connection is OK:aufarm
TWS Message: 2 -1 2106 HMDS data farm connection is OK:hkhmds2
TWS Message: 2 -1 2106 HMDS data farm connection is OK:ushmds2a
TWS Message: 2 1 200 No security definition has been found for the request

 >

PS I can get data with reqMktData(con, list(twsEquity("CBA","ASX","AUD")))


Stephen Choularton Ph.D., FIoD

On 14/12/2010 9:05 AM, Jeff Ryan wrote:
> Stephen,
>
> The issue is actually due to permissions NOT IBrokers.  ARCA and
> ISLAND now require data subscriptions.  You don't get an error message
> or an explanation unless you try it in the TWS itself.
>
> > From IBrokers, you need to select an exchange, or in the TWS subscribe
> to the exchanges that are causing the error for you.
>
> This works for me randomly ...
>
>> reqMktDepth(tws, twsSTK("AAPL",exch="BATS"))
> TWS Message: 2 1 310 Can't find the subscribed market depth with tickerId:1
> <20101213 15:59:04.646251>,id=1,pos=0,operation=insert,side=bid,price=321.86,size=1
> <20101213 15:59:04.647362>,id=1,pos=0,operation=insert,side=ask,price=323.95,size=70
> <20101213 15:59:42.995142>,id=1,pos=0,operation=delete,side=bid,price=0,size=0
> <20101213 16:00:00.349464>,id=1,pos=0,operation=delete,side=ask,price=0,size=0
>
> HTH,
> Jeff
>
> On Mon, Dec 13, 2010 at 2:24 PM, Jeff Ryan<jeff.a.ryan at gmail.com>  wrote:
>> I think the IB API has changed, I will look into it and get a patch out.
>>
>> Thanks for the report.
>>
>> Best,
>> Jeff
>>
>> On Mon, Dec 13, 2010 at 1:29 PM, Stephen Choularton
>> <stephen at organicfoodmarkets.com.au>  wrote:
>>> I'm trying to use market depth information but falling at the first fence.
>>>
>>> This code:
>>>
>>> library(IBroker)
>>>
>>> tws<- twsConnect(9)
>>> tws
>>>
>>> #reqMktDepth(tws, list(twsEquity("CBA","ASX","AUD")))
>>>
>>>
>>> #reqMktData(con, list(twsEquity("CBA","ASX","AUD")))
>>>
>>>
>>> # write to a file
>>> #reqMktDepth(tws, twsEquity("CBA","ASX","AUD"), file='c:/rMktDepth/out.dat')
>>>
>>> reqMktDepth(tws, twsEquity("GOOG"))
>>> #reqMktDepth(tws, twsEquity("GOOG"), file='c:/rMktDepth/out.dat')
>>>
>>> closeAllConnections()
>>>
>>> Produces:
>>>
>>>>> tws<- twsConnect(9)
>>>> tws
>>> <twsConnection,9 @ 20101214 06:18:55 Eastern Standard Time (New South
>>> Wales), nextId=1>
>>>> #reqMktDepth(tws, list(twsEquity("CBA","ASX","AUD")))
>>>>
>>>>
>>>> #reqMktData(con, list(twsEquity("CBA","ASX","AUD")))
>>>>
>>>>
>>>> # write to a file
>>>> #reqMktDepth(tws, twsEquity("CBA","ASX","AUD"),
>>>> file='c:/rMktDepth/out.dat')
>>>>
>>>> reqMktDepth(tws, twsEquity("GOOG"))
>>>> # reqMktDepth(tws, twsEquity("GOOG"), file='c:/rMktDepth/out.dat')
>>> TWS Message: 2 -1 2104 Market data farm connection is OK:aufarm
>>> TWS Message: 2 -1 2104 Market data farm connection is OK:usfarm
>>>
>>> [hanging so hit Esc]
>>>
>>>
>>>> closeAllConnections()
>>>>
>>>>
>>> Can anyone see what I'm doing wrong?
>>>
>>>
>>> --
>>> Stephen Choularton Ph.D., FIoD
>>>
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>>
>>
>> --
>> Jeffrey Ryan
>> jeffrey.ryan at lemnica.com
>>
>> www.lemnica.com
>>
>
>