[R-SIG-Finance] IBrokers - problems getting prices with reqMktData

[Joshua Ulrich]

Stephen,

You're asking others to do an awful lot of work for you for free and
in their spare time.  You're asking others to help debug ~800 lines of
your code (not just R, but Perl as well!).  I would be surprised if
anyone helps you with this (unless the issue is obvious to them).

I don't say this to chide, but to help you ask questions that are more
likely to be answered.  Someone will be much more likely to help you
if you create a minimal example (without Perl) that replicates this
issue with your callback code.

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Mon, Jan 31, 2011 at 5:14 PM, Stephen Choularton
<stephen at organicfoodmarkets.com.au> wrote:
> Hi
>
> I am running on windows using an IB workstation with R talking to it.
>
> It all seems to work, but I find that when running my own callback (code
> attached):
>
>  1. I have to make sure I start a clean (new) command windows or
>     something goes wrong with the allocation of a transaction id via
>     reqIds (Ok I just work around by opening a new command prompt and
>  2. (big problem) I don't always get the prices back so the algorithms
>     don't always work.  For example this is the output of that code:
>
> [1] "Existing Position: JBH " "18.51"
> [3] "MYR "                    "3.65"
> [5] "Spread "                 "14.86"
> 2 -1 2103 Market data farm connection is broken:aufarm
> [1] "I HAVE TRADED AT AVERAGE CLOSING SHORT. SELL"
> [2] "52"
> [3] "JBH. BUY"
> [4] "280"
> [5] "MYR"
> [1] "Time"                    "2011-01-31 15:34:02.373"
> [1] "LEI "                                NA
> [3] "WOR "                                NA
> [5] "Spread "                             NA
> [7] "The boundaries are 4.46697721920205" "lower 2.44602278079795"
> [9] " mean is 3.4565"
> [1] "QBE "                                NA
> [3] "AMP "                                NA
> [5] "Spread "                             NA
> [7] "The boundaries are 13.3779288310757" "lower 12.2030711689243"
> [9] " mean is 12.7905"
> [1] "QBE "                                NA
> [3] "AXA "                                NA
> [5] "Spread "                             NA
> [7] "The boundaries are 12.1631661762672" "lower 11.1048338237328"
> [9] " mean is 11.634"
>
> I'm getting the prices for JBH and MYR but not for the other stocks.  The
> boundary/mean figures are hard coded in my function but were obtained in a
> previous IB call but that was a different call reqHistoricalData where as
> this is reqMktData.  My perl code to manage that part of the exercise is
> attached.
>
> One thing I have noticed is that if I get my trader work station to show the
> price and stop and restart my trading.R code I do get a price.  Does anyone
> else have experience of reqMktData not showing prices if they are not live
> on the TWS?
> --
> Stephen Choularton Ph.D., FIoD
>
>
>
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