[R-SIG-Finance] IBrokers : quotes from futures combo and reqIds

[Stergios Marinopoulos]

I took Garrett's example and tried to get it working using IBrokers.  It's starts writing data to a file as expected, but then the error below is produced and quote data is no longer written to the file. 

2 1 320 Error reading request:-'wc' : cause - Unable format field - 




Here's the code:

library(IBrokers) ;
tws <- twsConnect(1)
bag <- twsBAG(
    twsComboLeg(
        conId = "756733", #conId("SPY"),
        ratio = "1",
        action = "BUY",
        exchange = "SMART"
    )  ,
    twsComboLeg(
        conId = "73128548", #conId("DIA"),
        ratio = "1.06",
        action = "SELL",
        exchange = "SMART"
    )
)
bag.csv <- file("~/bag.csv", open="w")
reqMktData(tws, bag, 
           eventWrapper=eWrapper.MktData.CSV(1), 
           file=bag.csv)


--
Stergios Marinopoulos


----- Original Message -----
From: G See <gsee000 at gmail.com>
To: Stergios Marinopoulos <stergios_marinopoulos at yahoo.com>
Cc: omerle <omerle at laposte.net>; "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Sent: Thursday, July 19, 2012 11:11 AM
Subject: Re: [R-SIG-Finance] IBrokers : quotes from futures combo and reqIds

On Thu, Jul 19, 2012 at 10:09 AM, Stergios Marinopoulos
<stergios_marinopoulos at yahoo.com> wrote:
> In Java, if you create a proper BAG Contract you can use it with reqMktData() or
> reqHistoricalData().  I imagine the same holds true in R as well.  (I can send Java examples if interested.)
>
> Try using IBrokers twsBAG() function to create a combo contract, and use the returned object as the contract to IBrokers's equivalent of reqMktData() and data should start streaming.
>

I'm unable to get that to work.  If anyone else can get it to work,
please share your secret.

Thanks,
Garrett