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

[me]

Hi Stergios

I believe it is your ratios. They have to be integers.
your second one is      

ratio = "1.06"

You will have to calculate the most feasible rational approximation to
your beta of

-1.06/1

One solution would be

-21/20   ~   -1.05

So you could set

leg1: ratio = "21"
leg2: ratio = "20"

That should do it.

Cheers

Soren

http://censix.com


On Thu, 19 Jul 2012 08:28:17 -0700 (PDT)
Stergios Marinopoulos <stergios_marinopoulos at yahoo.com> wrote:

> 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
> 
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------------------------------------------------------------------
Soren Wilkening

http://censix.com