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

[Jeffrey Ryan]

I've added in support for sending a BAG contract, though I haven't
figured out the proper params to verify all the messages are being
sent correctly; i.e. still failing, just now for less obvious causes
;-)

At rev 156 on googlecode

HTH
Jeff

On Thu, Jul 19, 2012 at 1:41 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
> Further investigation leads me to think this is just not supported as
> of yet.  I'll have to see how the API handles this for market data,
> and add it into IBrokers.
>
> At present, the contract is simply getting sent as a BAG, with no
> further effort to pass along the comboLegs themselves.  I don't know
> technically where it is failing yet, but at this point I can see it
> simply can't succeed as is.  I will fix.
>
> Thanks,
> Jeff
>
> On Thu, Jul 19, 2012 at 12:57 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
>> Version mismatches from IB/etc may be the cause here, though I am out
>> of the office this week so am not able to try to debug.
>>
>> Make sure you are running the latest of all (including the googlecode
>> version of IBrokers - which you must build from source at this point).
>>  If not, it will be a little difficult to narrow down where the
>> problem is.
>>
>> Thanks,
>> Jeff
>>
>> On Thu, Jul 19, 2012 at 12:21 PM, Stergios Marinopoulos
>> <stergios_marinopoulos at yahoo.com> wrote:
>>> I think see the problem.  Looking at the TWS error log, I can see that IBrokers reqMkData() is requesting the following generic tick types by default: "100,101,104,106,165,221,225,236", (and this is documented in IBroker's reqMktData() DOH!!!) where
>>>
>>> 100: Option Volume
>>> 101: Option Open Interest 104: Historical Volatility 106: Option Implied Volatility 165: Miscellaneous Stats 221: Mark Price225: Auction values236: Shortable
>>>
>>> Those tick types do not make sense for this BAG contract.  The only thing that makes sense for this BAG contract is the spreads between bid, ask, or last.   So when you call reqMktData() set tickGenerics="".  But when I try it, however, nothing seems to be happen.
>>>
>>> I believe the eventWrapper argument or the CALLBACK argument to reqMktData() needs to be used in order to receive the (Java equivalent) tickPrice() events.  Maybe someone with experience with those arguments can chime in.
>>>
>>> --
>>> Stergios Marinopoulos
>>>
>>>
>>>
>>>
>>> ----- Original Message -----
>>> From: Stergios Marinopoulos <stergios_marinopoulos at yahoo.com>
>>> To: G See <gsee000 at gmail.com>
>>> Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
>>> Sent: Thursday, July 19, 2012 11:28 AM
>>> Subject: Re: [R-SIG-Finance] IBrokers : quotes from futures combo and reqIds
>>>
>>> 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
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions should go.
>>>
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions should go.
>>
>>
>>
>> --
>> Jeffrey Ryan
>> jeffrey.ryan at lemnica.com
>>
>> www.lemnica.com
>> www.esotericR.com
>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan at lemnica.com
>
> www.lemnica.com
> www.esotericR.com



-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com
www.esotericR.com