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

Wed Jul 25 18:31:25 CEST 2012

Thanks a lof for your kind answers ! I am again amazed by the R community.

I might have under explain my problem.

1 - My original question :

"I need quotes from futures combo but I cant find how to find these quotes. I can place 
combo orders but I can't find how to get the quotes. For instance, I would like to have 
the quotes of the combo between ECO AUG12 (83617918) and ECO NOV12 (87689647). Do you 
have any idea ? Which part of the IB API documentation should I check ? That's quite 
important for me !"

2 - Additional elements :

=> In most futures market, combo orders/quotes are another market not only the 
combinaison of the two markets underlyings.

For instance :
ECO AUG12 (83617918)
Bid - Ask
100 - 102
ECO NOV12 (87689647)
Bid - Ask
104 - 105

The implied combo Bid-Ask market would be :
Bid - Ask
2 - 5

The combo market could be anything inside this implied B/A (because people place order 
inside the combo market). For instance, I could have :
Bid - Ask
2.5 - 3

3 - What I can currently do :

Using twsContract and the parameter comboleg to send a combo order inside the combo 
market.
I think that if IB implemented orders in the combo market the API could also do the work 
to retrieve the data.

4 - What I would like to do :

Get the quotes of the combo market.

5 - What I tried :

I tried to put my twsContract (which was used in placeOrder) in reqMktData but I didn't 
get any data.

PS : To stergios_marinopoulos at yahoo.com

When you said it works in Java you mean for quotes from the combo market ? or just 
implied quotes ?

Thanks,

Olivier
> 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  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  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
>>>  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 
>>>> To: G See 
>>>> Cc: "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 
>>>> To: Stergios Marinopoulos 
>>>> Cc: omerle ; "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
>>>>  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
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>>>> -- 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
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>>>> -- 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
>
>
>

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