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

Sun Jul 29 22:14:33 CEST 2012

Thanks for passing a working Java example.  I'll use this to
test/adjust the code in IBrokers so it will do the same.

Best,
Jeff

On Sun, Jul 29, 2012 at 2:06 PM, Stergios Marinopoulos
<stergios_marinopoulos at yahoo.com> wrote:
>
>
>> 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 ?
>
> reqMktData() when given a BAG contract returns the spreads on the bid and the ask. It also returns some size information, which I assume is the spread on the sizes when the spread on the bid/ask changes, although I am not sure about this aspect.
>
> Attached is a short working example in Java based on the "ExampleBase" series of examples included in the IB API source code.  Just replace the hard-coded IP address to one wihch works for you.  This example creates an ES calendar spread, and then calls reqMktData() on the BAG contract; the rest of the program simply prints the bid/ask spread to stdout.
>
> sm
>
>
> --
> Stergios Marinopoulos
>
>
> 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
>>>>>
>>>>> _______________________________________________
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>>>>>
>>>>>
>>>>> _______________________________________________
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>>>>
>>>>
>>>>
>>>> --
>>>> 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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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com