[R-SIG-Finance] IBrokers Risk Management Backend Solution Help with twsPortfolioValue

[JohnnyPaper]

Hi Everyone,

Ok so I have pretty much thoroughly (at least to my knowledge) tested a
couple of ways to get this solution under control.  However, I cannot seem
to get around the problems of the code executing more than 1 order which
seems very strange to me.  As I have mentioned in earlier posts, this is
what I need to have manage the positions.  So what I did was try and create
a function to manage a futures position (ES only), which can currently be
tried out in paper at this moment.  Please, will someone just help me finish
up this solution so that I can move forward.  I really am trying here.  As
well, Jeff (if you read this) I have sent you an email at lemnica.  

Here is the code.

tws<-twsConnect()

OrderStatesFutures<-function(twsConnection,StopVal,ProfitVal){
Vals<-twsPortfolioValue(reqAccountUpdates(twsConnection),zero.pos=FALSE)
if (nrow(Vals) != 0){
ManagementData<-matrix(0,nrow(Vals),8)
	for(i in 1:nrow(Vals)){
		if (substr(Vals[i,1],1,2) == "ES"){
			FillPrice<-abs(Vals[i,4]/(Vals[i,6]))/50
		}
	
ManagementData[i,1:4]<-cbind(toString(substr(Vals[i,1],1,2)),toString(Vals[i,2]),toString(abs(Vals[i,6])),FillPrice)
			if (Vals[i,6] < 0){
				ManagementData[i,5]<-round(FillPrice*(1+StopVal),digits=2)
				ManagementData[i,6]<-round(FillPrice*(1-ProfitVal),digits=2)
				ManagementData[i,7]<-("SHORT")
				ManagementData[i,8]<-("BUY")
			} else if (Vals[i,6] >0){
				ManagementData[i,5]<-round(FillPrice*(1-StopVal),digits=2)
				ManagementData[i,6]<-round(FillPrice*(1+ProfitVal),digits=2)
				ManagementData[i,7]<-("LONG")
				ManagementData[i,8]<-("SELL")
			}
	}

colnames(ManagementData)<-c("Stock","IBType","NumShares","FillPrice","StopPrice","ProfitTarget","Currently","ToClose")
	return(ManagementData)
}
}

OSFutures<-OrderStatesFutures(tws,.00025,.00025)

while(TRUE){
	Flag<-1
	if ( nrow(OSFutures) != 0){
	Ding1<-reqMktData(tws,
twsFUT("ES","GLOBEX","201303"),eventWrapper=eWrapper.data(1),snapshot=TRUE)	
	PositionMonitor<-cbind(OSFutures,Ding1[,7]);print(PositionMonitor)
		for (i in 1:nrow(PositionMonitor)){
			if( Flag == 1 & PositionMonitor[i,7] == "LONG" & (PositionMonitor[i,9] <=
PositionMonitor[i,5])){
			
IBrokers:::.placeOrder(tws,twsFUT(PositionMonitor[i,1],"GLOBEX","201303"),twsOrder(Offset,"SELL",PositionMonitor[i,3],"MKT"))
				Flag<-2
				Offset<-Offset + 1
				#Sys.sleep(1)
				#break
			} else if ( Flag == 1 & PositionMonitor[i,7] == "LONG" &
(PositionMonitor[i,9] >= PositionMonitor[i,6])){
			
IBrokers:::.placeOrder(tws,twsFUT(PositionMonitor[i,1],"GLOBEX","201303"),twsOrder(Offset,"SELL",PositionMonitor[i,3],"MKT"))
				Flag<-2
				Offset<-Offset + 1
				#Sys.sleep(1)
				#break
			} else if ( Flag == 1 & PositionMonitor[i,7] == "SHORT" &
(PositionMonitor[i,9] >= PositionMonitor[i,5])){
			
IBrokers:::.placeOrder(tws,twsFUT(PositionMonitor[i,1],"GLOBEX","201303"),twsOrder(Offset,"BUY",PositionMonitor[i,3],"MKT"))
				Flag<-2
				Offset<-Offset + 1
				#Sys.sleep(1)
				#break
			} else if ( Flag == 1 &  PositionMonitor[i,7] == "SHORT" &
(PositionMonitor[i,9] <= PositionMonitor[i,6])){
			
IBrokers:::.placeOrder(tws,twsFUT(PositionMonitor[i,1],"GLOBEX","201303"),twsOrder(Offset,"BUY",PositionMonitor[i,3],"MKT"))
				Flag<-2
				Offset<-Offset + 1
				#Sys.sleep(1)
				#break
			}
			#break
		}
	
	}
	Sys.sleep(1)
	OSFutures<-OrderStatesFutures(tws,.00025,.00025)
	if(nrow(OSFutures) == 0){
		break
	}
}


I'd seriously like to thank anyone with some input to help me get this
solved.

Best to All,

Brad



--
View this message in context: http://r.789695.n4.nabble.com/IBrokers-Risk-Management-Backend-Solution-Help-with-twsPortfolioValue-tp4658101p4658357.html
Sent from the Rmetrics mailing list archive at Nabble.com.