[R-SIG-Finance] Fteching options data using package IBrokers and interactivebrokers

Enrico Schumann es at enricoschumann.net
Sun Jun 25 21:46:18 CEST 2017


On Sun, 25 Jun 2017, amol gupta writes:

> Hello,
>
> I have been trying to fetch contract details and finally fetch contract
> historical data. I have been able to do it with stock futures but I have
> been failing with options. Here is a very small snippet.
>
>
> c<-twsOPT(local = 'HDFC17JUN1780CE',strike = 1780, right = 'C',
>           currency = 'INR',primary = 'NSE',multiplier = 1,
>           conId = 271618757)
> d<-reqContractDetails(tws,c)
>
> Warning message:
> In reqContractDetails(tws, c) : error in contract details
>
>
> here
> <https://misc.interactivebrokers.com/cstools/contract_info/v3.9/index.php?action=Conid%20Info&wlId=IB&conid=271618719&lang=en>
> are the contract details. Please help me figure out what am I doing wrong.

Use 'twsContract' and specify only the local symbol, the
exchange, the currency and the security type:

   require("IBrokers")
   c <- twsContract(local = 'HDFC17JUN1780CE', sectype = "OPT",
                    currency = 'INR', exch = 'NSE',
                    include_expired = 1,
                    conId = "", symbol = "", primary = "", expiry = "", 
                    strike = "", right = "", multiplier = "",
                    combo_legs_desc = "", comboleg = "", secIdType = "",
                    secId = "")
   
   tws <- twsConnect()
   reqContractDetails(tws, c)

   ## List of 18
   ##  $ version       : chr "8"
   ##  $ contract      :List of 16
   ##   ..$ conId          : chr "271618757"
   ##   ..$ symbol         : chr "HDFC"
   ##   ..$ sectype        : chr "OPT"
   ##   ..$ exch           : chr "NSE"
   ## [....]

See also
https://github.com/enricoschumann/IButils#finding-the-contract-specification

-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net



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