[R-SIG-Finance] using reqHistoricalData
Siegfried Köstlmeier
siegfried.koestlmeier at gmail.com
Thu Mar 29 18:36:43 CEST 2018
Hey Stephen,
although the contracts themselves are continuous in time, trading hours
on a stock exchange are not. I think the function reports the right
data, so let me mention a possible economic reason for your results:
Stock data is commonly reported only on trading days. Therefore it is
correct to get a time-series of only trading-day data. Think about e.g.
closing prices: On a non-trading day it would be the same value as the
closing price the previous trading day, so the return of any financial
asset on a non-trading day would be zero. Any estimation of paramaters
(beta-factor,...) would be biased by these data generated on non-trading
days. So don't worry about missing data on a sunday.
Best,
Siegfried
Am 27.03.18 um 22:41 schrieb Stephen Choularton:
> Hi
>
> I am using this call to obtain the historical data for the SNFE SPI
> future contract. Here is the full code I am using:
>
> library("IBrokers")
> closeAllConnections()
>
> # IBrokersRef()
>
> tws <- twsConnect()
> reqCurrentTime(tws)
>
>
>
> #contract <- twsFuture('SPI', exch='SNFE', expiry="201703",
> currency="AUD",|include_expired='1'|)
>
> contract <- twsFuture('SPI', exch='SNFE', expiry="201803",
> currency="AUD", |include_expired='1'|)
>
> reqContractDetails(tws, contract)
>
>
> Sys.sleep(10) # mandatory 10s between request to avoid IB pacing
> violation
> reqHistoricalData(tws, contract, barSize = "1 day",
> endDateTime='20180315 16:00:00', duration = "6 M")
>
> and I get this result:
>
> waiting for TWS reply on SPI ...... done.
> APH8.Open APH8.High APH8.Low APH8.Close APH8.Volume
> APH8.WAP APH8.hasGaps APH8.Count
> 2017-09-19 5650 5650 5650 5650 2
> 5650.00 0 1
> 2017-10-03 5622 5622 5622 5622 2
> 5622.00 0 1
> 2017-10-16 5774 5774 5774 5772 1
> 5774.00 0 1
> 2017-11-28 5930 5953 5930 5953 3
> 5937.65 0 2
> 2017-12-04 5948 5948 5948 5941 1
> 5948.00 0 1
> 2017-12-06 5909 5909 5909 5909 1
> 5909.00 0 1
> 2017-12-08 5960 5960 5948 5948 6
> 5952.00 0 3
> 2017-12-11 5970 5970 5951 5951 11
> 5968.25 0 7
> 2017-12-12 5958 5974 5952 5970 173
> 5965.10 0 108
> 2017-12-13 5959 5982 5957 5975 81
> 5973.15 0 49
> 2017-12-14 5982 6012 5962 5964 425
> 5976.55 0 234
> 2017-12-15 5958 5986 5940 5957 245
> 5953.70 0 184
> 2017-12-16 5953 5988 5953 5980 115
> 5971.60 0 82
> 2017-12-18 5986 5994 5970 5989 1827
> 5988.85 0 1012
> 2017-12-19 5988 6042 5988 6029 7575
> 6027.75 0 4799
> 2017-12-20 6032 6046 6005 6036 16735
> 6030.70 0 10465
> 2017-12-21 6036 6045 6007 6013 24219
> 6017.80 0 16695
> 2017-12-22 6013 6045 6013 6026 18950
> 6029.10 0 13816
> 2017-12-27 6019 6050 6011 6022 15864
> 6029.60 0 11133
> 2017-12-28 6022 6052 6013 6046 21516
> 6034.70 0 15445
> 2017-12-29 6045 6052 6008 6019 24757
> 6028.20 0 17056
> 2018-01-02 6019 6033 5987 6022 19624
> 6012.05 0 14487
> 2018-01-03 6023 6035 6005 6031 25104
> 6023.40 0 18833
> 2018-01-04 6031 6065 6021 6024 30502
> 6037.50 0 22464
> 2018-01-05 6026 6082 6024 6073 29123
> 6064.45 0 19788
> 2018-01-06 6075 6101 6070 6092 6075
> 6087.55 0 4696
> 2018-01-08 6095 6104 6079 6081 16224
> 6086.90 0 12149
> 2018-01-09 6079 6105 6072 6088 25272
> 6091.85 0 19091
> 2018-01-10 6089 6114 6044 6046 39228
> 6072.60 0 27930
> 2018-01-11 6050 6055 6004 6012 38948
> 6024.40 0 27751
> 2018-01-12 6011 6038 6001 6017 26643
> 6021.65 0 19102
> 2018-01-13 6020 6054 6017 6049 7186
> 6033.15 0 5817
> 2018-01-15 6059 6060 6023 6026 16203
> 6036.50 0 11591
> 2018-01-16 6028 6030 5990 5991 25578
> 6007.20 0 18025
> 2018-01-17 5994 6015 5945 5959 37579
> 5974.70 0 26430
> 2018-01-18 5960 5985 5937 5951 31683
> 5965.85 0 22749
> 2018-01-19 5948 5977 5946 5949 28451
> 5960.65 0 20903
> 2018-01-20 5949 5981 5949 5980 8208
> 5964.80 0 6587
> 2018-01-22 5973 5973 5933 5938 23302
> 5948.30 0 16328
> 2018-01-23 5942 5990 5940 5986 27435
> 5973.75 0 19193
> 2018-01-24 5989 6012 5981 6000 28456
> 5998.90 0 20244
> 2018-01-25 6000 6009 5962 5999 31679
> 5989.05 0 22431
> 2018-01-26 6000 6007 5976 5985 8956
> 5991.10 0 6967
> 2018-01-27 5987 6016 5987 6015 6021
> 6003.15 0 4643
> 2018-01-29 6020 6033 5999 6010 20523
> 6018.10 0 14757
> 2018-01-30 6008 6020 5958 5960 36140
> 5982.90 0 24692
> 2018-01-31 5961 5987 5920 5980 40809
> 5960.15 0 28947
> 2018-02-01 5979 6038 5968 6037 39409
> 6012.55 0 27264
> 2018-02-02 6037 6072 5999 6071 39430
> 6039.40 0 28450
> 2018-02-03 6064 6071 5997 6006 16093
> 6033.60 0 13032
> 2018-02-05 6002 6002 5958 5961 42093
> 5976.80 0 27624
> 2018-02-06 5960 5965 5732 5763 123888
> 5810.20 0 89853
> 2018-02-07 5789 5881 5732 5790 91626
> 5819.55 0 67673
> 2018-02-08 5776 5851 5761 5810 55014
> 5805.05 0 41684
> 2018-02-09 5814 5818 5681 5749 68010
> 5761.95 0 51281
> 2018-02-10 5756 5767 5605 5724 26899
> 5701.90 0 21716
> 2018-02-12 5735 5776 5724 5741 36295
> 5748.25 0 25397
> 2018-02-13 5745 5805 5715 5792 48076
> 5773.95 0 34088
> 2018-02-14 5794 5817 5770 5790 39991
> 5794.55 0 29662
> 2018-02-15 5790 5869 5746 5863 44764
> 5829.65 0 32971
> 2018-02-16 5864 5892 5845 5857 34515
> 5868.05 0 25492
> 2018-02-17 5858 5878 5838 5850 10587
> 5857.30 0 8843
> 2018-02-19 5863 5909 5841 5903 24088
> 5888.25 0 17265
> 2018-02-20 5905 5906 5855 5905 27148
> 5886.75 0 20262
> 2018-02-21 5899 5919 5864 5915 36287
> 5895.35 0 26784
> 2018-02-22 5916 5967 5891 5914 39681
> 5919.00 0 28694
> 2018-02-23 5912 5985 5907 5973 37903
> 5955.25 0 27725
> 2018-02-24 5976 6004 5967 6004 7494
> 5981.35 0 5928
> 2018-02-26 6005 6016 5993 6015 26766
> 6005.75 0 17412
> 2018-02-27 6012 6059 6010 6036 37704
> 6041.30 0 25322
> 2018-02-28 6037 6049 5991 6000 43430
> 6010.05 0 29415
> 2018-03-01 6000 6017 5939 5961 42065
> 5964.65 0 29407
> 2018-03-02 5966 5984 5883 5911 55735
> 5920.85 0 40967
> 2018-03-03 5911 5925 5866 5924 14438
> 5894.75 0 11996
> 2018-03-05 5928 5929 5866 5884 27914
> 5886.75 0 19864
> 2018-03-06 5885 5969 5864 5954 42388
> 5939.05 0 29752
> 2018-03-07 5958 5990 5883 5897 43885
> 5921.85 0 30871
> 2018-03-08 5894 5943 5886 5939 41921
> 5925.25 0 29409
> 2018-03-09 5942 5980 5927 5963 36634
> 5959.15 0 25163
> 2018-03-10 5966 6020 5958 6020 11155
> 5987.10 0 8263
> 2018-03-12 6029 6032 5986 5989 28166
> 6007.95 0 17869
> 2018-03-13 5992 6011 5948 5967 26778
> 5975.45 0 18867
> 2018-03-14 5969 5990 5921 5937 17305
> 5941.85 0 13060
> 2018-03-15 5940 5962 5924 5924 2414
> 5943.70 0 1761
>
> I presume in the early period there were not transactions every day
> but as the volume picks up I notice the data seems to miss Sundays.
>
> I thought these were continuous contracts (24/7) so I'm worried I have
> some setting wrong. Maybe someone more familiar with the function can
> advise.
>
> Thanks.
> -----------------------------------------------------------------------------------------------------------------------------------
>
> Stephen Choularton PhD, FIoD
>
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