# this is code to check the commodities for cointegration and produce a hedge ratio

# need to create a loop to apply the function to each pair in the file

# IBrokersRef()

library("IBrokers")
library("urca") # for johansen

library(zoo)
library(tseries)

tws <- twsConnect()
reqCurrentTime(tws)

checkPairFromIB <- function(sym1, mkt1, sym2, mkt2) {

	contract1 <- twsContract(0,sym1, "CONTFUT", mkt1,"","","0.0","USD","","","",NULL,NULL,"0")
	contract2 <- twsContract(0,sym2, "CONTFUT", mkt2,"","","0.0","USD","","","",NULL,NULL,"0")
	
	#http://www.sthda.com/english/wiki/subsetting-data-frame-rows-in-r
	
	#print(contract1)
		
	one <- reqHistoricalData(tws, contract1, endDateTime = format(Sys.Date(), "%Y%m%d 24:00:00"), duration = "3 M")
	two <- reqHistoricalData(tws, contract2, endDateTime = format(Sys.Date(), "%Y%m%d 24:00:00"), duration = "3 M")
	
	

	one <- one[,1:5]
	two <- two[,1:5]
	
	# Give columns more usable names
	colnames(one) <- c('Open', 'High', 'Low', 'Close', 'Volume')
  	colnames(two) <- c('Open', 'High', 'Low', 'Close', 'Volume')
  	
  	#print(one)
	print(length(one))
	#print(one)
	print(length(two))
  	#print(two)
	
  	
  	# trim the longer one
  	if (length(one) > length(two)){
  	
  		trim <- one - two
  		one <- one[trim:length(two),]
  	
  	} else if (length(one) < length(two)){
  	
  		trim <- two - one
  		two <- two[trim:length(one),]  	
  	  	
  	}
  	
  	#print(one)
	print(length(one))
	#print(one)
	print(length(two))
  	#print(two)
  	
  	
  	
  	
  	# failsafe if some market has closed
  	if (length(one) == length(two)){
  	


		jotest=ca.jo(data.frame(one$Close,two$Close), type="trace", K=2, ecdet="none", spec="longrun")
		#print(summary(jotest))

		#print("10pc")
		#print(jotest@cval[2,1])

		#print("test")
		#print(jotest@teststat[2])

		#print("hedge ratio")
		#print(jotest@V[2,1])

		if (jotest@V[2] > jotest@cval[2,1]){

			print(c(sym1, sym2, "cointegrated", "hedge", jotest@V[2,1] ))

		} else {

			print(c(sym1, sym2, "not cointegrated"))

		}
		
	} else {
	
		print("data of different lengths")
		
	}
	
	#https://stackoverflow.com/questions/42741633/extract-information-from-rs-johansen-procedure-ca-jo-summary
	#http://r.789695.n4.nabble.com/How-to-automatically-extract-test-result-from-Johansen-test-td4519468.html
	#https://cran.r-project.org/web/packages/urca/urca.pdf



}


#lets get the symbols
symbols <- read.csv("C:\\Users\\Stephen\\Documents\\R\\2018 June\\metals.csv", stringsAsFactors=F)
print(symbols)

print ('##################')
#print(nrow(symbols)) 

seq(1, nrow(symbols), by = 2)

for (i in seq(1, nrow(symbols) - 1, by = 1)) {

	
	
	for (j in seq(i + 1, nrow(symbols), by = 1)) {

		print(c(i, j))
		
		checkPairFromIB(symbols[i,1], symbols[i,2],symbols[j,1],symbols[j,2])
		
		print("###################")
	
		#print(symbols[i,1])
		#print(symbols[i,2])
	
		#print(symbols[j,1])
		#print(symbols[j,2])
		
		print("pacing limit 10 seconds")
		Sys.sleep(10)
		
		
	
	}

	
	
	
}



#gold, silver
#checkPairFromIB("GC", "NYMEX","SI","NYMEX")

twsDisconnect(tws)

#head(one)
#head(two)

#pacing limit
#Sys.sleep(10)