:-( I'm afraid it doesn't even work with "1" and "1" Were you able to get market data for a twsBAG, Soren?
In May, Jeff suggested it doesn't work: https://stat.ethz.ch/pipermail/r-sig-finance/2012q2/010258.html On Thu, Jul 19, 2012 at 11:36 AM, me <m...@censix.com> wrote: > Hi Stergios > > I believe it is your ratios. They have to be integers. > your second one is > > ratio = "1.06" > > You will have to calculate the most feasible rational approximation to > your beta of > > -1.06/1 > > One solution would be > > -21/20 ~ -1.05 > > So you could set > > leg1: ratio = "21" > leg2: ratio = "20" > > That should do it. > > Cheers > > Soren > > http://censix.com > > > On Thu, 19 Jul 2012 08:28:17 -0700 (PDT) > Stergios Marinopoulos <stergios_marinopou...@yahoo.com> wrote: > >> 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 <gsee...@gmail.com> >> To: Stergios Marinopoulos <stergios_marinopou...@yahoo.com> >> Cc: omerle <ome...@laposte.net>; "r-sig-finance@r-project.org" >> <r-sig-finance@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 >> <stergios_marinopou...@yahoo.com> 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 >> >> _______________________________________________ >> R-SIG-Finance@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >> -- Subscriber-posting only. If you want to post, subscribe first. >> -- Also note that this is not the r-help list where general R >> questions should go. > > > > ------------------------------------------------------------------ > Soren Wilkening > > http://censix.com _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.