I am using the PortfolioAnalytics package to run a multi-period optimization on
a quite large stock universe (14 European indicies ~ 800 stocks) but I’ve run
into a problem. All examples and vignettes using the package has a fixed stock
universe over the backtest period (like EDHEC) while I’ve
On Do, 18 Okt 2018, Stephen Choularton writes:
> Hi
>
> I can use this code to get historic data:
>
> library("IBrokers")
>
> sym1 <- 'ZS'
> mkt1 <- 'ECBOT'
> sym2 <- 'ZC'
> mkt2 <- 'ECBOT'
>
> contract1 <- twsContract(0,sym1, "CONTFUT",
> mkt1,"","","0.0","USD","","","",NULL,NULL,"0")
>
>
Hi
I can use this code to get historic data:
library("IBrokers")
sym1 <- 'ZS'
mkt1 <- 'ECBOT'
sym2 <- 'ZC'
mkt2 <- 'ECBOT'
contract1 <- twsContract(0,sym1, "CONTFUT",
mkt1,"","","0.0","USD","","","",NULL,NULL,"0")
reqHistoricalData(tws, contract1, endDateTime = format(Sys.Date(),
"%Y%m%d
