rugarch vs fgarch
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> PS : To [hidden email] > > When you said it works in Java you mean for quotes from the combo market ? or just > implied quotes ? reqMktData() when given a BAG contract returns the spreads on the bid and the ask. It also returns some size information, which I assume is the spread on the sizes when the spread on the bid/ask changes, although I am not sure about this aspect. Attached is a short working example in Java based on the "ExampleBase" series of examples included in the IB API source code. Just replace the hard-coded IP address to one wihch works for you. This example creates an ES calendar spread, and then calls reqMktData() on the BAG contract; the rest of the program simply prints the bid/ask spread to stdout. sm -- Stergios Marinopoulos Thanks, Olivier > I've added in support for sending a BAG contract, though I haven't > figured out the proper params to verify all the messages are being > sent correctly; i.e. still failing, just now for less obvious causes > ;-) > > At rev 156 on googlecode > > HTH > Jeff > > On Thu, Jul 19, 2012 at 1:41 PM, Jeffrey Ryan wrote: >> Further investigation leads me to think this is just not supported as >> of yet. I'll have to see how the API handles this for market data, >> and add it into IBrokers. >> >> At present, the contract is simply getting sent as a BAG, with no >> further effort to pass along the comboLegs themselves. I don't know >> technically where it is failing yet, but at this point I can see it >> simply can't succeed as is. I will fix. >> >> Thanks, >> Jeff >> >> On Thu, Jul 19, 2012 at 12:57 PM, Jeffrey Ryan wrote: >>> Version mismatches from IB/etc may be the cause here, though I am out >>> of the office this week so am not able to try to debug. >>> >>> Make sure you are running the latest of all (including the googlecode >>> version of IBrokers - which you must build from source at this point). >>> If not, it will be a little difficult to narrow down where the >>> problem is. >>> >>> Thanks, >>> Jeff >>> >>> On Thu, Jul 19, 2012 at 12:21 PM, Stergios Marinopoulos >>> wrote: >>>> I think see the problem. Looking at the TWS error log, I can see that IBrokers DOH!!!) where >>>> >>>> 100: Option Volume >>>> 101: Option Open Interest 104: Historical Volatility 106: Option Implied Volatility 165: Miscellaneous Stats 221: Mark Price225: Auction values236: Shortable >>>> >>>> Those tick types do not make sense for this BAG contract. The only thing that makes sense for this BAG contract is the spreads between bid, ask, or last. So when you call reqMktData() set tickGenerics="". But when I try it, however, nothing seems to be happen. >>>> >>>> I believe the eventWrapper argument or the CALLBACK argument to reqMktData() needs to be used in order to receive the (Java equivalent) tickPrice() events. Maybe someone with experience with those arguments can chime in. >>>> >>>> -- >>>> Stergios Marinopoulos >>>> >>>> >>>> >>>> >>>> ----- Original Message ----- >>>> From: Stergios Marinopoulos >>>> To: G See >>>> Cc: "[hidden email]" >>>> Sent: Thursday, July 19, 2012 11:28 AM >>>> Subject: Re: [R-SIG-Finance] IBrokers : quotes from futures combo and reqIds >>>> >>>> I took Garrett's example and tried to get it working using IBrokers. It's starts >>>> >>>> 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 >>>> To: Stergios Marinopoulos >>>> Cc: omerle ; "[hidden email]" >>>> 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 >>>> 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 >>>>> >>>>> Try using IBrokers twsBAG() function to create a combo contract, and use the start streaming. >>>>> >>>> >>>> I'm unable to get that to work. If anyone else can get it to work, >>>> please share your secret. >>>> >>>> Thanks, >>>> Garrett >>>> >>>> _______________________________________________ >>>> [hidden email] 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. >>>> >>>> >>>> _______________________________________________ >>>> [hidden email] 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. >>> >>> >>> >>> -- >>> Jeffrey Ryan >>> [hidden email] >>> >>> www.lemnica.com >>> www.esotericR.com >> >> >> >> -- >> Jeffrey Ryan >> [hidden email] >> >> www.lemnica.com >> www.esotericR.com > > > Une messagerie gratuite, garantie à vie et des services en plus, ça vous tente ? Je crée ma boîte mail www.laposte.net _______________________________________________ [hidden email] 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. _______________________________________________ [hidden email] 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. |
Example9.java (6K) 
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