BuildIBContract odd behavior

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BuildIBContract odd behavior

harrisonmark1
I am using Interactive Brokers and R to download and maintain forex
data in addition to doing some analytics on each currency pair.  I
have setup Financial Instrument per Garrett's instructions and have
edited my rProfile site file to define all the available currencies
and exchange rate pairs.

Each day I run a script that connects to TWS using iBrokers and loop
through all the currency pairs defining a contract for each using
twsInstrument.  The script then requests data from IB and saves the
data into each currency pairs folder in my home directory.

The issue I am having is that for the Norwegian Krone I get a message
when I grab data for GBPNOK - the first Norwegian currency in my
symbol list - which is "Checking to see if other 'type's have a
pre-defined currency."  I am getting data for this pair as well as all
the other NOK currency pairs.

When my script completes I get the warning: "In
buildIBcontract(symbol) : Creating currency  NOK"

I have looked through my rProfile and script and can find no reason
why I should get this message and warning since I have both defined
the currency "NOK" and exchange rates using NOK - i.e. GBPNOK, EURNOK,
NOKSEK, etc..  I also get data for each 'NOK' pair so everything seems
like it is working.

I realize I am only getting a warning and I am still able to get the
data I am after but this is bugging me because I cannot figure it out
and it is making me think I have a bigger problem.

Any help would be appreciated.  By the way, I have been digging
through the support lists but finding no answer.

# Session Info
R version 2.14.0 (2011-10-31)
Platform: x86_64-pc-mingw32/x64 (64-bit)

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] datasets  grDevices utils     graphics  stats     methods   base

other attached packages:
 [1] fTrading_2100.76           fBasics_2110.79            MASS_7.3-16
 [4] timeSeries_2130.92         timeDate_2131.00
twsInstrument_1.2-9
 [7] IBrokers_0.9-3             qmao_1.1.6
FinancialInstrument_0.9.20
[10] quantmod_0.3-17            TTR_0.21-0                 xts_0.8-2
[13] zoo_1.7-6                  Defaults_1.1-1

loaded via a namespace (and not attached):
[1] blotter_0.8.4    grid_2.14.0      lattice_0.20-0
quantstrat_0.6.1 tools_2.14.0


#  rProfile
# Packages to load at startup
require(quantmod)
require(qmao)
require(IBrokers)
require(FinancialInstrument)
require(twsInstrument)
require(fTrading)

#Define Currencies
currency(c("AUD", "CAD", "CHF", "CZK", "DKK", "EUR", "GBP", "HKD",
"HUF", "ILS", "JPY", "KRW", "MXN", "NOK", "NZD", "PLN", "RUB", "SEK",
"SGD", "USD"))

#Define British Pound Based Exchange Rates
exchange_rate(c("GBPAUD", "GBPCAD", "GBPCHF", "GBPHKD", "GBPJPY",
"GBPNOK", "GBPNZD", "GBPUSD"))

--------------------------------------------------------


# Script code examples
symbols <- c("GBPJPY", "GBPMXN", "GBPNOK", "GBPNZD", "GBPUSD")

for(symbol in symbols){
# Build Contract
contract <- buildIBcontract(symbol)

# at this point I request data and save the files...I can provide the
code if needed.

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Re: BuildIBContract odd behavior

gsee
Mark,

Please update FinancialInstrument and twsInstrument.

I cannot reproduce your warning with the current code.  Usually you
get that warning if you request a stock and the first one that is
found is denominated in a currency that is not defined.
And, you shouldn't get the warning that NOK was defined for you unless
it was not defined.

In version 0.10 of FinancialInstrument I moved the .instrument
environment from .GlobalEnv to FinancialInstrument:::.instrument.  It
sounds like buildIBcontract is looking in the wrong place for the
currency.

If this is still repeatable after you update, let me know.

HTH,
Garrett

On Thu, Feb 9, 2012 at 5:19 PM, Mark Harrison <[hidden email]> wrote:

> I am using Interactive Brokers and R to download and maintain forex
> data in addition to doing some analytics on each currency pair.  I
> have setup Financial Instrument per Garrett's instructions and have
> edited my rProfile site file to define all the available currencies
> and exchange rate pairs.
>
> Each day I run a script that connects to TWS using iBrokers and loop
> through all the currency pairs defining a contract for each using
> twsInstrument.  The script then requests data from IB and saves the
> data into each currency pairs folder in my home directory.
>
> The issue I am having is that for the Norwegian Krone I get a message
> when I grab data for GBPNOK - the first Norwegian currency in my
> symbol list - which is "Checking to see if other 'type's have a
> pre-defined currency."  I am getting data for this pair as well as all
> the other NOK currency pairs.
>
> When my script completes I get the warning: "In
> buildIBcontract(symbol) : Creating currency  NOK"
>
> I have looked through my rProfile and script and can find no reason
> why I should get this message and warning since I have both defined
> the currency "NOK" and exchange rates using NOK - i.e. GBPNOK, EURNOK,
> NOKSEK, etc..  I also get data for each 'NOK' pair so everything seems
> like it is working.
>
> I realize I am only getting a warning and I am still able to get the
> data I am after but this is bugging me because I cannot figure it out
> and it is making me think I have a bigger problem.
>
> Any help would be appreciated.  By the way, I have been digging
> through the support lists but finding no answer.
>
> # Session Info
> R version 2.14.0 (2011-10-31)
> Platform: x86_64-pc-mingw32/x64 (64-bit)
>
> locale:
> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
> States.1252
> [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
> [5] LC_TIME=English_United States.1252
>
> attached base packages:
> [1] datasets  grDevices utils     graphics  stats     methods   base
>
> other attached packages:
>  [1] fTrading_2100.76           fBasics_2110.79            MASS_7.3-16
>  [4] timeSeries_2130.92         timeDate_2131.00
> twsInstrument_1.2-9
>  [7] IBrokers_0.9-3             qmao_1.1.6
> FinancialInstrument_0.9.20
> [10] quantmod_0.3-17            TTR_0.21-0                 xts_0.8-2
> [13] zoo_1.7-6                  Defaults_1.1-1
>
> loaded via a namespace (and not attached):
> [1] blotter_0.8.4    grid_2.14.0      lattice_0.20-0
> quantstrat_0.6.1 tools_2.14.0
>
>
> #  rProfile
> # Packages to load at startup
> require(quantmod)
> require(qmao)
> require(IBrokers)
> require(FinancialInstrument)
> require(twsInstrument)
> require(fTrading)
>
> #Define Currencies
> currency(c("AUD", "CAD", "CHF", "CZK", "DKK", "EUR", "GBP", "HKD",
> "HUF", "ILS", "JPY", "KRW", "MXN", "NOK", "NZD", "PLN", "RUB", "SEK",
> "SGD", "USD"))
>
> #Define British Pound Based Exchange Rates
> exchange_rate(c("GBPAUD", "GBPCAD", "GBPCHF", "GBPHKD", "GBPJPY",
> "GBPNOK", "GBPNZD", "GBPUSD"))
>
> --------------------------------------------------------
>
>
> # Script code examples
> symbols <- c("GBPJPY", "GBPMXN", "GBPNOK", "GBPNZD", "GBPUSD")
>
> for(symbol in symbols){
> # Build Contract
> contract <- buildIBcontract(symbol)
>
> # at this point I request data and save the files...I can provide the
> code if needed.
>
> _______________________________________________
> [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.
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Re: BuildIBContract odd behavior

harrisonmark1
Upgrading did the trick.  Thanks Garrett.

On Thu, Feb 9, 2012 at 5:39 PM, G See <[hidden email]> wrote:

> Mark,
>
> Please update FinancialInstrument and twsInstrument.
>
> I cannot reproduce your warning with the current code.  Usually you
> get that warning if you request a stock and the first one that is
> found is denominated in a currency that is not defined.
> And, you shouldn't get the warning that NOK was defined for you unless
> it was not defined.
>
> In version 0.10 of FinancialInstrument I moved the .instrument
> environment from .GlobalEnv to FinancialInstrument:::.instrument.  It
> sounds like buildIBcontract is looking in the wrong place for the
> currency.
>
> If this is still repeatable after you update, let me know.
>
> HTH,
> Garrett
>
> On Thu, Feb 9, 2012 at 5:19 PM, Mark Harrison <[hidden email]> wrote:
>> I am using Interactive Brokers and R to download and maintain forex
>> data in addition to doing some analytics on each currency pair.  I
>> have setup Financial Instrument per Garrett's instructions and have
>> edited my rProfile site file to define all the available currencies
>> and exchange rate pairs.
>>
>> Each day I run a script that connects to TWS using iBrokers and loop
>> through all the currency pairs defining a contract for each using
>> twsInstrument.  The script then requests data from IB and saves the
>> data into each currency pairs folder in my home directory.
>>
>> The issue I am having is that for the Norwegian Krone I get a message
>> when I grab data for GBPNOK - the first Norwegian currency in my
>> symbol list - which is "Checking to see if other 'type's have a
>> pre-defined currency."  I am getting data for this pair as well as all
>> the other NOK currency pairs.
>>
>> When my script completes I get the warning: "In
>> buildIBcontract(symbol) : Creating currency  NOK"
>>
>> I have looked through my rProfile and script and can find no reason
>> why I should get this message and warning since I have both defined
>> the currency "NOK" and exchange rates using NOK - i.e. GBPNOK, EURNOK,
>> NOKSEK, etc..  I also get data for each 'NOK' pair so everything seems
>> like it is working.
>>
>> I realize I am only getting a warning and I am still able to get the
>> data I am after but this is bugging me because I cannot figure it out
>> and it is making me think I have a bigger problem.
>>
>> Any help would be appreciated.  By the way, I have been digging
>> through the support lists but finding no answer.
>>
>> # Session Info
>> R version 2.14.0 (2011-10-31)
>> Platform: x86_64-pc-mingw32/x64 (64-bit)
>>
>> locale:
>> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
>> States.1252
>> [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
>> [5] LC_TIME=English_United States.1252
>>
>> attached base packages:
>> [1] datasets  grDevices utils     graphics  stats     methods   base
>>
>> other attached packages:
>>  [1] fTrading_2100.76           fBasics_2110.79            MASS_7.3-16
>>  [4] timeSeries_2130.92         timeDate_2131.00
>> twsInstrument_1.2-9
>>  [7] IBrokers_0.9-3             qmao_1.1.6
>> FinancialInstrument_0.9.20
>> [10] quantmod_0.3-17            TTR_0.21-0                 xts_0.8-2
>> [13] zoo_1.7-6                  Defaults_1.1-1
>>
>> loaded via a namespace (and not attached):
>> [1] blotter_0.8.4    grid_2.14.0      lattice_0.20-0
>> quantstrat_0.6.1 tools_2.14.0
>>
>>
>> #  rProfile
>> # Packages to load at startup
>> require(quantmod)
>> require(qmao)
>> require(IBrokers)
>> require(FinancialInstrument)
>> require(twsInstrument)
>> require(fTrading)
>>
>> #Define Currencies
>> currency(c("AUD", "CAD", "CHF", "CZK", "DKK", "EUR", "GBP", "HKD",
>> "HUF", "ILS", "JPY", "KRW", "MXN", "NOK", "NZD", "PLN", "RUB", "SEK",
>> "SGD", "USD"))
>>
>> #Define British Pound Based Exchange Rates
>> exchange_rate(c("GBPAUD", "GBPCAD", "GBPCHF", "GBPHKD", "GBPJPY",
>> "GBPNOK", "GBPNZD", "GBPUSD"))
>>
>> --------------------------------------------------------
>>
>>
>> # Script code examples
>> symbols <- c("GBPJPY", "GBPMXN", "GBPNOK", "GBPNZD", "GBPUSD")
>>
>> for(symbol in symbols){
>> # Build Contract
>> contract <- buildIBcontract(symbol)
>>
>> # at this point I request data and save the files...I can provide the
>> code if needed.
>>
>> _______________________________________________
>> [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.