Hi,
I?m using Interactive Brokers (IB) data feed running through R code (R
studio) with moving average filters on futures contracts.
I have listed the contracts in an excel sheet. The sheet has 4
columns, contract (or ticker) i.e. ?CLJ7" for April 2007 Crude Oil,
Security Type ?Future?, Exchange ?NYMEX? and Use 1 or 0 to activate
the excel line (contract) or not.
My program works perfectly for Nymex energy contracts (CL, NG, RB,
HO), Nymex metals (GC, SI, etc.), Globex mini S&P (ES). However, the
program stops working and has an error when running Globex Euro FX
(6E), Japanese Yen (6J) and the other currencies. Note that the
currency contracts have the same syntax as the Nymex Energy, and Nymex
metals, namely ?TickerMonthYear" (6EM7, CLJ7, GCJ7 etc.)
1. Does anyone know why the program fails to
recognize the currency futures contracts? Any
suggestions?
Grains are also a problem. IB uses a different symbol structure,
namely Ticker MONth YEar ?ZS MONabbrev YEar? (ZS JUL 17).
2. How would you solve for one code to read both the
CL contracts and the Grains ticker, knowing that the
symbol structure is different? Any ideas?
I can send a short code and excel sheet test list to better
demonstrate the issue.
Thanks for your help.
Christian