reqMktDepth
OK, so I have that generic US subscription that costs you nothing if you
produce more than $30 commissions a month. Do you think that means I
have to go for the more specific subscriptions (which I think cost more)?
Second, I am directly subscribed for ASX but didn't get the desired
results I get this (the market was open at the time):
> tws <- twsConnect(9)
> tws
<twsConnection,9 @ 20101214 10:01:45 Eastern Standard Time (New South
Wales), nextId=>
>
> reqMktDepth(tws, list(twsEquity("CBA","ASX","AUD")))
TWS Message: 2 -1 2104 Market data farm connection is OK:aufarm
TWS Message: 2 -1 2106 HMDS data farm connection is OK:hkhmds2
TWS Message: 2 -1 2106 HMDS data farm connection is OK:ushmds2a
TWS Message: 2 1 200 No security definition has been found for the request
>
PS I can get data with reqMktData(con, list(twsEquity("CBA","ASX","AUD")))
Stephen Choularton Ph.D., FIoD
On 14/12/2010 9:05 AM, Jeff Ryan wrote:
Stephen, The issue is actually due to permissions NOT IBrokers. ARCA and ISLAND now require data subscriptions. You don't get an error message or an explanation unless you try it in the TWS itself.
From IBrokers, you need to select an exchange, or in the TWS subscribe
to the exchanges that are causing the error for you. This works for me randomly ...
reqMktDepth(tws, twsSTK("AAPL",exch="BATS"))
TWS Message: 2 1 310 Can't find the subscribed market depth with tickerId:1 <20101213 15:59:04.646251>,id=1,pos=0,operation=insert,side=bid,price=321.86,size=1 <20101213 15:59:04.647362>,id=1,pos=0,operation=insert,side=ask,price=323.95,size=70 <20101213 15:59:42.995142>,id=1,pos=0,operation=delete,side=bid,price=0,size=0 <20101213 16:00:00.349464>,id=1,pos=0,operation=delete,side=ask,price=0,size=0 HTH, Jeff On Mon, Dec 13, 2010 at 2:24 PM, Jeff Ryan<jeff.a.ryan at gmail.com> wrote:
I think the IB API has changed, I will look into it and get a patch out. Thanks for the report. Best, Jeff On Mon, Dec 13, 2010 at 1:29 PM, Stephen Choularton <stephen at organicfoodmarkets.com.au> wrote:
I'm trying to use market depth information but falling at the first fence.
This code:
library(IBroker)
tws<- twsConnect(9)
tws
#reqMktDepth(tws, list(twsEquity("CBA","ASX","AUD")))
#reqMktData(con, list(twsEquity("CBA","ASX","AUD")))
# write to a file
#reqMktDepth(tws, twsEquity("CBA","ASX","AUD"), file='c:/rMktDepth/out.dat')
reqMktDepth(tws, twsEquity("GOOG"))
#reqMktDepth(tws, twsEquity("GOOG"), file='c:/rMktDepth/out.dat')
closeAllConnections()
Produces:
tws<- twsConnect(9)
tws
<twsConnection,9 @ 20101214 06:18:55 Eastern Standard Time (New South Wales), nextId=1>
#reqMktDepth(tws, list(twsEquity("CBA","ASX","AUD")))
#reqMktData(con, list(twsEquity("CBA","ASX","AUD")))
# write to a file
#reqMktDepth(tws, twsEquity("CBA","ASX","AUD"),
file='c:/rMktDepth/out.dat')
reqMktDepth(tws, twsEquity("GOOG"))
# reqMktDepth(tws, twsEquity("GOOG"), file='c:/rMktDepth/out.dat')
TWS Message: 2 -1 2104 Market data farm connection is OK:aufarm TWS Message: 2 -1 2104 Market data farm connection is OK:usfarm [hanging so hit Esc]
closeAllConnections()
Can anyone see what I'm doing wrong? -- Stephen Choularton Ph.D., FIoD
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-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com