Syntax - symbol problem

Message: 1
Date: Wed, 1 Mar 2017 22:26:52 +0100
From: Christian Lear <cl1 at infomaniak.ch>
To: Enrico Schumann <es at enricoschumann.net>
Cc: R-SIG-Finance at r-project.org
Subject: Re: [R-SIG-Finance] Syntax - symbol problem
Message-ID: <A64688DB-D091-4E5B-A731-2B77010AF34A at infomaniak.ch>
Content-Type: text/plain; charset=utf-8

Thank you, Enrico, for your suggestion.

It does not seem to get the data from IB on the currency contracts.  Looking at the database / list closer, the second page defining the moving averages has a default USD input.  So I do have 4 attributes, which may be the reason I am getting data for metals and energies.  If anyone out there is using IB successfully on currency futures contracts, grains and options on all of the above, thanks for letting me know outside of the mailing list to avoid clogging it.

Cheers,

Christian

On Mar 1, 2017, at 11:13 AM, Enrico Schumann <es at enricoschumann.net> wrote:

On Wed, 01 Mar 2017, Christian Lear writes:

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

1) In my experience, you need four attributes to
  reliably specify a contract: the local symbol, the
  exchange, the currency and the security type. For
  6E futures, that would mean

  symbol = 6EH7
  exchange = GLOBEX
  currency = USD
  type = FUT

2) An easy and _safe_ way is to keep a list/database of
  contracts with the four mentioned attributes, and
  then refer to this list when contract information is
  needed.


--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net