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rugarch vs fgarch

13 messages · Abhishek Gupta, omerle, Alexios Ghalanos +4 more

Original
omerle
# 
Dear,

1 - Quotes from futures combo

I need quotes from futures combo but I cant find how to find these quotes.
I can place combo orders but I can't find how to get the quotes. For instance, I would 
like to have the quotes of the combo between ECO AUG12 (83617918) and ECO NOV12 
(87689647).
Do you have any idea ? 
Which part of the IB API documentation should I check ?
That's quite important for me !

2 - reqIds

If I understand well reqIds, it doesnt give the next iDs from Interactive Broker but the 
last iDs + 1 of the R session or TWS. Sometimes it doesn't work for me because when I 
relaunch R or TWS it forgets the real last iDs.
When the iDs count is relaunch ? How can I relaunch it ?


Thanks a lot,

Olivier MERLE

Une messagerie gratuite, garantie ? vie et des services en plus, ?a vous tente ?
Je cr?e ma bo?te mail www.laposte.net
Alexios Ghalanos
# 
You can do this with rugarch (and possibly fGarch) by passing the 
external regressors (factors) in the conditional mean equation. The 
documentation and vignette should provide enough information to enable 
you to figure out how to do this. You can also adopt a 2-stage approach 
in which case any GARCH package can do this (by passing the residuals 
from a first stage regression).

-Alexios
On 19/07/2012 12:57, Abhishek Gupta wrote:
G See
# 
I don't have a complete answer, but I don't think you directly request
a quote for a twsBAG.  You could get a quote for each leg and
calculate it yourself.  Below is an example.  I hope you don't mind if
I use the get_quote function from my twsInstrument package
(https://r-forge.r-project.org/R/?group_id=1113).  I don't know how IB
calculates the BidSize and AskSize of a combo, but you can look at how
I calculated it and see if it makes sense.

[I don't trade subscribe to market data for MATIF, so below I'll make
a combo between SPY and DIA.  Note that the ratio I chose is by no
means a recommendation -- I just picked a number that would make the
spread close to dollar neutral]

require("twsInstrument")
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"
    )
)

## Get a quote for both legs

(tmp <- get_quote(c(bag$comboleg[[1]]$conId, bag$comboleg[[2]]$conId)))
#    BidSize BidPrice AskPrice AskSize   Last LastSize Volume
#SPY     108   137.45   137.46     138 137.45        3 385111
#DIA      25   129.10   129.11      23 129.09        1  10656

data.frame(BidSize=min(c(as.numeric(bag$comboleg[[1]]$ratio) * tmp$BidSize[1],
                   as.numeric(bag$comboleg[[2]]$ratio) * tmp$AskSize[2])),
           BidPrice=as.numeric(bag$comboleg[[1]]$ratio) * tmp$BidPrice[1] -
                    as.numeric(bag$comboleg[[2]]$ratio) * tmp$AskPrice[2],
           AskPrice=as.numeric(bag$comboleg[[1]]$ratio) * tmp$AskPrice[1] -
                    as.numeric(bag$comboleg[[2]]$ratio) * tmp$BidPrice[2],
           AskSize=min(c(as.numeric(bag$comboleg[[1]]$ratio) * tmp$AskSize[1],
                   as.numeric(bag$comboleg[[2]]$ratio) * tmp$BidSize[2])),
           row.names=paste(rownames(tmp), collapse="."))

#        BidSize BidPrice AskPrice AskSize
#SPY.DIA   24.38   0.5934    0.614    26.5

HTH,
Garrett
On Thu, Jul 19, 2012 at 8:18 AM, omerle <omerle at laposte.net> wrote:
Stergios Marinopoulos
# 
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 examples if interested.)

Try using IBrokers twsBAG() function to create a combo contract, and use the returned object as the contract?to IBrokers's equivalent of reqMktData() and data should start streaming.

--
Stergios Marinopoulos
G See
# 
On Thu, Jul 19, 2012 at 10:09 AM, Stergios Marinopoulos
<stergios_marinopoulos at yahoo.com> wrote:
I'm unable to get that to work.  If anyone else can get it to work,
please share your secret.

Thanks,
Garrett
Stergios Marinopoulos
# 
I took Garrett's example and tried to get it working using IBrokers. ?It's starts writing data to a file as expected, but then the error below is produced and quote data is no longer written to the file.?

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 <gsee000 at gmail.com>
To: Stergios Marinopoulos <stergios_marinopoulos at yahoo.com>
Cc: omerle <omerle at laposte.net>; "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
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
<stergios_marinopoulos at yahoo.com> wrote:
I'm unable to get that to work.? If anyone else can get it to work,
please share your secret.

Thanks,
Garrett
Me
# 
Hi Stergios

I believe it is your ratios. They have to be integers.
your second one is      

ratio = "1.06"

You will have to calculate the most feasible rational approximation to
your beta of

-1.06/1

One solution would be

-21/20   ~   -1.05

So you could set

leg1: ratio = "21"
leg2: ratio = "20"

That should do it.

Cheers

Soren

http://censix.com


On Thu, 19 Jul 2012 08:28:17 -0700 (PDT)
Stergios Marinopoulos <stergios_marinopoulos at yahoo.com> wrote:

            

      
      
      
    

        

      
      
    

        
------------------------------------------------------------------
Soren Wilkening

http://censix.com

  
  


  


      

    

    

      
      

        


  

        

      G See
    

    

      
      #
    

  


  

      
:-( I'm afraid it doesn't even work with "1" and "1"

Were you able to get market data for a twsBAG, Soren?

In May, Jeff suggested it doesn't work:
https://stat.ethz.ch/pipermail/r-sig-finance/2012q2/010258.html

        
On Thu, Jul 19, 2012 at 11:36 AM, me <me at censix.com> wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

  
  


  


      

    

    

      
      

        


  

        

      Stergios Marinopoulos
    

    

      
      #
    

  


  

      
I think see the problem. ?Looking at the TWS error log, I can see that IBrokers reqMkData() is requesting the following generic tick types by default: "100,101,104,106,165,221,225,236", (and this is documented in IBroker's reqMktData() 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 <stergios_marinopoulos at yahoo.com>
To: G See <gsee000 at gmail.com>
Cc: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
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 writing data to a file as expected, but then the error below is produced and quote data is no longer written to the file.?

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 <gsee000 at gmail.com>
To: Stergios Marinopoulos <stergios_marinopoulos at yahoo.com>
Cc: omerle <omerle at laposte.net>; "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
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

        
<stergios_marinopoulos at yahoo.com> wrote:

            

      
      
      
    

        
I'm unable to get that to work.? If anyone else can get it to work,
please share your secret.

Thanks,
Garrett

_______________________________________________
R-SIG-Finance at r-project.org 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.

  
  


  


      

    

    

      
      

        


  

        

      Jeff Ryan
    

    

      
      #
    

  


  

      
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

        
<stergios_marinopoulos at yahoo.com> wrote:

            

      
      
      
    

        

      
      
    

        

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Jeff Ryan
    

    

      
      #
    

  


  

      
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 <jeffrey.ryan at lemnica.com> wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Jeff Ryan
    

    

      
      #
    

  


  

      
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 <jeffrey.ryan at lemnica.com> wrote: