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Unable to get option historical data using IBrokers

2 messages · Marc Delvaux

Original
Marc Delvaux
# 
I am trying to use IBrokers to get historical data for options.? The
exact problem is the inability to figure how to construct a valid
contract or in general to construct a valid request for options
historical data

Details:
-????????? Working under windows, version 2.10.1
-????????? IBrokers reports version 0.2.7 (alpha)
-????????? TWS reports Build 906.2, Jun 10, 2010 6:27:24 PM
-????????? I am able to connect and download stock historical data

I tried to use both the local symbol found using the TWS contact
details and the contract ID, and playing with some function
parameters, but to no avail at this time.  I guess I just need one
small nudge to see what I do wrong, but currently I am poking in the
dark and would appreciate any help.  Example session below.

On a side topic, thank you Jeff for IBrokers, it is a tremendous
simpler way to get data in R than trying to use directly the IB API.

Regards

Marc Delvaux


R version 2.10.1 (2009-12-14)
Copyright (C) 2009 The R Foundation for Statistical Computing
ISBN 3-900051-07-0

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

IBrokers version 0.2-7: (alpha)
Implementing API Version 9.62

This software comes with NO WARRANTY.  Not intended for production use!
See ?IBrokers for details
[Previously saved workspace restored]
_
platform       i386-pc-mingw32
arch           i386
os             mingw32
system         i386, mingw32
status
major          2
minor          10.1
year           2009
month          12
day            14
svn rev        50720
language       R
version.string R version 2.10.1 (2009-12-14)
Loading required package: xts
Loading required package: zoo
TWS Message: 2 -1 2104 Market data farm connection is OK:usopt
TWS Message: 2 -1 2104 Market data farm connection is OK:usfarm
TWS Message: 2 -1 2106 HMDS data farm connection is OK:ushmds2a
waiting for TWS reply ..... done.
An ?xts? object from 2010-05-13 to 2010-06-11 containing:
  Data: num [1:21, 1:8] 263 255 255 257 250 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:8] "AAPL.Open" "AAPL.High" "AAPL.Low" "AAPL.Close" ...
 - attr(*, "from")= chr "20100512  18:43:14"
 - attr(*, "to")= chr "20100612  18:43:14"
 - attr(*, "src")= chr "IB"
 - attr(*, "updated")= POSIXct[1:1], format: "2010-06-12 10:43:15.887"
  Indexed by objects of class: [POSIXt,POSIXct] TZ:
  xts Attributes:
List of 4
 $ from   : chr "20100512  18:43:14"
 $ to     : chr "20100612  18:43:14"
 $ src    : chr "IB"
 $ updated: POSIXct[1:1], format: "2010-06-12 10:43:15.887"
TWS Message: 2 1 366 No historical data query found for ticker id:1
waiting for TWS reply .....
Error: Unable to complete historical data request
In addition: Warning message:
In errorHandler(con, verbose, OK = c(165, 300, 366, 2104, 2106,  :
  No security definition has been found for the request.
Marc Delvaux
# 
Poking around, I am now able to retrieve the correct historical data.
The breakthrough was to understand that I could use reqContractDetails
to get a list of valid Contracts and finally to understand the
limitation on the number of bars returned.   It also seems that you
can ask other barSize than "1 min" contrary to the remark in the help
file of reqHistoricalData.

Jeff, I cannot thank you enough to release such a wonderful package.
2 -1 2104 Market data farm connection is OK:usopt
2 -1 2104 Market data farm connection is OK:usfarm
2 -1 2106 HMDS data farm connection is OK:ushmds2a
+                     Contract = nly_opts[[1]]$contract,
+                          barSize = "30 mins",
+                     duration = "20 D",
+                                       whatToShow = "BID")
TWS Message: 2 1 366 No historical data query found for ticker id:1
waiting for TWS reply ....... done.
An ?xts? object from 2010-05-14 06:30:00 to 2010-06-11 12:30:00 containing:
  Data: num [1:260, 1:8] 0.25 0.29 0.3 0.31 0.31 0.32 0.32 0.32 0.3 0.31 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:8] "NLY   110122P00010000.Open" "NLY
110122P00010000.High" "NLY   110122P00010000.Low" "NLY
110122P00010000.Close" ...
 - attr(*, "from")= chr "20100523  23:27:49"
 - attr(*, "to")= chr "20100612  23:27:49"
 - attr(*, "src")= chr "IB"
 - attr(*, "updated")= POSIXct[1:1], format: "2010-06-12 15:27:52.081"
  Indexed by objects of class: [POSIXt,POSIXct] TZ:
  xts Attributes:
List of 4
 $ from   : chr "20100523  23:27:49"
 $ to     : chr "20100612  23:27:49"
 $ src    : chr "IB"
 $ updated: POSIXct[1:1], format: "2010-06-12 15:27:52.081"

Marc Delvaux
On Sat, Jun 12, 2010 at 10:49 AM, Marc Delvaux <mdelvaux at gmail.com> wrote: