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problem with reqMktData

2 messages · Stephen Choularton, Enrico Schumann

Original
Stephen Choularton
# 
Hi

I can use this code to get historic data:

library("IBrokers")

sym1 <- 'ZS'
mkt1 <- 'ECBOT'
sym2 <- 'ZC'
mkt2 <- 'ECBOT'

contract1 <- twsContract(0,sym1, "CONTFUT", 
mkt1,"","","0.0","USD","","","",NULL,NULL,"0")

reqHistoricalData(tws, contract1, endDateTime = format(Sys.Date(), 
"%Y%m%d 24:00:00"), duration = "3 M")

but I can't get the code below to work

reqMktData(tws, contract1)

nor if I put a maturity in and use the same call like this

contract1 <- twsContract(0,sym1, "CONTFUT", 
mkt1,"","20181114","0.0","USD","","","",NULL,NULL,"0")

or

contract1 <- twsContract(0,sym1, "CONTFUT", 
mkt1,"","201811","0.0","USD","","","",NULL,NULL,"0")

although TWS specified this contract matures on 14 Nov.

All I get is:

TWS Message: 2 1 300 Can't find EId with tickerId:1
TWS Message: 2 1 321 Error validating request:-'bN' : cause - Please 
enter a valid security type

I have tried all sorts of alternates on the date but can't make it work 
and I tried this which I found on the web which was claimed to work:

 ??? contract = 
twsFuture(symbol="ES",exch="GLOBEX",primary="GLOBEX",currency="USD",expiry="20171215")
 ??? ESHistorical = reqHistoricalData(tws, contract)
 ??? ESRealTime = reqMktData(tws, contract)

but got a different error message:

TWS Message: 2 1 300 Can't find EId with tickerId:1
TWS Message: 2 1 200 No security definition has been found for the request

Can anyone tell me where I have gone wrong with my own definition?


----------------------------------------------------------------------------------------------------------------------------------- 

Stephen Choularton PhD, FIoD
Enrico Schumann
# 
On Do, 18 Okt 2018, Stephen Choularton writes:
I don't think you can request market data for
continuous contracts. As the IB docs say:

,----
| Continuous futures are available from the API with TWS
| v971 and higher. Continuous futures cannot be used with
| real time data or to place orders, but only for
| historical data.
`----

If I understand you correctly, you want data for
the soybeans Nov-18 future?

,----
| library("IBrokers")
| tws <- twsConnect()
| contract1 <- twsContract(
|     local = "ZS   NOV 18",
|     sectype = "FUT", 
|     exch = "ECBOT",
|     currency = "USD",
|     include_expired = "1",
|     conId = "", symbol = "",
|     primary = "", expiry = "", 
|     strike = "", right = "",
|     multiplier = "", combo_legs_desc = "", 
|     comboleg = "", secIdType = "", secId = "")
| reqMktData(tws, contract1)
`----

See the description for the contract specification here:
https://github.com/enricoschumann/IButils#finding-the-contract-specification