Using R Ibrokers twsOPT

Question

reqMktData(tws,twsOPT("AAPL 110820C00390000"))

or

reqMktData(tws,twsOPT("AAPL110820C00390000"))

result in: TWS message: 2 1 200 Security definition not found for query

Why?

reqMktData(tws,twsSTK("AAPL"))

works great.

The manpage says:

twsOption(local,
          expiry="",
          strike="",
          right="",
          exch="SMART",
          primary="",
          currency='USD',
          symbol='',
          multiplier="100",
          include_expired='0',
          conId=0)

Options contracts on TWS have certain rules that differ from standard data requests.

A local character is required. This can be found on the TWS home screen for contract details or online at www.interactivebrokers.com

Since a local character is required, all other values ​​are redundant. It’s best to just provide a local name and let TWS manage the search.

Answer 1

. 6 ( OSI), 5 4 .

, , .

> reqContractDetails(ibg, twsOPT("AAPL  110820C00390000"))
[[1]]
List of 18
  $ version       : chr "6"
  $ contract      :List of 16
..$ conId          : chr "86896934"
..$ symbol         : chr "AAPL"
..$ sectype        : chr "OPT"
..$ exch           : chr "SMART"
..$ primary        : chr ""
..$ expiry         : chr "20110819"
..$ strike         : chr "390.0"
..$ currency       : chr "USD"
..$ right          : chr "C"
..$ local          : chr "AAPL  110820C00390000"
..$ multiplier     : chr "100"
..$ combo_legs_desc: chr ""
..$ comboleg       : chr ""
..$ include_expired: chr ""
..$ secIdType      : chr ""
..$ secId          : chr ""
..- attr(*, "class")= chr "twsContract"
$ marketName    : chr "AAPL"
$ tradingClass  : chr "AAPL"
$ conId         : chr "86896934"
$ minTick       : chr "0.01"
$ orderTypes    : chr [1:44] "ACTIVETIM" "ADJUST" "ALERT" "ALGO" ...
$ validExchanges: chr [1:12] "SMART" "AMEX" "BATS" "BOX" ...
$ priceMagnifier: chr "1"
$ underConId    : chr "265598"
$ longName      : chr "APPLE INC"
$ contractMonth : chr "201108"
$ industry      : chr "Technology"
$ category      : chr "Computers"
$ subcategory   : chr "Computers"
$ timeZoneId    : chr "EST"
$ tradingHours  : chr "20110817:0930-1600;20110818:0930-1600"
$ liquidHours   : chr "20110817:0930-1600;20110818:0930-1600"

, as.twsContract:

as.twsContract(reqContractDetails(ibg, twsOPT("AAPL  110820C00390000")))

reqMktData :

reqMktData(ibg, twsOPT("AAPL  110820C00390000"))

## OR

reqMktData(ibg, twsOPT("",symbol="AAPL",right="C", strike="390", expiry="201108"))

Answer 2

, twsInstrument R-Forge

library(twsInstrument)

twsContract

getContract("AAPL  111217P00390000") 
getContract("AAPL     111217P00390000") #number of spaces does not matter
getContract("AAPL20111217P00390000") #year can be 4 digits or 2
getContract("AAPL_111217P00390000")
getContract("AAPL111217P00390000")
getContract("AAPL111217P390")
getContract("AAPL_111217P390")
getContract("AAPL_20111217P390")
getContract("AAPL_111217P390.00")

#by conId 
getContract("93189601") 
getContract(93189601) 

:

> getContract(93189601)
List of 16
 $ conId          : chr "93189601"
 $ symbol         : chr "AAPL"
 $ sectype        : chr "OPT"
 $ exch           : chr "SMART"
 $ primary        : chr ""
 $ expiry         : chr "20111216"
 $ strike         : chr "390"
 $ currency       : chr "USD"
 $ right          : chr "P"
 $ local          : chr "AAPL  111217P00390000"
 $ multiplier     : chr "100"
 $ combo_legs_desc: chr ""
 $ comboleg       : chr ""
 $ include_expired: chr ""
 $ secIdType      : chr ""
 $ secId          : chr ""

, . , IBrokers, Interactive Brokers , .

> getContract("ESM1")
Connected with clientId 100.
Trying to resolve error in contract details. Using include_expired=1
Contract details request complete. Disconnected.
 List of 16
 $ conId          : chr "73462897"
 $ symbol         : chr "ES"
 $ sectype        : chr "FUT"
 $ exch           : chr "GLOBEX"
 $ primary        : chr ""
 $ expiry         : chr "20110617"
 $ strike         : chr "0"
 $ currency       : chr "USD"
 $ right          : chr ""
 $ local          : chr "ESM1"
 $ multiplier     : chr "50"
 $ combo_legs_desc: chr ""
 $ comboleg       : chr ""
 $ include_expired: chr "1"
 $ secIdType      : chr ""
 $ secId          : chr ""