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IBrokers Requesting Historical Futures?

I tried to request historical futures data, but for a beginner, the ibrokers.pdf document is not well documented. Gold Miny Contract Dec11 NYSELIFFE example:

goldminy<-twsFuture("YG","NYSELIFFE","201112",multiplier="33.2")
reqHistoricalData(conn,
Contract= "goldminy",
endDateTime"",
barSize = "1 S",
duration = "1 D",
useRTH = "0",
whatToShow = "TRADES","BID", "ASK", "BID_ASK",
timeFormat = "1",
tzone = "",
verbose = TRUE,
tickerId = "1",
eventHistoricalData,
file)

I also do not know how to specify some data parameters correctly?

whatToShow? I need date, time, BidSize, Bid, Ask, AskSize, Last, LastSize, Volume

tickerID?

eventHistoricalData?

file?

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1 answer

twsInstrument ( RForge), . getContract , - . :
" YG_Z1 "," YG_Z11 "," YGZ1 "," YGZ11 "," YGZ2011 "," YGDEC2011 "," YG_DEC2011 " ..
( conId )

> library(twsInstrument)
> goldminy <- getContract("YG_Z1")
Connected with clientId 100.
Contract details request complete. Disconnected.
> goldminy
List of 16
 $ conId          : chr "42334455"
 $ symbol         : chr "YG"
 $ sectype        : chr "FUT"
 $ exch           : chr "NYSELIFFE"
 $ primary        : chr ""
 $ expiry         : chr "20111228"
 $ strike         : chr "0"
 $ currency       : chr "USD"
 $ right          : chr ""
 $ local          : chr "YG   DEC 11"
 $ multiplier     : chr "33.2"
 $ combo_legs_desc: chr ""
 $ comboleg       : chr ""
 $ include_expired: chr "0"
 $ secIdType      : chr ""
 $ secId          : chr ""

NYSELIFFE, e-mini S & apr. 2011 .

,

tws <- twsConnect()
hist.data <- reqHistoricalData(tws, getContract("ES_Z1"))

, "TRADES" data​​p >

> colnames(hist.data)
[1] "ESZ1.Open"    "ESZ1.High"    "ESZ1.Low"     "ESZ1.Close"   "ESZ1.Volume" 
[6] "ESZ1.WAP"     "ESZ1.hasGaps" "ESZ1.Count"

whatToShow "TRADES "," BID "," ASK" "BID_ASK". whatToShow = 'BID', OHLC .. BID. "BID_ASK" , Ask High, Bid Low.

, , , Interactive Brokers 6 60 . 10 ( , 30 , 3 , , BID -, ASK )

getBAT BID, ASK TRADES xts, :

> getBAT("ES_Z1")
Connected with clientId 120.
waiting for TWS reply on ES ............. done.
Pausing 10 seconds between requests ...
waiting for TWS reply on ES .... done.
Pausing 10 seconds between requests ...
waiting for TWS reply on ES .... done.
Pausing 10 seconds between requests ...
Disconnecting ... 
[1] "ES_Z1"
> tail(ES_Z1)
                    ES.Bid.Price ES.Ask.Price ES.Trade.Price ES.Mid.Price
2011-09-27 15:09:00      1170.25      1170.50        1170.50     1170.375
2011-09-27 15:10:00      1170.50      1170.75        1170.50     1170.625
2011-09-27 15:11:00      1171.25      1171.50        1171.25     1171.375
2011-09-27 15:12:00      1171.50      1171.75        1171.50     1171.625
2011-09-27 15:13:00      1171.25      1171.50        1171.25     1171.375
2011-09-27 15:14:00      1169.75      1170.00        1170.00     1169.875
                    ES.Volume
2011-09-27 15:09:00      6830
2011-09-27 15:10:00      4509
2011-09-27 15:11:00      4902
2011-09-27 15:12:00      6089
2011-09-27 15:13:00      6075
2011-09-27 15:14:00     14380

LastSize, Volume. "", getBAT, , . , 1 , 1 .

, twsInstrument: , , , , , .

reqHistoricalData(tws, twsFuture("YG","NYSELIFFE","201112"))

e-mini S & P:

> mydata <- reqHistoricalData(tws, twsFuture("ES","GLOBEX","201112"), barSize='1 min', duration='5 D', useRTH='0', whatToShow='TRADES')
waiting for TWS reply on ES .... done.

> head(mydata)
                    ESZ1.Open ESZ1.High ESZ1.Low ESZ1.Close ESZ1.Volume ESZ1.WAP ESZ1.hasGaps ESZ1.Count
2011-09-21 15:30:00   1155.25   1156.25  1155.00    1155.75        3335  1155.50            0        607
2011-09-21 15:31:00   1155.75   1156.25  1155.50    1155.75         917  1155.95            0        164
2011-09-21 15:32:00   1155.75   1156.25  1155.50    1156.00         859  1155.90            0        168
2011-09-21 15:33:00   1156.00   1156.25  1155.50    1155.75         642  1155.83            0        134
2011-09-21 15:34:00   1155.50   1156.00  1155.25    1155.25        1768  1155.65            0        232
2011-09-21 15:35:00   1155.25   1155.75  1155.25    1155.25         479  1155.45            0         94

, barSize "1 S", , "60 S". IB

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