R/IBinterface.R

In Amuraivel/tradeMaster: A Framework for Multi-Asset Multi-Strategy Option Portfolios

library(tidyr)
library(dplyr)
library(readr)
library(IBrokers)
library(quantmod)
library(RSQLite)
#install.packages("rPython")
#python.exec( "import math" )
#python.get( "math.pi" )
#indices     <- read_csv("./data/index.csv")
#dbWriteTable(con, "Indices", indices)
#rm(indices)
#dbListTables(con)
#workingDirectory <- "~/Programming/tradeMaster";
#setwd(workingDirectory)

con         <- dbConnect(RSQLite::SQLite(),"./data/database_file.sqlite")
indices     <- dbGetQuery(con, "SELECT * FROM Indices")
dbDisconnect(con)

tblES <- as.tbl(cbind(data.frame(id=index(ES)),data.frame(ES[,1:ncol(ES)])))

my_db <- src_mysql(host = "patstat.cq2v32gzlgqv.us-west-2.rds.amazonaws.com", user = "mark",
                   password = "june11octo17",dbname="AWS")
copy_to(my_db,tblES,"IB_FUTURES",temporary=FALSE)
tbl(my_db,"IB_FUTURES")

db_insert_to(con = my_db$con, table = "IB_FUTURES", )
write_to(name="IB_FUTURES",schema="AWS")

#'
#'
#'
#'
#'
#' @export getPortfolioPositions
getPortfolioPositions <<- function(positions){
getPortfolioPosition <<- function(position){
    contract         <- position$contract
    portfolioValue   <- position$portfolioValue
    data.frame(conID=contract$conId,
               symbol=contract$symbol,
               sectype=contract$sectype,
               exch=contract$exch,
               primary=contract$primary,
               expiry=contract$expiry,
               strike=contract$strike,
               currency=contract$currency,
               right=contract$right,
               local=contract$local,
               multiplier=contract$multiplier,
               combo_legs_desc=contract$combo_legs_desc,
               comboleg=contract$comboleg,
               include_expired=contract$include_expired,
               secIdType=contract$secIdType,
               secId=contract$secId,
               position=portfolioValue$position,
               marketPrice=portfolioValue$marketPrice,
               marketValue=portfolioValue$marketValue,
               averageCost=portfolioValue$averageCost,
               unrealizedPNL=portfolioValue$unrealizedPNL,
               realizedPNL=portfolioValue$realizedPNL,
               accountName=portfolioValue$accountName
               )
    }

d <- NA
for (i in 1:length(positions)){
  if(i==1){
    d <- getPortfolioPosition(positions[[i]])
  } else {
    d <- rbind(d,getPortfolioPosition(positions[[i]]))
  }
}
d
}

positionArray <- getPortfolioPositions(positions)
##Get the percent
positionArray <- positionArray %>% group_by(symbol,expiry) %>%
  mutate(totalPnL = sum(unrealizedPNL),mktValue = sum(marketValue),totalCost =  sum(averageCost) ) %>%
  filter(expiry!="") %>%
  mutate(percent = totalPnL/totalCost)  %>%
  #Cast things to character
  transform(conID = as.character(conID)) %>%
  transform(symbol = as.character(symbol)) %>%
  transform(sectype = as.character(sectype)) %>%
  transform(exch = as.character(exch)) %>%
  transform(primary = as.character(primary)) %>%
  transform(expiry = as.character(expiry)) %>%
  transform(strike = as.character(strike)) %>%
  transform(currency = as.character(currency)) %>%
  transform(right = as.character(right)) %>%
  transform(local = as.character(local)) %>%
  transform(multiplier = as.character(multiplier)) %>%
  transform(combo_legs_desc = as.character(combo_legs_desc)) %>%
  transform(comboleg = as.character(comboleg)) %>%
  transform(secIdType = as.character(secIdType)) %>%
  transform(secId = as.character(secId)) %>%
  arrange(desc(percent))

p <- 1;
contract <- twsContract(
            conId=positionArray[p,"conID"],
            symbol=positionArray[p,"symbol"],
            sectype=positionArray[p,"sectype"],
            exch=positionArray[p,"exch"],
            primary=positionArray[p,"primary"],
            expiry=positionArray[p,"expiry"],
            strike=positionArray[p,"strike"],
            currency=positionArray[p,"currency"],
            right=positionArray[p,"right"],
            local=positionArray[p,"local"],
            multiplier=positionArray[p,"multiplier"],
            combo_legs_desc=positionArray[p,"combo_legs_desc"],
            comboleg=positionArray[p,"comboleg"],
            include_expired="0",
            secIdType = positionArray[p,"secIdType"],
            secId = positionArray[p,"secId"]
)

field <- "TRADES" # "OPTION_IMPLIED_VOLATILITY"
tws <- twsConnect()
id <- reqIds(tws)
order <- twsOrder(id, action = "BUY", totalQuantity = "1",orderType = "LMT",lmtPrice = "1")
#placeOrder(tws, contract, order)
placeOrder(tws, contract, order)

portfolio <- reqAccountUpdates(tws, acctCode = "LANDS")
#Get element 2


twsFuture()
future <- twsFuture("ES","GLOBEX","201706")
#assign("ES",reqHistoricalData(tws,future,barSize="1 min",duration="5 D",whatToShow=field))


myWrapper <- eWrapper()
myWrapper$tickPrice <- function(msg, timestamp, file, ...) {}

# add new tickPrice action
myWrapper$tickPrice <- function(msg, timestamp, file, ...) {
  print(paste("Call back called."))
  #print(paste(msg))
  print(paste(cat("tickPrice",msg))
  #cancelMktData(tws,0)
}
reqMktData(tws,future,tickGenerics="106",eventWrapper = myWrapper)



#Get historical data
for (i in 1:nrow(indices)){
  #Get ticker
  ticker    <- indices[i,"ticker"]
  #Create contract
  contract  <- twsEquity(paste(ticker),'SMART')
  if(ticker %in% c("CSCO","MSFT","AAPL","INTC")) contract <-  twsEquity(paste(ticker),'SMART','ISLAND')
  #Assign it to the environment
  assign(ticker,reqHistoricalData(tws,contract,barSize="1 sec",duration="5 min",whatToShow=field))
  #build the data frame

  Sys.sleep(10)
  print(paste(ticker))
}

ticks <-indices$ticker[order(indices$ticker)]#
  for (i in 1:length(ticks)){
    #Get ticker
    ticker    <- ticks[i]
    d <- get(ticker)
    if(i == 1) dat <<- d
    dat <<- merge(dat,d)
}

tsDat <- dat[,which(grepl(".Close$",names(dat)) == 1 )]
tsDat <- diff(log(tsDat))
tsDat <- tsDat[complete.cases(tsDat),]
names(tsDat) <- indices$ticker
cor(tsDat)

weights <- tsDat[nrow(tsDat),-which(names(tsDatPX) %in% c("DIA","SPY","QQQ"))]
weights <- weights/sum(weights)


indexWeights <- cov(tsDatPX[,-which(names(tsDatPX) %in% c("DIA","SPY","QQQ"))])
rM <- tsDatPX[,-which(names(tsDatPX) %in% c("","SPY","QQQ"))]
get_index_weights("DIA",returnMatrix = rM)
compute_index_volatility <- compute_index_volatility(weights,SIGMA)




constituentIV <- tsDatVol[,-which(names(tsDatVol) %in% c("DIA","SPY","QQQ"))]


timeScale <- 252*6.5*60
computeIndexIVfromConstituentIV(weights,optionCovariance,constituentIV,timeScale)


weights <- sum()

tsDat[1:2,-c(31:33)]

lm(QQQ ~ -1 + AAPL + MMM + AXP  + BA + CAT + CVX + CSCO + KO + DD +
  XOM + GE + GS + HD + IBM + INTC + JNJ + JPM + MCD + MRK +
  MSFT + NKE + PFE + PG + TRV + UNH + UTX + VZ + V + WMT +
  DIS, tsDatPX[1:100,])




tws <- twsConnect()
contract  <- twsEquity("AAPL",'SMART','ISLAND')
reqMktData(tws, contract,snapshot = FALSE, tickGenerics = "100,101,104,106,165,221,225,236")

# remove tickPrice action
myWrapper <- eWrapper()

myWrapper$tickPrice <- function(msg, timestamp, file, ...) {}

# add new tickPrice action
myWrapper$tickPrice <- function(msg, timestamp, file, ...) {
  print(paste("Venus is a planet."))
  cancelMktData(tws,0)
}

myWrapper$tickGeneric <- function(msg, timestamp, file, ...) {}
myWrapper$tickGeneric <- function(msg, timestamp, file, ...) { cancelMktData(tws,0) }

# add new data into the object, and retrieve
myWrapper$assign.Data("myData", 1010)
myWrapper$get.Data("myData")

## Not run:
tws <- twsConnect()
reqMktData(tws, twsSTK("SBUX"), eventWrapper=myWrapper)
twsDisconnect(tws)

reqMktData(tws, snapshot = TRUE, Contract=twsSTK("SBUX"),tickGenerics="106,165,221,225,236")
reqMktData(tws, snapshot = TRUE, Contract=twsSTK("SBUX"))



















comparison <- data.frame(trueWeights=weights,imputedWeights=imputedWeights)
comparison$delta <- comparison[,2] - comparison[,1]
comparison <- round(comparison,4)
weightSums <- apply(comparison,2,sum)
names(weightSums) <- weightSums;
comparison <- rbind(comparison,weightSums)


fn <- function(t,Y,X){
  grf <- 0*matrix(1,nrow=nrow(as.matrix(X)),ncol=1)
  g <- matrix(1,nrow=nrow(X),ncol=1)
  amat <- matrix(Y*g-grf,ncol=1)
  return(amat)
}



 read.csv(paste0(workingDirectory,"/data/AAPL.csv"),header=FALSE)
names() <- c("","Open", "High", "Low",  "Close", "Volume", "WAP", "hasGaps", "Count")

myWrapper <- eWrapper()
myWrapper$tickPrice <- function(msg, timestamp, file, ...) { cat("tickPrice",msg) }
myWrapper$assign.Data("myData", 1010)
myWrapper$get.Data("myData")
reqMktData(tws, twsSTK("AAPL"), eventWrapper=myWrapper)
twsDisconnect(tws)