getIBForexHist: Download FX Historical Data

In ivanliu1989/RQuantAPI: A collection of functions of API connections from different brokers

Description

Makes a request to the Interactive Brokers Trader Workstation (TWS), and returns an xts object containing the results of the request if successful.

Usage

getIBForexHist(tws = NULL, duration = "5 Y", barsize = "1 day",
  Cur1 = "USD", Cur2 = "CAD")

Arguments

tws	connection to current TWS account, if NULL, a new connection will be created within the function
duration	time span the request will cover
barsize	bar size to retrieve
Cur1	symbol of the first currency
Cur2	symbol of the second currency

Details

Legal barSize settings are technically '1 secs','5 secs','15 secs','30 mins','1 min','2 mins', '3 mins','5 mins','15 mins', '30 mins','1 hour','1 day', '1 week','1 month','3 months', and '1 year'. They must be specified exactly and there is no guarantee from the API that all will work for all securities or durations. The duration string must be of the form 'n S' where the last character may be any one of 'S' (seconds), 'D' (days), 'W' (weeks), 'M' (months), and 'Y' (year). At present the limit for years is 1.

Value

A list of Bid, Ask and Bid_Ask prices

Examples

library(IBrokers)
tws <- twsConnect(port = 7497)
USDCAD <- getIBForexHist(tws, "10 Y", "1 day", "USD", "CAD")
USDAUD <- getIBForexHist(tws, "10 Y", "1 day", "AUD", "USD")

ivanliu1989/RQuantAPI documentation built on Sept. 13, 2019, 11:54 a.m.