instrument.tws: instrument class constructor.

Description Usage Arguments Details Note

View source: R/instrument.R


instrument class constructor. Slightly modified version of FinancialInstrument function by same name


instrument.tws(primary_id = "", ..., currency = "", multiplier = "",
  tick_size = NULL, identifiers = NULL, type = NULL, assign_i = FALSE)



string describing the unique ID for the instrument


string describing the currency ID of an object of type currency


numeric multiplier to apply to the price in the instrument currency to get to notional value


the tick increment of the instrument price in it's trading venue, as numeric quantity (e.g. 1/8 is .125)


named list of any other identifiers that should also be stored for this instrument


instrument type to be appended to the class definition, typically not set by user


TRUE/FALSE if TRUE, assign the instrument to the .instrument environment, default FALSE


any other passthru parameters including ‘underlying_id’ for derivatives: the identifier of the instrument that this one is derived from.


This function masks the instrument function from FinancialInstrument. The main difference is thatthis version allows a blank instrument template to be created (but usually not stored)It is not necessary to define a currency, or to provide primary_id, or multiplier. If no primary_id is provided, the assign_i argument will be overridden, and the instrument will not be stored.

Currently everything in the twsInstrument package will function properly with the original (FinancialInstrument) version. However, it can be inhibiting.

For example, knowing only the conId, you could get all of the details of a tradeable security from Interactive Brokers. Therefore, it would be nice to store conIds in instrument slots even before we know anything else about the instrument. With the original instrument function you cannot do this. In addition to having to know the primary_id, multiplier and currency of the instrument, you would have also have to have previously defined the instrument's currency.

Most function do not attempt to create an instrument without fulfilling the prerequisites. The exception is define_stocks. If it is called with currency="" or currency=NULL it will create an instrument without a currency, and then request that IB fill it in. This is useful if you are defining several stocks that are not all denominated in the same currency.

(Below is pasted from original instrument function) In ... you may pass any other arbitrary instrument fields that will be used to create 'custom' fields. S3 classes in are basically lists with a class attribute. We use this to our advantage to allow us to set arbitrary fields.

identifiers should be a named list to specify other identifiers beyond the primary_id. Please note that whenever possible, these should still be unique. Perhaps Bloomberg, Reuters-X.RIC, CUSIP, etc. The code will return the first (and only the first) match that it finds, starting with the primary_id, and then searching all instruments in the list alphabetically by primary_id. This is robust enough if you take some care, though a more robust patch would be welcomed.

If primary_id is given, it will be coerced within reason to a valid variable name by using make.names. We also remove any leading '1' digit (a simple workaround to account for issues with the Reuters API). Please use some care to choose your primary identifiers so that R won't complain. If you have better regular expression code, we'd be happy to include it.

Identifiers will also try to be discovered as regular named arguments passed in via .... We currently match any of the following: "CUSIP","SEDOL","ISIN","OSI","Bloomberg","Reuters","X.RIC","CQG","TT","Yahoo","Google" Others mat be specified using a named list of identifiers, as described above.

assign_i will use assign to place the constructed instrument class object into the .instrument environment. Most of the special type-specific constructors will use assign_i=TRUE internally. Calling with assign_i=FALSE, or not specifying it, or not specifying primary_id will return an object and will not store it. Use this option ether to wrap calls to instrument prior to further processing (and presumably assignment) or to test your parameters before assignment.


This function was written by the authors of FinancialInstrument, and has only been slightly modified by me. Furthermore, this help page is copied almost verbatim from the instrument help page in FinancialInstrument.

twsInstrument documentation built on May 31, 2017, 3:25 a.m.