Trading using R on

Interactive Brokers

Speaker: Anil Yadav

contact@quantinsti.com
2nd March, 2017
 Introduction
• Currently managing a portfolio of
equity futures using R & Interactive
Brokers
• Algo strategy advisor at iRageCapital
• Commodity Portfolio Trader
• Trained as mechanical engineer &
post graduation in Business
Administration

2
 Agenda
• Overview of R and TWS
• Implementation using R-studio
– Installing the IDE
– Introducing IBrokers package
– Reference sheet for IBrokers
– Viewing account data
– Historical Data and Streaming data access
– Sending Limit order and StopLimit order
– Moving Average cross over strategy – example code

• Robustness and other enhancements

3
 R
• Quick prototyping after back-test therefore
minimal code changes required
• Availability of a variety of packages
implementing statistical functions therefore
no need to code from scratch
• Open source
• Single Threaded

4
 Why use R for Trading
• Already are familiar with R and use it for other
steps in your trading analysis
• Quickly want to test strategy to figure out
difference between real life and back testing
data

5
 Installing R Studio
• Step 1 – install R

• Step 2 – install R-studio

6
Configuring TWS

7
R studio - View

8
 IBrokers Package
• Authored and maintained by Jeff Ryan.

• Structure
– CallBack, eWrapper, ProcessMessage

• Reference-sheets
> IBrokersRef()

IBrokers package copyright statement

IBROKERS IS NOT ENDORSED, AFFILIATED, OR CONNECTED TO INTERACTIVE BROKERS, LLC. INTERACTIVE BROKERS IS TRADEMARKED AND PROPERTY OF
INTERACTIVE BROKERS, LLC. IBROKERS COMES WITH NO WARRANTY, EXPRESSED OR IMPLIED, AND IS FOR USE AT YOUR OWN RISK. 9
Copyright 2010. Jeffrey A. Ryan
 Account Details and Positions
• Connect to TWS on port

10
 Data
• Define contract
• Check contract validity
• Get Data

11
Historical Data

12
 Data Processing CALLBACK Function

• Wait on Connection

• Read binary data

• Process Message

13
Data –User Defined CALLBACK

14
Sending Limit Order

15
 StopLimit Order

• Transmit – order displayed on tws but not sent to exchange, user can
manually transmit order
• lmtPrice – limit price at which the order is sent to exchange
• auxPrice – stop loss price.

16
Toy Strategy Code

17
 Warnings and pitfalls
• Risk management module in case the default TWS
risk management system does not catch all strategy
specific risks.
• Test case to be written to ensure strategy does not
run into order sending loops.
• Code block to ensure order price and order quantity
sanity.
• Test cases to run through every time an API upgrade
happens so that you can be sure that nothing is
broken.
• This is real money now.
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 Robust code for live trading
• Requirements
– Handling socket connection losses
– Handling error messages from Interactive Brokers
– Handling Network errors
• Resource available online
– API doc on Interactive Brokers website
– Example code available on github by other people
– Implementation with 2 R instance on github by
censix (https://github.com/censix - please note this is not an endorsement of that specific
implementation and QI is not connected in anyway with the owner of the blog)

19
 Web Resources

twsInstrument : R package
http://www.londonr.org/presentations/2013/12/LondonR_-
_Algorithmic_Trading_In_R_-_Malcolm_Sherrington_-_20131203.pdf

20
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to Trading, Portfolio Optimization and Financial Data Mining

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R
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Investors’ Marketplace To find out more contact

Connect with an established R consultant or
R-based tool for custom solutions.
Ankit Shah, Interactive Brokers
+91 (22) 61289836
ashah@interactivebrokers.com

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Supporting documentation for any claims and statistical information will be provided upon request. [1] According to the Barron’s 2016 online broker
review. [2] Based on independent measurements by the Transaction Auditing Group, Inc., (TAG). For additional information see, ibkr.com/info