Make placeOrder working with comboleg

[diegoperoni]

Description

I noticed that order combolegs are not supported in current version.

Expected behavior

I changed just 2 lines of code to make the code working.
Hope it is useful!

Minimal, reproducible example

# working function
placeOrder = function(twsconn, Contract, Order) {
  if (!IBrokers::is.twsConnection(twsconn))
    stop("requires twsConnection object")
  if (!IBrokers::is.twsContract(Contract))
    stop("requires twsContract object for Contract arg")
  if (!inherits(Order, "twsOrder"))
    stop("requires twsOrder object for Order arg")
  con <- twsconn[[1]]
  VERSION <- "42"
  if (is.null(Order$hedgeType) || is.null(Order$hedgeParam))
    stop("NEW twsOrder has to be used")
  if (Order$orderId == "")
    Order$orderId <- reqIds(twsconn)
  order <- c(IBrokers::.twsOutgoingMSG$PLACE_ORDER, VERSION, as.character(Order$orderId),
             as.character(Contract$conId), Contract$symbol, Contract$sectype,
             Contract$expiry, Contract$strike, Contract$right, Contract$multiplier,
             Contract$exch, Contract$primary, Contract$currency, Contract$local,
             {
               if (is.null(Contract$tradingClass)) "" else Contract$tradingClass
             }, Contract$secIdType, Contract$secId, Order$action,
             Order$totalQuantity, Order$orderType, Order$lmtPrice,
             Order$auxPrice, Order$tif, Order$ocaGroup, Order$account,
             Order$openClose, Order$origin, Order$orderRef, Order$transmit,
             Order$parentId, Order$blockOrder, Order$sweepToFill,
             Order$displaySize, Order$triggerMethod, Order$outsideRTH,
             Order$hidden)
  if (Contract$sectype == "BAG") {
    #stop("BAG security type not supported") # NEW CODE
    if (is.null(Contract$comboleg)) {
      order <- c(order, 0)
    }
    else {
      comboLeg <- Contract$comboleg
      order <- c(order, length(comboLeg))
      for (i in 1:length(comboLeg)) {
        Leg <- comboLeg[[i]]
        order <- c(order, Leg$conId, Leg$ratio, Leg$action,
                   Leg$exch, Leg$openClose, Leg$shortSaleSlot,
                   #Leg$designatedLocation) # NEW CODE
                   Leg$designatedLocation, Leg$exemptCode) # NEW CODE
      }
      order <- c(order, "0", "0") # NEW CODE  -> orderComboLegsCount, smartComboRoutingParamsCount
    }
  }
  order <- c(order, "", Order$discretionaryAmt, Order$goodAfterTime,
             Order$goodTillDate, Order$faGroup, Order$faMethod, Order$faPercentage,
             Order$faProfile, Order$shortSaleSlot, Order$designatedLocation,
             Order$exemptCode, Order$ocaType, Order$rule80A, Order$settlingFirm,
             Order$allOrNone, Order$minQty, Order$percentOffset, Order$eTradeOnly,
             Order$firmQuoteOnly, Order$nbboPriceCap, Order$auctionStrategy,
             Order$startingPrice, Order$stockRefPrice, Order$delta,
             Order$stockRangeLower, Order$stockRangeUpper, Order$overridePercentageConstraints,
             Order$volatility, Order$volatilityType, Order$deltaNeutralOrderType,
             Order$deltaNeutralAuxPrice, Order$continuousUpdate, Order$referencePriceType,
             Order$trailStopPrice, Order$trailingPercent, Order$scaleInitLevelSize,
             Order$scaleSubsLevelSize, Order$scalePriceIncrement,
             Order$scaleTable, Order$activeStartTime, Order$activeStopTime)
  if (Order$hedgeType != "") {
    order <- c(order, Order$hedgeType, Order$hedgeParam)
  }
  else {
    order <- c(order, Order$hedgeType)
  }
  order <- c(order, Order$optOutSmartRouting, Order$clearingAccount,
             Order$clearingIntent, Order$notHeld, "0", Order$algoStrategy,
             Order$whatIf, "")
  
  writeBin(order, con)
  assign(".Last.orderId", as.integer(Order$orderId), .IBrokersEnv)
  invisible(as.integer(Order$orderId))
}


# SPX options - conId_1 and conId_2
leg1 = IBrokers::twsComboLeg(conId_1, action='SELL', ratio=1, exchange='CBOE'))
leg2 = IBrokers::twsComboLeg(conId_2, action='SELL', ratio=1, exchange='CBOE'))
bag = IBrokers::twsBAG(leg1, leg2)
bag$symbol = 'SPX'
bag$exch     = 'CBOE'

order = IBrokers::twsOrder(
    orderId       = 9999,
    orderType  = 'SNAP MID',
    auxPrice     = '0',
    lmtPrice      = '',
    openClose  = '',
    goodAfterTime = '',
    tif               = 'GTC',
    outsideRTH = '1',
    action        = 'BUY',
    totalQuantity = 1,
    transmit      = TRUE)

IBrokers::placeOrder(twsconn, bag, order)

[simonskok]

Hi, thank you for your solution, for some reason it doest work for me on IBrokers_0_10.2, so was looking for another solution -turns out IBrokers2 package has the following solution, but lacks some of the order parameters of the IBrokers package, e.g. Trailing Percent. Do you maybe know how to combine the bracket order solution with the extra parameters?

IBrokers2::placeOrder <- function (twsconn, Contract, Order) 
{
    if (!is.twsConnection(twsconn)) 
        stop("requires twsConnection object")
    if (!is.twsContract(Contract)) 
        stop("requires twsContract object for Contract arg")
    if (!inherits(Order, "twsOrder")) 
        stop("requires twsOrder object for Order arg")
    con <- twsconn[[1]]
    VERSION <- "29"
    if (Order$orderId == "") 
        Order$orderId <- reqIds(twsconn)
    order <- c(.twsOutgoingMSG$PLACE_ORDER, VERSION, as.character(Order$orderId), 
        Contract$symbol, Contract$sectype, Contract$expiry, Contract$strike, 
        Contract$right, Contract$multiplier, Contract$exch, Contract$primary, 
        Contract$currency, Contract$local, Contract$secIdType, 
        Contract$secId, Order$action, Order$totalQuantity, Order$orderType, 
        Order$lmtPrice, Order$auxPrice, Order$tif, Order$ocaGroup, 
        Order$account, Order$openClose, Order$origin, Order$orderRef, 
        Order$transmit, Order$parentId, Order$blockOrder, Order$sweepToFill, 
        Order$displaySize, Order$triggerMethod, Order$outsideRTH, 
        Order$hidden)
    if (Contract$sectype == "BAG") {
        if (is.null(Contract$comboleg)) {
            order <- c(order, 0)
        }
        else {
            comboLeg <- Contract$comboleg
            order <- c(order, length(comboLeg))
            for (i in 1:length(comboLeg)) {
                Leg <- comboLeg[[i]]
                order <- c(order, Leg$conId, Leg$ratio, Leg$action, 
                  Leg$exch, Leg$openClose, Leg$shortSaleSlot, 
                  Leg$designatedLocation)
            }
        }
    }
    order <- c(order, "", Order$discretionaryAmt, Order$goodAfterTime, 
        Order$goodTillDate, Order$faGroup, Order$faMethod, Order$faPercentage, 
        Order$faProfile, Order$shortSaleSlot, Order$designatedLocation, 
        Order$ocaType, Order$rule80A, Order$settlingFirm, Order$allOrNone, 
        Order$minQty, Order$percentOffset, Order$eTradeOnly, 
        Order$firmQuoteOnly, Order$nbboPriceCap, Order$auctionStrategy, 
        Order$startingPrice, Order$stockRefPrice, Order$delta, 
        Order$stockRangeLower, Order$stockRangeUpper, Order$overridePercentageConstraints, 
        Order$volatility, Order$volatilityType, Order$deltaNeutralOrderType, 
        Order$deltaNeutralAuxPrice, Order$continuousUpdate, Order$referencePriceType, 
        Order$trailStopPrice, Order$scaleInitLevelSize, Order$scaleSubsLevelSize, 
        Order$scalePriceIncrement, Order$clearingAccount, Order$clearingIntent, 
        Order$notHeld, "0", "", Order$whatIf)
    writeBin(order, con)
    assign(".Last.orderId", as.integer(Order$orderId), .IBrokersEnv)
    invisible(as.integer(Order$orderId))
}