creative-quant

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## Content of the Traders in Financial Futures (TFF) Report
## http://www.cftc.gov/ucm/groups/public/@commitmentsoftraders/documents/file/tfmexplanatorynotes.pdf
############################################################
#  Dealer/Intermediary
# These participants are what are typically described as the "sell side” of the market. Though they
# may not predominately sell futures, they do design and sell various financial assets to clients.
# They tend to have matched books or offset their risk across markets and clients. Futures
# contracts are part of the pricing and balancing of risk associated with the products they sell and 
# their activities. These include large banks (U.S. and non-U.S.) and dealers in securities, swaps

creative-quant

#sources
#https://www.quandl.com/CURRFX/USDCAD-Currency-Exchange-Rates-USD-vs-CAD
#curl https://www.quandl.com/api/v1/datasets/CURRFX/USDCAD.csv -o /tmp/USDCAD.csv
#https://www.quandl.com/DOE/RWTC-WTI-Crude-Oil-Spot-Price-Cushing-OK-FOB
#curl https://www.quandl.com/api/v1/datasets/DOE/RWTC.csv -o /tmp/RWTC.csv

library(xts)
library(ggplot2)

usd.cad <- read.csv("/tmp/USDCAD.csv")

creative-quant

library(IBrokers)
library(twsInstrument)

tws <- twsConnect(host='127.0.0.1', port=4001)
contract <- getContract("EUR.USD")
reqHistoricalData( tws, contract, verbose=T, whatToShow="BID" )
reqHistoricalData( tws, contract, verbose=T, whatToShow="ASK" )
twsDisconnect(tws)