Can't get Interactive Brokers Historical Data Under 1 Minute Interval

[simoon]

I am unable to get historical data from IB In both Historical Data Manager and Charting for time interval under 1 minutes.

In Historical Data Manager, I have checked the "tick" box but no data was downloaded

In Chart -> Data Series, I have tried 1 second, 5 seconds, 10 seconds, 1 tick, 5 ticks, 150 ticks, but no bar is produced.

I am able to download 2 years of 1 minutes HSI Future historical data back to 2009 Jan with Save Chart Data as Historical.

Please help on how to get the shortest time interval of bar in chart . Thank you in advance.

Using NT 7.0.1000.1, Windows XP SP3, IB latest TWS latest API

[NinjaTrader_Bertrand]

Welcome to our forums - unfortunately this is expected as the IB connection would not support a historical tick data backfill - http://www.ninjatrader.com/support/h...rical_data.htm

You could for example connect to our preferred Kinetick datafeed connection option first to provide this backfill and then connect to IB to place your trades - www.kinetick.com

[simoon]

Thank you for your answer, I studied the table of the link you provided; Under IB

Historical tick data -> NO (I cannot download)
Historical Bid Ask Minutes Data -> No (But I can download through Historical Data Manager)
Historical Bid Ask Tick Data -> Yes (But I cannot download)
Do I misunderstand what the table said?


I am not very sure about what IB "data backfill" mean, I assume it is the Chart data used in IB's TWS. If it is true, TWS can provide 1 minute period, 1 second interval bar chart. Should NT 7 be able to download the 1 second data?

Is "data backfill" different from download from IB DDE through API, because I am able to download 1 second data through the Excel sample file provided by IB but it is a labor intensive process. I rely on NT 7 to automate the download process for me. It does a very good job for minute data, hope there are ways for second data.

I have tried another trading software that provide a 15 days free trial. It is able to download 5 seconds data from IB, the problem with it is the download process is not that smooth and it caused too many pacing violation than NT.

I hope experience user can help me on how to download the 1 second data from IB.

Thank you in advance

[NinjaTrader_Bertrand]

simoon, unfortunately you can't use the 1 second data from IB, our second charts are build of tick data as base data and this not provided to download via the IB connection - you would need to collect it in realtime so it can be stored locally in the NinjaTrader database on your PC.

[simoon]

Thank you Bertrand,

Yes I noticed I can record second data in real time, why NT7 is able to record second data of IB but cannot download second data? any plugin for NT7 to do the job?

Can you clarify what it mean at table http://www.ninjatrader.com/support/h...rical_data.htm for the "YES" under Historical Bid/Ask tick Data of IB?

[NinjaTrader_Bertrand]

Unfortunately I'm not aware of a plugin that would allow a workaround - the easiest solution would be backfilling your database for example with our preferred Kinetick connection option - www.kinetick.com

The help guide page is unfortunately not correct here - thanks for reporting, I'll forward this so it can be changed.

[Harry]

Why not load historical 1 second data as tick data?

Other charting software (just tested MultiCharts) can display Interactive Broker's historical data with a resolution of 1 second.

I am aware that NinjaTrader's 1 second bars are built from tick data. But if you treat the
1 second resolution historical data of Interactive Brokers as tick data, you could simply store that data in the tick data base. Just considering a 1 second bar as a fat tick bar.

This would allow to build approximate range and volume bars as well, with some limitations for smaller period values, but good results for larger period values.

EDIT: I have now tested to download 10 days of historical data with 1-second- resolution. This took 1 hour due to data throttling. Such an option would therefore only be relevant, if required only for 1 instrument and daily updated. I guess that for high resolution data it is better to collect the historical data from a real data provider and not from Interactive Brokers.

So I do not see any urgency here.

[NinjaTrader_Bertrand]

Thanks for your detailed feedback and testing Harry, we're tracking your ideas now under Id 757 in our system.

[steves215]

I understand that if I want tick data, I have to collect it in realtime. Currently, I have created tick charts to collect the tick data. My question is, is there another way to collect the tick data besides having a chart open? If I were to add the security to the market analyzer, will NinjaTrader collect and store the tick data for that security?

simoon, unfortunately you can't use the 1 second data from IB, our second charts are build of tick data as base data and this not provided to download via the IB connection - you would need to collect it in realtime so it can be stored locally in the NinjaTrader database on your PC.

[NinjaTrader_Bertrand]

You can also run your instruments in the Market Analyzer in NT and then ensure to have an indicator column added to it - this process would also store the real time received data (provided 'Save chart data as historical) is checked under Tools > Options > Data).

[schematics]

my solution - use a 3rd party tool - saved me a lot of time

I've been having issues getting historical data from Interactive Brokers API. The problem is that you have to code around many problems and special cases, such as pacing violations, restrictions on amount of data returned for each request, etc... I found that it is much easier to download data with this tool. It hides all IB APIs issues, and let's you download data for any duration that IB supports with only a few button clicks. Very happy with this tool

http://www.tradinggeeks.net/downloads/ib-data-downloader/