Re: [amibroker] IB Tick data backfill

Wed, 19 Apr 2006 02:30:21 -0700

Hello,
 
Theory vs practice.
 
6 months of ONE MINUTE data - yes it is possible and I have done that in my development copy of IB plugin.
Problem is that IB API backfills are inefficient and they start throttling (disconnect you) pretty quickly after requesting "too much".
Gettin 6 months of 1-minute data requires you to use repeated requests since in one request you can only day 5 days,
so you need to do 30 requests for one symbol - and it will start throttling (disconnecting about 50th request)
- each request needing about 4-5 seconds to complete gives you >2 minutes to backfill one symbol ).
 
But if you are talking about tick data - problems are 20x worse.
 
Look at this IB tread discussing problems in getting just 16 hours of tick data:
 
In single step you can only get 2000 SECONDS of IB ticks (which are in fact 1-second bars).
So you are getting only 2000 ticks. If you repeat this to get more history you get locked up after 20 requests.
Then you have to reconnect, wait 3+ minutes and then it MAYBE allow you to download more, if not, wait another 3 minutes
and re-try and maybe...
 
This is simply unusable.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006 6:22 AM
Subject: RE: [amibroker] IB Tick data backfill

Don't hold me to this, but if I remember correctly
there is a way to download 6 months of tick data from
IB using the API. I think I saw it on one of the
webinars. Try going here:

http://www.interactivebrokers.com/en/general/education/priorWebinars.php?ib_entity=llc

and going down to some of the webinars by Jay Bailey.
I am almost positive I remember him explaining how to
download contracts of tick data for testing purposes
and paper trading.

JK

--- TomC <[EMAIL PROTECTED]> wrote:

> Welcome to the club. I really think it is an IB
> problem....
>
> Tom
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[EMAIL PROTECTED] Behalf
> Of Ara Kaloustian
> Sent: Tuesday, April 18, 2006 4:29 PM
> To: AB-Main
> Subject: [amibroker] IB Tick data backfill
>
>
> My IB Tick data backfill does not seem to work ...
>
> Is there a backfill for tick data???
>
>
>
> Thanks
>
> Ara
>
>
> Please note that this group is for discussion
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>
> To get support from AmiBroker please send an e-mail
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> For other support material please check also:
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>
>
>
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