Recent content by Aron

I see the flaw in this approach, specially the amount of time/Effort it takes, what would be your suggestion for a proper data infrastructure given that I would need APAC exchanges such as NSE and BSE (level II/III) as well, for which there are barely any vendors coverage. Thanks !!

That's absolutely true, it has slowed me down significantly. The next big challenge: getting over the pacing violations, now I have 150 Instruments for which I need 11 bar sizes each, for a period of 5 years. So given the pacing violations: Making identical historical data requests within 15...

Works like a charm !! Awesome !! I used this to modify the original program.py... many more questions on the way !! Thanks again !

Thanks a million , this is extremely helpful, lemme try this out !!

Okay I will have to check again on the async part, thanks for this group info, I will surely put a post there. The part I'm not sure is that where do we build the dataframe, inside the TestWrapper class where the callbacks happen (that is where we print the data to the console) or inside the...

Yes I have tried that multiple times and it is extremely easy, however there is a limitation on market depth data (operations) lines, we can choose only max 5 data lines i.e. level 1 (which means we never get to see the full order book), the other feature (that it is asynchronous) is not what I...

Sorry for the lengthy dump, but it was important as the functions/classes are heavily nested, of course I will post specific questions with specific references. Thanks

Hi I am new to the IBAPI, creating this thread to customize understand the pre-built sample python code and use it for real world trading. The samples are well coded and efficient though cryptic. Need some help on understanding the function calls and libraries, that don't seem to have any...