Collect intraday data from IB

Quote from feb2006:

it is!

Have a look to thread 'Tick by Tick data on TWS'. There you can download the zero version of my spreadsheet 'excel-twsv2,01.xls' and the correspondent manual

It's purpose is to chart one instrument of IB in realtime. To fulfill this task a table is filled with realtime data row by row.

You could add another table creating the bar data you are interested in.

What instruments you are looking for? Maybe I add a bar table to my next version.

Regards, Martin
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Martin,
I downloaded your spreadsheet, but when I open it, I am getting a "run-time error 40036. Application-defined or object defined errror." Specifically when I first open the sheet: Sheet1.btnToggleConnect_Click

I have TWS open and DDE and ActiveX are enabled. I don't know much if anything about Visual Basic...is there something simple that I'm missing? I'm looking at the products ZF, ZN and ZB so I can create a weighted chart of the FYT, NOB, and B-Fly.
 
Quote from feb2006:

Wouldn't 1 minute bars be better? - Think there are a lot of programs to create 5min bars out of 1min data, but the other way round it's impossible, since 1min data are lost in longer time frames.
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Yes, 1 minute bars are better and that's what I want. I just used 5 min. as an example.
 
Quote from mss:

Quotein has a feature that is almost identical to what you describe. I believe it is called their QLOG function. They are at www.quotein.com.
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Thanks for the link!

I installed their s/w and downloaded their sample worksheet, but I haven't been able to get it to update from IB TWS. I configured it to use IB as a feed, but still no luck. I'll have to send an email to their support.

If you're using it, do you have any ideas?
 
Quote from feb2006:

yeah - Hi Henry - I wrote that zero version piece of software for a German discussion group, so the manual is in German too, but it has got a lot of screenshots, so it might be helpful even though you don't understand the text.

Development goes on - just working on a professional looking real time chart - see screenshot below = total volume + price with some additional info of market direction.

Anybody interested in sharing ideas?

When I should reach a working version perhaps I'll write a manual in English too.

Regards, Martin
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The chart looks good.

I wonder if it's possible to draw candlestick chart in Excel, with custom time candlestick (eg 15 secs)

I look forward to your new manual. :)
 
Chisel

There is an excel worksheet called new-ohlc.xls that does pretty much what you were asking about. You get to it by clicking on the QLOG link at http://www.quotelink.net/qlcgi/wiki.pl/Examples.

The worksheet looks quite odd because the author has placed formulae in various places around the spreadsheet to leave room for comment boxes describing how things should work. If you read those boxes and then examine the formulas in the cells, most of which come from the Quotein add in, you can get a sense of how it is supposed to work and then revise the format of the worksheet to make it more suited to your own needs. I have incorporated the methods from this worksheet into the TWSDDE.XLS worksheet from IB to kluge together a trading system. My experience has been that the Quotein stuff works better than the IB stuff but neither runs too smoothly.

MS
 
Quote from mss:

Chisel

There is an excel worksheet called new-ohlc.xls that does pretty much what you were asking about. You get to it by clicking on the QLOG link at http://www.quotelink.net/qlcgi/wiki.pl/Examples.

...I have incorporated the methods from this worksheet into the TWSDDE.XLS worksheet from IB to kluge together a trading system. My experience has been that the Quotein stuff works better than the IB stuff but neither runs too smoothly.

MS
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Thanks.

I'm working with the new-ohlc.xls now after spending a while figuring out the proper eCBOT symbol syntax.

Currently, I'm using QChart's Qlink to feed data into Excel (to chart weighted futures spreads) because I want historical data when I open up my spreadsheet. The Excel chart from the QLink feed crashs a couple of times a day, so I'm used to my Excel charts not running smoothly.

I don't think I'll be able to have historical data (I only need 1 day's worth of 1 minute data) unless I keep Excel open all the time to collect it, but one can view a chart thru IB's TWS so maybe there's a way to grab that chart data and put it into Excel the way I want - that is, open Excel, see the table full of up to date historical data, and then have the table update every minute.

If I can get this working somehow, then maybe I can boot Qcharts and go with Ensign or similar and save the monthly exchange fees. I don't need all the bells and whistles, just basic charts.

It's late...hope that was clear. Thanks again for the link.
 
I got the QLog up and running and had it set to scroll and add a row every 60 seconds. It added a row like it was supposed to every 60 seconds, but it also added another row at random intervals....not every minute, but I observed it insert at least 3 extra rows during a 20 minute period. :(
 
Quote from chisel:

Martin,
I downloaded your spreadsheet, but when I open it, I am getting a "run-time error 40036. Application-defined or object defined error."
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The run-time error often occurs when VBA want's to write into a spreadsheet cell, which you happened to select manually. So try to set the cursor into an empty cell and connect again. Hope that helps.

In the meantime a wrote another version charting minute bars too, you find it in this thread.

Regards, Martin
 
Quote from Trader_Herry:
I wonder if it's possible to draw candlestick chart in Excel, with custom time candlestick (eg 15 secs)
I look forward to your new manual. :)
More...
Hi Herry, it is possible

But to get rid of these data crippling candlesticks that's just the reason I'm programming a real time solution.

Nevertheless, I wrote a new version with English manual for you.

To see the new spreadsheet in action have a look at the attached video.

Regards, Martin

PS
Download the file 'Ticker_2,03inAction.avi.zip' and open it in MediaPlayer - unzipping isn't necessary, simply delete the '.zip' ending if you like.
 

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