Is what you say officially documented somewhere?
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How good is IB market data access?
- Thread starter movingslow
- Start date
Is what you say officially documented somewhere?
First of all you can subscribe to bars, and upon Bar completion a callback is only invoked once. Not multiple times. Next you can request historical data for many more than the subscriber cap, the cap applies to streaming data that a user concurrently can subscribe to. So you can request the last 1 minute bar every minute for 100 or so symbols and then request the same 1 minute bar for another bunch of symbols and so on.
A creative solution, but not a good substitute for real-time quotes. First the bars only include OHLC info, not the bid or ask, so if the bid/ask changes but no trades in the bar, your algo has stale data. Second I believe the lowest resolution that IB API allows is 5 second bars. That is way too slow for real-time algos.
OP said he is only interested in pricing data every 1 or 5 minutes. The bid/ask is kind of irrelevant in this context. And I thought to remember that one can specify whether the bars are constructed from trades only or bid/ask/mid. For example, fx historical bars can't be based on trades.
A creative solution, but not a good substitute for real-time quotes. First the bars only include OHLC info, not the bid or ask, so if the bid/ask changes but no trades in the bar, your algo has stale data. Second I believe the lowest resolution that IB API allows is 5 second bars. That is way too slow for real-time algos.
Which part specifically? Most is from own experience...
Is what you say officially documented somewhere?
Sarcasm+ i usually label mine as such.second-to-none, unparalleled, first-class, superb, bad...
Thier data maybe better than a average;
but i never used a brokerage only for my quotes. I have no idea how they are for R 3k