IB Historical Data Step Size

L

lime

Hi, can you please explain what does Step Size mean?
https://ibkrcampus.com/ibkr-api-page/twsapi-doc/#step-sizes

It seems to refer to the maximum data request window for each data size (1min, 30min, 1hr, etc).
It shows 1 Day duration for 1min bar size, does it mean for 1-min data, I can only get 1-day worth per request? But that will be only 390 (6.5 hours x 60 mins) bars. If I want 1-min IBM for past 6 months, I have to send one request for each day? It can't be that stupid.

Also, https://ibkrcampus.com/ibkr-api-page/twsapi-doc/#historical-whattoshow , if I want 1-min Trade, Bid, and Ask, I have to request each separately? So sending 3 separate requests and then combining them?
 
I think it is designed to be incremental, not a historical data source.

eg. each day fetch the bar data you need for that day and add it to your local database.

When adding a new symbol to my trading, I typically start out by getting very long term historical data from a provider that specialises in providing that, and then use the IB api to keep my historical database up to date each day.
 
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d08 said:
It's exactly like that. IB is quite poor for serious data but at least it is available.
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Is it for real you can only request one-day-period for 1-min data?
So for 6months IBM trade-bid-ask, I have to send 3 requests for each day for 6 months?
 
lime said:
It shows 1 Day duration for 1min bar size, does it mean for 1-min data, I can only get 1-day worth per request? But that will be only 390 (6.5 hours x 60 mins) bars. If I want 1-min IBM for past 6 months, I have to send one request for each day? It can't be that stupid.
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Correct. There is not really a hard limit, but they want you to request only a couple of hundred data points per request. In my case I submit requests that generate about 500 data points.
lime said:
Also, https://ibkrcampus.com/ibkr-api-page/twsapi-doc/#historical-whattoshow , if I want 1-min Trade, Bid, and Ask, I have to request each separately? So sending 3 separate requests and then combining them?
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Correct, three requests required.

Don't forget: IBKR is not a data provider but a broker. The data is only provided as additional benefit for their customers.
 
HobbyTrading said:
... Don't forget: IBKR is not a data provider but a broker. The data is only provided as additional benefit for their customers.
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And I would also add that the exchanges also place limits on how much download data IBkr, or any other broker, can provide for free.
 
lime said:
https://ibkrcampus.com/ibkr-api-page/twsapi-doc/#historical-limitations
Can't find it now, but I recall you are limited to X numbers of requests per Y time window, right?
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As @d08 already indicates is it not really a hard limit. But IB will start to throttle the data once they consider you to be "abusing" their system. So you can experiment a bit and see how large you can make your requests before you see the response time getting worse. If I recall correctly was their upper limit more restrictive in case you ask for 1 minute bars, and less restrictive in case you were asking for daily bars. I don't know whether they do this these days, or that their policy has changed.
 
d08 said:
Yes, you will start to see slower replies as you make more requests. I cannot imagine getting 1 minute data, it will take forever. It already takes forever to get 15 min data spanning a decade.
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A decade? I thought you could only get data for past year or two?
 
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