Interactive Brokers and pacing violations

T

TD877

Does anyone here use IB for historical data? I wonder if I'm looking at their rules wrong, because based on my interpretation, it seems almost impossible to get a decent chunk of data:
https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm

For example, to download 2 years of minute data for a single stock:
* IB allows 1 day of minute bars to be pulled per data request
* 2 years = ~504 trading days = 504 data requests
* IB allows 60 data requests for every 10 minutes
Therefore, for just one instrument it will take 504/60 * 10 = 84 minutes

Is this correct? Gets much worse for shorter time bars.
 
What are you going to do with this data?

Really if you need a lot of historical data buy it from somewhere else and then use IB to keep your database up to date on daily basis.

I only follow about a dozen symbols, so keeping my database up to date using IB is easy.

But if you want hundreds of symbols and want sub minute bars that might not be so easy with IB on a daily basis due to the pacing they impose.
 
First step is to verify their data with historical data I already own. Then I too will just use to keep database up to date like you do. But they do offer data going back years, some of which people buy booster packs to access. So my question is geared for those who have downloaded these larger chunks before.
 
As I recall, the enforced limits are quite a bit more lenient than the published limits. You can grab more than 1 day of minute bars in a single request. I forget the exact amount as I haven't done this in a couple of years, but I believe it was better by a multiple.
 
you're much better off writing algorithms within their charting application and let them store all the data on their server. This also helps with the cleaning of data because you don't want to try to have to manage all that data yourself. When you use their charting and their data you can quickly modify your algo and the instruments you want to trade on the fly. It makes no sense to try to manage all this data yourself. Just learn a bit of programming and have the freedom to broaden your market.
 
Yes, it's correct. The pacing violations can be a PITA. If you want to use historical data, best think of what you want ahead of time and batch download it for offline use.
 
IB charting and their delayed data feed is way under powered for my needs. Like most IB customers that depend on a real charting solution I use another broker (TradeStation) to get tick, and historical chart data, and clean real-time market data for a zillion symbols without having to pay up for it.
 
what do you mean with "writing algorithms within their charting application and let them store all the data on their server". Never heard of such. Let's say I wanna chart a basket of USDJPY, EURUSD, GBPUSD, equally weighted. How would I go about that inside TWS?

Stymie said:
you're much better off writing algorithms within their charting application and let them store all the data on their server. This also helps with the cleaning of data because you don't want to try to have to manage all that data yourself. When you use their charting and their data you can quickly modify your algo and the instruments you want to trade on the fly. It makes no sense to try to manage all this data yourself. Just learn a bit of programming and have the freedom to broaden your market.
More...
 
Thats great for someone who traded one single geographic location or possibly two. But do you have access to Tokyo Stock Exchange, Australian equity market data, non G10 currency pairs, .... with NxCore? I doubt it. But I agree with you about the core functions of a broker. Except here IB would make quite a lot of additional revenue if it offered a fast and efficient historical and live market data server at additional cost. It would instantaneously bankrupt 80% of all retail geared market data providers. Think about one single provider that supplies you with almost 90% of world exchange coverage in any imaginable asset class. I would be willing to pay IB a handful for that.

jharmon said:
Some people here seem to be depending upon a broker for data. What is a broker's core business? Hint: Not data.

I'm on NxCore for live and historical data. Yes, it costs money. Guess why.
More...
 
You must log in or register to reply here.
Back
Top