Interactive Brokers API: symbol for ES continuous futures contract
- Thread starter pisa
- Start date
I didn't know IB provides continuous futures contracts. What is the symbol?
Historical data is tricky because of the rollover rule (volume based vs. time based). Each person has to decide themselves which is more important, so its odd to me that IB would allow continuous contracts because now this means they are picking it for me. I realize the general rule seems to be that the Friday is the day that the new contract is traded, but this is still arbitrary and every 3 months, you are essentially trading something different, from an accounting point of view.
Historical data is tricky because of the rollover rule (volume based vs. time based). Each person has to decide themselves which is more important, so its odd to me that IB would allow continuous contracts because now this means they are picking it for me. I realize the general rule seems to be that the Friday is the day that the new contract is traded, but this is still arbitrary and every 3 months, you are essentially trading something different, from an accounting point of view.
IMO the most reliable is volume based. Also it completely varies based on contract and exchange. Many contracts outside of CME differ quite a bit in their rollover schedules.
As far as API symbol goes I doubt there is one. My bet is that IB simple builds it on the fly with TWS.
Aside from that a cheap subscription to Sierra Chart will get you historical data for years and its capable of doing the same kind of data assemblage. That being said you might be desiring it for existing automated purposes and SC may be less useful.
As far as API symbol goes I doubt there is one. My bet is that IB simple builds it on the fly with TWS.
Aside from that a cheap subscription to Sierra Chart will get you historical data for years and its capable of doing the same kind of data assemblage. That being said you might be desiring it for existing automated purposes and SC may be less useful.
That may be the case. I just thought since they provide charting within TWS for these contracts the data maybe is available through the API as well.