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Interactive Brokers intraday backfill data
- Thread starter sync
- Start date
The maximum for 30 second interval is 1 year.
I think that if you drop to 5 second it is 5/30 of a year. So you could pull 1 yr at 30sec and then just redo the last 2 months as 5 seconds if you needed the extra granularity.
I think that if you drop to 5 second it is 5/30 of a year. So you could pull 1 yr at 30sec and then just redo the last 2 months as 5 seconds if you needed the extra granularity.
You can get the answer in the API guide:
Historical Data Limitations
Historical data requests are subject to the following limitations:
Historical data requests can go back one full calendar year.
Each request is restricted to duration and bar size values that return no more than 2000 bars (2000 bars per request).
All of the API technologies support historical data requests. However, requesting the same historical data in a short period of time can cause extra load on the backend and subsequently cause pacing violations. The error code and message that indicates a pacing violation is:
162 - Historical Market Data Service error message: Historical data request pacing violation
The following conditions can cause a pacing violation:
Making identical historical data requests within 15 seconds;
Making six or more historical data requests for the same Contract, Exchange and Tick Type within two seconds.
Also, observe the following limitation when requesting historical data:
Do not make more than 60 historical data requests in any ten-minute period.
Historical Data Limitations
Historical data requests are subject to the following limitations:
Historical data requests can go back one full calendar year.
Each request is restricted to duration and bar size values that return no more than 2000 bars (2000 bars per request).
All of the API technologies support historical data requests. However, requesting the same historical data in a short period of time can cause extra load on the backend and subsequently cause pacing violations. The error code and message that indicates a pacing violation is:
162 - Historical Market Data Service error message: Historical data request pacing violation
The following conditions can cause a pacing violation:
Making identical historical data requests within 15 seconds;
Making six or more historical data requests for the same Contract, Exchange and Tick Type within two seconds.
Also, observe the following limitation when requesting historical data:
Do not make more than 60 historical data requests in any ten-minute period.
Do I remember correctly that you also use Sierra?Quote from kiwi_trader:
The maximum for 30 second interval is 1 year.
I think that if you drop to 5 second it is 5/30 of a year. So you could pull 1 yr at 30sec and then just redo the last 2 months as 5 seconds if you needed the extra granularity.
Before posting I changed the interval to 1 minute and the intraday backfill from 15 to 30 days as a test. Then I selected the delete and refresh data option. It still only downloaded 15 days though.
If you're using sierra and downloading very large amounts of data set the request interval to 10000 (10s) so that IB doesn't ever give you pacing errors. The download takes a while but its the best way to pull down > about 20 days of data.