Today I plotted some combo charts on IB TWS charts. However, when I tried to download their historical data using excel API and through Multicharts, I couldn't do it - since those are synthetic spreads and combos which don't trade on any exchange. Pointing with mouse on any bar on the TWS Chart, it shows OHLCV prices for that bar. It is also possible to look at T&S for that bar. So, the underlying OHLCV data is present on the TWS Chart object and it must also be present somewhere in my computer (either IB folder or in cache). However, I can't find any option (right click, left click, settings) that show me the values of data present on the chart. I am stumped as to how to download the OHLCV values from the chart to the csv? Any ideas would be appreciated.
Can you download the data into Excel for each underlying leg of the spread, and recreate the spread data there?
Yes that is doable just clumsy because in the combos in TWS, i can experiment with different kinds of + s and -s between contracts. Calculating all of the bid asks correctly in excel is certainly possible just clumsy. Thats why i asked if there is a way to directly get the data from TWS chart. This really stumped me!
If you have AmiBroker you should be able to pull data from its cache files. AmiBroker backfills charts. As for straight downloading/capture of IB data without 3rd party software intervention, I have no idea.
I'm amazed that you have gotten the charts to actually work. I haven't. Can you see all the data that you want to bring down into the .csv?
AmiBroker works perfectly. I've never had an issue connecting etc. Make sure your ports on IB are set up correctly. http://www.amibroker.com/video/ib.html As for pulling data I've never tried it myself but it's stored in the database folder(s) so it may be possible to extract it somehow. I've never had a need to export data since Ami's backtesting is quite good. Best $279 I ever spent in this outfit.