Hi, I'm trying to backtest a strategy developed via Ninja Trader using IB as my data feed. The problem is that when I try and test it on the Dow 30, I get a message that says I've exceeded the allowable pace of historical data provided by IB. I'd like to go back and test the strategy on 6 months of data, but the system shuts down after like 2 weeks of data. Anyone have a way around this. THX B
Did you issue your backfill request through Ninja or via self-written software? IB's backfill is throttled. They want to keep the load on their servers calculatable. With a single data request you can get like 2000 data points (OHLC+volume data, that is 33 minutes for 1 sec bars, 8.3 hours for 15 sec bars). But you can issue just a few of those requests in a row (something like 20. Exact number depends, apparently on time of day and many other factors that you cannot influence). After these you get "pacing violation" errors. If you want to avoid these beforehand you can eg. issue a request only every 11 seconds then you will probably never run into this. This makes historical backfills very lengthy if you are up to a fine granularity (eg it will take some days to download if you want 1 sec data of one symbol for a year). If you tried to backfill thru NT then the NT guys apparently did not know about this or they did not care to write their software accordingly. You can find more on this in http://finance.groups.yahoo.com/group/TWSAPI/ look for "pacing violation"
Software to download data from TWS to ASCII files (google either one for more info): jTWSDump IBCollector Other software may exist that does this as well ('tis what Google be for matey!) but these have been mentioned on the IB forums