Hi, suppose I have subscribed different real time data feeds from IB and wanted to download historical intraday data (say, at the tick level or few seconds), how would I best do that, using API, TWS or whatever software? In the end, I'd like to have everything in a text file for further processing and analysis. I'm looking for 5 to 10 years time period. Is that possible? If not, what other relatively cheap data provider would you recommend? I'm mainly concerned about indices and index options and futures, US and European. Regards Steve
I don't think IB is the way to go for that since they are very limited with historical data in the short time frames. I'm not sure what you define as cheap...Tickdata has everything you want, but I'd guess you'll spend $500 or more depending on how many symbols you need (but that'd give you filtered/corrected data in text ready format). Ninja has a good chart with some info so maybe you can dig through a few of the following and see if they have what you are looking for: http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HistoricalData
tick data for 10 years? not in IB. even if does possible,it's not going to be cheap. IQfeed has ticks for last 5 or 7 days. 1 minute bars -much easier. try esignal or something
what data provider would you recommend? would you suggest that 1-minute-bars are enough for strategy backtesting purposes?
maybe combo like ninjatrader and tradestation? http://www.tradestation.com/brokerage/market_data.shtm
If you don't get the answer here, you may want to try the TWSAPI group, http://finance.groups.yahoo.com/group/TWSAPI/ . According to http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/api/historical_data_limitations.htm , historical data requests can go back 1 year.
thank you, now, if I stick with IB for my data download, I'd need an Excel VBA macro using the IB API to pull the 1 year data from IB, since every request is limited to 2000 bars and hence a lot of requests will be necessary; I'd need a macro to automate these requests for a given symbol. If somebody knows of such a macro, please post it.
Tradestation provides 6 months of historical tick data. It could utilize more if the user had collected tick data beyond the 6 months limit. As some one pointed out, IB does not provide historical tick data and the live tick data is aggregated. However, these limitations may not make any difference to many traders. This chart shows the resulting tick aggregation in a fast market as live data was collected from TS & IB. ES futures from this AM.
There are commercial programs that handle this, jtwsdump and ibcollector. Or you can of course roll your own.