Discussion in 'Data Sets and Feeds' started by ozzy, Oct 25, 2005.
I have very few problems with SPI and HSI historical data . The futures are fine. It seems that a full six months is not available for the indices (starting date June 30) and the SPI index seems to have some missing days. Overall, it seems to work well.
I'm looking for intraday backfill. At the moment no backfill is provided by IB for HSI/SPI.
It works fine. The problem must be with your charting software. I have 1 minute OHLCV data as I said above.
Gotcha. I'm using ensign and I can't get anything. Anyone using the IB+ENSIGN combo having this problem as well?
I've no idea about Ensign, but I've found that it pays to fully specify contracts when using the IB API
ie exchange, currency, symbol, type, expiry (if relevant)
Cool. Thanks for the replies.
I am using IB+Ensign and also watching HSI, SPI and TOPX and have had no problems with backfill.
I must be doing something wrong.
Although the API historical data works as stated, there are some 'features' that are a little odd and might be causing problems.
When a historical data request is made using the API, an end date must be specified in the request. If for example requesting 1min bars, you receive the data from the start of the trading session to the requested date/time. This is IB's definition of 1 days data (not 24 hours worth of data as one might at first think).
So if you want eg 1 months data, chosing arbitary end times for each day doesn't work properly. You need to choose an end time between the close of the this session and the start of the next session (hope this makes sense) to get complete data. So besides time zone info, you need to know the trading times of the specific instrument. All very entertaining.
I'm mentioning this because Ensign may not be doing this correctly for these instruments and it may help you sort out the problem.
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