IB time & sales, backfills - it's throttled

Discussion in 'Interactive Brokers' started by rayl, May 21, 2007.

  1. rayl


    [Please forgive if everyone already knows this, but it has been a source of frustration for me until I finally figured it out!]

    In a separate thread ( http://www.elitetrader.com/vb/showthread.php?s=&threadid=93898 ) and also as a feature suggestion, I had observed a behavior whereby retrieving successive time & sales data via TWS fails, and you get nothing.

    I also observed that the issue seems to be less within the past few wks, but after some more experimentation, I now understand what is really going on.

    It appears that there is an intentional throttle on how many requests you can submit to the IB historical data servers in a given amount of time!

    From experimentation, it looks like after approx 20 requests, it freezes you for approx 5 minutes.

    I can understand the need to limit historical data retrieval (since IB does not profess to be a true historical data source), but my concrete suggestions would be:

    1. Allow a higher limit for time & sales because esp with a thinly traded stock, one tends to want to explore around unusual spikes/etc.

    2. Have an explicit error messaging informing the user so the user doesn't think the system is defective.

    3. Consider lowering the 5 minutes to say 1 minute -- I think it's really programatic high volume sucks we want to avoid, not users hitting Next on the T&S page.

    I sitll think recently the situation has improved, possibly because the ~20 limit was increased from a smaller number?
  2. You're prob right. Been like this from day 1.

    There should be no throttle on TWS calls to the t&s server.

    How much data can you possibly pull by hand?