Hot answers tagged interactive-brokers
I'll just add that with Interactive Brokers you have to be aware of their cancel fees. Remember, Interactive Brokers owns Timber Hill, a very large and active market maker. They will discourage you from competing with Timber Hill through monetary disincentives, among other things. For example, if you send a directed order (i.e., you don't allow IB to SMART ...
Using IBrokers from R is going to be the easiest route. A quick example of capturing data to disk would be: library(IBrokers) tws <- twsConnect() aapl.csv <- file("AAPL.csv", open="w") # run an infinite-loop ( <C-c> to break ) reqMktData(tws, twsSTK("AAPL"), eventWrapper=eWrapper.MktData.CSV(1), file=aapl.csv) ...
What do you want to do with the tick data later? Run analytics? You can save tick data to a flat file for all the software cares, but that would be really slow to access later. Instead, you should ideally save the data: Column-oriented - all elements in a field are stored contiguously for better caching Binary - all elements are ready for immediate use; ...
This has nothing to do with IB in particular. The primary issue with retail data feeds is that they run over the Internet. That means dealing with a shared line and all of the latency spikes that comes with it. Institutional traders, even when they aren't co-located, build a private network pipe to their data vendor since that's the only way to prevent ...
Holding period and trade frequency are two different things. If you have a high trade frequency, the name of the game is negotiating lower commissions. That being said, the TWS API gives you the same quality feed as you get using TWS itself. From Article on HFT Provided by Dirk Eddelbuettel in this question about HFT: High-frequency trading (HFT) is ...
If you're planning on analyzing the data later in R, you should take a look at the indexing and mmap packages. Though, as @chrisaycock said, you'll need to save the data in a column-oriented, binary format. If you're downloading the IB data with R, using IBrokers, you can write your own eWrapper to store the data in whatever format you want.
For real HFT, IB is absolutely not going to work. The prices in IB update a max of about 7 times a second. However, for a holding period of 5 to 10 minutes though, which is certainly not high frequency, it works fine.
My research so far: OptionsXPress - with commissions of about USD 1.25/contract. USD 1K minimum account opening. Interactive Brokers (IB) - with commissions of about USD 0.70-1.00/contract. USD 10K minimum account opening. TradeStation - with commissions of about USD 1/contract. One point to note is that TradeStation's EasyLanguage platform is NOT a true ...
The IB website have a demo version of TWS for download which you can use with their C++, Java etc API. The price feed is stale and orders are not cleared but it shouldn't matter for your purposes. The demo version doesn't require a account/username. There are also active groups which can be very helpful for details on IB API. One large group is, for ...
There isn't a utility to do accomplish this. However one could build one by using their api, and asking for historical data on option prices and then backing out the implied vol from the pirces. Keep in mind that these will be close prices only, and the program will have to keep track of the expiries and switchovers to different months' chains.
I am using just a filesystem to store raw tick data. I am using protocol buffers to easily allow multiple languages to consume the data. Part of the reason is that I am moving more stuff onto Amazon's EC2 to use their GPU compute instances and storing data in blobs allows for easy integration with S3. I would love a proper column store put right now this has ...
TradeStation offers python support via their WebAPI. Check it out here: http://tradestation.github.io/webapi-docs/
Data over IB's API is not real time. You can't even match up bid, asks, and lasts with their appropriate sizes. It's actually a 200 ms snapshot. For more reliable data go with B-PIPE, DTN or eSignal (they all have APIs) and a high speed co-located Ethernet or T1 connection to your vendor. Lots of additional coding is required.
Check out MB Trading. Their API is quite good and their support is excellent. http://mbtrading.com/developers.aspx
IB does not offer tick data. They consolidate their data every 0.3 seconds or so. If you want to store your data temporarily for import into another system later on, then just store it as a CSV file. Personally I use IQFeed to download tick data into SQL Server which I then use to run analyses on. When I need to run multiple test runs on the same data, ...
I am planning on using a complex event processing platform such as Esper or StreamBase to handle the incoming tick data to generate buy/sell events. The tick data would also be be forwarded through a queue (0MQ or RabbitMQ) to be written to a datastore (file or SQL database). By doing so, I have the data necessary to backtest or analyze in R or MATLAB, ...
I know of no broker that provides an official, supported Python API. If you are at Interactive Brokers you can consider using their FIX gateway, but that comes with additional cost. QuickFix provides a Python API.
Don't try to capture LIVE tick data using a WebApp. I'm not saying it can't be done, I'm just saying you would get zero benefits and you would have to work way harder to make it functional. Web servers are designed with a premise, serve the user the requested data as fast as possible and free that resource up. You would have to fight the server logic (as ...
Some time ago I tested the IB C++ API with the free demo account: edemo-demouser. The market data is obviously far from reality, but its fine for getting to know the API itself. Good luck with your project!
check out max dama: http://www.maxdama.com/
Don't use either DDE or ActiveX, go with the excel RTD server api. It's the basis behind the Bloomberg BDP plugin and we use it at work to push real time data to many spreadsheets.. It's now the recommended way to push data into a spreadsheet and it has a built in refresh rate parameter which can be any millisecond interval, or immediate if you want data ...
ES is supposed to update every 100 msec now in TWS. I imagine the FOPs update slower than that, probably every 300 msec. IB is not a real time feed like others, they aggregate the data and send it on schedule. It's good because it doesn't lag, bad because you don't get every tick. What Matt said is true and good but if you want to stick with Excel you ...
The demo account sends simulated data, not delayed data. It is unusable for just about anything except to see if your connections are working. The paper account sends real time data if you subscribe to it and pay data fees. It has all the functionality of a real account except fills are simulated. I believe it's worst case fills as in you have to trade ...
You can fund the account with the minimum account requirement for setup, then withdraw your funds immediately. You will then only need enough in your account to cover monthly data usage fees. (You don't have to maintain an account minimum to keep the account open.) It's not an ideal solution but you may be able to borrow the funds off a family member for a ...
Assuming your question is about using the FX 'volume' you see in a broker's DOM or T&S window, you probably can't infer much about order flow in the way you can with other instrument types. FX volume and tick data are not equivalent to what you will see for other instruments. That is, unless the feed is coming from a FX ECN like HotSpot or ...
Check out Quantopian. It's all in Python. You can backtest and paper trade your algo for free. We do live trading by hooking your algorithm to your Interactive Brokers account.
Interactive Brokers does not offer historical data on expired options. All IV calculations must be derived from options that have not expired yet. I believe historical volatility is calculated from the underlying security, and implied volatility is calculated from the option premium. IB's API has a routine called calculateImpliedVolatility(). Never used ...
At AlgoTrader we also use Esper to store all arriving Tick Data in a local Esper Named Window. After a predefined interval, the latest Tick Data snapshot is written to both the filesystem and the database. The actual persistence is done in a separate thread by using Esper Threading. Currently we use MySql but you could just as well use some NoSQL Database ...
If you have an IB account, you can use their API to request market data and save to a flat file. That being said, IB does not offer true tick data, it is filtered and you may want to consider a different data feed if you need true tick data.
TradeStation does options, not necessarily through IB. http://www.tradestation.com/
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