Tag Info

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.

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 ...

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 ...

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.

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, ...

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 ...

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 ...

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 ...

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, ...