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I am looking for a broker that offers a python API for downloading historical intraday data on futures.

So far I have only seen Interactive Brokers and Tradestation.

Are there some other brokers that provide a python API to query intraday historical data for futures?

For example, I would like to be able to create a csv which would look like:

7/12/15, 11:15, 52.33
7/12/15, 11:10, 52.17
7/12/15, 11:05, 52.35
7/12/15, 11:00, 52.54
7/12/15, 10:55, 52.01
7/12/15, 10:50, 52.03
7/12/15, 10:45, 51.62
7/12/15, 10:40, 51.51
7/12/15, 10:35, 51.18

for about 1000 bars.

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  • $\begingroup$ Although I've run into some fussy details regarding the functionality of the API, it has worked out well. IB provides a good combination of historical data and real time data functions, and you should be able to use it for your mentioned purpose. I actually wrote some code that does exactly what you intend, and I'd be happy to share it. $\endgroup$ – user17543 Nov 5 '15 at 16:37
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Native support is very limited. TradeStation's WebAPI pretty much works with any language because it is wrapped in HTTP calls using RESTful.

If a platform has an API that supports std C/C++ interfaces, you can write a wrapper to extend the API to python. Search for "Calling C from Python".

It is more work to code, but otherwise your choices are very limited. I worked on a project that used this method to link python with the now defunct TAL/RealTick platform.

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