0
$\begingroup$

I'm considering Interactive Brokers because of the IBrokers package for R.

On this site there is a small section on data availability and I'm having a hard time understanding the table.
Lets say I have 10,000 dollars in my account and I want 15 minutes bars. Does it mean I can get few thousand observations (one year of 15 minutes bars).
I'm only concerned about the S&P 500 index.
I'm mainly concerned with the amount of observation since I'm building a statistical model and I want to use e.g. 15 minutes bars or even 5 minutes bars.

$\endgroup$
0
$\begingroup$

Does it mean I can get few thousand observations.

Probably, yes, but I did not try it myself.

Using R package IBrokers, namely, reqHistoricalData function, I pump out the base of several years OHLC prices for 1,700 shares, store it in MySQL, update it once a week and scan it in search of suitable purchases.

(one year of 15 minutes bars). I'm only concerned about the S&P 500 index.

Maybe something like this:

test3<- twsSTK("SPY")
dat <- reqHistoricalData(tws, test3, 
                  endDateTime=paste(format(Sys.time(), "%Y%m%d %H:%M:%S")), 
                  barSize="15 min", 
                  duration="1 Y")

See the details here - https://stackoverflow.com/questions/26152138/ibrokers-twsfop-call-in-r?rq=1

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.