[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] New Interactive Brokers plugin 1.5.0 - featuring 30 DAYS backfill


  • To: <amibroker@xxxxxxxxxxxxxxx>
  • Subject: Re: [amibroker] New Interactive Brokers plugin 1.5.0 - featuring 30 DAYS backfill
  • From: "emp62" <emp62@xxxxxxx>
  • Date: Fri, 27 Jan 2006 22:05:28 +0100

PureBytes Links

Trading Reference Links

thanks a lot. Very nice that one can set the number of days to backfill.
 
rgds, Ed
 
 
----- Original Message -----
Sent: Friday, January 27, 2006 8:02 PM
Subject: [amibroker] New Interactive Brokers plugin 1.5.0 - featuring 30 DAYS backfill

Hello,
 
A new version of Interactive Brokers data plugin has been released now.
 
It features (among other things) extended backfill (upto 30 days of 1-minute bars).
 
Please read change log below for more details.
 
Download & instructions:
 
Direct link:
 
(you need to CLOSE AmiBroker, and copy downloaded file to "Plugins" subfolder)
 
You can verify version numbers of all plugins using Tools->Plugins menu in AmiBroker.

Best regards,
Tomasz Janeczko
amibroker.com
 
CHANGES for version 1.5.0 (as compared to 1.4.4)
 
+ 1-minute backfill length is now extended to upto 30 days,
user selectable from RIGHT mouse button menu over plugin status area.
(Note that due to TWS limitation backfills longer than 5 days are splitted into chunks of 5 days and downloaded sequentially)

+ Implemented workaround to IB weird way of sending tickSize events

Problem was that IB sometimes repeats many times the same tick and sometimes skips some ticks and cumulate them into one tickSize LAST_SIZE event.
This is because IB feed was NOT designed as tick-by-tick and never intended to create time&sales series, but rather solely to update TWS display grid.
Now the plugin tries to workaround this weirdness by ignoring duplicate tickSize LAST_SIZE events (with the same size) and correcting missing ticks usign CUMULATIVE volume sent with tickSize VOLUME event. Correction is needed because without it we would end up having incorrect total volume (sometimes real trades may have same events so multiple REAL ticks may have same price/size, unfortunatelly there is no way to detect whenever it is real trade or duplicate generated by IB, so correction according to cumulative volume is the only way to go).

+ plugin now accepts "O" and "OP" as type specification and treats it as "OPT"

This allows to get quotes for some options that have very long symbols (exceeding 26 characters allowed by AB).
For example to get DAX options use this symbols:

C ODAX MAR 06 5500-DTB-O
P ODAX MAR 06 5500-DTB-O

(note that there are TWO spaces between 06 (year code) and 5500 (price).)

+ Fixed some problems with Microsoft's CSocket buggy implementation

+ IB API error message 165 is used now to detect whenever backfill is available or not (demo account for example does not offer backfill)



Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html





YAHOO! GROUPS LINKS