----- Original Message -----
Sent: Saturday, January 28, 2006 3:51
PM
Subject: Re: [amibroker] New
Interactive Brokers plugin version 1.5.0 - featuring upto 30 DAYS of
1-minute bar backfill
Tomasz - This is great work! ...and seems to
backfill faster for my installation. It could be that it was Friday
evening
and the IB servers were coasting
along when I tested
it. On Sat morning I'm not getting on at all.
On to other topics (my newbie blind
spots)
I'm assuming that I can't get streaming
quotes unless I subscribe to the Level II data from IB? Right now I'm on
the
minimal data provider service and get
real-time price changes.
Backfill occurs for me when I select a
single issue, however on the plug-in pull down menu it looks
like
I could pull the data from a list of issues
to be backfilled in a batch. I'm probably missing something?
How do more experienced IB/AB users
work with the AB database population? With the IB ticker
lists?
Do you populate AB with only the 100
issues you are currently focusing
on?
How have you worked the ticker information
area, like full name, sector, industry?
Best regards
Joe
----- Original Message -----
Sent: Friday, January 27, 2006 12:09
PM
Subject: [amibroker] New Interactive
Brokers plugin version 1.5.0 - featuring upto 30 DAYS of 1-minute bar
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)