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).
It also includes fix to problems with -IND symbols
introduced in 1.5.0
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
CHANGE LOG
Changes for
Version 1.5.1 released January 31, 2006
+ fixed problem with -IND
symbols (bug appeared in 1.5.0)
+ 1.4.4 socket code re-used (newer one was
working fine on all but one machine)
Changes for
Version 1.5.0 released January 27, 2006
+ 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)