|
PureBytes Links
Trading Reference Links
|
Hello,
Most of things you mention are Interactive Brokers API "features".
> Since IB TWS itself can update up to 100 symbols at a time, I
> expected Amibroker would request the same.
It DOES.
Real time / historical data are delivered and saved IF you access them.
So you have to run for example SCAN over all symbols at least once.
Also 100 symbol limit is TOTAL limit for TWS and all connected applications
AND it applies to STREAMING data (NOT backfill).
Backfill via TWS is limited to ONE symbol at a time.
http://www.interactivebrokers.com/en/software/apiReleaseNotes/api_84.php?ib_entity=uk#84_intraday
Quote: "Unlike market data requests, only one request for intraday data can be in
process at any given time. "
Lack of afterhours backfill has been reported *months* ago (April 22, 2005) to IB forums
and no-one at IB cares.
http://www.interactivebrokers.com/discus/messages/2/28391.html
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "liberte721" <liberte@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, March 23, 2006 2:43 AM
Subject: [amibroker] Re: FW: Interactive Broker TWS Feed
> Hello all. I am new to AmiBroker, and this forum. In general, I
> have been very impressed with what I can do, particularly in the
> graphics area (it could be even better though).
>
> I have several problems :). I'll stick with the IB TWS feed problems
> in this message.
>
> 1. There is an occasional problem getting an explicit backfill (when
> I click on a symbol that has not been backfilled, or when I
> explicitly "Backfill Current"). The problem I see sometimes - rarely
> actually - is that Amibroker will attempt to get the backfill, but IB
> fails to respond. The repeated attempts will beep away for several
> minutes. There seems to be no way to interrupt the hanging request -
> clicking on other symbols does not help. Changing the
> database settings also failed to reset the request. Maybe it
> eventually resolves, but usually I am too impatient (and annoyed at
> the beeping) and I restart Amibroker (which doesnt always help - it
> starts up again at the same symbol), or restart IB TWS.
>
> 2. I just started testing real-time quote updating via a live
> connection, using my IB paper trading account. My plan was to use
> the realtime quote updating to get all the data I need to further my
> studies and refine my system to work on the 5 second time frame. I
> had assumed that all the symbols that I typically visit (in the All
> list) would be updated real-time, as the day progressed. This would
> allow me to get much more data out of IB since this realtime data
> does not count against the backfill limit. However, it appears that
> only ONE symbol gets updated, the one I leave up as the selected
> symbol, displayed in the graphs.
>
> Not even all the symbols in the Realtime Quotes window were updated.
> Maybe that window was updated as the quotes came in, but nothing was
> preserved except for the one symbol that was displayed in the graphs.
>
> This is totally inadequate, not only for getting data but to do
> live auto-trading. The trading system I am developing (which is
> working great, by the way) makes a large number of small trades
> across dozens of stocks. So I need lots of data at the one minute
> level. I hope I am missing something, besides data.
>
> Since IB TWS itself can update up to 100 symbols at a time, I
> expected Amibroker would request the same. I don't know of any
> limits to this, procedural or in terms of network or cpu load. Maybe
> there are limits I do not know of.
>
> If it is possible, I suggest that all symbols being used in an auto
> trading system should be updated (at the very least) and the data
> preserved. If I am not doing a live auto-trading (at this point, I
> don't quite understand how to invoke and ensure that I am doing auto
> trading, but ... that is another message) I may still want to get
> real-time updates of a set of quotes. There should be a way to
> select some set of symbols, a whole folder, for example, to be
> updated all at once, either realtime or in backfill mode.
>
> 3. After my day of realtime updates that did not happen, Amibroker
> treated all the symbols as if they had already been backfilled, even
> though most of the data for the day was missing. I had to explicitly
> select and "Backfill Current" for each one of the symbols.
>
> 4. The granularity of a backfill is at least one whole day, which is
> sometimes more than I want. As a limited resource, I want to be more
> selective, in both the start and end time/date.
>
> Backfilling also doesnt seem to include after-market data, which I
> was getting for a few symbols while connected in realtime, and as a
> switched which symbol I was viewing. After-market data helps a lot
> to smooth out the curves according to actual trading trends, avoiding
> those sometimes huge gaps between trading days. Maybe this is a
> limitation of IB.
>
> Thanks for any help on these issues.
> (BTW, this Yahoo group forum system is not very good.)
>
>
>
>
>
>
>
>
>
> 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
>
>
>
>
>
>
>
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|