Re: [amibroker] Feed on AmiBroker from IB, AmiBroker Email List Archive

Hi again Thomas
I understand the 1 second resolution issue.

Here is my understanding of what other vendors have done.

Each 1 second record has both a volume and tic number.

Most of the time, I'm using a tick chart with something like 90 to 500 ticks/bar on YM. (this was a year or so back with sierracharts. ES would use a larger value of course as it's a higer volume chart.

This produces charts where each bar on average is between 1 and 12 minutes in length.
The 1 second resolution fits this criteria.

I understand that it's not tick by tick .. but I don't need that! And I'd buy Esig if I did.

So I think all we're asking for is to have the IB plugin provide backfill for intervals less than 1 minute.

----- Original Message ----
From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, March 2, 2007 5:04:29 PM
Subject: Re: [amibroker] Feed on AmiBroker from IB

Wes,

>fwiw, many programs allow tic and volume charts with the IB feed, .. and use IB backfill for them as well.
>Of course, IB backfill can be problematic .. but at least you can do it !

Volume charts - sure, you don't need ticks for that.

But TICK charts - no, you can't.

How many times I have to repeat you the same truth that some other software vendors

do not tell you, but Interactive Brokers does - the truth that I

IB does NOT HAVE TICK BACKFILL !

PERIOD.

And no matter what software you use you can not change that.

This is IB limitation. The finest resolution of backfill from IB/TWS is ONE SECOND BARS !

Go on Interactive Brokers site and READ THEIR DOCS

http://www.interactivebrokers.com/en/software/apiReleaseNotes/api_84.php?ib_entity=uk#84_intraday

You can collect ticks streaming, but you can not BACKFILL ticks. If any other software tells you

otherwise they are lying

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Wes Smith

To: amibroker@xxxxxxxxxxxxxxx

Sent: Friday, March 02, 2007 9:00 PM

Subject: Re: [amibroker] Feed on AmiBroker from IB

Hi Joseph
I will place a request.

fwiw, many programs allow tic and volume charts with the IB feed, .. and use IB backfill for them as well.
Of course, IB backfill can be problematic .. but at least you can do it !

Not knocking AB here btw.

----- Original Message ----
From: J. Biran <jbiran@xxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, March 2, 2007 3:06:43 AM
Subject: RE: [amibroker] Feed on AmiBroker from IB

Wes,

make your suggestions at http://www.amibroker.com/feedback/ (I already did some of your requests)

regarding item 2. you can NOT use backfills if you use tick or volume based database! I am guessing it is because
IB transmits no timestamp with the data.

try it for yourself. take a snapshot of your volume bar screen, then do a "backfill current symbol" and compare.

the differences are sometimes VERY dramatic!

Joseph Biran
____________________________________________

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Wes Smith
Sent: Thursday, March 01, 2007 2:35 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Feed on AmiBroker from IB

Thanks Thomas, that does help explain the data loss a number of us have been seeing.
I had been doing the scan in the morning, not the end, and was under the impression that doing a database save-all would save all date that had been collected.

Having to perform a scan just to write my data seems a bit counter-intuative
Is there any chance you would consider changing AB so that this save is done automatically?

Re IQ/Esig vs IB.   I agree, the backfill is bad and slow. But it is adequate for my needs. I only trade a few stocks and the eminis
I am quite happy to wait a few minute for the backfill and put up with IB's limitations in this area.
All feeds have problems from time to time, but I have found the IB R/T feed to be more than adequate .. it kept up nicely during tuesdays free fall.
I think you have a number of users in this category.

IB TWS has one very big advantage over any of the other feeds
I often access my TWS data from another computer over my home lan. None of the the other feeds allow this. In fact, they go out of their way to prevent it.   And I can get two feeds from IB, just by opening a paper trading account. Again, this gives me the flexibility I sometimes need.

Regarding IB Plugin enhancements ... I offer my short list for your consideration
1) Autosave all collected data when I exit AB or press the save all button
2) Allow backfill for tick data . I have used several other programs using the IB feed and they allow this.
     - I know it's not real 'tick' data. I want it for 'volume' based charts, and its' more than adequate for that need.
     - doesn't have to be 30 days .. can be much less... provided I can reliably save the data as per the file-save request above.
3) - Daily Historical data ...

Thanks again !

----- Original Message ----
From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 28, 2007 4:32:39 PM
Subject: Re: [amibroker] Feed on AmiBroker from IB

Hello,

Ineteractive Brokers (IB) is "special" because of their very limited backfill capability (not allowing more than one backfill

at a time and throttling they do).

For this reason any program using IB feed must limit backfills to just one at a time which is very inconvenient

from workflow point of view. But this is IB limitation, not Amibroker's. If you are serious about intraday data

I would rather recommend using eSignal or IQFeed. Both are way, way superior and orders of magnitude faster than IB.

If you choose using IB data and want to fill the gaps

you need to trigger backfills manually. The recommended workflow is as follows:

1. Put all symbols you want to collect data for into Real Time Quote window

2. When you start AmiBroker with IB feed, choose "Backfill All RT quote window symbols" from Plugin status menu.

http://www.amibroker.com/ib.html

3. Once process is completed for all symbols (it takes looong time due to TWS throttling backfills to crawl)

you have all your historical data in place and all data are being collected all the time automatically,

you don't need to chart them.

4. Now important part: BEFORE you close AmiBroker at the end of the day,

go to AA window and run any SCAN (say as simple as:

Buy = 0; )

over ALL SYMBOLS. This makes sure that data collected by the plugin is accessed by AB and transmitted

to its local files.

After that you can close AB and all data you collected are stored on your local disk.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Wes Smith

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, February 28, 2007 8:21 PM

Subject: Re: [amibroker] Feed on AmiBroker from IB

Thomasz
I have similar behavior to what the prior posters have said.
There was a prior thread on this last week as well.. so there's a lot of us with this problem.

- I have all my symbols in a RT quote windiw
- I don't chart all the symbols, all the time

Most nights I review each symbol.. Usually the symbol is NOT filled in and a backfill must be performed.
I've found that running a scan against all syms in the morning will make AB collect and store the data ... sometimes
But just putting into the RT window doesn't.

This is 490.3 .. but has been this way for many months.

----- Original Message ----
From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 28, 2007 10:43:13 AM
Subject: Re: [amibroker] Feed on AmiBroker from IB

No, AB collects data for ALL symbols being accessed in ANY way (you can for example run AA Scan over all symbols

to collect all without need to chart them).

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: J. Biran

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, February 28, 2007 4:17 PM

Subject: RE: [amibroker] Feed on AmiBroker from IB

I believe Eduardo charts in AB just ER, hence only ER's data is being collected.

AB ONLY collects data for symbols who are being charted! (unfortunately)

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Edward Pottasch
Sent: Wednesday, February 28, 2007 4:56 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Feed on AmiBroker from IB

I would think that if you display all charts in the morning there should be no problem. I am in Europe and I open the TWS + Amibroker already before 10 a.m. CET to prepare my day, corresponding to 4 a.m. E.T.

Best to put all symbols in the real time quote window. To open see: View -> Realtime Quote

put in the symbols you wish to have updated during the day and then do Right Mouse Click on CONN (right bottom) and Backfill All RT Quote symbols. If you do that every morning it should be fine I would think,

Ed

----- Original Message -----

From: amarilloblanco

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, February 28, 2007 12:43 PM

Subject: [amibroker] Feed on AmiBroker from IB

I have linked AmiBroker with IB with 8 symbols to feed every day.
Every day when I open AmiBroker and IB I display the 8 symbols, but
during the day I watch just ER2.
When the day end and I watch the other symbols, noone has bees updated
to the day.
I open both software early in the morning ( 6:00 am ET ) and I am
thinking this could be the problem.
Need I watch the charts right after 9:30 AM ET to update all during the
day? Or I missing another task.
Thanks in advance
Eduardo