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Backfills from IB are useless for n-volume or tick bars!
The only way to get (somewhat) meaningful data is collect it real-time
yourself.
Joseph Biran
____________________________________________
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of lifferds
Sent: Thursday, May 03, 2007 1:06 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Feed on AmiBroker from IB
It also appears that the backfill is limited to a maximum of 2,000
time packets (simple math from your IB link). I have gone down to a 5
second packet for N-Volume charts and the backfill wipes out, well
wiped out actually, all of this week's earlier data and only gave me 2
hrs and 20 min of this week's data. Last week's (4/27 and earlier) is
intact. Each time a backfill is done, all I get is a sliding window
of 2:20 and all earlier data points are erased.
How do I tell backfill only to fill data after the earliest point the
backfill is able to provide and leave data before that intact?
Tom
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Wes,
>
> No, one second bars backfill from IB DO NOT have tick number, so
entire story behind does not apply.
> What it has is BAR number (which does not represent ticks, but just
counts one second bars, or whatever
> other interval you use).
>
> And existing IB plugin ALREADY PROVIDES backfill for intervals lower
than 1 minute (down to 1 second).
> http://www.amibroker.com/ib.html (subject to length limitations
implied by IB).
>
> So, please CHECK THE FACTS prior to sending wrong info here. I don't
know from where you did get
> all that false information.
> Again I want you to READ THE DOCS that IB prepared that show what is
available and what is not
>
http://www.interactivebrokers.com/en/software/apiReleaseNotes/api_84.p
hp?ib_entity=uk#84_intraday
>
> You can also download their API to see what is inside.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Wes Smith
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, March 03, 2007 12:24 AM
> Subject: Re: [amibroker] Feed on AmiBroker from IB
>
>
> 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@xxx>
> 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.p
hp?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@xxx>
> 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@xxx>
> 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@xxx>
> 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
>
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