Hello,
"Losing connection" is not really losing connection but IB TWS imposing
their throttling on historical data.
It is not my imagination but well described limitation of TWS IB:
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/api/historical_data_limitations.htm#XREF_93621_Historical_Data
Here is verbatim copy of IB own documentation:
"Historical data requests are subject to the following limitations:
Historical data requests can go back one full calendar year.
Each request is restricted to duration and bar size values that return
no more than 2000 bars (2000 bars per request).
All of the API technologies support historical data requests. However,
requesting the same historical data in a short period of time can cause
extra load on the backend and subsequently cause pacing violations. The
error code and message that indicates a pacing violation is:
162 - Historical Market Data Service error message: Historical data
request pacing violation
The following conditions can cause a pacing violation:
Making identical historical data requests within 15 seconds;
Making six or more historical data requests for the same Contract,
Exchange and Tick Type within two seconds.
Also, observe the following limitation when requesting historical data:
Do not make more than 60 historical data requests in any ten-minute
period."
All applications using IB / TWS are subject to these limitations. The
fact that as you say "other just works"
is caused by the fact that they never allow you to make more than one
request per 10 seconds.
AmiBroker on the other hand allows to send more than one request in 10
second. Advantage is that
you can get data quicker (for first 60 requests). Disadvantage is that
IB will send you throttling error
after doing 60 requests.
>>From my point of view it is more important to get first 60 request
quicker.
But if you only care about "just works" I can add a special mode that
will prohibit doing more than
one request within 10 seconds. This will slow down backfill to the
level of "other" applications but
will prevent from getting throttling error.
Best regards,
Tomasz Janeczko
amibroker.com
On 2009-12-29 21:18, Wolfgang Hader wrote:
Sorry, but Amibroker is not very reliable with IB-Data.
Sometimes it works, but most times there are a lot of problems
with it.
If you open different Charts (different Symbols), Amibroker
always stops getting Data from IB.
In the right bottom corner, says connected, but you do not get
new data.
You always have to reconnect.
Sorry, but I read the instructions. I tested it a long time.
Compare it with other software. You will see, with Ninjatrader,
Sierra Charts ... you do not have to care about any settings, it just
works.
Amibroker looses connection from time to time.
Am 29.12.2009 um 21:06 schrieb Tomasz Janeczko:
Hello,
Also read this (to the VERY END of document):
http://www.amibroker.com/ib.html
With default settings AmiBroker attempts to backfill not 5 days but
*30* (THIRTY) days
and that is 6 times more than IB capability per single request (IB
allows only 5 days in one request).
To get 30 days program needs to split it into 6 requests.
So if you are comparing to 5-day only backfill you are comparing apples
to oranges.
So you would need to change backfill length to 5 days in the plugin
status menu
as explained in the document referenced above.
Best regards,
Tomasz Janeczko
amibroker.com
On 2009-12-29 21:03, Tomasz Janeczko wrote:
Hello,
It works just fine with AmiBroker and exactly same speed (or better).
Something is wrong with your setup (probably incorrect database
settings).
You need to configure database exactly as shown in the video:
http://www.amibroker.com/video/ib.html
Best regards,
Tomasz Janeczko
amibroker.com
On 2009-12-29 20:50, ganamide wrote:
I always had problems backfilling data from Interactive Brokers into AmiBroker, but then I started using NinjaTrader and I haven't had much problem with it. In NT, I am able to load up to 20 different futures charts with 15 days of 5 minute bars without a problem, and it only takes about 1 minute to do so. I just tested it with AmiBroker using only 1000 5 minute bars and it keeps choking on a single symbol. This makes me think that either something is wrong with the IB plugin for AmiBroker, or NT figured out a clever way around the throttling issue. Is there anyway we can look into the IB plugin to make it work better? I really want to use AmiBroker with my IB datafeed.
Thanks,
Chris
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