IB Historic Data

[scriabinop23]

I did a search for IB expired and historic data handling on these forums and couldn't find anything.
Here's what I want to do:

1) be able to download (expired) instruments/contracts into Ninjatrader from IB. ie, CLF8 (dec07 futs for crude) is readable from within trader workstation. But Ninjatrader doesn't allow me to download from the same contract when i select the older date range that would apply to the contract. Is there something I need to do in the instrument manager to denote expired status?

2) if NT can't do this, are there any alternative programs out there that automate putting together front month only data files from IB data that I can then import into NT?

[NinjaTrader_Ray]

If you add "ES 12-07" in the instrument manager, then select this, does it not download data for this instrument? It should provided the data exists on IB servers.

[scriabinop23]

If you add "ES 12-07" in the instrument manager, then select this, does it not download data for this instrument? It should provided the data exists on IB servers.

No. It tries and fails just after it shows the first date (most recent of the range i select to download either via chart or tools/reload historical data). It just quits.

Try yourself. And the data does exist on the servers; I can chart the expired contracts thru TWS.

I tried this on ES 12-07, CL 12-07, NG 11-07. All chart out OK.

[NinjaTrader_Ray]

Is the date range of your chart within the range of when that contract traded?

[scriabinop23]

Is the date range of your chart within the range of when that contract traded?

yes definitely. i've rechecked this option a few times.
(err. its the only option i can adjust)

[NinjaTrader_Ray]

I would check your settings. I just created a chart for ES 12-07 from Nov 15 through 30th and worked as expected.

[scriabinop23]

I would check your settings. I just created a chart for ES 12-07 from Nov 15 through 30th and worked as expected.

No go. Both in Chart view, and 'Tools,Historical Data,Reload'
Using that same contract. I'll switch to my live account [i'm doing this from the demo right now.]

[just tested from my live acct, the same - attempts to download the first date and immediately aborts. I am running TWS 880.5.]

[NinjaTrader_Ray]

Our current supported TWS version is 877. A newer version could be the problem but I unfortately don't know since are not testing at that revision yet.

[scriabinop23]

Our current supported TWS version is 877. A newer version could be the problem but I unfortately don't know since are not testing at that revision yet.

Considering 881 is now available from the website and I can't even get 877 from them if I tried, I will be happy to test the newer version and find what is going on. What shall I do?

[NinjaTrader_VinceB]

Hi,

You can download TWS 877 from here:

http://www.ninjatrader.com/webnew/support_interactivebrokers.htm

Then click on the download button.


Vince

[scriabinop23]

Thanks.

Here's the IB log upon the 'no data' coming across.

FY 09:29:35:721 JTS-EServerSocket-175: [0:20:39:1:0:0:0:INFO] Handling incoming ReqHistoricalData message.
FY 09:29:35:723 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Started reading message:
FY 09:29:35:724 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Finished reading message:
FY 09:29:35:725 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] pb::[version=3,ID=2,action=null,reqDesc=Symbol=ES  Type=FUT  Expiry=200712  Strike=0.0  Put/Call=?  Exchange=GLOBEX  CompExch=GLOBEX  Currency=USD  Multiplier=null  IbLocalSymbol=null  includeExpired=false  Legs=null,endDateTimeStr=20071122 00:00:00,backfillDuration=86400,whatToShow=0,barSizeSetting=5,formatDate=1,combo=null]
FY 09:29:35:725 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] [3;2;ES;FUT;200712;0.0;2;null;GLOBEX;USD;false;20071122 00:00:00;5;86400;0;TRADES]
FY 09:29:35:725 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Start validating message:
FY 09:29:35:725 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Finished validating message:
FY 09:29:35:725 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Started processing message:
FY 09:29:35:725 JTS-EServerSocket-175: SECDEF  Sending  reqId=FixSecDefReqBySymbol158  symbol=ES 0 GLOBEX
FY 09:29:35:725 JTS-EServerSocket-175: [0:20:39:1:0:0:0:INFO] Requested historical data.
FY 09:29:35:726 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Finished processing message:
FY 09:29:35:726 JTS-EServerSocket-175: [0:20:39:1:0:0:0:INFO] Handling incoming UnSet message.
FY 09:29:35:726 JTS-EServerSocket-175: [0:20:39:1:0:0:0:ERR] Invalid incoming request type - 0
FY 09:29:36:003 JTS-CCPDispatcher-14: SECDEF  Handling  reqId=FixSecDefReqBySymbol158
FY 09:29:36:003 JTS-CCPDispatcher-14: [0:20:39:1:0:4:2:DET] Sending error.
FY 09:29:36:003 JTS-CCPDispatcher-14: [0:20:39:1:0:4:2:DET] [4;2;2;200;No security definition has been found for the request]
FY 09:29:36:011 JTS-CCPDispatcher-14: [0:20:39:1:0:4:2:DET] Error sent.
FY 09:29:36:012 JTS-CCPDispatcher-14: Checking market data
FY 09:29:37:712 JTS-EServerSocket-175: [0:20:39:1:0:0:0:INFO] Handling incoming ReqHistoricalData message.
FY 09:29:37:712 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Started reading message:
FY 09:29:37:712 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Finished reading message:
FY 09:29:37:712 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] pb::[version=3,ID=3,action=null,reqDesc=Symbol=ES  Type=FUT  Expiry=200712  Strike=0.0  Put/Call=?  Exchange=GLOBEX  CompExch=GLOBEX  Currency=USD  Multiplier=null  IbLocalSymbol=null  includeExpired=false  Legs=null,endDateTimeStr=20071122 00:00:00,backfillDuration=30 D,whatToShow=0,barSizeSetting=11,formatDate=1,combo=null]
FY 09:29:37:712 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] [3;3;ES;FUT;200712;0.0;2;null;GLOBEX;USD;false;20071122 00:00:00;11;30 D;0;TRADES]
FY 09:29:37:712 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Start validating message:
FY 09:29:37:713 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Finished validating message:
FY 09:29:37:713 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Started processing message:
FY 09:29:37:713 JTS-EServerSocket-175: SECDEF  Sending  reqId=FixSecDefReqBySymbol159  symbol=ES 0 GLOBEX
FY 09:29:37:713 JTS-EServerSocket-175: [0:20:39:1:0:0:0:INFO] Requested historical data.
FY 09:29:37:713 JTS-EServerSocket-175: [0:20:39:1:0:0:0:DET] Finished processing message:
FY 09:29:37:713 JTS-EServerSocket-175: [0:20:39:1:0:0:0:INFO] Handling incoming UnSet message.
FY 09:29:37:713 JTS-EServerSocket-175: [0:20:39:1:0:0:0:ERR] Invalid incoming request type - 0
FY 09:29:38:003 JTS-CCPDispatcher-14: SECDEF  Handling  reqId=FixSecDefReqBySymbol159
FY 09:29:38:003 JTS-CCPDispatcher-14: [0:20:39:1:0:4:2:DET] Sending error.
FY 09:29:38:003 JTS-CCPDispatcher-14: [0:20:39:1:0:4:2:DET] [4;2;3;200;No security definition has been found for the request]
FY 09:29:38:003 JTS-CCPDispatcher-14: [0:20:39:1:0:4:2:DET] Error sent.
FY 09:29:38:003 JTS-CCPDispatcher-14: Checking market data

[NinjaTrader_VinceB]

Hi,

This is a log from IB. We are not qualified to read these. What you might want to do is to send the log from within our software. You can do this from My Documents--> NinjaTrader6--> Log--> log.20080121

Also, have you tried bringing up TWS first and then connect NT to it?



Vince

[scriabinop23]

Hi,

This is a log from IB. We are not qualified to read these. What you might want to do is to send the log from within our software. You can do this from My Documents--> NinjaTrader6--> Log--> log.20080121

Also, have you tried bringing up TWS first and then connect NT to it?



Vince

Yes. I've also done that with the same results (opened TWS first and connected NT that way).

Now I tried this on the 8.775 on your website and had the same results.

This is the TWS log for 877 (instead of 881 from before)(i couldn't find the option to enable verbose 'Detail' logging in 877):

TH 09:42:39:859 JTS-EServerSocket-51: SECDEF  Sending  reqId=FixSecDefReqBySymbol56  symbol=ES 0 GLOBEX
TH 09:42:39:859 JTS-EServerSocket-51: [0:20:35:1:0:0:0:ERR] Invalid incomming request type - 0
TH 09:42:39:971 JTS-CCPDispatcher-14: SECDEF  Handling  reqId=FixSecDefReqBySymbol56
TH 09:42:39:972 JTS-CCPDispatcher-14: Checking market data

Nothing appears in the log.20080121 that marks this (not enough detail.) In trace.20080121 there only is:

 
2008-01-21 09:46:07:171 (IB) Data.Bars.GetBarsNow: instrument='ES 12-07' from=10/14/2007 12:00:00 AM to=11/21/2007 12:00:00 AM period=1 Min
2008-01-21 09:46:09:171 (IB) Data.Bars.GetBarsNow: instrument='ES 12-07' from=10/14/2007 12:00:00 AM to=11/21/2007 12:00:00 AM period=Daily

Thats it.

[scriabinop23]

BTW, I am running 6.506 Ninjatrader. I haven't tried this on 6.0, but I won't be using 6.0 anyway (since it lacks features I need from 6.50).

[NinjaTrader_VinceB]

Please send a note with your phone number to support at ninjatrader dot com and refer to this post. Someone will give you a call later today to remote assist you.


Vince