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Data By Provider incorrect for IB

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    Data By Provider incorrect for IB

    Looking at this documentation
    The information for Interactive Brokers is incorrect:
    "Historical Bid/Ask minute data", you have NO, should be YES
    "Historical Bid/Ask daily data", you have NO, should be YES
    "Historical Minute data" should be YES
    "Historical Daily data" should be YES

    You currently have "Historical Minute data=Yes (live account only)"
    Which appears to suggest it is not available on Paper Trading account (it is).
    Same applies to "Historical Daily data".

    Why is this important? Because I am trying to sort out problems with data gaps and I just noticed this line:
    Warning: Recording live data uses more PC resources and is intended for connections which DO NOT provide historical data. Enabling this option while also using a historical data provider is not recommended as it may result in data gaps.
    But it is not too clear how you intend this to apply to IB. By saying NO to Historic Bid/Ask you currently make it look as though IB does not provide historical Ask/Bid information, which might imply that the warning just quoted does not apply for IB if I only request Bid or Ask data series.

    But since in fact IB does supply historical Bid/Ask for Minutes/Days (but not ticks) am I correct in thinking that the warning quoted does apply to IB?

    If I need to turn off "Record live data as historical" for IB then that means I cant store any tick information in Historical Data.

    #2
    I am researching this on my end with my Interactive Brokers connection. I'll follow up when I have further information. Thanks for your patience.

    Can you tell me what specific instrument you are referring to when you are receiving bid/ask minuter historical data?
    Last edited by NinjaTrader_PatrickG; 11-09-2016, 12:28 PM.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Interactive Brokers did not previously supply this data, so this is why the Help Guide states this. It seems that Interactive Brokers does now provide minute and daily historical bid/ask data. The NinjaTrader 8 Help Guide will be updated to reflect this change. Thanks for bringing this to our attention.

      The statement is true in that it will take more PC resources and can cause gaps. If you require historical tick data, you will need to leave 'save chart data as historical' enabled so that the real-time tick data is saved.

      The alternative would be to use a data provider which supplied historical tick data.
      Patrick G.NinjaTrader Customer Service

      Comment


        #4
        Can you possibly clarify what this warning about gaps means?

        If I turn on "Record live data as historical" then of course I understand that I will have gaps in historical tick data for those periods where I did not have some kind of data series request for the instrument. I am OK with these kinds of gaps, since I realize that there is no way to fill them from IB.

        However if the warning means that "Record live data as historical" =true will also cause gaps in Historical Minute data (due to some incompatibility between the "Record live data as historical" NT process and the process that decides whether to load Historical Data from IB due to say a new data series request) then that is not acceptable and NT needs to fix the bug.

        Comment


          #5
          The 'get data from server (if available)' and 'Save chart data as historical' can conflict if your data provider supplies historical data for the data type you are viewing.

          Simply put, the historical data from your provider and the recorded chart data are attempting to write/access the same historical data file. In your case, this will eventually cause issues with your minute data.

          The best solution for you would be to either disable historical data in your Interactive Brokers connection, or connect to a data provider which supplies all the historical data which you need.

          The first option would allow you to record all real-time data as historical (which can cause gaps as you understand).

          The second would allow you to just use 'get data from server (if available)' and there would be no interference or issues.
          Patrick G.NinjaTrader Customer Service

          Comment

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