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Interactive Brokers Daily OHLC Data Problems

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    Interactive Brokers Daily OHLC Data Problems

    Hi,

    I'm running a number of automated strategies on NT7 using the daily OHLC data provided by Interactive Brokers, which is essential for the calculation of the next day's orders at the beginning of each trading day.

    What I've noticed on numerous occasions is that on some days, IB will give erroneous data, leading to trades which are not intended by my strategies (and thus frequently culminating in a loss); when I reload IB data for the corresponding instruments a few days later and backtest; however, then it looks as though the trade should have never happened (I guess IB sometimes corrects its own data after a few days)...

    Is there a way to prevent this extremely frustrating issue, by somehow ensuring that we at least get accurate end of day data from IB every day ?..


    Warm Regards,
    Vispilio

    #2
    IB is not a reliable data provider. Your problem with daily data is not the only problem. You will also notice that real-time volume is different from historical volume. Therefore, when trading via IB, I do not use IB data but get it elsewhere. I am trading futures and use data from Kinetick.

    IB daily data is just aggregated intraday data, as they do not use the official open, high, low and close values published by the exchange. Aggregated intraday data can be easily calculated from minute data. If you do it that way, you do not need to load any daily data from Interactive Brokers at all.

    Comment


      #3
      Hello Vispilio,

      I replied to your email inquiry and will work with you through there.

      Please let us know if you need further assistance.
      Alan P.NinjaTrader Customer Service

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