• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Interactive Brokers Daily OHLC Data Problems

Collapse
X
  • Filter
  • Time
  • Show
Clear All
new posts

    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

      Comment

      Latest Posts

      Collapse

      Topics Statistics Last Post
      Started by rickyblah12, Today, 08:17 PM
      0 responses
      4 views
      0 likes
      Last Post rickyblah12  
      Started by mrlucky1x, Today, 08:07 PM
      0 responses
      2 views
      0 likes
      Last Post mrlucky1x  
      Started by uday12, Today, 07:21 PM
      0 responses
      3 views
      0 likes
      Last Post uday12
      by uday12
       
      Started by voltlon, Today, 05:18 PM
      0 responses
      6 views
      0 likes
      Last Post voltlon
      by voltlon
       
      Started by Bobisam, Today, 04:57 PM
      0 responses
      8 views
      0 likes
      Last Post Bobisam
      by Bobisam
       
      Working...
      X