IB's Historical Data Limitation

[joegwest1]

Josh,

I would like to report a possible bug with NT dealing with IB's Historical Data requests time limitation.

When programming my trading system, I noticed that NT seems to Handle the Historical Data requests Limitation with a timer very well until either :

1. Comes across an instrument that has no history .. or

2. Comes across an instrument that has little history ..or

3. Maybe after a certain number of instruments have been processed.

I didnt spend to much time trying to figure out what was triggering it.

NT seems to then speed up the requests without the timer and activates the IB Historical requests timing limitation.

Because of this, I had to program my system to wait until NT was through with the Historical Update on all tradable instruments and then initiate the requests directly through IB's API for non-tradable instruments(indexes etc..) using a timer also. This was the only work around I could come up with as I am utilizing over 40 different Instruments and Indexes using 3 different time periods.

You may want to have the programmers take a look at this. I am sure that there may be clients that would like to use multiple instruments and indexes in thier strategies like I have, that may not be able to program for this problem.

Thanks for a Great Product,
Joe

[NinjaTrader_JoshP]

Joe,

So what exactly happens when you run into one of these cases? Do you have an instrument in mind that does this? Have you tried just running that instrument alone? Thanks.

[joegwest1]

Josh,

Like I said, It seems to happen with Indexes, and even some futures that IB doesnt maintain a history on or maybe very little??. When NT receives these updates it seems to not engage the timer and fires another request right away.

I faced this problem several versions!! ago :}, so I cannot give a copy of the code that triggered it, but the way it was set up at the time was to request all the tradable instruments first, then the indexes. There was no particular instrument that triggered it, (I tried reorganizing them etc..).

As you know, IB sets a limit on the number of requests that it will handle in a particular time period and how often you can request them. NT seems to handle it well until we get into the twenties... and receives an instrument that has no data or very little like at the beginning of a session.

Josh, I do not believe that you will see this problem surface unless you are requesting alot of instruments with non-history indexes and futures mixed in.

Hope this helps.

Joe

[NinjaTrader_JoshP]

Joe,

We would be glad to take a look if you are able to provide us with a reproducible scenario. If not, we will keep an eye out for it. Thank you.

[joegwest1]

Not really a Problem... Sorry

Josh,

Did a little research into this problem on IB's api forum and it seems that IB places a limit on the total number of requests in a 9 -11 minute time period depending on which thread you believe.

What was probably happening was that in debuging I probably ran the system twice in this time limit. Once it hit this ceiling, it produced the errors that I was reporting. Because of the order I was using, the indexes and futures were at the end so they were the ones producing the error. On my system, I put the Historical Requests on a backthread on a 30 sec timer, so that is why it hasnt errored on my since.

Sorry to report a bug that did not exist. Was only trying to help.

Thank you for your time,
Joe

[NinjaTrader_JoshP]

Glad you got to the bottom of it. Thank you for your efforts.