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Is it possible to use IB real time bars?

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    Is it possible to use IB real time bars?

    As we all know, the data from Interactive Brokers does not always contain the exact high/low of a bar, especially if there is a small price spike. But through TWS, and through the API, you can access something they call "real time bars". They are 5 second bars that contain the real high/low/open/close as well as volume.

    Is there any way for NT7 to use these 5s "real time bars" as a source for the bar charts? Or if I open up a 5s bar chart, will it use the IB "real time bars"?

    Sorry if this has been discussed before. I did try searching for it.

    Best wises,
    T

    #2
    Hello tobbe,

    Thank you for your post.

    Second intervals are built off of tick data and IB does not provided historical tick data into NinjaTrader, however you may be able to view real-time second data through your NinjaTrader charts.

    I am not familiar with the feature you are referring to, but if this is real-time data, it should be sent to NinjaTrader.

    Please let me know if you have additional questions.
    MatthewNinjaTrader Product Management

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      #3
      Originally posted by NinjaTrader_Matthew View Post
      ...
      I am not familiar with the feature you are referring to, but if this is real-time data, it should be sent to NinjaTrader.

      Please let me know if you have additional questions.
      I guess the answer is "no".

      The IB API documentation is not very good, but it is a well known function (at least if you're an IB API user). It only works for 5 second bars, but they are "true", the high/low is the real "high/low". But you have to code for it specifically. This is the IB docs:

      http://www.interactivebrokers.com/ph...altimebars.htm

      Some of your competitors have included support for this, so when you ask for a 5 second bar chart it will automatically use this IB function. That price data can then be used to "correct" other charts on other timeframes to show the true high/lows, which in turn increases the usability of the IB feed. My reason for asking is that I am considering switching back to NT now that NT7 is stable.

      Note that this is very different from using the "standard" way of requesting price data using the IB API (as documented here: http://www.interactivebrokers.com/ph...reqmktdata.htm).

      Thanks,
      T
      Last edited by tobbe; 12-23-2010, 09:40 AM. Reason: spelling

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        #4
        tobbe,

        Thank you for your suggestion. I will forward this to development to consider in future versions.
        MatthewNinjaTrader Product Management

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