downloading historical data from Interactive Brokers

[quinn10012]

Hi,

Interactive Brokers has other data besides stock prices and volume that users can download. This includes such things as historical volatility and fee rates for stocks. Is there a way to do this inside Ninja Trader?. According to the TWS api documenation, it's quite simple: See the table Historical datatypes in the TWS http page: https://interactivebrokers.github.io...ical_bars.html

[NinjaTrader_ShawnB]

Hello quinn10012,

Thank you for your post.

Unfortunately, there is not a default option in NinjaTrader to accomplish this. I have provided a link below to our Help Guide that goes over understanding the data and types of data provided by all of the connectivity providers. Expand the section labeled Understanding the data provided by your connectivity provider.

• Data by Provider

However, this may be possible using custom NinjaScript programming.

If you have limited time or programming capabilities, you can discuss your requirements with any of our NinjaScript consultants. If you would like our affiliate NinjaTrader Ecosystem to provide you with a list of professional NinjaScript consultants please let me know.

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.

[quinn10012]

So then is it possible to call TWS methods Inside NinjaTrader? Is this done by the connection that NinjaTrader has created. Then I need to know how/were to place the code to extend the class that receives the data back from TWS. or do I start a different connection and have an class that extends TWS's Ewrapper. That is,

• public class EWrapperImpl : EWrapper
  {
  ...
  public virtual void historicalData(int reqId, Bar bar)
  {
  Console.WriteLine("HistoricalData. " + reqId + " - Time: " + bar.Time + ", Open: " + bar.Open + ", High: " + bar.High + ", Low: " + bar.Low + ", Close: " + bar.Close + ", Volume: " + bar.Volume + ", Count: " + bar.Count + ", WAP: " + bar.WAP);
  }
  ...
  public virtual void historicalDataEnd(int reqId, string startDate, string endDate)
  {
  Console.WriteLine("HistoricalDataEnd - "+reqId+" from "+startDate+" to "+endDate);
  }

• public void historicalDataUpdate(int reqId, Bar bar)
  {
  Console.WriteLine("HistoricalDataUpdate. " + reqId + " - Time: " + bar.Time + ", Open: " + bar.Open + ", High: " + bar.High + ", Low: " + bar.Low + ", Close: " + bar.Close + ", Volume: " + bar.Volume + ", Count: " + bar.Count + ", WAP: " + bar.WAP);
  }

It seems that would be an awful lot easier to have a separate client server app that exists outside of Ninjatrader. This app would act as a go between between ninja trader and TWS. Hence does Ninjatrader allow communications with outside apps using socket programming?

[NinjaTrader_ChelseaB]

Hello quinn10012,

NinjaTrader does not have the ability to call methods in TWS or any other connected brokerage.

NinjaScript methods and properties are designed to be used for NinjaTrader internally to process received data and submit orders.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/97575-sample-scripts?p=786040#post786040

Unfortunately, we are not able to assist with the API of other platforms. However, this thread will remain open for any community members that would like to provide unsupported advice.