NT8 support for IBs Tick-by-Tick Historical Market Data

[khe91]

From the IB TWS Build 967 - August 8, 2017 release notes:

"Effective with API version 973.04, you can now retrieve tick-by-tick historical data via the API using the function IBApi::EClient::reqHistoricalTicks, which corresponds to the TWS Time & Sales window."

https://www.interactivebrokers.com/en/index.php?f=26967#966-03

Does NT8 support IBs Tick-by-Tick Historical Market Data ?

[NinjaTrader_Jason]

Hello khe91,

Unfortunately historical tick data is not supported with Interactive Brokers in NinjaTrader. I will forward the suggestion to support historical tick data with IB to development.

[NinjaTrader_Jason]

The suggestion has been added to the list of possible future enhancements and is assigned to SFT-2837.

[garfielalvin]

Please advice on any update on the status of the request

Same request has been raised in another thread

https://ninjatrader.com/support/forum/showthread.php?t=107329

[NinjaTrader_ChelseaB]

Hello garfielalvin,

Feature request SFT-2837 to support historical tick data with Interactive Brokers has not been implemented at this time.

Please note it is up to the NinjaTrader Development to decide if or when a request will be implemented.

As new releases of NinjaTrader become available, you can check the release notes for this ID to see if a request was implemented.

Below is a public link to the release notes.

https://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm

[Shansen]

Please add my vote for SFT-2837 - IBs Tick Historical Market Data

[NinjaTrader_ChelseaB]

Hello Shansen,

I've sent your vote toward this as well.

We appreciate your feedback.

[3lliot]

Please also add my vote for SFT-2837 - IBs Tick Historical Market Data.

In the meantime, how do people with IB accounts backtest their NT strategies? do they download historical data from another provider?

[NinjaTrader_ChelseaB]

Hello 3lliot,

I've added your vote. Thanks for your feedback on this.

Some of our clients choose to record tick data from real-time data and leave NT running at all times. Tools > Options > Market data > Real-time > Enable market recording of playback.
Below is a public link to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/options_marketdata.htm

I'm not certain on this, but my understanding from our clients is that the IB Gateway doesn't have a forced logout every 24 hours, but does log out during weekend maintenance and requires manually logging in.

Some of our clients supplement with Kinetick.
Below is a public link to Kinetick.

https://kinetick.com/Subscribe

[guidoisot]

Please add my vote for SFT-2837 - IBs Tick Historical Market Data

[NinjaTrader_ChelseaB]

Hello guidoisot,

I've added your vote as well.

Thanks for your input.

[NinjaTrader_Brett]

I have an update available, we reviewed updating the NinjaTrader supported API version to a level high enough to support historical tick data from IB. Unfortunately this API upgrade is a significant update requiring changes to how the NinjaTrader adapter is written in every single aspect. This is a significant change requiring beta testing and basically starting with a fresh connection for IB. This is something we could consider with a next major version of NinjaTrader but not something we could introduce anytime in the near term.

We will be in general launching some updates to the IB API in the next coming release(s). Stay tuned and watch release notes for when these will be announced.

[garfielalvin]

Hi Brett

Glad to hear that updates relating to IB API is coming. In the forum, there are other requests regarding IB API listed below. Are any of these features request plan for implementation in upcoming release(s)?

1. Historical tick data
2. Server side bracket order https://ninjatrader.com/support/foru...ad.php?t=94152
3. Adaptive Algo orders https://ninjatrader.com/support/foru...d.php?t=110202
4. IB order types access https://ninjatrader.com/support/foru...ad.php?t=94337
5. Direct access to IP ABI via Ninjascript https://ninjatrader.com/support/foru...d.php?t=104085

Besides, would like to request for "Direct access to IP ABI via Ninjascript" feature in the next major version of NT to enable a more comprehensive utilization and customization of NT with IB.

Thank you.

[NinjaTrader_Brett]

We're focusing on linked account support and updating to a newly recommended real-time data feed API and some additional bug fixes. Unfortunately we don't have any near term plans for the items on the your list at this time, we did look into historical tick data support however per my previous post this is not possible at this time.

[dadarara]

.........This is something we could consider with a next major version of NinjaTrader

You mean something like NT9 ?? this is really important to some people including me. obviously this type of the issue can be solved with money. But it intensifies my love&hate feeling with NT.