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In 1 minute resolution I can download 5 days (1 week) of 24h IB forex
(Idealpro) data sending 4 requests at the same time ( 4 weeks total)
With 12 of these requests you can get 1 year of data, which even
assuming you have to wait 3 minutes between each consecutive request,
which I have to checkek, would mean you can get 1 year backfill in 1
minute resolution in about 40 minutes.
For contracts traded 8 hours a day like just divide by 3.
I have not tried to request more than a symbol at the same time.
With 1 sec , assuming 58 requests at the same time you need
5*24*60*60/2000/58 = 3.73 requests (about 4*3min=12 minutes) per week
for 24h data
for one year about 3.73*52weeks*3min=580min, about 10 hours .
Again divide all by three for 8 instead of 24 hours data
The present AB IB backfill is 4 weeks in 1 minute mode, and 2000 bars
for other resolution, so there would be some significant improvement.
This all obvious and I am sure you have already thought about it, but
al least for a selected number of symbols a 1 year back fill in 1
minute resolution is practically possible, and for some intermediate
intraday resolution , doing all the necessary tests it could also be
possible, for fewer symbols.
These are all just technical details, which a great programmer like
Thomasz could implement in 1 hour.
My goal in this list is only to share information I hope can be
useful, not to give any lesson, and learn from everybody else.
If you want to combine together expired futures quotes you just do the
something described above, but change the symbol at the expiration date.
I can try, but which quote will you use when both future are traded
around the expiration date?
I guess the one with highest volumes, but because of the longer period
of expiration there will be a jump due to the interest rate effect.
I am sure there must be some standard way to deal with this
discontinuity, please let me know .
--- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx> wrote:
>
> Seems very useful to me at least for getting smaller blocks of
missing data
> (I was using 1m bars). I didn't find any throttling in the amount
of data
> that I downloaded. Thanks for pointing this out -- I hadn't
realized the
> data went back that far.
>
> chuck
>
>
> ----- Original Message -----
> From: "loveyourenemynow" <loveyourenemynow@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, December 05, 2006 11:01 AM
> Subject: [amibroker] Downloaded 1 year IB backfill
>
>
> >I am dowonloading the IB 1 year data with the TWS c++ client, you just
> > have to make multiple requests changing the end date every time to
> > cover all the range , and merge together all the data.
> > I guess this is the same the present IB plugin is doing, since in 1
> > minute barsize I cannot get more that 5 days per request, so you need
> > 4 requests to get 30 days as the present AB-IB plugin is doing.
> > I just tried with eur.usd so far
> > I can send you a file in which i download 1 year in 1 minute
> > resolution or even 1 sec (would take longer..)
> > At the moment I am doing it manually with the TWS client (modified to
> > save the data in a file ) because I am testing the method but it is
> > easy to automatize, just a matter of choosing well
> > s_dlg.m_backfillEndDateTime, the end date you give to the function
> >
> > reqHistoricalData( s_dlg.m_id, contract, s_dlg.m_backfillEndDateTime,
> > s_dlg.m_backfillDuration, s_dlg.m_barSizeSetting,
> > s_dlg.m_whatToShow, s_dlg.m_useRTH,
> > s_dlg.m_formatDate);
> >
> >
> > Sounds useful or unreal?
> >
> > Ly
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
>
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