In FinTech

Interactive Broker Download Historical Data

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Interactive Broker Download Historical Data. We believe in open-sourcing code that we can share that helps others.

Here you can find some Java and Python scripts useful for downloading historical data from Interactive Brokers and merging them into a sensible text format.

IBDownloadHistoricalData @ GitHub https://github.com/mattrobust/IBDownloadHistoricalData

Data downloading

Sequential Text Files

IBDownloadHistoricalData

Downloads historical data from interactive brokers and builds a data file useful for subsequent back-test

By RobustTechHouse https://robusttechhouse.com

Java Logic

The Java class generates in desired path a series of data files in reverse chronological order eg

1.txt => most recent data

2.txt => next most recent data

... etc

Python Logic

The Python script takes the Java class output files and creates one contiguous data file in chronological order

Useful References

Historical Data Limitations:https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm

List of IB currencies: https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2Fexchanges.php%3Fexch%3Dibfxpro%26amp%3Bshowcategories%3D%26amp%3Bib_entity%3Dllc#

Sample code to request data: http://www.elitetrader.com/et/index.php?threads/request-ib-tick-data-java-api.206254/

Sample code: http://stackoverflow.com/questions/10777885/error-getting-the-eur-usd-historical-data-using-r-on-ibrokers

Sample IB Historical Request Format For Reference

Symbol: USD

Security Type: CASH

Exchange: IDEALPRO

Primary Exchange: IDEALPRO

Currency: JPY

End Date/Time: 20150326 07:46:46 GMT

Duration: 1 D, another eg could be 14400 S

Bar Size Setting: 1 min

What to Show: BID/ASK

Regular Trading Hours: 1

Date Format Style: 1

Brought to you by RobustTechHouse. We provide Fintech Development services.

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