IB Historical Data

[njuser]

Hi,

I connect to IB to retrieve Historical data, when I get expired contract (e.g. ES 12-09), it show up errors in ninjatrader.

When I open such contract within IB TWS, the chart show up normally.


Attached is the screen which shows the error in ninjatrader.
Please kindly advice. thanks !

[njuser]

Hi,


screen attached.
Please kindly advice if anything wrong with IB / ninjatrader. thanks

[NinjaTrader_Bertrand]

njuser, this contract is likely not available via API access...also you ran inot the IB historical data download pacing violation, please clear up any not needed charts and TWS market data lines, disconnect completely and then reconnect fresh after about 10 mins...this will give you again access rights for downloading data from your IB connection.

[njuser]

Hi Bertrand,

thanks for your reply.
today I try to download using the IB connection, it is OK to download minute data for the mentioned expired contract (i.e. ES 12-09)

May I know why previously the error happen (i.e. Ninjatrader has reach an IB limitation of historical data requests --> see previous screen) ?

Is this a bug in ninjatrader or IB ?
Feel free to discuss and advice. thanks !

[NinjaTrader_JoshP]

njuser,

This is expected when you pull too much data from IB. IB has historical data request pacing rules. If you pull too much data from them too fast, they will prevent you from pulling any more with such an error as seen on your screen.

[njuser]

Hi,

thanks for the reply.
Is there anything we can reference such that I can estimate so that won't pull too much data from IB ?

for example, if there's a limitation that every 10 minutes can pull only 3000 data historical data bars, then I can estimate to pull just certain data bars from IB to avoid such error.

[NinjaTrader_Dierk]

Unfortunately we don't have that information. I suggest contacting IB support or consulting their documentation.

[joanNT]

Hello Dierk,

I'm using also IB, and I try to get some historical information about EURUSD to run a strategy, when it starts I can see in the control center bar how this data is downloading... but after a while it crashes with the pacing violation.

My question is, if I wait for an amount of time of 10 minutes and then restart the strategy will NT redownload all the historical data, or just the remaining after the pacing violation?

Thanks

[NinjaTrader_Dierk]

Not sure what you mean by "crash". The error message ("pacing violation") you got provided is from IB and is a limitation of IB. This has nothing to do with NT, not is it an NT "crash". Please clarify is you are referring to something different.

You should be able to keep going, meaning just wait some minutes before you issues the next historical data request. if you chose to shutdown and restart NT, then NT would load the missing data. Note: the current day always would be loaded as it might be updated.

[joanNT]

The "crash" means that Strategy won't run until you get all historical data or uses a minor period of data.

I only wanted to know if the pacing violation didn't store the already downloaded data, I think you've said "remaining data" then I understand: yes the historical data is saved and won't be downloaded anymore.

If not, please answer.

Thanks Dierk

[joanNT]

I tried again and It downloads the same data again has downloaded before the pacing violation, while I can see how loads it in the control center bar....

[NinjaTrader_Dierk]

Historical data which already was pulled from IB is stored in on the local hard drive. However, please read the section "when and why does NT reload historical data" of the help guide: http://www.ninjatrader-support.com/H...HistoricalData

I'm not sure why your strategy won't "run". I believe it would "run" or backtest on whatever data NT was able to pull from IB before IB choose to throw a "pacing violation"