Support Board
Date/Time: Mon, 02 Jun 2025 14:18:29 +0000
Post From: IBKR historical intraday data download aggregate size
| [2025-05-20 12:23:15] |
| User512353 - Posts: 74 |
|
SC2758 TWS 10.30.1w Symbol: NDX-IND-NASDAQ (NASDAQ100 index via IBKR, sourced from NASDAQ GIDS) References: NASDAQ GIDS: https://data.nasdaq.com/databases/NGIDS IBKR TWS API Historical Data Limitations: https://interactivebrokers.github.io/tws-api/historical_limitations.html SC settings: Intraday Data Storage Time Unit: 1 Tick Chart bar period: 1 second Intraday streaming data for NDX-IND-NASDAQ is 1 tick, more specifically: Every 1 second (non-integral alignment) two data records are sent with a time stamp difference of 1 microsecond. I will check with IBKR if this is what should be expected. The statement here being that basically the setup works. When downloading historical intraday data for NDX-IND-NASDAQ, received data is at an aggregation level of 30 seconds, even when only 1 day of data is downloaded (e.g. previous day data). From the above references I conclude: Assuming a download of 1 day of missing intraday data, SC requests historical data via IBKR API from day before previous day 16:00 EDT. IBKR server identifies data available from previous day 09:30 to 16:00, i.e. 06:30 hours, which falls into Step Size Duration 28.800s, which then forces the minimum Allowed Bar Size of 30s (see IBKR Ref. above), although finer data aggregation level is probably available. IBKR service setting in SC: Download 5 seconds Historical Intraday Data (Not Recommended): No Is this setting doing what I think it does, namely, if set to yes, to split any historical intraday data request via the API into chunks of 5 seconds, thereby circumventing the TWS API Step Size restriction, which would allow for retrieval of 1 second historical data? If not, what is this setting for? And are there any other methods/settings in SC that would enable smaller data aggregate sizes to be downloaded via the TWS API? |