Interactive Broker Download Historical DataNote: There is a rating embedded within this post, please visit this post to rate it.
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
Downloads historical data from interactive brokers and builds a data file useful for subsequent back-test
By RobustTechHouse https://robusttechhouse.com
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
The Python script takes the Java class output files and creates one contiguous data file in chronological order
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
Security Type: CASH
Primary Exchange: IDEALPRO
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
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