Streaming market data is critical in running a successful algo trading system. Two functions are important in invoking, maintaining and cancelling the flow of data:
reqRealTimeBarsserves as the method to receive data. The request is subject to a maximum of 60 API queries in more than 600 seconds.cancelRealTimeBarscancels all real time bar subscriptions.
Let’s review an example from GitHub in Python for historical five seconds bar:
self.reqRealTimeBars(3001, ContractSamples.EurGbpFx(), 5, "MIDPOINT", True, [])
def realtimeBar(self, reqId: TickerId, time:int, open_: float, high: float, low: float, close: float,
volume: int, wap: float, count: int):
super().realtimeBar(reqId, time, open_, high, low, close, volume, wap, count)
print("RealTimeBar. TickerId:", reqId, RealTimeBar(time, -1, open_, high, low, close, volume, wap, count))
In addition, quants can request data to include stream from outside Regular Trading Hours. For specific parameters on how to do so, see GitHub.
Moreover, complete market data bar routine written in Python is available via the Testbed sample, specifically the Program.py file.
Quants using Java, C#, C++ or VB can find relevant syntax samples in their favorite programming language in the dedicates sections of the GitHub Reference Guide: https://interactivebrokers.github.io/tws-api/realtime_bars.html
Finally, a reminder to sign up for Traders’ Academy API courses for a comprehensive and visual training in trading via the API.
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