Backtesting is one of the key elements in the algo trading workflow, hence high resolution tick-by-tick data is extremely important.
Quant traders interested in backtesting will find the function
reqHistoricalTicks very helpful when coding their ActiveX algos for IBKR API*.
The function is used to request tick-by-tick historical market data.
Visit our GitHub page to download the
Excel ActiveX source files and samples: http://interactivebrokers.github.io/
*TWS version needed: 974 or higher
Disclosure: Interactive Brokers
The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.