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Tick-by-tick Historical Market Data via IBKR API

Tick-by-tick Historical Market Data via IBKR API

Quants interested in backtesting via IBKR API can get high resolution tick-by-tick data with the function IBApi::EClient::reqHistoricalTicks.

Results are returned via IBApi.EWrapper.historicalTicksIBApi.EWrapper.historicalTicksBidAsk, and IBApi.EWrapper.historicalTicksLast, depending on the type of data requested.

Let’s take a quick look at the GitHub examples in Java:

@Override
public void historicalTicks(int reqId, List ticks, boolean done) {
for (HistoricalTick tick : ticks) {
System.out.println(EWrapperMsgGenerator.historicalTick(reqId, tick.time(), tick.price(), tick.size()));
}
}

For more details, please visit our GitHub guide, and be sure to follow our API news channel for additional syntax samples.

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.

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