Continuous Futures Contracts with Interactive Brokers

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Tartalognion
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Continuous Futures Contracts with Interactive Brokers

Postby Tartalognion » 07 Aug 2017

Hello everybody,

I noticed in my TWS Workstation that I can plot a US Tnotes 10 years Continous Future contract.
It is called: ZN∞ @ECBOT. But when i try to insert this instrument in MC, it doesn't exist.



1) Is there anyway to insert this instrument in MC other than creating a Custom Futures contract?

2) I also noticed that I can not import historical data in the QuoteManager from a expired contract: ZNM7 @ ECBOT plots No Data on a chart. Did anyone meet the same issue????
This is rather embarrassing for backtesting purposes...

Thank you
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Henry MultiСharts
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Re: Continuous Futures Contracts with Interactive Brokers

Postby Henry MultiСharts » 08 Aug 2017

Hello Tartalognion,

1) Support for Continuous Futures contracts from IB will be added in MultiCharts 11 Release.
At the moment you can get data for individual futures only.
2) You need to make sure you are subscribed to the required market data for 3rd party applications access.
Then check the Event Log in the QuoteManager for the data requests progress. Are there any errors?
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Re: Continuous Futures Contracts with Interactive Brokers

Postby Tartalognion » 08 Aug 2017

Hello Henry,

1) Nice!
2)I see error message Id=12, code=200 "No security definition has been found" in the Event Log for past contracts.. and "no data" is written on the upper right corner of the chart.....

Thanks
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Henry MultiСharts
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Re: Continuous Futures Contracts with Interactive Brokers

Postby Henry MultiСharts » 11 Aug 2017

Tartalognion, you are using expired contract on this screenshot. I believe this has been already addressed in the Live Chat.

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Re: Continuous Futures Contracts with Interactive Brokers

Postby Smoky » 16 Aug 2017

@FDAX works well with TWS 967 not with IB gateway 963 ....

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Henry MultiСharts
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Re: Continuous Futures Contracts with Interactive Brokers

Postby Henry MultiСharts » 16 Aug 2017

Smoky wrote:@FDAX works well with TWS 967 not with IB gateway 963 ....
Hello Smoky,

That is expected as Continuous Futures Contracts are supported since TWS version 966.
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Re: Continuous Futures Contracts with Interactive Brokers

Postby Smoky » 16 Aug 2017

Hello Henry,

Yes, but i use the last IB gateway 963, they don't update IB gateway with their new API :-(

Quotemanager works fine with TWS 967, i found @FDAX in futures contracts and get quotes easy ....

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Re: Continuous Futures Contracts with Interactive Brokers

Postby SP » 17 Aug 2017

If i use a tick resolution ie 100 Tick for the @FCE ( CAC 40 Future), i only get 2-4 days back. Is that a IB limitation or a Multicharts problem ?

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Re: Continuous Futures Contracts with Interactive Brokers

Postby Henry MultiСharts » 18 Aug 2017

SP wrote:If i use a tick resolution ie 100 Tick for the @FCE ( CAC 40 Future), i only get 2-4 days back. Is that a IB limitation or a Multicharts problem ?
Hello SP,

We do not impose any limitations on our end. Does it happen with all IB Continuous Futures Contracts on all markets?

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Re: Continuous Futures Contracts with Interactive Brokers

Postby SP » 21 Aug 2017

Henry, i tested these 14 major futures (FCE, 6E, CL, ES, FDAX, FDXM, FESX, FGBL, FSMI, GC, RTY, YM, ZN, NQ). The data range is set to 30 Days Back. Most futures load about 10 days with data collected the days before.
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Re: Continuous Futures Contracts with Interactive Brokers

Postby TJ » 21 Aug 2017

https://interactivebrokers.github.io/tw ... #gsc.tab=0


Unavailable Historical Data

Tick-by-tick historical data. The smallest bar size is 1 second.
Studies and indicators such as Weighted Moving Averages or Bollinger Bands.
Bars which size is 30 seconds or less older than six months
Expired futures data older than two years counting from the future's expiration date.
Data for continuous futures contracts
Expired options, FOPs, warrants and structured products.
End of Day (EOD) data for options, FOPs, warrants and structured products.
Data for expired future spreads
Data for securities which are no longer trading.


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Re: Continuous Futures Contracts with Interactive Brokers

Postby SP » 21 Aug 2017

Unavailable Historical Data
Data for continuous futures contracts


TJ,
if i set the Resolution to 1 minute i get at least the history for 50 Days. Not tested if the data is 100 percent accurate but there seems to be a history stored somewhere on their server.

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Re: Continuous Futures Contracts with Interactive Brokers

Postby TJ » 21 Aug 2017

SP wrote:
Unavailable Historical Data
Data for continuous futures contracts


TJ,
if i set the Resolution to 1 minute i get at least the history for 50 Days. Not tested if the data is 100 percent accurate but there seems to be a history stored somewhere on their server.



Have you tried a 1-second chart?

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Re: Continuous Futures Contracts with Interactive Brokers

Postby SP » 22 Aug 2017

Same for 1 second, i get only about 10 days back. I therefore remain with the Custom Futures.

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Re: Continuous Futures Contracts with Interactive Brokers

Postby Henry MultiСharts » 24 Aug 2017

SP, we have verified that more than 10 days of intraday data is supplied by IB, their support has confirmed the same. You can try reloading your chart. If you still have limited access to historical data - please contact IB directly to verify your account configuration.


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