Collecting Own Daily Histories via IB

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lantama
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Collecting Own Daily Histories via IB

Postby lantama » 20 Apr 2008

Hi, I recently bought the new Version 3 (Release). And I am still testing for autotrading with IB (TWS 882.2).

I am trading intraday on a daily basis (chart compression). In theory this is working fine. But I am facing trouble with the Open, High and Low collected by the QuoteManager. Settings: History Collection is turned off. Tick, minutes and daily compression is turned on for storage.

For example when I trade the ES (mini SP) or NG I am using the regular pit hours. This is defined in the of the Quote Manager via Session templates. The Quote Manager stores the right ticks (see First Tick of Day JPG), no problem here. However when I load a daily chart I see the Opening price (night session ES, NG whatever) of the day before and the High, Low of a time span not defined in the Quote Manager as session (see Daily chart JPG)?! It seems to me that IB is sending O,H,L via API and this is used by MC? I need to see and trade the 'own' Open, High, Low collected (from the already stored correct tick history).

Is there a possibility to create and store own daily charts? I desperately need this feature and I think that this is very useful for others as well.

The behaviour of MC3 is a problem for lots of markets. ES, NG, CL, YM, Nikkei OSE....

Sometimes I need to update or complete the data history with ASCII files. My Questions: In TS2000 updates (via ASCII, MS, etc...) are directly pushed into the chart. MC is behaving different. You won't see the data without reloading?

Is it possible to use the ASCII mapping in the way that updated ASCII files are automatically used every day? Means I would have the history every day from ASCII and only the current day via real time feed?

Best regards
lantama
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First Tick of day.JPG
First Tick of day.JPG (60.28 KiB) Viewed 437 times
Daily Chart.JPG
Daily Chart.JPG (101.52 KiB) Viewed 434 times

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 21 Apr 2008

I am trading intraday on a daily basis (chart compression). In theory this is working fine. But I am facing trouble with the Open, High and Low collected by the QuoteManager. Settings: History Collection is turned off. Tick, minutes and daily compression is turned on for storage.

For example when I trade the ES (mini SP) or NG I am using the regular pit hours. This is defined in the of the Quote Manager via Session templates. The Quote Manager stores the right ticks (see First Tick of Day JPG), no problem here. However when I load a daily chart I see the Opening price (night session ES, NG whatever) of the day before and the High, Low of a time span not defined in the Quote Manager as session (see Daily chart JPG)?! It seems to me that IB is sending O,H,L via API and this is used by MC? I need to see and trade the 'own' Open, High, Low collected (from the already stored correct tick history).


If I understand your post correctly, the problem is that daily charts and tick charts have different opening prices? If that is so, have you tried plotting daily charts in TWS and comparing the opening price there with the opening price of the daily charts in MC? If the prices are the same, then there is nothing we can do about it - that's how IB returns those values. If the prices in MC and IB are different, please contact our customer support representatives.

If this isn't what you were asking about, please let me know.

Is it possible to use the ASCII mapping in the way that updated ASCII files are automatically used every day? Means I would have the history every day from ASCII and only the current day via real time feed?


Yes, you can merge two data providers into a single chart: ASCII mapping for history and a real-time feed for real-time (Format Symbol -> Symbol -> Merge Data Sources Into a Single Chart) Just make sure that the ASCII mapped symbol has all the settings identical to those of the real-time feed.

If you need any assistance in the process please contact our customer support representatives at http://messenger.providesupport.com/mes ... pport.html

lantama
Posts: 96
Joined: 20 Apr 2008
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Postby lantama » 21 Apr 2008

I am trading intraday on a daily basis (chart compression). In theory this is working fine. But I am facing trouble with the Open, High and Low collected by the QuoteManager. Settings: History Collection is turned off. Tick, minutes and daily compression is turned on for storage.

For example when I trade the ES (mini SP) or NG I am using the regular pit hours. This is defined in the of the Quote Manager via Session templates. The Quote Manager stores the right ticks (see First Tick of Day JPG), no problem here. However when I load a daily chart I see the Opening price (night session ES, NG whatever) of the day before and the High, Low of a time span not defined in the Quote Manager as session (see Daily chart JPG)?! It seems to me that IB is sending O,H,L via API and this is used by MC? I need to see and trade the 'own' Open, High, Low collected (from the already stored correct tick history).


If I understand your post correctly, the problem is that daily charts and tick charts have different opening prices? If that is so, have you tried plotting daily charts in TWS and comparing the opening price there with the opening price of the daily charts in MC? If the prices are the same, then there is nothing we can do about it - that's how IB returns those values. If the prices in MC and IB are different, please contact our customer support representatives.

If this isn't what you were asking about, please let me know.



Ok, let`s say IB is sending an Opening price (and a High and a Low) for daily charts. But this is outside of the defined Session in MC! So it is not the right way just to plot it in MC anyway. Or do I get something wrong? Intraday charts and Daily charts have to be consistent from my point of view.

Is it possible to use the ASCII mapping in the way that updated ASCII files are automatically used every day? Means I would have the history every day from ASCII and only the current day via real time feed?


Yes, you can merge two data providers into a single chart: ASCII mapping for history and a real-time feed for real-time (Format Symbol -> Symbol -> Merge Data Sources Into a Single Chart) Just make sure that the ASCII mapped symbol has all the settings identical to those of the real-time feed.



Ok, but when I actually merge them this is just working for the day I merged them? Let say I set this up. History ASCII, RT the current day. Next day I get History ASCII (last date the day before yesterday) and RT yesterday and today?! The ASCII file would have been updated meanwhile, but it won't be used automatically I think?
In this case you are using the O,H,L from IB and my chart is simply wrong. Is there a solution or workaround?

Cheers
lantama

lantama
Posts: 96
Joined: 20 Apr 2008
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Postby lantama » 22 Apr 2008

To whom it may concern. The workaround seems to be: Just take x hour bars where x > time span defined for session. It takes the iday history and the session time span to build up 'own' bars that are representing 'daily' bars with O,H,L from iDay history. Looks fine and I hope that this is stable (not merging days into one bar etc...)

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 29 Apr 2008

Ok, let`s say IB is sending an Opening price (and a High and a Low) for daily charts. But this is outside of the defined Session in MC! So it is not the right way just to plot it in MC anyway. Or do I get something wrong? Intraday charts and Daily charts have to be consistent from my point of view.


Daily bars can only be plotted the way they are received from IB.

Ok, but when I actually merge them this is just working for the day I merged them? Let say I set this up. History ASCII, RT the current day. Next day I get History ASCII (last date the day before yesterday) and RT yesterday and today?! The ASCII file would have been updated meanwhile, but it won't be used automatically I think?
In this case you are using the O,H,L from IB and my chart is simply wrong. Is there a solution or workaround?


When two data sources are merged together, real-time is used for real-time only. In other words, the data received from the real-time feed today won't be there tomorrow because it will be history tomorrow. History can only be taken from the data source designated as the data source for history - ASCII mapping in your example.


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