Bulk Symbol Mapping
Bulk Symbol Mapping
Hello. I'm using IB as my data provider and getting "no security definition" errors for most NASDAQ and OTC securities during backtest. All settings look correct in the Broker Profile and Data Source and I have the correct market data subscription through IB. I'm assuming I need to map the symbols through IB. Is there a way to bulk map without having to edit each security? If I import an ASCII file, would I still need to edit each security? Thanks for your help!
Re: Bulk Symbol Mapping
This doesn't sound like a symbol mapping issue. Symbol mapping is used when you're (1) using a different data provider than your broker (2) for live trading. E.g., I use IQFeed for my data provider, so I need to map from IQFeed symbols to IB symbols for live trades.
Note that IB has multiple versions of each symbol based on routing (e.g., "SMART" or "NYSE") and based on currency (USD, EUR, etc.). If you don't have exactly the right parameters for the symbol definition, then IB will say "I don't recognize that symbol."
The best way to add symbols is one-by-one in QuoteManager:
1. Select "Instrument:Add Symbol:From Data Source:Interactive Brokers."
2. Enter the name of the symbol (e.g., "IBM") and click "lookup."
3. QuoteManager will show a list of all of the options for the symbol IBM based on the desired routing.
4. Pick the desired version and add it. I'd suggest SMART routing as the default (using USD currency), but it shouldn't matter if you're just using it for backtesting.
This process is rather tedious for a large number of symbols. However, I'm not aware of any way to do this in bulk for a group of symbols. (If someone else knows, please jump in.)
You might want to test this with one symbol before you convert all of them. Just delete the existing symbol, add it back using the above steps, and then attempt to open a chart for that symbol in the main MultiCharts app. If you see a regular chart with data, you're good.
Finally, note that IB is quite miserly about the amount of historical data that it will let you download for backtesting. If you download "too much" data, you'll get an error and have to wait ten minutes before downloading more (or restart TWS). This happens often if you're testing a large number of symbols in QuoteManager. That's why I'm using a third-party data provider, IQFeed.
Note that IB has multiple versions of each symbol based on routing (e.g., "SMART" or "NYSE") and based on currency (USD, EUR, etc.). If you don't have exactly the right parameters for the symbol definition, then IB will say "I don't recognize that symbol."
The best way to add symbols is one-by-one in QuoteManager:
1. Select "Instrument:Add Symbol:From Data Source:Interactive Brokers."
2. Enter the name of the symbol (e.g., "IBM") and click "lookup."
3. QuoteManager will show a list of all of the options for the symbol IBM based on the desired routing.
4. Pick the desired version and add it. I'd suggest SMART routing as the default (using USD currency), but it shouldn't matter if you're just using it for backtesting.
This process is rather tedious for a large number of symbols. However, I'm not aware of any way to do this in bulk for a group of symbols. (If someone else knows, please jump in.)
You might want to test this with one symbol before you convert all of them. Just delete the existing symbol, add it back using the above steps, and then attempt to open a chart for that symbol in the main MultiCharts app. If you see a regular chart with data, you're good.
Finally, note that IB is quite miserly about the amount of historical data that it will let you download for backtesting. If you download "too much" data, you'll get an error and have to wait ten minutes before downloading more (or restart TWS). This happens often if you're testing a large number of symbols in QuoteManager. That's why I'm using a third-party data provider, IQFeed.
Re: Bulk Symbol Mapping
Thanks for the reply. I was hoping for a way around adding symbols manually but will give it a shot on a few and see if it fixes the problem. I had been using IQ Feed for backtest data but switched to IB. Maybe I should switch back. Do you use IQ Feed data for real time order execution through IB or just for backtest?
Re: Bulk Symbol Mapping
I would definitely suggest using IQ Feed for backtesting. It's far, far better than IB's quote server. (It's rather annoying that IB doesn't provide a better quote service for its customers.)
I also use IQ Feed for live trading, so I need the symbol mapping set up. However, this isn't strictly necessary, since live trading doesn't need that much historical data. One downside is that I need to pay extra for two sets of realtime quotes (one from both IQ Feed and IB) if I want to display realtime quotes inside of TWS.
I also use IQ Feed for live trading, so I need the symbol mapping set up. However, this isn't strictly necessary, since live trading doesn't need that much historical data. One downside is that I need to pay extra for two sets of realtime quotes (one from both IQ Feed and IB) if I want to display realtime quotes inside of TWS.