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Downloads historical data from interactive brokers and builds a data file useful for subsequent back-test
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IBCombineHistoricalData.py Added IBJoinHistoricalSeries.py Mar 29, 2015
IBDownloadHistoricalData.java Added IBJoinHistoricalSeries.py Mar 29, 2015
IBJoinHistoricalSeries.py
README.md

README.md

IBDownloadHistoricalData

Downloads historical data from interactive brokers and builds a data file useful for subsequent back-test

By RobustTechHouse http://robusttechhouse.com

##Java Logic## The Java class generates in desired path a series of data files in reverse chronological order eg

1.txt => most recent data

2.txt => next most recent data

... etc

##Python Logic## The Python script takes the Java class output files and creates one contiguous data file in chronological order

##Useful References##

Historical Data Limitations: https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm

List of IB currencies: https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2Fexchanges.php%3Fexch%3Dibfxpro%26amp%3Bshowcategories%3D%26amp%3Bib_entity%3Dllc#

Sample code to request data: http://www.elitetrader.com/et/index.php?threads/request-ib-tick-data-java-api.206254/

Sample code: http://stackoverflow.com/questions/10777885/error-getting-the-eur-usd-historical-data-using-r-on-ibrokers

##Sample IB Historical Request Format For Reference##

Symbol: USD

Security Type: CASH

Exchange: IDEALPRO

Primary Exchange: IDEALPRO

Currency: JPY

End Date/Time: 20150326 07:46:46 GMT

Duration: 1 D, another eg could be 14400 S

Bar Size Setting: 1 min

What to Show: BID/ASK

Regular Trading Hours: 1

Date Format Style: 1

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