InterActive Broker (Access of historical data)

[UniversalGoldmine]

As a developer of my own software program, my plan is to use it for automatic trading with help of the API solution of Interactive Broker.

My question is, as a customer of Inter Active with and Individual account will have access to historical data of intraday with intervals of 1 minute or less? I will trade all the markets on stocks shown below-

If this is possible please let me know if the markets below is supported with historical intraday data (or tick data) and how long period back it is possible to track the data.

USA, Canada, Austria, Belgium, France, Germany, Italy,
Netherlands, Spain, Sweden, Switzerland, United Kingdom, Australia,
India, Hong Kong, Japan

Christian

 

[dcraig1]

Yes you do have access to intraday historical data (down to 5 secs, I think) for any market that you have access to via IB and for which you have a market data subscription. Some markets have free market data subscription (eg SPI via SNFE). There is a charge for some markets (eg Australian stocks via ASX). The charges are reasonable and basically just pass on the exchange fees where applicable.

That is the good part of the story. Now for the bad part. Historical data access is quite limited. I think it's 6 months history but they may have extended that to 1 year. Worse is that you are restricted to making 60 historical data requests per 10 minute interval. What constitutes a request is quite limited and depends on the bar interval you request. For example a whole days 5 sec data would be a request.

So it is fine for a limited number of instruments, but if for example you wanted to maintain 1 min bar database of several thousand US stocks, the IB historical data is just not a viable option. Go somewhere else such as DTN IQFeed for this sort of requirement,

There is also no historical tick data.

Streaming order book data is available via the API, but you are restricted to a maximum of 3 concurrent instruments.