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Connecting Amibroker to Interactive Brokers for ASX real time data

Discussion in 'Software and Data' started by bettal, Feb 5, 2016.

  1. bettal

    bettal

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    Recently purchased Amibroker and looking for an economical, but reliable real time data source for the ASX.

    Have read lots of snippets here about people using Interactive Brokers (IB), but can't find much explanation of exactly how it all works.

    Haven't been able to find the word "Amibroker" even mentioned anywhere on the IB website, but see (fairly old) posts about various plug-ins for IB mentioned on the Amibroker site.

    Could someone kindly explain how I connect Amibroker to IB for the ASX, is tick or minute bar back-history available and what do IB charge for real time ASX data?

    Many thanks for your help.
     
  2. captain black

    captain black

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    I use Amibroker and IB for futures data not ASX data but the setup in the tutorial below should be enough to get you underway:

    https://www.amibroker.com/guide/h_ib.html

    IB data isn't tick data, it's "snapshot" data.

    From the tutorial:

     
  3. bettal

    bettal

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    Thanks Captain Black. I applied for the IB account and the link you provided has most of the info about making the connection. It isn't actually working yet (waiting for the IB account to be approved) but TWS and AB appear to be exchanging messages. Will post back with some screen snips when it's connected in case anyone else can use the info.
     
  4. captain black

    captain black

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    That'd be great :xyxthumbs
     
  5. DaveDaGr8

    DaveDaGr8

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    Captain Black,

    I am trying to get rt dax and i have a subscrition. I've entered the symbol "fdax mar 16-fut-eur" and i get the populated backfilled data, however rt streaming doesn't seem to work. I can update by changing the timescales back and forth which forces the backfill but then won't give me rt data.

    Any ideas what i'm going wrong ? i've spent a session messing around with it.
     
  6. captain black

    captain black

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    If it's backfilling then that rules out a symbology error.

    Are quotes for other symbols streaming live?

    I occasionally have an issue with streaming quotes not coming through but after I reconnect it always solves it. I right click the green "CONN" in the bottom right hand corner and select "RECONNECT" from the menu.

    The Dax wont open again until 6pm Eastern Time this arvo so no point trying anything until then unfortunately.
     
  7. DaveDaGr8

    DaveDaGr8

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    Yep ... was watching a few stocks today, but it's the only futures contract i have attempted so i wasn't sure if there was anything different. I also noticed it didn't update at all in the realtime window, but it backfilled.

    I'm having a hard time figuring out names for them, it took me 100 or so tries to get the dax into AB.

    I'll try again tonight with the disconnect/reconnect trick, although i did shut everything down and reboot a few times.

    Do you happen to know the ES contract names ? I tried a few hundred variations of those to no avail
     
  8. captain black

    captain black

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  9. DaveDaGr8

    DaveDaGr8

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    Tried that on friday night and i'm sure it didn't work. Mind you i couldn't get RT updates on dax so who knows what was wrong.

    I'll play around with antivirus settings and modem settings tonight to see if it'll play nice.
     
  10. SuperGlue

    SuperGlue

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    Try the following:

    FDAX MAR 16-DTB-FUT-EUR

    ESH6-GLOBEX-FUT-USD
     
  11. DaveDaGr8

    DaveDaGr8

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    That's the correct contract i am using for the dax. I didn't do the es because i haven't subscribed to it yet, however i did get the no market data subscription error so the symbol is ok.

    to get the data up to date i still had to click on reconnect, that backfills for me up to the current point in time, however it still won't start real time quoting and i have to continually hit reconnect. My stocks however work fine in RT mode.

    I'll set it all up on the laptop today and see if it'll connect tonight on the laptop. I've also created another new database with just the dax and retyped the symbols in in case it's a database error.
     
  12. captain black

    captain black

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    If your stock data is streaming in real time and your futures data isn't then my best guess would be you may have the wrong data package for the DAX?

    The data package in my last monthly statement is listed as:

    Is this the data subscription you have?

    If you login to Account Management under "Market Data", "Europe", "Level 2 Deep Book" you should have "German (Eurex) Derivatives" crossed in the box. (12 Euros/month)
     
  13. DaveDaGr8

    DaveDaGr8

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    That's the one i subscribed to, level II deep book -> German (Eurex ) derivatives ... 12 euro. It all works fine in TWS just not AB.

    I'll try it in excel as well tonight to try and isolate it.
    I currently have 30 asx quotes RT streaming to AB now, not that i want to look at the sea of red today. This morning I seperated and rebuilt the AB databases, one for each market. So tonight i'll try and isolate the issue.

    clearly it should work, so i'm thinking it is maybe a corrupted database, or a conflict in the database settings, timestamps etc. Hopefully the new databases will fix it.
     
  14. captain black

    captain black

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    Yeah, it should work!

    If the new databases don't work then it's probably worthwhile getting in touch with AB support. TJ or Marcin will be able to check your logs or AB settings and pinpoint the issue.
     
  15. DaveDaGr8

    DaveDaGr8

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    FFS.

    So after 2 hours of deleting the symbol, retyping, checking and double checking i created a new database typed the symbol in uppercase, lowercase backwards different combos again all to no avail. Then i copy and pasted the symbol name from super glue's post earlier on and boom it worked.

    Got me stumped, i must have typed that in 100 times but for some reason copy and paste worked where typing doesn't. maybe my "-" is a different character ??? The backfiller didn't mind but the RT window did.

    Anyway problem solved for now.

    Thanks for your help.
     
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