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I'm using app.reqHistoricalTicks() to fetch tick data. I sleep 10 seconds in between requests to satisfy restrictions and send another request based on the second of the last tick returned in the previous record set.

This works great for Jan & Feb of this year (2021). I compared the volume I received to daily trading volume and it matches very close.

Problem: When trying to fetch data for Nov and Dec of 2020, I less than 1000 returned when requesting data for the first second of the session, and then I get 0 results on the next request which is based on the last second of the result set. I expect a second set of 1000+ on active trading days.

If there are no clear answers on why this is happening as described already, then I ask: If the session started with 10 ticks, and then a hypothetical gap of 1 hour between the next 10 ticks, should the second 10 ticks return in the first request based on the first second of the session, or does the request need to specify time closer to the second set of 10 ticks?

I know the days from 2020 have volume. I'm just trying to figure out why I can't get the ticks.

Coder1
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    I use the same methodology and haven't noticed a problem. If you provide the symbol and a date, I can try to reproduce it using my code to determine if it's a a data problem. – S Novogoratz Apr 16 '21 at 03:57
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    Although it says Bars, I think pacing violation occurs if you make 2 or more requests within *15* seconds, not *10*. https://interactivebrokers.github.io/tws-api/historical_limitations.html – Kari Apr 28 '21 at 11:11

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