Historical Bars (OHLC) | Interactive Brokers

Introduction

Historical Bar data returns a candlestick value based on the requested duration and bar size. This will always return an open, high, low, and close values. Based on which whatToShow value is used, you may also receive volume data. See the whatToShow section for more details.

Request Historical Bars

EClient.reqHistoricalData(reqId, contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate, keepUpToDate, chartOptions)

reqId

int

A unique identifier which will serve to identify the incoming data.

contract

object

The IBApi.Contract object you are working with.

endDateTime

string

The request’s end date and time. This should be formatted as “YYYYMMDD HH:mm:ss TMZ” or an empty string indicates current present moment. Please be aware that endDateTime must be left as an empty string when requesting continuous futures contracts.

durationStr

string

The amount of time (or Valid Duration String units) to go back from the request’s given end date and time. See Duration for details.

barSizeSetting

string

The data’s granularity or Valid Bar Sizes. See Bar Sizes for details.

whatToShow

string

The type of data to retrieve. See Historical Data Types for details.

useRTH

bool

Whether (1) or not (0) to retrieve data generated only within Regular Trading Hours (RTH)

formatDate

bool

The format in which the incoming bars’ date should be presented. Note that for day bars, only yyyyMMdd format is available. See Format Date for details.

keepUpToDate

bool

Whether a subscription is made to return updates of unfinished real time bars as they are available (True), or all data is returned on a one-time basis (False). If True, endDateTime cannot be specified. Supported whatToShow values: Trades, Midpoint, Bid, Ask. See Keep Up To Date for details.

chartOptions

object

This is a field used exclusively for internal use.

Python

Java

C++

C#

VB.NET

self.reqHistoricalData(4102, contract, queryTime, "1 M", "1 day", "MIDPOINT", 1, 1, False, [])

Receive Historical Bars

EWrapper.historicalData(reqId, bar)

The historical data will be delivered via the EWrapper.historicalData() method in a series of candlesticks. The time zone of returned bars is based on the Historical Date Format.

reqId

int

Request identifier used to track data.

bar

object

The OHLC historical data Bar. The time zone of the bar is the time zone chosen on the TWS login screen. Smallest bar size is 1 second.

Python

Java

C++

C#

VB.NET

def historicalData(self, reqId:int, bar: BarData):
	print("HistoricalData. ReqId:", reqId, "BarData.", bar)

Updating Historical Bars

EWrapper.historicalDataUpdate(reqId, bar)

Receives bars in real time if keepUpToDate is set as True in EClient.reqHistoricalData(). Similar to EClient.reqRealTimeBars() function, except returned data is a composite of historical data and real time data that is equivalent to TWS chart functionality to keep charts up to date. Returned bars are successfully updated using real time data.

reqId

int

Request identifier used to track data.

bar

object

The OHLC historical data Bar. The time zone of the bar is the time zone chosen on the TWS login screen.

Python

Java

C++

C#

VB.NET

def historicalDataUpdate(self, reqId: int, bar: BarData):
	print("HistoricalDataUpdate. ReqId:", reqId, "BarData.", bar)

Understanding Historical Updates

When using keepUpToDate=True, you will see several bars returned with the same timestamp. This is because data is updated approximately every 4-6 seconds. These updates compound until the end of the specified bar size.

In our example to the below, 15 second bars are requested, and we can see the 30 second bar built out incrementally until 20231204 13:30:30 is completed. At which point, we move on to the 45th second bars. This same logic extends into minute, hourly, or daily bars.

keepUpToDate is only available for whatToShow: Trades, Midpoint, Bid, Ask

Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.55
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.55
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.55
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.55
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.55
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.56
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.56, Low: 188.54, Close: 188.56
Date: 20231204 13:30:30 US/Eastern, Open: 188.56, High: 188.57, Low: 188.54, Close: 188.55
Date: 20231204 13:30:45 US/Eastern, Open: 188.54, High: 188.54, Low: 188.54, Close: 188.54

End of Historical Bars

EWrapper.historicalDataEnd(reqId, start, end)

Marks the ending of the historical bars reception.

reqId

int

Request identifier used to track data.

start

string

Returns the starting time of the first historical data bar.

end

string

Returns the end time of the last historical data bar.

Python

Java

C++

C#

VB.NET

def historicalDataEnd(self, reqId: int, start: str, end: str):
	print("HistoricalDataEnd. ReqId:", reqId, "from", start, "to", end)

Historical Bar Sizes

Bar sizes dictate the data returned by historical bar requests. The bar size will dictate the scale over which the OHLC/V is returned to the API.

Bar Unit	Bar Sizes
secs	1, 5, 10, 15, 30
mins	1, 2, 3, 5, 10, 15, 20, 30
hours	1, 2, 3, 4, 8
day	1
weeks	1
months	1

Historical Duration

The Interactive Brokers Historical Market Data maintains a duration parameter which specifies the overall length of time that data can be collected. The duration specified will derive the bars of data that can then be collected.

Valid Duration String Units:

Unit	Description
S	Seconds
D	Day
W	Week
M	Month
Y	Year

Max Duration Per Bar Size.

The table below displays the maximum duration values allowed for a given bar.

As an example, the maximum allowed duration in Seconds for 5 second bars is 86400 S. This means that if I want to retrieve more than 1 day’s worth of 5 second bars, I will then need to request data in increments of D (days).

Bar Size	Max Second Duration	Max Day Duration	Max Week Duration	Max Month Duration	Max Year Duration
1 secs	2000 S	{Not Supported}	{Not Supported}	{Not Supported}	{Not Supported}
5 secs	86400 S	365 D	52 W	12 M	68 Y
10 secs	86400 S	365 D	52 W	12 M	68 Y
15 secs	86400 S	365 D	52 W	12 M	68 Y
30 secs	86400 S	365 D	52 W	12 M	68 Y
1 min	86400 S	365 D	52 W	12 M	68 Y
2 mins	86400 S	365 D	52 W	12 M	68 Y
3 mins	86400 S	365 D	52 W	12 M	68 Y
5 mins	86400 S	365 D	52 W	12 M	68 Y
10 mins	86400 S	365 D	52 W	12 M	68 Y
15 mins	86400 S	365 D	52 W	12 M	68 Y
20 mins	86400 S	365 D	52 W	12 M	68 Y
30 mins	86400 S	365 D	52 W	12 M	68 Y
1 hour	86400 S	365 D	52 W	12 M	68 Y
2 hours	86400 S	365 D	52 W	12 M	68 Y
3 hours	86400 S	365 D	52 W	12 M	68 Y
4 hours	86400 S	365 D	52 W	12 M	68 Y
8 hours	86400 S	365 D	52 W	12 M	68 Y
1 day	86400 S	365 D	52 W	12 M	68 Y
1M	86400 S	365 D	52 W	12 M	68 Y
1W	86400 S	365 D	52 W	12 M	68 Y

WhatToShow Values

Introduction

The historical bar types listed below can be used as the whatToShow value for historical bars. These values are used to request different data such as Trades, Midpoint, Bid_Ask data and more. While the bar fields continue to retain values, such as bar.open, the contained value may not be the market open within that bar’s timespan.

Some bar types support more products than others. Please note the Supported Products section for each bar type below.

AGGTRADES

Bar Values:

Open	High	Low	Close	Volume
First traded price	Highest traded price	Lowest traded price	Last traded price	Total traded volume

Supported Products: Cryptocurrency

ADJUSTED_LAST

Bar Values:

Open	High	Low	Close	Volume
First traded price	Highest traded price	Lowest traded price	Last traded price	Total traded volume

Supported Products: ETFs, Options, Stocks

ADJUSTED_LAST data is adjusted for splits and dividends.

ASK

Bar Values:

Open	High	Low	Close	Volume
Starting ask price	Highest ask price	Lowest ask price	Last ask price	N/A

Supported Products: Bonds, CFDs, Commodities, Cryptocurrencies, ETFs, FOPs, Forex, Funds, Futures, Metals, Options, SSFs, Stocks, Structured Products, Warrants

BID

Bar Values:

Open	High	Low	Close	Volume
Starting bid price	Highest bid price	Lowest bid price	Last bid price	N/A

Supported Products: Bonds, CFDs, Commodities, Cryptocurrencies, ETFs, FOPs, Forex, Funds, Futures, Metals, Options, SSFs, Stocks, Structured Products, Warrants

BID_ASK

Bar Values:

Open	High	Low	Close	Volume
Time average bid	Max Ask	Min Bid	Time average ask	N/A

Supported Products: Bonds, CFDs, Commodities, Cryptocurrencies, ETFs, FOPs, Forex, Funds, Futures, Metals, Options, SSFs, Stocks, Structured Products, Warrants

FEE_RATE

Bar Values:

Open	High	Low	Close	Volume
Starting Fee Rate	Highest fee rate	Lowest fee rate	Last fee rate	N/A

Supported Products: Stocks, ETFs

HISTORICAL_VOLATILITY

Bar Values:

Open	High	Low	Close	Volume
Starting volatility	Highest volatility	Lowest volatility	Last volatility	N/A

Supported Products: ETFs, Indices, Stocks

MIDPOINT

Bar Values:

Open	High	Low	Close	Volume
Starting midpoint price	Highest midpoint price	Lowest midpoint price	Last midpoint price	N/A

Supported Products: Bonds, CFDs, Commodities, Cryptocurrencies, ETFs, FOPs, Forex, Funds, Futures, Metals, Options, SSFs, Stocks, Structured Products, Warrants

OPTION_IMPLIED_VOLATILITY

Bar Values:

Open	High	Low	Close	Volume
Starting implied volatility	Highest implied volatility	Lowest implied volatility	Last implied volatility	N/A

Supported Products: ETFs, Indices, Stocks

SCHEDULE

Bar Values:

Open	High	Low	Close	Volume
Starting ask price	Highest ask price	Lowest ask price	Last ask price	N/A

Supported Products: Bonds, CFDs, Commodities, Cryptocurrencies, ETFs, Forex, Funds, Futures, Indices, Metals, SSFs, Stocks, Structured Products, Warrants

SCHEDULE data returns only on 1 day bars but returns historical trading schedule only with no information about OHLCV.

TRADES

Bar Values:

Open	High	Low	Close	Volume
First traded price	Highest traded price	Lowest traded price	Last traded price	Total traded volume

Supported Products: Bonds, ETFs, FOPs, Futures, Indices, Metals, Options, SSFs, Stocks, Structured Products, Warrants

TRADES data is adjusted for splits, but not dividends.

YIELD_ASK

Bar Values:

Open	High	Low	Close	Volume
Starting ask yield	Highest ask yield	Lowest ask yield	Last ask yield	N/A

Supported Products: Indices

Yield historical data only available for corporate bonds.

YIELD_BID

Bar Values:

Open	High	Low	Close	Volume
Starting bid yield	Highest bid yield	Lowest bid yield	Last bid yield	N/A

Supported Products: Indices

Yield historical data only available for corporate bonds.

YIELD_BID_ASK

Bar Values:

Open	High	Low	Close	Volume
Time average bid yield	Highest ask yield	Lowest bid yield	Time average ask yield	N/A

Supported Products: Indices

Yield historical data only available for corporate bonds.

YIELD_LAST

Bar Values:

Open	High	Low	Close	Volume
Starting last yield	Highest last yield	Lowest last yield	Last last yield	N/A

Supported Products: Indices

Yield historical data only available for corporate bonds.