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Market Data

Historical Time & Sales

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Introduction

The highest granularity of historical data from Interactive Brokers can be retrieved using the API function EClient.reqHistoricalTicks for historical time and sales values. Historical Time & Sales will return the same data as what is available in Trader Workstation under the Time and Sales window. This is a series of ticks indicating each trade based on the requested values.

  • Historical Tick-By-Tick data is not available for combos.
  • Historical tick data is only available for the last 3 years.
  • Data will not be returned from multiple trading sessions in a single request; Multiple requests must be used.
  • To complete a full second, more ticks may be returned than requested.
  • Time & Sales data requires a Level 1, Top Of Book market data subscription.

Halted and Unhalted Ticks

  • If tick has zero price, zero size and pastLimit flag is set – this is “Halted” tick.
  • If tick has zero price, zero size and followed immediately after “Halted” tick – this is “Unhalted” tick.

Request Historical Ticks

EClient.reqHistoricalTicks(requestId, contract, startDateTime, endDateTime, numberOfTicks, whatToShow, useRth, ignoreSize, miscOptions)

Requests historical Time & Sales data for an instrument.

requestId
int

id of the request

contract
object

Contract object that is subject of query.

startDateTime
string

i.e. “20170701 12:01:00”. Uses TWS timezone specified at login.

endDateTime
string

i.e. “20170701 13:01:00”. In TWS timezone. Exactly one of startDateTime or endDateTime must be defined.

numberOfTicks
int

Number of distinct data points. Max is 1000 per request.

whatToShow
string

("Bid_Ask", "Midpoint", or "Trades") Type of data requested.

useRth
bool

Data from regular trading hours (1), or all available hours (0).

ignoreSize
bool

Omit updates that reflect only changes in size, and not price. Applicable to Bid_Ask data requests. Note: Options and Future Options will only display a value of 1, unless to indicate a removed bid/ask, which will instead return a price and size value of 0.

miscOptions
list

Should be defined as null; reserved for internal use.

self.reqHistoricalTicks(18001, contract, "20170712 21:39:33 US/Eastern", "", 10, "TRADES", 1, True, [])

Receive Historical Ticks

Data is returned to unique functions based on what is requested in the whatToShow field.

EWrapper.HistoricalTicks

EWrapper.historicalTicks(reqId, ticks, done)

For whatToShow=MIDPOINT

reqId
int

id of the request

ticks
object

object containing a list of tick values for the requested timeframe.

done
bool

return whether or not this is the end of the historical ticks requested.

def historicalTicks(self, reqId: int, ticks: ListOfHistoricalTickLast, done: bool):
	for tick in ticks:
		print("historicalTicks. ReqId:", reqId, tick)

EWrapper.HistoricalTicksBidAsk

EWrapper.historicalTicksBidAsk(reqId, ticks, done)

For whatToShow=BidAsk

reqId
int

id of the request

ticks
object

object containing a list of tick values for the requested timeframe.

done
bool

return whether or not this is the end of the historical ticks requested.

def historicalTicksBidAsk(self, reqId: int, ticks: ListOfHistoricalTickLast, done: bool):
	for tick in ticks:
		print("historicalTicksBidAsk. ReqId:", reqId, tick)

EWrapper.HistoricalTicksLast

EWrapper.historicalTicksLast(reqId, ticks, done)

For whatToShow=Last & AllLast

reqId
int

id of the request

ticks
object

object containing a list of tick values for the requested timeframe.

done
bool

return whether or not this is the end of the historical ticks requested.

def historicalTicksLast(self, reqId: int, ticks: ListOfHistoricalTickLast, done: bool):
	for tick in ticks:
		print("HistoricalTickLast. ReqId:", reqId, tick)