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Market Data

Market Data

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Introduction

Interactive Brokers offers market data for our users to manage their trading behavior. Market data can be retrieved in many forms, including tick data, historical bars, and more.

The Market Data Page should be thoroughly reviewed prior to implementing any Live or Historical data functionality. The API behavior is heavily dependent upon user permissions and account settings.

Live Data Limitations

  • Unless requesting Delayed Watchlist Data, a paid data subscription is required to receive market data through the API.
  • OSE exchange data is only available as 15 minute delayed streaming data through API platforms.

Historical Data Limitations

Historical market data has it’s own set of market data limitations unique to other requests such as real time market data. This section will cover all limitations that effect historical market data in the Trader Workstation API.

Pacing Violations for Small Bars (30 secs or less)

Interactive Brokers is not a specialised market data provider and maintains limitations not directly associated to trading. A Pacing Violation occurs whenever one or more of the following restrictions is not observed:

These limitations apply to all clients and cannot be modified. If your trading strategy requirements are not met by our market data services please consider contacting a specialized provider.
  • Making identical historical data requests within 15 seconds.
  • Making six or more historical data requests for the same Contract, Exchange and Tick Type within two seconds.
  • Making more than 60 requests within any ten minute period.
BID_ASK historical data is counted twice.

Historical Data Filtering

Historical data is filtered for trade types that occur away from the NBBO, such as combo legs, block trades, and derivative trades. For that reason the daily volume from the (unfiltered) real time data functionality will generally be larger than the (filtered) historical volume reported by historical data functions. Differences are expected in other fields such as the VWAP between the real time and historical data feeds.

As historical data at IB gets adjusted, compressed and filtered by default, there may be historical data differences if you request historical data at different time points.

See our FAQ for more insight, here.