How can I download historical data from outside regular trading hours using the TWS API ?

Historical market data is available via a number of methods through our API offerings. The TWS API allows one to request historical bar data, historical tick data and histogram data, while the Web API allows one to request historical bar data.

For detailed documentation of this functionality and the associated limitations, please see:…

When requesting historical bar data with the EClient.reqHistoricalData() function, you can subscribe for updates on incomplete bars by setting the keepUpToDate argument to True. Updates with identical timestamps will then be delivered until the end of the current bar. These updates will arrive approximately every 4-6 seconds to the EWrapper.historicalDataUpdate() function. For more information on requesting historical bar data and the keepUpToDate function parameter, please see the…

It is possible to retrieve historical option implied volatility data using the EClient.reqHistoricalData() function. To request this data, a whatToShow parameter value of OPTION_IMPLIED_VOLATILITY must be specified. For more information:

• Requesting Historical Bars…

Unfortunately, we do not offer historical open interest data for futures at this time.

However, clients can request futures open interest data as part of a real time market data query, reqMktData(), using the TWS API. For more information on our API, see…