How to get Historical Data and Streaming?

[georgeu2000]

I see from the examples how to get EOD data. How to get historical data based on other timeframes, such as 1 sec, 5 sec, or 1 minute?

Also, does ib-api support getting streaming data? Is there any documentation or examples?

[topofocus]

Hi,
you are right, documentation is mostly about EOD-Data.

Other timeframes are easily fetched by IB:Messages::Outgoing:RequestHistoricalData

The trading-system -gem extents the IB::Contract-class to fetch the data:

module IB
  class Contract
    def request_historic_data back: "10 D", interval: :hour1

       ib = Connection.current
       ib.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
                      contract: self,
#                     end_date_time: Time.now.to_ib,  # set only if keep_up_todate is 0
                      duration: back, #    ?
                      bar_size: interval, #  IB::BAR_SIZES.key(:hour)?
                      what_to_show: :trades,
                      use_rth: 1,
                      keep_up_todate: 1)    # if set to `1` here, comment end_date_time
    end
  end
end

Valid timeframes are defined in lib/ib/constants.rb

If you call it with a contract, it returns the request_id.

ib =  IB::Connection.current
ge =  IB::Stock.new symbol: 'GE'
ge_id = nil
q =  Queue.new

ib.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
    if msg.request_id == ge_id
       q.push msg.results
    end
end

ge_id = ge.request_historic_data 

# serialize historic data
ge_results = q.pop   # anthing is transmitted once

Streaming data are received through subcribing to IB::Messages::Incoming::HistoricalDataUpdate events.

For a complete example, look into https://github.com/ib-ruby/ib-trading-system/blob/main/lib/trading-system/base.rb

hope it helps.

[georgeu2000]

Great. Thank you for all the info.