IB M1 historical data - last hour of each day corrupted?

Posted By: Hredot

IB M1 historical data - last hour of each day corrupted? - 02/17/18 02:38

When downloading M1 historical data for some assets, often the last hour of every day comes out as a constant value (which could jump to 1000 even when the price itself is like 52.3) instead of the price data.
Do other people encounter the same problem? Did I set a wrong parameter somewhere, or is this just how it is with IB? Any workarounds?
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/18/18 14:08

I would advise to download a trial version of MC, load the data you need and observe it there.
If you see the same sort of erroneous prices - then the problem is on IB's side (and you should alert them to fix), if not - it's with Zorro's IB plug-in.
My guestimate is that this is what IB's API streams.
Posted By: Hredot

Re: IB M1 historical data - last hour of each day corrupted? - 02/18/18 15:56

Thanks for your suggestion!
Sorry for not knowing, but what does the abbreviation MC stand for?
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/18/18 21:17

Multicharts. Or any other platform with a quality/proven integration to IB.
Posted By: Hredot

Re: IB M1 historical data - last hour of each day corrupted? - 02/18/18 23:08

Oh, multicharts looks very interesting. Does it do the same things zorro does? In your opinion, what are the main differences between the two?
Posted By: easyX

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 00:28

http://zorro-project.com/faq.php#comparison
Posted By: Hredot

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 02:40

@easyX: Thanks for the link!

@Zheka: So, I got multichart trial version, started QuoteManager and set up a symbol to connect to IB. I can connect it successfully (IB Gateway says connection is established), but I can't seem to find a "Start historical data download" button in Quote manager... Any hint on how to do this?
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 15:37


MC works off charts. Add a chart, choose a symbol (and details) - and it will request data from the datasource. You can then visually inspect what has been downloaded.

MC does not do the same things as Zorro. But it does other things well.
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 15:39

If the symbol you are looking for is not pre-set in QM, you will have to add it manually (in QM). Spend some time reading the manual..
Posted By: Hredot

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 15:43

Hi Zheka, thanks for the suggestions! I did get a symbol in and set a chart up, but could not figure out how to move its timeframe further back into the past... Will have to look into it.
Posted By: Hredot

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 16:52

OK, it turned out that it was not the last hour being corrupted, but actually the time period where market data appeared every day in the file was inconsistent. So one cannot just cut out a fixed time frame each day from the downloaded data. See my new post for details.
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 20:10

In symbol details, choose a session template "24/5". Then you will see the full day, regardless of when it actually trades. This will then be comparable to what Zorro downloads.
Posted By: Hredot

Re: IB M1 historical data - last hour of each day corrupted? - 02/19/18 21:05

Ok, but don't we actually want to see only the market hours anyway?
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/20/18 09:01

Yes, we want. But the concept of 'hard' Sessions is absent in Zorro...

@JCL,
is it possible to make StartMarket/EndMarket (with some flag) physically restrict:
1) sampling of the data in TEST/TRAIN/TRADE modes
2) data retrieval from the datasources/brokers..

Thank you.
Posted By: jcl

Re: IB M1 historical data - last hour of each day corrupted? - 02/20/18 09:08

Yes, a Weekend flag for this is on our list.
Posted By: Zheka

Re: IB M1 historical data - last hour of each day corrupted? - 02/20/18 11:36

Yes - for both 1 and 2? This would be very helpful indeed.

A 'Weekend' flag doesn't seem an 'intuitive' placeholder for such functionality though...
Posted By: jcl

Re: IB M1 historical data - last hour of each day corrupted? - 02/20/18 13:04

For 1 only. For 2 you can use a simple script that removes unwanted data out of a dataset.
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