Hi,
I had the same problems myself…..drove me crazy…
Here is what I found out by now, confirmed by the developers:
1. For futures you can only download historical prices via Zorro for contracts that are still live..not for any expired contracts…!!
Via the Download script for EUREX and the FDAX (25 Multiplier) you can do that currently for the JUN17 / SEP17 / DEC17
2. So for the current front month future you have to type the following contract name in the “Single Asset” field: DAX-FUT-20170616-FDAX-DTB-EUR
3. Or you can add the following line on the AssetsIB sheet:
DAX-FUT-2017061,12097.00,1.00000,0.0000,0.0000,0.5000,12.500000,24648.9590,11.911,1.0,4.000,DAX-FUT-20170616-FDAX-DTB-EUR
I updated the missing parameters manually to match IB standard Margin and commission rates, as IB send only the last price…nothing else
4. If you want to use this specific asset in your script you need to add the following line:
asset("DAX-FUT-2017061");
5. For downloading historical prices, you need to do this manually for example via the IB API and the DDE sheet and convert those to .csv and then .t6 format to use them for backtests
IB allows you to download data for expired contracts up to 2 years back only, so currently the last available contract would be JUN/15, max. time frame is 1 Minute candles (in fact 30 sec. would work as well , but I am not sure if this makes a lot of sense)
Here is the link to the IB Tutorial:
http://interactivebrokers.github.io/tws-api/dde_tutorial.html#gsc.tab=06. Unfortunately, Zorro (via the IB Bridge) is not able to download the volume data for the respective candles yet…. I hope this will change…😉
http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=446748&page=6That should work.
Good luck.
Best
Michael
