Extends IBDownloader to support all security types.

QuantConnect / Lean.Brokerages.InteractiveBrokers

InteractiveBrokers Brokerage Plugin

Apache License 2.0

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Extends IBDownloader to support all security types. #4

Open AlexCatarino opened 5 years ago

AlexCatarino commented 5 years ago

Expected Behavior

IBDownloader can fetch data from all securities types. https://interactivebrokers.github.io/tws-api/historical_data.html

Actual Behavior

Only forex is supported.

Potential Solution

Extends IBDownloader to support all security types.

Checklist

[x] I have completely filled out this template
[x] I have confirmed that this issue exists on the current master branch
[x] I have confirmed that this is not a duplicate issue by searching issues

Fredoid commented 4 years ago

Hi QC Team,

I am very interrested to using ibdownloader to fecth equity historical data. Do you know if there is a specific reason to support only forex for the moment ? Technical issue ? Licence issue ? Provider issue ? Or just because the team or the community hadn't time yet ?

Thanks, Frédéric

AlexCatarino commented 4 years ago

There is an extra issue that can be handled in this ticket: IBDownloader is failing to download Forex data because it assumes Market.FXCM while InteractiveBrokersBrokerage requires Market.Oanda for Forex [src].

aricooperman commented 3 years ago

I am happy to work on this but I have a general question on how QC/Lean is supposed to resolve tickers into symbols as it relates to Toolbox. Is there some lookup mechanism that can check that the ticker is Equity or Forex or Option? Or is it expected that the user would provide this on the command line explicitly, i.e. something like --tickers=QQQ:Equity:USA,EUR.USD:Forex:FXCM

omidkrad commented 3 years ago

Interactive Brokers (IBKR)

Data Subscriptions

To configure, log-in to IBKR Portal and go to: User Settings -> Market Data Subscriptions ⚙ -> Current GFIS Subscriptions - ⚙ click on gear Select North America -> Level 1 (NBBO)

Subscriptions needed for streaming stock and options data:

For Stocks:

NASDAQ (Network C/UTP) - North America
NYSE (Network A/CTA) - North America
NYSE American, BATS, ARCA, IEX, and Regional Exchanges (Network B) - North America

For Stock Options:

OPRA (US Options Exchanges) - North America

Connecting to the API

IB Gateway

Goto Configuration -> Settings -> API -> Settings
- uncheck: Read-Only API
- set Socket Port (default is 4001). Make sure socket port is the same for IB Gateway and the client.

Trader Workstation (TWS)

Go to Globla Configuration... -> API -> Settings
- check: Enable ActiveX and Socket Clients
- uncheck: Read-Only API
- set Socket Port (default is 7497). Make sure socket port is the same for TWS and the client.

lilith commented 3 years ago

This would be really great! Right now offline usage of LEAN is near impossible, and the online ide is constantly corrupting and duplicating files, while the build system is only intermittently online.

Smiggus commented 3 years ago

Quite interested in the use case of this, would IBDownloader be allowed/added as a substitute for QC Datasets?