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| Interactive Brokers |
Interactive Brokers is an online broker that allows you to trade stocks, options, futures, Forex, bonds and over 100 markets worldwide in a single IB Universal Account.
Markets Supported
Stocks, options, futures, Forex and bonds.
Over 100 markets: http://individuals.interactivebrokers.com/en/p.php?f=products
Requirements
- Interactive Brokers account with a username and password
- Traders Workstation (TWS)
http://individuals.interactivebrokers.com/en/software/installationInstructions.php?ib_entity=llc
- You may also need to install the last version of IB API
https://individuals.interactivebrokers.com/en/?f=%2Fen%2Fsoftware%2Fibapi.php
Connection Instructions
1. Start Interactive Brokers TWS
2. In the menu, select "Edit -> Global Configuration"
3. Enable the following options:
-> Enable ActiveX and Socket Clients
-> Download open orders on connection
-> Set the "Socket port" value to 7496
-> Include FX positions when sending portfolio
4. Start QuantShare
5. Select in the menu "Accounts -> Connect" then select "Interactive Brokers"
6. In Connection Settings and under "Provider Settings" tab, update the following fields:
TWS Host Name: Leave this field empty or set it to "localhost". If TWS is running in another network, type the IP address of the network.
TWS Socket Port: Set this field to 7496.
Regular Trading Hours Only: Check this field if you don't want to get trades outside of standard trading hours.
Client ID: Leave this field to a value of zero "0".
Click "Close" to save settings and starts the Interactive Broker connection
Click here for more information about connection settings
Common Problems Connecting to Interactive Brokers
I am getting a "Target machine actively refused…" message:
Make sure no other software or program is connecting to TWS.
IB Symbology
The format is:
SYMBOL-EXCHANGE-TYPE-CURRENCY@LOCAL NAME
Description:
SYMBOL: Symbol of the security (Same as symbol column in TWS - Under symbol mode)
EXCHANGE (optional): The exchange where the security is listed. .....
TYPE:
STK -> Stocks
FUT -> Futures
OPT -> Options
FOP -> Options on futures
IND -> Indexes
CASH -> Cash (Ideal FX)
Notes:
- You can also specify the security's type in the "Group" field. (Symbol -> Update Symbol)
- If EXCHANGE field is not specified then "SMART" will be used
- For stocks, the default exchange (if not specified) is ISLAND
CURRENCY: The currency of the symbols. Default value is "USD" (US Dollar).
LOCAL NAME: The exchange local name for the specified symbol. Use the local name to avoid typing options or futures expiration date, strike...
Stocks
Examples:
GOOG (Google Inc.)
AAPL (Apple Inc.)
VOD-LSE (Vodafone Group)
FTE-SBF (France Telecom)
Futures / Options
Futures symbol format is as follows:
[Symbol Name] [SPACE] [EXPIRY MONTH CODE] [EXPIRY YEAR LAST DIGIT]
Example:
E-Mini S&P June 2012 Futures Contract
IB Symbol: ES M2-GLOBEX-FUT
Month Codes:
January - February - March - April - May - June - July - August - September - October - November - December
F - G - H - J - K - M - N - Q - U - V - X - Z
Options symbol format is as follows:
[Symbol Name] [SPACE] [EXPIRY MONTH CODE] [EXPIRY YEAR LAST DIGIT] [C or P -> Put or Call] [STRIKE]
Example:
Google option, 610 Call, Expiration: May 2012
IB Symbol:
GOOG K2C610-AMEX-OPT
Or
GOOG K2C610-CBOE-OPT
for Google options listed on CBOE
You can also enter options using the OCC format: (Note that there are two white spaces between the symbol name and the option specification)
GOOG 140103C00850000
QuantShare automatically detects that such security is an option.
Indices
Examples:
SPX-CBOE-IND (S&P 500 Index)
INDU-NYSE-IND (Dow Jones Industrial Average)
TICK$NYSE-NYSE-IND (NYSE Tick)
Forex
Example:
EUR.USD
You must also set the Group field of the forex symbol to "Currencies" (Symbol -> Update Symbol)
The best way to add IB symbols to QuantShare is by selecting "Symbol -> Symbol Lookup -> Interactive Brokers" (Make sure IB is connected).
Additional Information:
- It is possible to specify type and currency data in symbol files (Symbol -> Update Symbol).
For example, instead of specifying the following symbol: SPX-CBOE-IND
You can add "SPX-CBOE" symbol and specify that this symbol is an index by associating "Indices" group with "SPX-CBOE" symbol.
- Another way to reference an asset is by specifying its local symbol name
Example:
Local symbol name for E-Mini S&P June 2012 Futures Contract is ESM2
To add a symbol for this futures contract, enter: ES-GLOBEX-FUT@ESM2
Instead of: ES M2-GLOBEX-FUT
(In IB, right click on a symbol then select Contract Info -> Description)
IB API Limitations
- The data from IB does not include a timestamp on the trades. The current system time and security exchange settings are used to timestamp each tick.
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