IB recently introduced continuous contracts on their platform.
Does anyone know which symbols to use to access this data?
CLJ3 is the current contract symbol for WTI.
Does anyone know which symbols to use to access this data?
CLJ3 is the current contract symbol for WTI.
Rename
See User Guide > Extensions > Interactive Brokers > Futures
Cone, Thanks for your response. I understand how to use data from IB but I don't see how to use the new continuous contracts that are available. The symbol in TWS uses an "infinity" symbol rather than the standard futures symbols.
I'm trying to guide you to read all the information about how to request (and update) continuous contracts from IB with WealthLab. It's more than just a symbol. Did you read it?
I didn't see what you are referring to. I was looking in the wrong place. I see it now.
Thanks, once again.
Thanks, once again.
I am trying to create a DataSet with EOD quotes for continuous futures contracts, from IB.
I am following the notation in the User Guide (for example: ES#C, GC#C, CL#C, EUR#C, etc.), but I am not succeeding. Am I missing a step somewhere?
Thank you!
I am following the notation in the User Guide (for example: ES#C, GC#C, CL#C, EUR#C, etc.), but I am not succeeding. Am I missing a step somewhere?
Thank you!
Should work fine as long as you have data permissions for those instruments.
p.s.
1. You can't trade with the #C symbols, and,
2. IB only provides data for regular contracts that have expired within 2 years. Similarly, you can retrieve only the last 2 years of continuous contract data - if you're lucky.
p.s.
1. You can't trade with the #C symbols, and,
2. IB only provides data for regular contracts that have expired within 2 years. Similarly, you can retrieve only the last 2 years of continuous contract data - if you're lucky.
Thank you Cone!
I still didn’t figure it out - I will try to have a deeper look at the settings in TWS.
I do have market permissions and I have been trading these futures for many years with this account.
I am only interested in a few months of EOD quotes; just enough to check next day orders. I don’t need the quotes for backtesting, since I subscribe to NorgateData and they are available with many years of history and with high-quality (never noticed an error).
My problem is the following:
- US markets close at 22:00CET and open next day at 15:30CET.
- However the futures almost don’t close: they have a maintenance window from 23:00CET to 00:00CET.
- This means that I only have 1h to update the last bar EOD quotes; and then run my systems and eventually place the orders.
- But NorgateData only makes that last bar available a few hours later - I believe it is around 02:00CET (way past my bedtime nowadays).
For years, I have been dealing with this by having a little script that scraps Barchart (they used to have a RESTful API, but discontinued it) to get that bar for the few (<10) contracts that I trade. But was hoping to replace that step by simply having another DataSet that do get that bar updated on time (was hoping from IB) and would use it just for generating the next bar orders (for backtesting I would keep my higher quality NorgateData).
Sorry for the long answer, but wanted to describe well the problem, in the hope that maybe another futures EOD trader has a better solution to this.
In the meantime, I will try to progress with the IB quotes. I do manage to get discrete contracts, like MESU24, but no luck with continuous ones (should be MES#C but it’s not yet working).
I still didn’t figure it out - I will try to have a deeper look at the settings in TWS.
I do have market permissions and I have been trading these futures for many years with this account.
I am only interested in a few months of EOD quotes; just enough to check next day orders. I don’t need the quotes for backtesting, since I subscribe to NorgateData and they are available with many years of history and with high-quality (never noticed an error).
My problem is the following:
- US markets close at 22:00CET and open next day at 15:30CET.
- However the futures almost don’t close: they have a maintenance window from 23:00CET to 00:00CET.
- This means that I only have 1h to update the last bar EOD quotes; and then run my systems and eventually place the orders.
- But NorgateData only makes that last bar available a few hours later - I believe it is around 02:00CET (way past my bedtime nowadays).
For years, I have been dealing with this by having a little script that scraps Barchart (they used to have a RESTful API, but discontinued it) to get that bar for the few (<10) contracts that I trade. But was hoping to replace that step by simply having another DataSet that do get that bar updated on time (was hoping from IB) and would use it just for generating the next bar orders (for backtesting I would keep my higher quality NorgateData).
Sorry for the long answer, but wanted to describe well the problem, in the hope that maybe another futures EOD trader has a better solution to this.
In the meantime, I will try to progress with the IB quotes. I do manage to get discrete contracts, like MESU24, but no luck with continuous ones (should be MES#C but it’s not yet working).
There should be no problem getting the continuous contract for all those symbols you mentioned.
What does the Log Viewer show when you request one?
I just noticed that the wrong market (US Stocks) was returned, but it won't affect anything for the Daily data.
Edit... and oddly I can't make that happen again. Anyway, it's a good idea to set these contracts up in Markets & Symbols with the contract specs you want to use. Make 2 records for each contract using symbols that will match the continuous and regular contracts, e.g., MES#C and MES###.
What does the Log Viewer show when you request one?
I just noticed that the wrong market (US Stocks) was returned, but it won't affect anything for the Daily data.
Edit... and oddly I can't make that happen again. Anyway, it's a good idea to set these contracts up in Markets & Symbols with the contract specs you want to use. Make 2 records for each contract using symbols that will match the continuous and regular contracts, e.g., MES#C and MES###.
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