I am currently in my 14 day trial and working to backtest some strategies. I am very excited about the software. However, I am finding many issues using my interactive broker data to perform backtests. When I look at the results I notice that often instead of testing, for example, a full year of data, it only tested a week of data! It appears not to load certain symbols more than one week. Is there a way around this problem? I read in another thread that IB is bad for historical data (I pay them a lot of money for data), are there alternative data sources that are economical? What can you recommend? Thank you!
Rename
Well, since you are trialing Wealth-Lab, the best would be to stick to a directly supported service, like the ones mentioned here:
https://www.wealth-lab.com/extension/detail/DataExtensions
From my experience, with a free service, it's just a matter of time until you have an erroneous trade, attributed to the (lack of) quality of the data, that will cost you more than many years of a paid subscription of a quality service. This is why I don't mind paying for data, since more than 20y (when I learnt that lesson the hard way).
From the services I used (EOD only), I can vouch for the quality of NorgateData. I use them for my quotes on continuous back-adjusted futures contracts (high quality and reasonably priced); additionally, an extension for Wealth-Lab is apparently in the oven already.
However, if you are only interested in stocks from US/German markets, Wealth-Data is also high quality and comes free with a Wealth-Lab subscription:
https://www.wealth-data.com/faq
And even if you want a service that is not directly supported, most of them allow export to CSV or Metastock format; both of which can easily be imported to Wealth-Lab.
https://www.wealth-lab.com/extension/detail/DataExtensions
From my experience, with a free service, it's just a matter of time until you have an erroneous trade, attributed to the (lack of) quality of the data, that will cost you more than many years of a paid subscription of a quality service. This is why I don't mind paying for data, since more than 20y (when I learnt that lesson the hard way).
From the services I used (EOD only), I can vouch for the quality of NorgateData. I use them for my quotes on continuous back-adjusted futures contracts (high quality and reasonably priced); additionally, an extension for Wealth-Lab is apparently in the oven already.
However, if you are only interested in stocks from US/German markets, Wealth-Data is also high quality and comes free with a Wealth-Lab subscription:
https://www.wealth-data.com/faq
And even if you want a service that is not directly supported, most of them allow export to CSV or Metastock format; both of which can easily be imported to Wealth-Lab.
Forgot to mention that your IB problems might be explained here:
https://interactivebrokers.github.io/tws-api/historical_limitations.html
Basically, the money you pay them for data assures you quality for the trading per se; not necessarily for historical compilation of data. This is why I don't even lose time with it, although also paying their data services for the markets that I trade.
https://interactivebrokers.github.io/tws-api/historical_limitations.html
QUOTE:
Although Interactive Brokers offers our clients high quality market data, IB is not a specialised market data provider and as such it is forced to put in place restrictions to limit traffic which is not directly associated to trading. A Pacing Violation occurs whenever one or more of the following restrictions is not observed...
Basically, the money you pay them for data assures you quality for the trading per se; not necessarily for historical compilation of data. This is why I don't even lose time with it, although also paying their data services for the markets that I trade.
What symbols and how many are you backtesting/trading?
Do you need streaming for intraday trading?
Also, for a good overview of what's available, see this blog article -
https://www.wealth-lab.com/blog/wealthlab-data-providers
IB has a good amount of data, but it can take several hours just to download 1-minute histories for several years. IB is a broker, not really a "data provider". If you try to download too much, you will be throttled, and eventually cut off.
Do you need streaming for intraday trading?
Also, for a good overview of what's available, see this blog article -
https://www.wealth-lab.com/blog/wealthlab-data-providers
IB has a good amount of data, but it can take several hours just to download 1-minute histories for several years. IB is a broker, not really a "data provider". If you try to download too much, you will be throttled, and eventually cut off.
Thanks for the replies, they are very helpful!
To alkimist: are you saying you don't subcribe to many IB data subscriptions but rather use other sources for your historical data?
To Cone: I am not sure what I will be needing, but I assume it will be streaming and a wide variety of stocks. However, the first thing I would like to get working is MNQ#C or NQ#C (continuous futures contracts) to do historical backtesting.
To alkimist: are you saying you don't subcribe to many IB data subscriptions but rather use other sources for your historical data?
To Cone: I am not sure what I will be needing, but I assume it will be streaming and a wide variety of stocks. However, the first thing I would like to get working is MNQ#C or NQ#C (continuous futures contracts) to do historical backtesting.
Update: I discovered a parameter under the preferences tab : Data. It was set to "last 500 bars" which was limiting what data was downloaded. I am very unfamiliar with this software so this may just be my inexperience causing these issues. But the articles you linked were very helpful! Hopefully I will be able to figure these things out in short order.
Right - the preference is what you want for the initial loading for a chart. Later you can click the dates in the status bar of a chart, and select exactly what you want to see at any time.
If you're running a strategy, then you select the dates and scale on the Strategy Settings page.
As long as you have the data permissions, it shouldn't be a problem getting the continuous contracts for those symbols. Keep in mind that when you trade, you should use the 2-digit year code for the contract, e.g., NQH23, ESH23
If you're running a strategy, then you select the dates and scale on the Strategy Settings page.
As long as you have the data permissions, it shouldn't be a problem getting the continuous contracts for those symbols. Keep in mind that when you trade, you should use the 2-digit year code for the contract, e.g., NQH23, ESH23
So I am still having this issue, particularly on the symbol I would like to backtest, MNQ#C. It will not update past about one month of data. I have loaded the data in IB and it appears to be there. I hope someone can help me see what setting I am missing if that is the problem.
I am getting this error:
Timestamp Source Message Exception
"1/16/2023 18:31:12:098" "WL8" "Exception Saving DataSet: There was an error generating the XML document." "There was an error generating the XML document. Inner Exception: The type WealthLab.InteractiveBrokers.IBDataSetProvider was not expected. Use the XmlInclude or SoapInclude attribute to specify types that are not known statically."
Timestamp Source Message Exception
"1/16/2023 18:31:12:098" "WL8" "Exception Saving DataSet: There was an error generating the XML document." "There was an error generating the XML document. Inner Exception: The type WealthLab.InteractiveBrokers.IBDataSetProvider was not expected. Use the XmlInclude or SoapInclude attribute to specify types that are not known statically."
Hi Dan, at what point are you seeing this error?
Update: I do see how the error could have occurred and patched it for Build 28, which should be released in the next few days. After you eventually upgrade, you might need to re-create the DataSet(s) in question that issued the error.
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