Profile Picture

Trading index futures through IB / data feed problem

Posted By dnickless 4 Years Ago
Posted Wednesday March 18 2015
Hi all

Has anyone managed to retrieve Interactive Brokers price data for index futures through RightEdge? I have a feeling this cannot be done (at least for the symbols I want which would be Nasdaq 100 Futures, NDH5, e.g.). My observations are:

1. I do get prices through the IB API Sample Client using the settings shown in the attached file.
2. The working request from the IB API Sample Client gets logged like this:
qd::[version=6,ID=1,action=null,reqDesc=Symbol=NDH5 Type=FUT Expiry=20150319 Strike=0.0 Put/Call=? Exchange=GLOBEX CompExch=GLOBEX Currency=USD Multiplier=100 IbLocalSymbol=null IbTradingClass=ND SecIdType=null SecId=null includeExpired=false newsSource=null Legs=null Special Info=null,endDateTimeStr=20150318 16:58:46,backfillDuration=1 M,whatToShow=0,barSizeSettingStr=1 day,formatDate=1,combo=null]
[6;1;0;NDH5;FUT;20150319;0;2;100;GLOBEX;USD;null;ND;false;20150318 16:58:46;1 day;1 M;1;TRADES]

3. The request issued by the RightEdge plugin, however, looks like this and does not work (I keep getting the dreaded "200;No security definition has been found for the request" error message):
qd::[version=4,ID=0,action=null,reqDesc=Symbol=NDH5 Type=FUT Expiry=20150319 Strike=0.0 Put/Call=? Exchange=GLOBEX CompExch=GLOBEX Currency=USD Multiplier=null IbLocalSymbol=null IbTradingClass=null SecIdType=null SecId=null includeExpired=true newsSource=null Legs=null Special Info=null,endDateTimeStr=20150319 09:05:53 GMT,backfillDuration=52 W,whatToShow=0,barSizeSettingStr=1 day,formatDate=2,combo=null]
[4;0;0;NDH5;FUT;20150319;0;2;null;GLOBEX;USD;null;null;true;20150319 09:05:53 GMT;1 day;52 W;1;TRADES]

4. Changing the symbol from "NDH5" to "ND" only seems to work just as well but again ONLY WITH the trading class value set to "ND".
5.  The currently shipped TWS plugin uses a slightly outdated version of the ib-csharp library. But even the latest one would probably not be enough to get this up and running. The reason being that even the latest ib-csharp library does not yet seem to support the "Trading Class" field (see here and here).



working_symbol_settings.png (405 views, 46.00 KB)
Posted Thursday March 19 2015
In TWS, when I search for NDH5, the contracts it shows use the symbol NDX.  When I use NDX as the symbol in RightEdge I'm able to get data.

Is this what you're looking for or is it a different contract?

Posted Thursday March 19 2015
NDX is the underlying index itself. You can't buy or sell that bugger, though, if I'm not terribly wrong here. That's what I need the futures for...
Posted Friday March 20 2015
I have the symbol name as NDX, with an Asset type of Future and the appropriate expiration date and exchange set:

If I type "NDM5" into Trader Workstation, it shows "NDX" as the symbol name in the search results:

So I'm pretty sure this is how to set up Nasdaq 100 futures symbols.

Posted Thursday March 26 2015
Unbelievable! You're absolutely right... What on earth was I doing all the time? I really thought I had tried every last possible combination multiple times... Anyhoo, thanks a million, good honest Sir!
Posted Friday March 27 2015
With build 54 of RightEdge, the Interactive Brokers symbol source should make this easier.  You can search the available IB symbols and add them to your watchlist:


Similar Topics

Reading This Topic

2005-2019 © RightEdge Systems