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 The currently shipped TWS plugin uses a slightly outdated version of the ib-csharp library.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