After hours data - Interactive Brokers
After hours data - Interactive Brokers
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Viðar Ingason · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Viðar Ingason
Original post: https://quant.stackexchange.com/questions/44011
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I just started using Interactive Brokers because of their API. I'm using the IBrokers package in R.
I've managed to get data for S&P 500 and other indices but now I want data for S&P 500 after hours.
Investing.com
shows data for S&P 500 after hours (S&P 500 futures). How can I get this data by using Interactive brokers API?
Update
I just tried this without success. I only get data for regular trading hours.
spx = reqHistoricalData(tws2, twsIndex(symbol = "SPX", exch = "CBOE"),
barSize = "15 mins",
duration = "1 M",
useRTH = "0")
Am I doing something wrong?
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Enrico Schumann · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: Enrico Schumann
Original post: https://quant.stackexchange.com/a/44016
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
The function
reqHistoricalData
has an argument
useRTH
("use regular trading hours"). Set
useRTH = "0"
to get data outside those hours.
This can only work for the futures, not for the index, which is only computed during normal trading hours.
library("IBrokers")
tws <- twsConnect()
contract <- twsContract(local = "ESH9",
sectype = "FUT",
exch = "GLOBEX",
currency = "USD",
include_expired = "1",
conId = "", symbol = "", primary = "",
expiry = "", strike = "", right = "",
multiplier = "", combo_legs_desc = "",
comboleg = "", secIdType = "", secId = "")
reqHistoricalData(tws,
contract,
barSize = "15 mins",
duration = "1 M",
useRTH = "0")
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Quoted from Forex.com.bd-Editorial External answer — Quantitative Finance Stack Exchange Author: Enrico Schumann Source score (net votes, not local likes): 4 Original post: https://quant.stackexchange.com/a/44016 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. The function reqHistoricalData has an argument useRTH ("use regular trading hours"). Set useRTH = "0" to get data outside those hours. This can only work for the futures, not for the index, which is only computed during normal trading hours. library("IBrokers") tws <- twsConnect() contract <- twsContract(local = "ESH9", sectype = "FUT", exch = "GLOBEX", currency = "USD", include_expired = "1", conId = "", symbol = "", primary = "", expiry = "", strike = "", right = "", multiplier = "", combo_legs_desc = "", comboleg = "", secIdType = "", secId = "") reqHistoricalData(tws, contract, barSize = "15 mins", duration = "1 M", useRTH = "0")
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