Aggregate interactive brokers data in matlab

External question — Quantitative Finance Stack Exchange Author: user1000650 Original post: https://quant.stackexchange.com/questions/18568 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am using matlab and interactive brokers API. I am getting real time data using tickerID = ib.realtime({ct},'233',@(varargin)ibEventRealTimeData(varargin{:})); where ib is the interface to interactive brokers TWS Activex object and ct is the contract. I am getting all the events (ticksize, tickprice and so on) but I can't aggregate data/prices (for example, in 5 minute bars). What am I missing? Thanks.

External answer — Quantitative Finance Stack Exchange Author: Yair Altman Original post: https://quant.stackexchange.com/a/18580 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. In order to aggregate the 5-min bars, you need to add code within your ibEventRealTimeData function that remembers the previous values (possibly using a global or persistent variable) and appends the new data to it. If you do not need realtime info, you could make a single request for 5-min historical data. But here too, IB sends the results in separate events that you would need to aggregate within your callback. As an alternative you could use the IB-Matlab product , which connects IB and Matlab, and aggregates the information for you, in both the historical/intra-day request and the realtime bars request.

External answer — Quantitative Finance Stack Exchange Author: dkhokhlov Original post: https://quant.stackexchange.com/a/18884 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Here is a pure Java library with Matlab examples for getting daily and minute aggregated bars. It is based on IB Java API. I wrapped it to have a simple interface: http://www.spreadvectors.com/wisentgenus#code IB has limitations when requesting historical data: Making identical historical data requests within 15 seconds. Making six or more historical data requests for the same Contract, Exchange and Tick Type within two seconds. Do not make more than 60 historical data requests in any ten-minute period.