[R-SIG-Finance] IBrokers - reqHistory results in missing random data

algotr8der algotr8der at gmail.com
Sat May 28 19:07:38 CEST 2011

>>For one, if this uses the sockets there would be zero difference. IBrokers 
>>is a raw translation (open to read!) of the socket protocol, and simply 
>>would fail if incorrect (it is not).  Unless you are running on the same 
>>data, at the same time, with the same requests your conclusion has no
>>in fact - as it is nothing more than conjecture. 

Hi Jeff - I must have not been clear in my latest post in this thread -
sincere apologies for that. When I said 'I am told there is a bug on IB's
end' I meant IB = Interactive Brokers and not IBrokers. Sorry for the
confusion. This is something internal to Interactive Brokers so nothing to
do with the IBrokers R package.

>>Second, linking to a binary(?!) without some context around it (google 
>>search and directories of .net domain provide nothing) is about as useless 
>>as saying nothing.  Certainly nothing to do with R, or even a 
>>solution/insight - except for those naive enough to run it. Your email and 
>>name aren't anywhere in my records of contributors to R-sig-finance, or R. 

I'm not sure what you are trying to say in the above paragraph. 

>>I'd suggest this has nothing to do with an R solution and nothing to do
>>R at all.  There are myriad ways to accomplish requests - all of the
>>aren't suitable to the thread in question. 

I agree that this has nothing to do with an R solution hence why I posted an
update indicating that the problem occurs with Interactive Broker's own

1) the time issue is not present when you use TswDde, however it is present
when you use TswActiveX. The first 1 minute intraday bar occurs at 09:30:00
and the last bar at 15:59:00 when you export historical data using
tswActiveX. The same does not occur when you use TswDde. 

2) the missing data issue occurs with both TswDde and TswActiveX. 

I thought that issue #2 may have had to do with 'poor quality' data rather
than a problem with the export mechanism. But Interactive Brokers technical
support rep I was working with indicated on several occasions that he did
not have missing data during his testing using the same said tools for the
same time periods and same symbol. Now this is his *claim* and not something
that I can independently verify other than indicate that there are gaps in
the data exported from Interactive Brokers using their tools in my testing.

All the best.

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