This is a numbers game and you'll have to just try it out yourselves. It all depends on the number of ticks (trades, BidAsk, Midpoint) the future produces, whether you want data just for the front month or whether you want to download all ticks for all tradable futures for each day.

ES easily gets to 800K or1Mio trades a day, NQ is probably 1/2 that, ZN 1/5 and VIX 1/10. BidAsk or Midpoint ticks are 5x to 10x those of trades. So you'll be looking at several 100Mio to 1B ticks for two years worth of data. I'll take a long time but then you'll only do that once.

IBKR paces the speed at which they provide the data and speeds may be higher on weekends and during the night. Speeds also tend to be higher at the start and slow down if your process keeps on requesting data for extended periods of time. When I did a quick run yesterday to see whether our tool still works (we never really download historical data any longer) it took 200 seconds to get 71,000 ES trades in 71 requests. That's an initial rate of 1.25 Mio trades per hour but will very likely get slower if you keep on doing that for several hours.

闯ü谤驳别苍

I am not sure that bracket orders would be involved in modelling what you are trying to do. Bracket orders suggest that at most one of the child orders will execute (and the others get cancelled) and IBKR will adjust child order quantities? to the actual fill quantity of the parent.

• One limit at $102 for quantity 80
• One limit at $104 for quantity 80
• And one trail stop for quantity 80. That one might need a "" so that it is dormant until the price actually hits $106.

Your client application would stick around and and would monitor order progress by observing openOrder, orderStatus, and execDetails callbacks. You can adjust pricing/quantities for these orders up to the moment that they actually execute.

Your client will also want to implement some logic to handle failure cases such as when previously accepted orders get cancelled without fill for some reason or when profit takers at lower price levels fill only partially.

Alternatively, you could do some window-shopping over at the explorer. You may be able to model your requirements with a Scale order or with one of the Algos. That adds a level of robustness in that orders keep operating at the exchange or at IBKR even if your client, TWS/IBGW, or your internet connection fail.

Actual commissions heavily depend on the instrument you are trading, whether you use tiered pricing, and other account specific parameters. But for the most part we found that commissions we observe in paper trading are very similar or even identical to those in a an equivalent live account. And if your strategy yields significantly better sales prices, slightly higher commissions should be more than offset.

闯ü谤驳别苍

开云体育

How did the orders in TWS get created? Manually in TWS or by a different client?

You might want to read up on the concept of "Master Client" and "Client 0" as described in the chapter. You can also make a "super client" (my term) when you configure the Master Client Id as "0".

The background is that clients get only information about the orders they placed themselves. The exception are the Master Client (which can receive details from all clients) and Client "0" (which can receive details from orders placed manually in TWS).

闯ü谤驳别苍

You can indeed get approx 2 years of high resolution tick data for expired futures with Just grabbed trade ticks for VXV1 on 2021-09-21.

But you have to be patient since requesting that amount of data will take some time and you want to have some kind or restart logic to work around TWS/IBGW daily restarts and other disruptions. For very active futures, be prepared to get more than 1,000 ticks per call occasionally since returned data is always for full seconds.

Contract rolling can be implemented by requesting lists of active and expired contracts via . Those contracts contain each future's expiration details so you can construct a "continuous future" from that list.

There are various data services out there that sell or rent historical futures ticks data but I have no experience to share and some of them can expensive. They may be interesting, though, if you need data for many futures or if you need event times with a resolution of higher than one second.

闯ü谤驳别苍