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Re: Black-Scholes-Merton - Risk Free Interest Rate and which Volatility value do I use?
Not sure what IB uses for risk free rates, however, industry standard is to create bootstrap a curve from various sources (LIBOR, futures, Swaps). This is how the Bloomberg Terminal creates their RFR
By G-Money · #47452 ·
Re: Black-Scholes-Merton - Risk Free Interest Rate and which Volatility value do I use?
I believe most people use the 3-month Treasury Bills for the risk free rate.? That data is available for free from many data sources including US Treasury
By hmtodd · #47451 ·
Re: Black-Scholes-Merton - Risk Free Interest Rate and which Volatility value do I use?
I still need help, where do I get the 'Risk Free Interest Rate' from? Bruno indicated to pull it from online somewhere:?" I pull rates from the Internet (from overnight to 6 months or longer) " I am
By Don (KN3N) · #47450 ·
Re: Requesting Historical Data
Ok, let me get back into the work shed and see what I can figure out. Thank you so much everyone
By Patrick C · #47449 ·
Re: Requesting Historical Data
No, there is no way to do this. You have to save the previous bars and add a new bar as it completes.
By Nick <news1000@...> · #47448 ·
Re: Requesting Historical Data
Hmm I think I didn't explain what I am working with correctly.. or maybe I cannot explain what I am working with correctly. But, lets start over and try this! *#1:* Is there any way that once the
By Patrick C · #47447 ·
Re: Getting Option Call Open Interest (tickId 27) and Option Call Volume (tickId 29)
Hello. Is there any other way to get Option Volume? voisin.bruno@...) escribi¨®:
By Pirro Trader · #47446 ·
Re: Requesting Historical Data
You could also use reqRealTimeBars which sends you a completed bar every 5 seconds. You just combine them into 30-second intervals and take action on the completed bars. As usual IB makes it harder
By Nick <news1000@...> · #47445 ·
Re: Requesting Historical Data
Hi Patrick, The logic that you're suggesting with gangling time to send the request sounds like a bad design decision. It should "just work" (c) no matter when you sent your request. Matt's both
By Dmitry Shevkoplyas · #47444 ·
Re: Requesting Historical Data
Care to elaborate on your question then? Regardless of when you request the bars you can easily figure out whether the last returned bar is complete or not.
By Dojo321 · #47443 ·
Re: Requesting Historical Data
Yeah, I think your misunderstanding. There's like a window of 1-3 seconds after the start of each candle that is like a chink in my armor that I'm trying to figure out how to get rid of. Its like
By Patrick C · #47441 ·
Re: IB question
I don't see how that link shows any asynchronous programming at all. The code does not even kick off the listening thread.
By Dojo321 · #47440 ·
Re: Requesting Historical Data
Well you can always request the server time right after you receive the historical data end flag and then ignore the last candle that is incomplete. Or just set the endDateTime on an even 30 seconds
By Dojo321 · #47439 ·
Re: Requesting Historical Data
And just cuz I know its gunna be asked, keep up to date is False
By Patrick C · #47438 ·
Requesting Historical Data
Heya, I am running a strategy right now on the 30 sec chart. But this question can go with any time period, I can't be the only one wondering. I am just pulling historical candles and loading them
By Patrick C · #47437 ·
Re: IB question
Superb! Thank-you sir!
By Stuart Cracraft <smcracraft@...> · #47436 ·
Re: IB question
This answer shows asynchronous programming, no threads or sleep. https://stackoverflow.com/a/43007497/2855515
By btw · #47435 ·
Historical Daily FX OHLC data, always EST?
I am wondering which time and timezone the historical daily fx data pertain to. Basically, the daily close for currency data, is that the price at 5:15 PM EST? And if yes, is this the only way IB
By Dojo321 · #47434 ·
Gateway Warning Message When Placing Advisor API Order.
Does anybody know where this is disabled? (Are the any other warnings I need to disable?).
By Craig Carr <aklcraigc@...> · #47433 ·
Re: IB question
So how would this code be modified to make it more likely to retrieve data rather than get a data frame error? def read_navs(): #read all accounts NAVs from ibapi.client import EClient from
By Stuart Cracraft <smcracraft@...> · #47432 ·