MT/IB Backfill with Level 1 Futures

[Doug Hayman]

Hi,

I have Level 1 IB Futures quotes from CME and CBOT (I do not subscribe to Futures Bundle).

Given this, how does MT/IB Backfill work with futures symbols?  I have a portfolio set-up with a couple of eMinis, and notice that when I'm not focused on a particular symbol on this list, I stop collecting data for it.  When I subsequently focus on a symbol and backfill, it seems to fill in the cracks.

I guess I just want to know how it works in MT for futures, given my market subscription.  Will it only backfill for the current day?  Would purchasing Futures Bundle (provides market depth) allow me to backfill for longer periods of time?

Thank you in advance.

[Jerry Medved]

In general if you don't have real-time subscription for a security, BI does not give you backfill. Is your data delayed? does MT show a small D next to the symbol on the portfolio?

If quotes are updating in the portfolio, then there should not be any need to backfill. Focus would not matter - only if you close the portfolio would it matter. 

 

[Doug Hayman]

HI Jerry,

No, these are real-time CME and CBOT level 1 quotes (live).  It's the cheapest of all the Emini market data plans ($ 1.25/mo for each).  As long as I'm focused to an Emini in my portfolio, my charts update in real-time fine.  However, when I switch to a different Emini in the same portfolio, there is a gap in my chart (from the last time I was focused on that symbol), until I do a manual backfill - and it usually updates missing pieces of chart within a minute or so.

I was just wondering if there is a restriction on futures backfill either with IB (that you know of) or with MT, given these real-time Level 1 market feeds.

[Jerry Medved]

it sounds like the portfolio quotes are NOT started. So when you click on a symbol, the linked chart switches to that symbol and it gets quotes. Check that the quotes are started on the portfolio - top left, MAIN tab. If the button says START, click it

[Doug Hayman]

OK, duh, it was NOT started.  However, my portfolio was updating all day, and charts were updating, as long as I was focused on symbol.  I did alternate my data source several times between IB and TD, so not sure how that affected my portfolio updating.

Let me play with it tonight when the futures sessions re-start.  Thanks for your replies.

[Doug Hayman]

Sorry to belabor this issue, but I still have questions here.  I created a portfolio that contains several of the CME/CBOT eMini's and the forthcoming eMicro's.   I had this portfolio created and active the last 5 trading days.  Below is my 1 day Historical chart for the ES mini for ALL DATA.

1) When I do a historical backfill (from either IB or TD), why is it that volume bars are not displayed correctly for 4/30 and 5/2 below?

2) Why is it that I cannot backfill this futures contract (using either IB or TD as my source) prior to the date of the creation of the portfolio?  The same limitation doesn't exist for equities.  Does IB put a restriction on futures backfills (to maybe the current day only?) or is MT imposing this backfill limitation?

Thank you again.

[Jerry Medved]

I think you may be using TD Ameritrade for backfill. With TDA, the full symbol with expiration might not work right. @ES however should.

[Doug Hayman]

Oh Wow, I thought futures symbols had to be expressed with associated expirations in the nomenclature.  This works great.  Does this method (@ES) automatically take contract rollover into account?

[Jerry Medved]

Yes, it does take the rollover into account.

Some datafeeds support "Continuous" contract symbols, where you don't have to specify the expiration. TD Ameritrade, IQFeed, QuoteMedia do. IB does not. 

[Doug Hayman]

OK, now I see why I had my very original question.  Great that @ES (without expiration in symbol) provides backfilling ability on both TD and IB, but unfortunately, you cannot trade on symbol @ES using IB.  That yields an error in that IB requires the expiration in the symbol to be traded on (@ESM19, for example).  No problem with that.

However, if I want to trade on @ESM19 in my portfolio, I cannot backfill that symbol from IB either historically or intraday, before the creation date of my portfolio.  The Chart above shows the historical backfill that I get when I try to historically backfill @ESM19 from IB, where 4/29 was the creation date of my portfolio.

Is this a bug or is there an alternate way to achieve this?

[Jerry Medved]

it does not provide bckfill with both TD and IB. Only with TD. Your issue is that you are using TD backfill. Change the backfill source to Smart Source. That way if you are getting the quotes from IB, the backfill for those symbols will be from IB as well.

[Doug Hayman]

Jerry, apologies in advance if I'm being dense here, but in my portfolio I am set to Smart Source for my backfill.

For @ESM19 symbol, in both my intraday and my historical chart, backfill is also set to Smart Source.

Without me doing anything OR if I try to force backfill on either chart, I don't get backfillED prior to 4/29, which is my portfolio create date (see chart above).

Why am I not getting backfilled data from the beginning of the contract date from IB?

P.S. For fun, I created a new portfolio, and added symbol @ESM19, and I'm limited to backfill to 4/29 (MT probably smart enough to use symbol data from other portfolio). I added @GCM19 to this new portfolio, and I'm only getting backfill data from today (since the overnight, that is).

[Jerry Medved]

if you click the dropdown part of the backfill button on the chart, and select "Backfill Using..." and select Interactive Brokers explicitly, does it work?

if not, send me the logs / settings so I can check
Go to FILE / HELP => Send Log/Settings to support menu (from Dashboard or Portfolio)

And add this Post’s URL in the comment. 
 

[Doug Hayman]

No, makes no difference.  I sent over the log report to you, referencing this URL.

BTW, although I receive these emini market data live with both IB Live Trading acct and IB Paper Trading Acct logins, I tested with both accounts, and get same results. 

Thanks for looking into this.