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Quantitative Finance

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  • $\begingroup$ I thought of this too, but I'm not sure it counts as "free" since you would need at least USD 5,000 (for an IRA) or 3,000 if you are less than 21 years old. $\endgroup$ Commented Feb 11, 2011 at 18:46
  • $\begingroup$ the data subscription itself is free, but yeah, conditional on having an account with them :-( $\endgroup$ Commented Feb 11, 2011 at 18:57
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    $\begingroup$ Unfortunately, ignoring the discussion of what counts as free, IB sucks for historical data: interactivebrokers.com/php/apiUsersGuide/apiguide/api/… (Even hourly data is only kept for one month.) $\endgroup$ Commented Dec 14, 2011 at 0:27
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    $\begingroup$ @DarrenCook Flat-out wrong. They keep 1 year of historical data for equities. If you want hourly data, then you can only request 1 month at a time, but you can make 60 requests every 10 minutes. If you use R, look at IBrokers:::reqHistory for a wrapper to download 365 days of minutely data. (IB even offers 1 second bars if you're patient enough to respect the 60 requests every 10 minutes pacing rule) $\endgroup$ Commented Apr 8, 2012 at 17:25
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    $\begingroup$ @DarrenCook. You couldn't get TRADES data for a week ago because IB does not provide that for FX. Try using whatToShow="BID", or whatToShow="ASK". Or, use the twsInstrument package (on R-Forge) to get 1 minute Bid, Ask, Mid snapshots (look at twsInstrument:::reqTBBOhistory) $\endgroup$ Commented Apr 14, 2012 at 0:31