I tried to find information on whether or not downloading data from Interactive broker is supported for running backtests using LEAN if I am running the backtest locally. But, I wasn't able to find a clear answer. I would like to know if I can somehow use IB for downloading data(On equity, options) and use that data for backtesting locally.
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Downloading Historical Data via Interactive broker for backtesting using LEAN Locally
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Depending on the symbol, LEAN Data Toolbox has a class IBDataDownloader that can help download the data. IBDataDownloader currently only supports forex so if another symbol is needed, the data can be downloaded as custom data and then fed into LEAN. If the data is downloaded locally as a .csv that works as well. The generic data can be implemented via AddData() and run through the OnData(self, data) event handler as seen here.
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Do you know why IBDataDownloader only supports FX? I don't believe there is anything specific to the instrument class in the IB API.
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I have created GitHub issue to address the issue:
Extends IBDownloader to support all security types. #2705
We cannot promise it will be addressed by QuantConnect team soon, because Toolbox project priority is low.
But we never know when a community member can accept the challenge.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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