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.
Gurumeher Sawhney
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.
James Hirschorn
Do you know why IBDataDownloader only supports FX? I don't believe there is anything specific to the instrument class in the IB API.
Alexandre Catarino
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.
Nirmalraj Mohanraj
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