The online ramblings of a young dinosaur
Library version 9.6.4.16 is out! It corresponds to the Ib 9.64 api, and fixes numerous issues, most pressingly the decimal parsing for invariant cultures – no more expecting 9,23 as 9.23!
If you have any problems, contact me.
Download the release here, or go to the utilities page.
Berkeley DB is an excellent Transactional Data Store. Historically it has had a strong C and Java following, but with the recent 4.8 release, they have added C# bindings, finally opening up Berkeley DB to C#.
This is a non-relational database, which is well suited for things like raw tick data, where you are not querying them by values, but instead by an indexed time and symbol field.
To give you an idea of why this is important, take a look at their white paper from 2006 on performance. In a transacted environment they achieved 125,486 single record writes per second. With modern 2009 hardware, and multiple CPU / Solid State Disk systems, this could readily record every single tick coming off of the NYSE and NASDAQ (multiple million per second).
Check them out at Oracle Berkeley DB. I’m in the process of testing this out for our historical logging, and am very impressed so far, even on commodity hardware.
Whew – two releases in a row, I had not been checking IB’s site to see when they released a new API, but apparently they just did, so here is an update. In addition to the usual IB changes, which are documented here, I included some changes submitted by RLaumeyer to make creating contracts easier. Right now there is only an Option class and an Equity class, please submit classes you have created, and I will fold them in. The same goes for any other user changes, submit them, and I will try to incorporate them.
Please download release 9.3.0.3 here.
Interactive Broker’s specification for "m_right" is
|
String m_right |
Specifies a Put or Call. Valid values are: P, PUT, C, CALL. |
|
I chose to make the RightType enumeration translate to "PUT" and "CALL". A bug report from the yahoo forums illustrated that this is no longer true, and that "P" and "C" are the only accepted values.
Please download the bug fix versions
Both also available under utilities.
I have completed the changes necessary for the 9.20 Interactive Brokers API. The new C# client release is version 9.2.0.1 (creative versioning scheme, I know).
The beta API adds support for five second bars (similar API to the request historical bars), adds two new tick types, Shortable and Last Timestamp, adds a new current timestamp method, and updates the order status event to add a whyHeld field. The release notes are available from Interactive Brokers here.
I have updated the online documentation to the 9.20 release at http://ibhelp.dinosaurtech.com.
I have also included a Visual Basic sample with this release. The C# client module is fully CLR compliant, and can be accessed from any language.
So without further ado, download the latest release here.
Please submit any issues on the forums.