Cookies help us display personalized product recommendations and ensure you have great shopping experience.

By using this site, you agree to the Privacy Policy and Terms of Use.
Accept
SmartData CollectiveSmartData Collective
  • Analytics
    AnalyticsShow More
    sales and data analytics
    How Data Analytics Improves Lead Management and Sales Results
    9 Min Read
    data analytics and truck accident claims
    How Data Analytics Reduces Truck Accidents and Speeds Up Claims
    7 Min Read
    predictive analytics for interior designers
    Interior Designers Boost Profits with Predictive Analytics
    8 Min Read
    image fx (67)
    Improving LinkedIn Ad Strategies with Data Analytics
    9 Min Read
    big data and remote work
    Data Helps Speech-Language Pathologists Deliver Better Results
    6 Min Read
  • Big Data
  • BI
  • Exclusive
  • IT
  • Marketing
  • Software
Search
© 2008-25 SmartData Collective. All Rights Reserved.
Reading: More Matlab/IB Code
Share
Notification
Font ResizerAa
SmartData CollectiveSmartData Collective
Font ResizerAa
Search
  • About
  • Help
  • Privacy
Follow US
© 2008-23 SmartData Collective. All Rights Reserved.
SmartData Collective > Analytics > Predictive Analytics > More Matlab/IB Code
Predictive Analytics

More Matlab/IB Code

Editor SDC
Editor SDC
5 Min Read
SHARE

Here is some more Matlab code to interact with Interactive Brokers’ API. Check the previous tutorial on connecting Matlab to IB if this is new to you and of interest.

This script, sys3.m, is what I run to execute all the IB commands. It defines the futures contracts, turns them into IBContract objects, connects to TWS, downloads historical data, and then processes the data into usable periodic return format. This is not intended to trade real time so do not expect that functionality; however adding that yourself would not be difficult with this as an example.

Here are all the files you need (if something’s missing, leave a comment please):
sys3.m (same as above)
connecttws.m
loaddatatws2.m
preprocess.m
twsevent.m (very important)

To test it, download the files into the current Matlab directory, run Matlab, run and login to TWS and wait for it to fully load, then at the prompt type > sys3 and hit enter. Wait until it has said “end” seven times- it’s currently configured to download historical data for seven futures, ‘VIX’ ‘ZB’ ‘YC’ ‘YM’ ‘GE’ ‘ES’ ‘HE’ – “end” signals each data stream download finishing. Historical data from IB will then be in the variable “returndata”, o…

More Read

Archiving Strategy: Data Relevance
The Dire Consequences of Analytics Gone Wrong: Ruining Kids’ Futures
Keeping Singapore Green with Data and Design
Taking Assumptions With A Grain Of Salt
Top 10 Ways to Apply Predictive Analytics in the Insurance Industry — and Your Industry?


Here is some more Matlab code to interact with Interactive Brokers’ API. Check the previous tutorial on connecting Matlab to IB if this is new to you and of interest.

This script, sys3.m, is what I run to execute all the IB commands. It defines the futures contracts, turns them into IBContract objects, connects to TWS, downloads historical data, and then processes the data into usable periodic return format. This is not intended to trade real time so do not expect that functionality; however adding that yourself would not be difficult with this as an example.

Here are all the files you need (if something’s missing, leave a comment please):
sys3.m (same as above)
connecttws.m
loaddatatws2.m
preprocess.m
twsevent.m (very important)

To test it, download the files into the current Matlab directory, run Matlab, run and login to TWS and wait for it to fully load, then at the prompt type > sys3 and hit enter. Wait until it has said “end” seven times- it’s currently configured to download historical data for seven futures, ‘VIX’ ‘ZB’ ‘YC’ ‘YM’ ‘GE’ ‘ES’ ‘HE’ – “end” signals each data stream download finishing. Historical data from IB will then be in the variable “returndata”, ordered by security definitions, so you can play around with it. Look through the code to see what else is going on.

If it keeps saying “waiting”, that means there is a problem receiving the data so you probably need to cut it off. On my computer it does not say waiting more than a few times, if any. For those who are interested, it waits for each data stream to arrive before requesting new ones because it is received asynchroniously and this is the simplest way to keep straight which is which.

In sys3.m you can see that I had to tediously enter the contract details for each future from IB’s website by hand. I have another function which does this automatically, but it has not been integrated into the main script yet. After running the sys3 script, run this one- reqdet.m (abbrev. for “requestdetails.m”). In the variable “secTest”, in Matlab, you will find fully completed contract information for the securities. This only requires specifying the symbols for each security you want in a list and the expiration data for all of them. reqdet.m will make it much easier to download data from a huge list of futures.

I could use help from anyone else working on Matlab/IB in answering two questions:
1) How do you find out which futures/expiries have decent volume? Futures are relatively new to me and compared to stocks, there is no “volume” number.
2) How do you create a stream of historical data that goes back a long time, over multiple expiration dates? I’ve looked up “continuous contract” and it sounds like what I want, but the implementation is not simple because contracts don’t all have the same expiration dates. Perhaps you know of another data source that provides this already (does IB?)?

Also, please share any scripts and funtions you have created to do similar things. I would especially like to see alternative event handler functions. I welcome questions/comments too.

Share This Article
Facebook Pinterest LinkedIn
Share

Follow us on Facebook

Latest News

sales and data analytics
How Data Analytics Improves Lead Management and Sales Results
Analytics Big Data Exclusive
ai in marketing
How AI and Smart Platforms Improve Email Marketing
Artificial Intelligence Exclusive Marketing
AI Document Verification for Legal Firms: Importance & Top Tools
AI Document Verification for Legal Firms: Importance & Top Tools
Artificial Intelligence Exclusive
AI supply chain
AI Tools Are Strengthening Global Supply Chains
Artificial Intelligence Exclusive

Stay Connected

1.2kFollowersLike
33.7kFollowersFollow
222FollowersPin

You Might also Like

Want to Disprove a CEO’s Wishful Thinking? Use Analytics.

4 Min Read

Analyzing Twitter

3 Min Read

EmSense, a “neuromarketing” company founded in 2004 by seven…

2 Min Read
Image
Predictive Analytics

How Big Data Is Used in Crisis Response

5 Min Read

SmartData Collective is one of the largest & trusted community covering technical content about Big Data, BI, Cloud, Analytics, Artificial Intelligence, IoT & more.

giveaway chatbots
How To Get An Award Winning Giveaway Bot
Big Data Chatbots Exclusive
AI chatbots
AI Chatbots Can Help Retailers Convert Live Broadcast Viewers into Sales!
Chatbots

Quick Link

  • About
  • Contact
  • Privacy
Follow US
© 2008-25 SmartData Collective. All Rights Reserved.
Go to mobile version
Welcome Back!

Sign in to your account

Username or Email Address
Password

Lost your password?