Unicorn Trading
Interactive Brokers to TS2000i Data Feed
An account with Interactive Brokers (IB) comes with several choices for data feed into the Trading Workstation (TWS) software that one uses to place orders with IB. This is inexpensive real-time data, and would be really useful if only one could somehow get the feed into TradeStation. Well, there's a way. Here's some information that a friend sent to me. I tried it and it works.
Below describes the procedure to use MetaServer to feed data from TWS to TS2000i.
Configure GlobalServer
- Install the MetaServer demo from www.traderssoft.com. The only restriction the demo version imposes is a maximum of two symbols for collecting data. If you want more, you have to buy the actual MetaServer RT 3.2 for InteractiveBrokers' TWS.
- Open the TS2000i Global Server in Off-line mode.
- Click Tools / Run Setup Wizard.
- When asked about your data collection choose "Real-Time/Delayed."
- Choose "DBC OnLine Subserver."
- Say "No" to HistoryBank.
- Finish the Wizard. Global Server will start. Stay in "Off-Line" mode for now.
- Click Insert / Symbol / Add From Dictionary.
- Type ES (in caps) in the blank "find" box and click "Find" (only one answer should come up).
- Highlight the ES line and click "Add." If the symbol does not go over to the "Symbols to add" side, the date range must be adjusted. Just set the end date to one month later and it should work. This is a bug as far as I'm concerned.
- Click "Add."
- Set "Template to Use" to "Future History Template" and click "OK."
- Close down the Global Server.
Configure TWS
- Log into your IB account.
- Get the ES quote running in the TWS screen. (getting the ES quote running is not really necessary, but I like to do it so you can compare the quotes in TWS to the data in TS2000i).
- Click Configure / API / Enable ActiveX and Socket Clients. Make sure "Enable ActiveX and Socket Clients" has a check mark by it. This gives MetaServer permission to collect data from TWS.
- Minimize the TWS screeen (don't close it).
Connect MetaServer to TWS
- Start MetaServer.
- Click the green arrow icon to "start data collection." The data on the MetaServer screen should be updating now.
- Maximize the TWS screen. The TWS screen will now ask if you want to allow the connection. Click "Yes."
- Minimize the TWS screeen (don't close it).
Connect GlobalServer symbols to MetaServer
- Open Global Server in Real-Time mode.
- On the "Symbol Portfolio" Tab, highlight the ES H3 (or whatever ES symbol is there) in black. Right click on the symbol name and choose "Connect Symbol." The line should now read "Connected" for the ES symbol.
- Go to the "Performance" tab. The "Quotes Received" total should be getting larger, showing that the Global Server is collecting data.
Finishing up
- Open TS2000i, create a workspace and a chart window, and chart the ES symbol. It should update in real-time.
- That's all you need to do! InteractiveBrokers doesn't maintain historical data, so if you want to collect history this way, you need to leave your computer running all day.
Final Notes
- TWS logs you out automatically at some time you specify every day, so you have to log back in, stop and start MetaServer's data collection, bring TWS to the front, and answer "Yes" to allow the connection. You might be able to use Macro Express to handle this automatically each day.
- Be careful messing with the MetaServer configuration. In particular, if you're not collecting and you right-click on a symbol, and select "Edit Selected Symbol" and then click on the Data tab, don't check the any of the Filtering boxes! IB apparently doesn't transmit volume with tick data, so if you filter out trades with zero volume, you'll get no data at all.
Other relevant links
DynaStore LE for Interactive Brokers
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