A python script to download daily futures market data (5 sec bars) from Interactive Brokers using IbPy.
Usage: python main.py symbol exchange expiry date
symbol - ES, NQ, CL, NG, GC, etc.
exchange - GLOBEX (for ES, NQ) or NYMEX (for commodity futures)
expiry - YYYYMM format (e.g., 201506)
date - YYYYMMDD format (e.g., 20150428)
Saves 5 sec bar data as a text file date.bars
The columns are:
timestamp, open, high, low, close, volume, count, WAP, hasGaps
!! This software is provided AS IS. NO WARRANTY is expressed or implied. !!