IBCollector is a tool for Interactive Brokers (IB) customers which automates the downloading and storage of historical data from IB historical data servers. Connections are made to one or more instances of TWS via the IB TWS API to lookup contract details and download historical data. Features of IBCollector include:

• Download Wizard automating the process of downloading contract information, specifying data series, and requesting historical data downloads
  • Filter options, futures and futures options based on expiration options:
    • Next Expiration only
    • Specified Expiration Month
    • All Expirations
    • Next N Expirations and Prior N Expirations (prior expirations only applies to futures, N is a user specified number)
  • Filter options and futures options based on strike price:
    • All Strike Prices 
    • Closest N Strike Prices
    • Specified Strike Price
    • Strikes within N Percent of the current underlying security's price (underlying security is the stock for stock options or the futures contract for futures options)
    • Strikes within N points of the current underlying security's price
  • Data downloading options:
    • Specified start/end dates
    • N months prior to expiration
    • Last N days
    • Last N weeks
    • Last N month

• Automated contract details lookup (full support for expired futures contracts)
• Automated updating of historical data based on a user-defined schedule, or on demand 
• Background IBCollector Queue Engine supporting multithreaded downloads from multiple instances of TWS
• Prioritized downloading based on user-defined priorities
• Highly customizable used-defined ASCII exports of data and continuous futures featuring custom settings:
  • Start or End of Bar timestamps
  • Custom Date formatting using full .net date formatting options
  • Export in local or market time
  • Date Filtering allowing the user to specify start and end dates for exported data
  • Time of day filtering based on user-defined regular trading hour (RTH) session start/end times, or based on user-defined RTH settings Filtering to include RTH sessions or only include outside RTH sessions (for example to generate overnight only session data) specified by contract
  • Ability to automatically generate exports after automated data updates complete
  • Ability to specify the field delimiter, decimal separator, integer and decimal number formats using Windows Regional settings or using custom settings
  • Ability to export all historical fields available from IB including Date/Time, Open, High, Low, Close, Volume, WAP, Transaction Count, and the HasGaps field, and export multiple fields per file
• Generation of customizable continuous futures contracts:
  • User specified backadjustment method: Splice, Absolute Backadjust, or Ratio Backadjust (with optional rounding to tick values)
  • Automated rollover based on highest volume by contract (roll to the next contract so the the front month is always the contract with the highest volume)
  • User-specified rollover based on user supplied rollover dates
  • Rollovers based on market time (not local time)

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