Does Quantrocket support historical time and sales data provided by IB? I am looking to download historical bid and ask quotes, which is available through IB.
Thanks,
Walter
Time and sales isn't currently implemented (it may be added in the future), but you can get historical bid and ask bars, down to 1 second resolution.
Understood, thanks. I was interested in time and sales data because it was the only place I found that had bid ask prices and how many shares were actually offered at those prices. I am looking at getting the size of the quote as well as the price. I don't think the historical bars method has bid ask sizes.
Do you know of another way of getting bid ask quote sizes?
Time and sales is indeed what you need for that. I'm not sure how much demand there will be for time and sales since QuantRocket isn't really suited for market making or order book types of strategies, although someone might wish to analyze order flow for signal generation or something along those lines. If the data is important enough and you have a budget to prioritize getting that integrated, email sales [at] quantrocket [dot] com and we can discuss options.