Export historical data and save them to csv files -

Apparently, you cannot do it using Quantopian or zipline. But you can get historical data from Interactive Brokers and save them to csv files using IBridgePy easily. Also, you can specify a datetime in past as the ending time of the historical data request.

In the following example, historical data of “SPY” ending by Jun 6th 2017, 9:35AM Eastern Time is requested and 10 minute bars are expected.

import datetime as dt
import pytz
import pandas as pd
from sys import exit
def initialize(context):
    pass
    
def handle_data(context, data):
    hist = request_historical_data(symbol('SPY'), barSize = '1 min',
           goBack = '600 S',
           endTime=pytz.timezone('US/Eastern').\
           localize(dt.datetime(2017,6,6,9,35)))
    hist.to_csv('C:\your folder path\xx.csv')
    exit()

Print out the retrieved historical data and a few points need attentions.

There are 10 lines in total as expected.
The time period of market close are skipped.
The timestamp of the last line is Jun 6th 2017, 9:34AM instead of the requested datetime of Jun 6th 2017, 9:35AM

                          close   high   low  open   volume
2017-06-05 15:55:00-04:00 244.02 244.05 244.00 244.01 2871
2017-06-05 15:56:00-04:00 244.01 244.03 243.99 244.03 2222
2017-06-05 15:57:00-04:00 243.97 244.01 243.94 244.01 3909
2017-06-05 15:58:00-04:00 243.91 243.98 243.91 243.98 4895
2017-06-05 15:59:00-04:00 243.97 243.99 243.91 243.92 12661
2017-06-06 09:30:00-04:00 243.27 243.34 243.23 243.31 3813
2017-06-06 09:31:00-04:00 243.22 243.29 243.19 243.27 2377
2017-06-06 09:32:00-04:00 243.26 243.26 243.21 243.22 1405
2017-06-06 09:33:00-04:00 243.23 243.37 243.22 243.26 3299
2017-06-06 09:34:00-04:00 243.21 243.23 243.18 243.23 1744

Export historical data and save them to csv files

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