Importing data to InfluxDB

AlgoTrader uses the time series database InfluxDB for the storage of historical data. InfluxDB is an open-source database written in Go specifically designed to handle time-series data with high availability and high performance requirements.

For detailed information on InfluxDB please have a look at the InfluxDB Documentation.

There are 3 ways of inserting historical data into AlgoTrader InfluxDB:

1. From a CSV file, directly to Influx. It can be done by the following command:

'<path_to_AT_installation_folder>\influxdb\influx.exe' -import -path <path_to_file>

The file format for bar data should be as following:

# DML
# CONTEXT-DATABASE: algotrader

bar,securityId=25,connectorDescriptor=Interactive\ Brokers\ -\ Native,barSize=MIN_1 open=1.30319,high=1.30402,low=1.30319,close=1.30367,vol=0 1324245720000000000
bar,securityId=25,connectorDescriptor=Interactive\ Brokers\ -\ Native,barSize=MIN_1 open=1.30369,high=1.30369,low=1.30351,close=1.30352,vol=0 1324245780000000000
bar,securityId=25,connectorDescriptor=Interactive\ Brokers\ -\ Native,barSize=MIN_1 open=1.30353,high=1.30383,low=1.30353,close=1.30382,vol=0 1324245840000000000

Please be aware that influx expects Unix (LF) end of line in this file.

2. Using Historical Data Manager UI:

HDM is available after selecting the Hist Data tab on the left side menu and Historical Data Import from HDM panel:

AT supports multiple formats here, each of them after selecting CSV type is shown in format sample.

More details on HDM can be found in our documentation:

https://doc.algotrader.com/html_single/index.html#HDM

3. Using script.

You can also easily connect to the influx e.g. using python. This allows you to write a mapping script that can adjust your current data to the format that AT expects and insert those data directly into Influx. More details on python-influx setup can be found here:

https://www.influxdata.com/blog/getting-started-python-influxdb/