Unable download Historical data from IB for Expired Futures

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danilo
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Unable download Historical data from IB for Expired Futures

Postby danilo » 22 Feb 2008

I'm not more able to download historical data from IB regarding expired futures but I was able to download using the VB API sample (see attached screnn shot). I thing that is necessary to specify the flag expired during the request and limit the download to 30 mins bars.
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TWS_sample.jpg
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Andrew Kirillov
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Postby Andrew Kirillov » 25 Feb 2008

Danilo,
It is a known issue. You should Add the symbol from Data Source. It will modify your existing symbol's description and it allows us to know that it is expired symbol. So simply do it, close and re-request a chart.

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danilo
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Postby danilo » 25 Feb 2008

I'm sorry, but the problem still exist. Please find attached the screen-shot for symbol YM on ECBOT, even if I have added the Future from Data Source is flagged as "Not expired" also the message log show the following informations:
------------------------------------------------------------------------------------
[02/25/2008 20:40:45] Connecting to real-time data for YM DEC 07
[02/25/2008 20:40:45] Data request for YM DEC 07 1 Minute Trade [ 12/11/2007 05:51:00 - 12/15/2007 05:50:00 ] (Id= 1000028)
[02/25/2008 20:40:45] TWS error message: Id= 2; Code= 200; Description= No security definition has been found for the request
[02/25/2008 20:40:45] TWS error message: Id= 1000028; Code= 200; Description= No security definition has been found for the request
[02/25/2008 20:46:41] TWS warning message: Id= -1; Code= 2107; Description= HMDS data farm connection is inactive but should be available upon demand.ushmds2a
[02/25/2008 22:28:11] Disconnecting from real-time data for YM DEC 07
[02/25/2008 22:36:31] Connecting to real-time data for YM DEC 07
[02/25/2008 22:36:31] TWS error message: Id= 3; Code= 200; Description= No security definition has been found for the request

-------------------------------------------------------------------------------------
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IB_YM_DEC_07.jpg
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Andrew Kirillov
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Postby Andrew Kirillov » 26 Feb 2008

Please send us a complete log file or contact helpdesk.

aljafp
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Postby aljafp » 27 Feb 2008

How's the toubleshooting going on for this issue ?

I am also having the same problems plotting some expired futures with IB data.

KSZ7, Kospi Dec 07 futures won't plot. And this is a future with data in my MC database because i reload it daily.

I tried, re-adding the symbol in quote manager, but it didn't work too.
Complains "No data" when i am sure it was there and i have plotted it before.

One thing i noticed that is strange is that when i re-add the symbol in quote manager, the symbol ROOT is different from the original. Not sure if is the cause of the problem. After re-add, the symbol ROOT is the same as the Symbol Name.

In addition, the exact same problem also occurs for NKZ07, Nikkei Dec 07 futures traded on SGX.
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Symbol Description original.JPG
Symbol Description original.JPG (34.89 KiB) Viewed 448 times
Symbol Description after re-add.JPG
Symbol Description after re-add.JPG (34.88 KiB) Viewed 452 times

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Postby Nick » 28 Feb 2008

Not sure if this is relevant but some while ago TS decided to use the description field for HDMS requests. Not sure if thats the case now...always struck me of a flakey way of doing things.

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Postby Andrew Kirillov » 29 Feb 2008

I tried, re-adding the symbol in quote manager, but it didn't work too.
Complains "No data" when i am sure it was there and i have plotted it before.


Your problem is completely different. You should contact our helpdesk.

jmi88
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Postby jmi88 » 06 Mar 2008

Did you get a solution to this problem? Cause I cant get expired contract data either.

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Postby Andrew Kirillov » 10 Mar 2008

Did you follow the mentioned instructions? If nothing helps please contact our helpdesk.

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Postby dupl » 27 Mar 2008

Danilo,
It is a known issue. You should Add the symbol from Data Source. It will modify your existing symbol's description and it allows us to know that it is expired symbol. So simply do it, close and re-request a chart.


I dont understand this: You should Add the symbol from Data Source

How can I change the Expiration Status in Edit Symbol dialogue?
Like this: http://forum.tssupport.com/download.php?id=1199

Is this known issue solved in MC v3?

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Marina Pashkova
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Postby Marina Pashkova » 28 Mar 2008

Hi dupl,

Please contact our customer support at http://messenger.providesupport.com/mes ... pport.html for help.

dupl
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Postby dupl » 28 Mar 2008

Please contact our customer support at

Excuse I am not so quick in english, so i dont like to chat.
Would be nice if you can unswer this two questions here:

Should I add the symbol a second time in QM, after the expiration?
Do the symbol lose data which are stored in MC database?

Thanks

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Marina Pashkova
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Postby Marina Pashkova » 28 Mar 2008

Hi dupl,

There are several possible ways to plot data for an expired contract in MultiCharts.

1. Plot this data when MultiCharts is Offline. File -> Preferences -> Data Server Mode -> Offline. The problem with this solution is that you won't be able to receive any real-time data from any of the providers.

2. Change the data source for this symbol from, say, IB to Universal DDE. QuoteManager -> Edit Symbol - you need to change the provider in the relevant field. Then, plot this symbol using Universal DDE as the source.

3. If you want to have access to both historical data accumulated for the expired contract and receive real-time data for the new contract in QuoteManager -> Edit Symbol rename this symbol and change its description. For example change ESH8 with the description EUR MAR08 Futures ESH8 to ESM8 with the description USD JUN08 Futures ESM8

dupl
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Postby dupl » 01 Apr 2008

Thanks for the explanations!

The 1. way leaks, because: "won't be able to receive any real-time data from any of the providers."

Ways 2. + 3. are a lot of work every month...

I hope in MC version 3 in near future expired contracts will work without editing the symbol.

Thanks

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Marina Pashkova
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Postby Marina Pashkova » 01 Apr 2008

Hi dupl,

The problem with trying to plot expired contracts in real-time, is that in real-time MultiCharts connects to the data feed and the data feed sends a message that this symbol does not exist.

We could think about the possible workarounds, but they would be artificial and not necessarily very helpful.

dupl
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Postby dupl » 01 Apr 2008

in real-time MultiCharts connects to the data feed and the data feed sends a message that this symbol does not exist.


But than MC could check if the contract is expired, and if, dont connect to data feed.
Only in real-time MultiCharts makes sence. I use MC from Monday to Friday in real-time. And it is sad, that contracts if expired, dont work from one day to another. :cry:
One reason I bought MC, was the universal handling of data! Analysing and charting can I do also with other software... :wink:
For me it disturbs this universal data concept.

Maybe we can collect the users which also feel disturbed about this? I can not imagine, that I am the only one.

Thanks.

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Marina Pashkova
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Postby Marina Pashkova » 02 Apr 2008

in real-time MultiCharts connects to the data feed and the data feed sends a message that this symbol does not exist.


But than MC could check if the contract is expired, and if, dont connect to data feed.
Only in real-time MultiCharts makes sence. I use MC from Monday to Friday in real-time. And it is sad, that contracts if expired, dont work from one day to another. :cry:
One reason I bought MC, was the universal handling of data! Analysing and charting can I do also with other software... :wink:
For me it disturbs this universal data concept.

Maybe we can collect the users which also feel disturbed about this? I can not imagine, that I am the only one.

Thanks.


Hi dupl,

I am afraid that it's not all as simple as it sounds. The thing is that if the contract is expired and the datafeed says there's no such symbol, there is no way for MultiCharts to know if this is a valid symbol at all. In this situation getting into its own database to see if such a symbol can be found there is the kind of a workaround that compromises the consistency of data handling system.

However, we might consider how this problem could be solved in future.

dupl
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Postby dupl » 02 Apr 2008

Too bad.

But I found a chart where I have the (ESM8 Jun08) AND the (ESZ7 DEC07).
I think it was not all the time like now, that expired contracts are not able to chart in realtime-mode.

I looked in QM Edit Symbol and saw that Expiration Status is Not expired How is this possible? I never change something...
See srceenshot. What is so difficult to change the Expiration Status to Not expired?
It would solve the hole problem, or not?

False! :( Other symbols are also Not expired status, but I cant chart them.

But why can I chart the (ESZ7 DEC07)?
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Not expired.PNG
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Marina Pashkova
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Postby Marina Pashkova » 02 Apr 2008


I looked in QM Edit Symbol and saw that Expiration Status is Not expired How is this possible? I never change something...
See srceenshot. What is so difficult to change the Expiration Status to Not expired?


The situation when expired contract status is shown as 'not expired' is a known bug. It will be fixed in future MC versions.

dupl
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Postby dupl » 02 Apr 2008

is a known bug. It will be fixed in future MC versions.


Thanks.

But why can I chart the expired (ESZ7 DEC07)?

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Marina Pashkova
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Postby Marina Pashkova » 02 Apr 2008

Hi dupl,

I can't answer this question at the moment.

Could you please contact our customer support service? They'd need to have a look at your computer.

Thanks!

traderstuff
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Postby traderstuff » 07 Apr 2008

This subject of "ROLLOVER" or "CONTINUOUS" contracts has been disussed here for years - some posts not available any longer.

Please see the latest feature polls posted by Andrew and you should find that on this particular poll this was the most requested feature.

http://forum.tssupport.com/viewtopic.php?t=4969

Best,


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