How to chart expired contracts with IB data

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Kaos
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How to chart expired contracts with IB data

Postby Kaos » 26 Mar 2008

Hi there,

I am trying to collect data / chart an expired contract with Interactive Brokers.

I see in the event log I get the following
[03/26/2008 16:15:36] Connecting to real-time data for APH8
[03/26/2008 16:15:36] TWS error message: Id= 2; Code= 200; Description= No security definition has been found for the request
[03/26/2008 16:15:36] No security definition has been found: Symbol= APH8;Trade;SNFE;FUT;AUD;
[03/26/2008 16:15:56] Data request for APH8 1 Day Trade [ 03/11/2008 23:59:00 - 03/16/2008 00:00:00 ] (Id= 1000004)
[03/26/2008 16:15:56] TWS error message: Id= 1000004; Code= 200; Description= No security definition has been found for the request


The contract is APH8 on the SNFE

However I can chart APH8 in IB real time.

Anyone have any ideas how I can chart an expired IB contract

Regards,
Paul

dupl
Posts: 158
Joined: 04 Jul 2007

Postby dupl » 26 Mar 2008

I have also this problem, that symbols who are expired now (March 08) shown in the chart with the status No Symbol

E.g. with ER2H8 see screenshot
Attachments
no-symbol3.PNG
no-symbol3.PNG (12.4 KiB) Viewed 305 times

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Marina Pashkova
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Joined: 27 Jul 2007

Postby Marina Pashkova » 26 Mar 2008

Hi guys,

Data for expired contracts cannot be received from data providers.

Kaos, could you please plot a chart for the expired APH8 in IB and send us a screenshot?

Thank you.

dupl
Posts: 158
Joined: 04 Jul 2007

Postby dupl » 26 Mar 2008

Data for expired contracts cannot be received from data providers

1. This is wrong. See no-symbol4-tws.PNG
2. I have a chart in MC showing me data from database. Why should I am not able to chart this data after the last tradingday of this symbol? This makes no sense. See no-symbol3.PNG
Attachments
no-symbol4-tws.PNG
no-symbol4-tws.PNG (58.42 KiB) Viewed 323 times
no-symbol3.PNG
no-symbol3.PNG (12.4 KiB) Viewed 314 times

Kaos
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Postby Kaos » 26 Mar 2008

I have attached 2 charts of the APH8 showing the data is there and stops at 20/3

If we can find a way to extract this data and get it into MC - that would be great.

Regards,
Paul
Attachments
APH8_01.png
APH8_01.png (119.31 KiB) Viewed 311 times
APH8_02.png
APH8_02.png (72.11 KiB) Viewed 307 times

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Marina Pashkova
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Joined: 27 Jul 2007

Postby Marina Pashkova » 27 Mar 2008

Hi Kaos,

We still can't reproduce the problem. We can't plot any charts for APH8 in TWS. Could you please contact our customer support service to demonstrate the issue via a remote desktop connection utility?

The customer support can be contacted at http://messenger.providesupport.com/mes ... pport.html 6:30 am - 4:00 pm EST, Monday through Friday.

dupl
Posts: 158
Joined: 04 Jul 2007

no-symbol

Postby dupl » 27 Mar 2008

And what about the no-symbol problem?
Why are symbols, which were on my chartwindow the hole trading period, after the last trading day not be found from MC?

Like here the ERH8 (see: no-symbol3.PNG)

Thanks.
Attachments
no-symbol3.PNG
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danilo
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Postby danilo » 27 Mar 2008

I have the same problem, check the following post for details:
http://forum.tssupport.com/viewtopic.ph ... torder=asc

In summary, it looks like that IB chenge the policy for the delivery historical data, for current futures you can download historical data to 1-min resolutions, for expired futures you can download historical data only to 30-mins resolution (see attached sample).

If you need historical data for USD futures you can open a free account on OpenTick (not subscribe real-time data since aren't free and you have alredy them using the IB account).
Attachments
TWS_sample.jpg
TWS_sample.jpg (148.64 KiB) Viewed 308 times

dupl
Posts: 158
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Postby dupl » 27 Mar 2008

We still can't reproduce the problem.


Very simple.
E.g. I took the "ZN 10 YEAR US TREASURY NOTE"
I have no ZN-data in database
See: no-symbol5-tws.PNG

The result is:

Code: Select all

[03/27/2008 22:10:41] Connecting to real-time data for ZN   MAR 08
[03/27/2008 22:10:41] TWS error message: Id= 34; Code= 200; Description= No security definition has been found for the request
[03/27/2008 22:10:41] No security definition has been found: Symbol= ZN   MAR 08;Trade;ECBOT;FUT;USD;
[03/27/2008 22:10:41] Data request for ZN   MAR 08  1 Day Trade [ 03/12/2008 00:00:00  -  03/16/2008 00:00:00 ]  (Id= 1001788)
[03/27/2008 22:10:41] TWS error message: Id= 1001788; Code= 200; Description= No security definition has been found for the request
[03/27/2008 22:10:43] Data request for ZN   MAR 08  1 Minute Trade [ 03/23/2008 21:11:00  -  03/27/2008 21:10:00 ]  (Id= 1001789)
[03/27/2008 22:10:43] TWS error message: Id= 1001789; Code= 200; Description= No security definition has been found for the request


But in TWS you can still chart the ZN MAR 08...
Attachments
no-symbol5-tws.PNG
no-symbol5-tws.PNG (34.89 KiB) Viewed 302 times

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Marina Pashkova
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Postby Marina Pashkova » 28 Mar 2008

But in TWS you can still chart the ZN MAR 08...


In what resolution? Could you also post a screenshot in TWS?

dupl
Posts: 158
Joined: 04 Jul 2007

Postby dupl » 28 Mar 2008

In what resolution? Could you also post a screenshot in TWS?

Because it is expired you must take a time period of minimum 1 week.
For a time period of 1 week, TWS can show bar resolution only in:
30 min
1 hour
1 day

So, it is not relevant if a contract is expired or not, in time period of 1 week TWS can show only this resolutions.
But this means not in syllogism that you can only download this resolutions over the API. This is my sentence.

It looks like this DAX Line chart in principle: http://forum.tssupport.com/download.php?id=1264

Kaos
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Postby Kaos » 31 Mar 2008

Thanks to everyone for their help - Explains a lot regarding IB data.

Regards,
Paul


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