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Re: QQQ 1 Minute Data >6years?

 

As I said before, I can get "1 min" data down to 2004-12-01 and "1 day" data down to the funds inception date on "1999-03-10".

When I use your parameters (duration 1 day, bar 1 min, rthonly true), the download stops with a "no data" error after the data for Monday 2018-06-04 has been received completely.
Restarting with an end date of "20180604 00:00:00 US/Eastern" immediately fails with a "no data" error.

Restarting with an end date of "20180603 00:00:00 US/Eastern" works fine and data keeps on coming properly for every day from Friday 2018-06-01 and below.

So it looks like I can get all 1min data, just have to restart after 2018-06-04.

闯ü谤驳别苍

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On Wed, Feb 5, 2025 at 01:04 AM, David Armour wrote:

I tried IBGateway (latest) and I did not get the Unknown Contract error but it would not load any data before 5th June 2018.
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I completely deleted my TWS and re-installed it, taking care to switch off download layout from server so I had a fresh install. Same situation i.e. no Unknown Contract error, but also no data loading before 5th June 2018. The charts also have the same "break" and missing data before 5th June 2018.
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My reqHistoricalData() is loading 1 day on 1 minute bars. Asking for TRADES and RTH = true and keepUpToDate = FALSE. These parameters work on SPY, DIA and IWM with no problems.
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@Jurgen, what parameters are you using for your reqHistoricalData() call?? Also, do you have any trouble with the QQQ chart before June '18?
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The only other difference I can see is the Windows vs Linux. I can try to run from my Linux environment and see what happens.


Re: QQQ 1 Minute Data >6years?

 

I tried IBGateway (latest) and I did not get the Unknown Contract error but it would not load any data before 5th June 2018.
?
I completely deleted my TWS and re-installed it, taking care to switch off download layout from server so I had a fresh install. Same situation i.e. no Unknown Contract error, but also no data loading before 5th June 2018. The charts also have the same "break" and missing data before 5th June 2018.
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My reqHistoricalData() is loading 1 day on 1 minute bars. Asking for TRADES and RTH = true and keepUpToDate = FALSE. These parameters work on SPY, DIA and IWM with no problems.
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@Jurgen, what parameters are you using for your reqHistoricalData() call?? Also, do you have any trouble with the QQQ chart before June '18?
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The only other difference I can see is the Windows vs Linux. I can try to run from my Linux environment and see what happens.


Re: QQQ 1 Minute Data >6years?

 

I am running TWS and IBGW Build 10.30.1t, Jan 7, 2025 3:54:41 PM on Linux. Results are identical.

Since you got an error on 2018-06-05, I ran a couple downloads (one with TWS and one with IBGW) starting at 2019-02-01 going backwards 1 month at a time. Both went through 2018-06-05 without a problem and I stopped them when they were well into 2017. But there was missing data around early June 2018.

闯ü谤驳别苍

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On Tue, Feb 4, 2025 at 08:23 PM, David Armour wrote:

First, thanks for all your suggestions. Let me answer those suggestions:
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Orionn:

Have you tried "SMART/NASDAQ" or "SMART/ISLAND" in the exchange field ??
Are you setting only the security type, exchange, symbol and currency fields ??
Are you setting the symbol or local symbol field ?
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Yes, both NASDAQ and ISLAND, switching on and off compatible mode. It did not work.
Normally I use reqContractDetails() to get the contract like Jurgen suggested but I was running out of ideas so started setting the contract manually in case the ConID had changed at some point. Nothing worked.
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Are you able to open a 1 minute chart of QQQ in TWS going back to more than 6 years from now ?
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This is where it gets weird. I tried to open a 1 minute chart and the data stops at 5th June 2018. However, there was data showing before it at what ever date/time I moved the chart back to. If you moved the mouse over the break it jumps from the start date to 5th June 2018. I am adding a pic so you can see what I mean. See on bottom left of screenshot the date is 4th Jan 2010 as that is what I set the chart date at. You can see the break and the next date being 5th June (it is actually 2018, take my word for it).


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I stepped the 1 minute chart backwards from around that time in June and sure enough, the chart threw the error UNKNOWN CONTRACT. See below (look at the top left for the error).
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Jurgen
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As mentioned above, I usually use the contract returned by reqContractDetails(). The manual attempt was frustration and the last resort of a 'drowning man'!
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I have tried Demo Account and Live Account and both are the same. I have yet to try the IBGateway. @Jurgen, were you using your code connected to TWS or IBGateway?
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Is there some reason my version of TWS would be acting this way? As far as I know the data is not stored locally on the PC so not sure why it might impact.
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Could someone else try to get a 1 minute chart of QQQ at this timeframe and see if they get this error?
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My TWS version is:

Build 10.33.1f, Jan 27, 2025 3:58:40 PM
Jolt Build 1.18.12, Sep 5, 2024 06:57:46 PM
Nia Build 2.25.8, Jan 3, 2025 05:52:02 PM
ModelNav Build 1.13.2, Jan 24, 2022 04:59:21 PM
Riskfeed Build 2.46.0, Dec 3, 2024 05:33:36 PM ?
Java Version: 1.8.0_202,
OS: Windows 10 (amd64, 10.0),
Memory: heap max 4096Mb, current 294Mb?
?
?


Re: QQQ 1 Minute Data >6years?

 

Some more comments came in while I was writing that:
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Dale
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It is not a matter of waiting unfortunately. TWS immediately triggers the error "Unknown Contract" when I submit the reqHistoricalData().
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J G
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I will have a look at that ConId, but it seems Jurgen was able to get data with the newer ConId if we refer to his post.
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In my view, if Jurgen can get data and I cannot because my TWS throws errors, then something is weird and more likely IBKR related. I suspect different versions of TWS being used. I am going to try IBGateway now and will report the findings.


Re: QQQ 1 Minute Data >6years?

 

First, thanks for all your suggestions. Let me answer those suggestions:
?
Orionn:

Have you tried "SMART/NASDAQ" or "SMART/ISLAND" in the exchange field ??
Are you setting only the security type, exchange, symbol and currency fields ??
Are you setting the symbol or local symbol field ?
?
Yes, both NASDAQ and ISLAND, switching on and off compatible mode. It did not work.
Normally I use reqContractDetails() to get the contract like Jurgen suggested but I was running out of ideas so started setting the contract manually in case the ConID had changed at some point. Nothing worked.
?
Are you able to open a 1 minute chart of QQQ in TWS going back to more than 6 years from now ?
?
This is where it gets weird. I tried to open a 1 minute chart and the data stops at 5th June 2018. However, there was data showing before it at what ever date/time I moved the chart back to. If you moved the mouse over the break it jumps from the start date to 5th June 2018. I am adding a pic so you can see what I mean. See on bottom left of screenshot the date is 4th Jan 2010 as that is what I set the chart date at. You can see the break and the next date being 5th June (it is actually 2018, take my word for it).


?
I stepped the 1 minute chart backwards from around that time in June and sure enough, the chart threw the error UNKNOWN CONTRACT. See below (look at the top left for the error).
?
?
?
Jurgen
?
As mentioned above, I usually use the contract returned by reqContractDetails(). The manual attempt was frustration and the last resort of a 'drowning man'!
?
I have tried Demo Account and Live Account and both are the same. I have yet to try the IBGateway. @Jurgen, were you using your code connected to TWS or IBGateway?
?
Is there some reason my version of TWS would be acting this way? As far as I know the data is not stored locally on the PC so not sure why it might impact.
?
Could someone else try to get a 1 minute chart of QQQ at this timeframe and see if they get this error?
?
My TWS version is:

Build 10.33.1f, Jan 27, 2025 3:58:40 PM
Jolt Build 1.18.12, Sep 5, 2024 06:57:46 PM
Nia Build 2.25.8, Jan 3, 2025 05:52:02 PM
ModelNav Build 1.13.2, Jan 24, 2022 04:59:21 PM
Riskfeed Build 2.46.0, Dec 3, 2024 05:33:36 PM ?
Java Version: 1.8.0_202,
OS: Windows 10 (amd64, 10.0),
Memory: heap max 4096Mb, current 294Mb?
?
?


Re: QQQ 1 Minute Data >6years?

 

Currently QQQ's conid is 320227571. Previously it has had a conid of 43661924. Maybe you can get older historical data using this conid.


Re: QQQ 1 Minute Data >6years?

 

As a matter of practice I never make requests with "home made" contracts, but rather use contract objects received from reqContractDetails() queries. That way you don't have to keep track of which fields each requests really wants and when additional fields are added over time.

With one of those contracts, I just grabbed data for QQQ from 20++ years ago:
  • With an initial end date of 2005-02-01, my downloader grabbed 1 week periods of 1min data (RTHonly=false)
  • Each 1-week chunk took between 6 and 30 seconds (average 15 seconds)
  • The process stopped with an error 162 "HMDS query returned no data" once the downloader tried to grab data from before 2004-12-01 at 07:00 US/Central

For completeness, below the non-null/initialized fields of the contract.

闯ü谤驳别苍
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{
? "m_conid" : 320227571,
? "m_symbol" : "QQQ",
? "m_secType" : "STK",
? "m_exchange" : "SMART",
? "m_primaryExch" : "NASDAQ",
? "m_currency" : "USD",
? "m_localSymbol" : "QQQ",
? "m_tradingClass" : "NMS",
? "m_includeExpired" : false
}
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On Tue, Feb 4, 2025 at 07:50 AM, David Armour wrote:
Recently I have been trying to backtest a new strategy using 1 minute bars. I was able to get 10 years worth of 1 minute data for SPY, IWM and DIA but not for QQQ. The longest I can get for QQQ is ~6 years.
?
For older dates the reqHistoricalData() call comes back with a strange error :? "Unrecognised Contract".

Does anyone know why this is?
?
Note I tried, SMART, ISLAND, NASDAQ as the exchanges and all came back with the same issue.
?
Wondering if it is a temporary glitch or a genuine problem and I will not be able to get data that far back for QQQ.
?
Any input would be helpful.


Re: QQQ 1 Minute Data >6years?

 

How long does your app wait for the response?

When I go for futures data 4 or 5 years ago, it's a long wait before it starts sending data.


On Tue, Feb 4, 2025 at 12:16?PM Orionn via <paulopersonal=[email protected]> wrote:
Have you tried "SMART/NASDAQ" or "SMART/ISLAND" in the exchange field ?

Are you setting only the security type, exchange, symbol and currency fields ?

Are you setting the symbol or local symbol field ?

Are you able to open a 1 minute chart of QQQ in TWS going back to more than 6 years from now ?

--







Re: QQQ 1 Minute Data >6years?

 

Have you tried "SMART/NASDAQ" or "SMART/ISLAND" in the exchange field ?

Are you setting only the security type, exchange, symbol and currency fields ?

Are you setting the symbol or local symbol field ?

Are you able to open a 1 minute chart of QQQ in TWS going back to more than 6 years from now ?

--


Re: QQQ 1 Minute Data >6years?

 

Thanks for your idea. I did check that before I posted and confirmed that QQQQ->QQQ in 2011 so should not affect my request.
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My thought was that the ConID may have changed so I did a query just with symbol name and SMART and USD and nothing else but it came back with the same error so it seems impossible to pull 1 minute data from that time.


Re: QQQ 1 Minute Data >6years?

 

开云体育

There was a period where QQQ was QQQQ.? Maybe that is what you are encountering...

    
On 2/4/2025 8:50 AM, David Armour via groups.io wrote:

Recently I have been trying to backtest a new strategy using 1 minute bars. I was able to get 10 years worth of 1 minute data for SPY, IWM and DIA but not for QQQ. The longest I can get for QQQ is ~6 years.
?
For older dates the reqHistoricalData() call comes back with a strange error :? "Unrecognised Contract".

Does anyone know why this is?
?
Note I tried, SMART, ISLAND, NASDAQ as the exchanges and all came back with the same issue.
?
Wondering if it is a temporary glitch or a genuine problem and I will not be able to get data that far back for QQQ.
?
Any input would be helpful.


Re: QQQ 1 Minute Data >6years?

 

You can look at flat files on ?


On Tue 4 Feb 2025, 19:35 David Armour via , <dave.armour=[email protected]> wrote:
Recently I have been trying to backtest a new strategy using 1 minute bars. I was able to get 10 years worth of 1 minute data for SPY, IWM and DIA but not for QQQ. The longest I can get for QQQ is ~6 years.
?
For older dates the reqHistoricalData() call comes back with a strange error :? "Unrecognised Contract".

Does anyone know why this is?
?
Note I tried, SMART, ISLAND, NASDAQ as the exchanges and all came back with the same issue.
?
Wondering if it is a temporary glitch or a genuine problem and I will not be able to get data that far back for QQQ.
?
Any input would be helpful.


QQQ 1 Minute Data >6years?

 

Recently I have been trying to backtest a new strategy using 1 minute bars. I was able to get 10 years worth of 1 minute data for SPY, IWM and DIA but not for QQQ. The longest I can get for QQQ is ~6 years.
?
For older dates the reqHistoricalData() call comes back with a strange error :? "Unrecognised Contract".

Does anyone know why this is?
?
Note I tried, SMART, ISLAND, NASDAQ as the exchanges and all came back with the same issue.
?
Wondering if it is a temporary glitch or a genuine problem and I will not be able to get data that far back for QQQ.
?
Any input would be helpful.


Re: C++ IBKR API implementation and biddll.lib Intel Math Library

 

On Mon, Feb 3, 2025 at 10:20 AM, Tradiator wrote:

By the way why is a precompiled version of this library not available anywhere.

It is:

Maybe not for your platform though. Cross platform software development and distribution can be a pain so vendors often try to avoid it.


Re: C++ IBKR API implementation and biddll.lib Intel Math Library

 

Just some follow up:
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The problems I had were with the 20U2 version of the Intel Decimal Math Library (I thought that was the latest one...).
I found the 20U3 version on Intel site and then, with this version the "biddll.lib" file was generated. Lets see if it works...
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Thats a lot of mystery for me. By the way why is a precompiled version of this library not available anywhere.
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Re: Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies

 

Now it's working. Thanks!


Re: Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies

 

Interesting. The link posted leads to?? which has download links on it


On Sun 2 Feb 2025, 15:31 Despair via , <boris=[email protected]> wrote:
Hi,
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I'd be interested in reading your paper. Can you post a working download link? The one you posted doesn't get me anywhere.
?
Thanks


Re: Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies

 

Hi,
?
I'd be interested in reading your paper. Can you post a working download link? The one you posted doesn't get me anywhere.
?
Thanks


Re: Clarification on Identifying Order Status Callback for Modified Orders

 

Well, the orderId parameters of the openOrder() and orderStatus() callbacks identify the order they relate to. And so does the reqId parameter of the error() callback.
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闯ü谤驳别苍
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On Thu, Jan 30, 2025 at 04:04 AM, <tarun.joshi@...> wrote:

Hello Folks,

While sending a modification request for an existing confirmed order, I am receiving the following callbacks related to that specific order ID:

  • OpenOrder
  • OrderStatus
  • Error: "Order rejected - Reason: Invalid Price"

Upon sending the order modification request and subsequently receiving the OrderStatus callback, how can I ensure that the OrderStatus callback pertains to the modified order? In the example above, it was not related to the modified order.

Thanks.


Re: Time is a reserved name in VBA

 

开云体育

Richard,
Thanks for the input you are always a great source of information.
Reserved was probably the wrong word.? Microsoft calls Time a VBA keyword.


For others to see the problem in action without having to even be concerned with the IB api.
Create a module and put this code in it:

Option Explicit

Function TestTimeProblem()
??? TestTimeProblem = Time
End Function

Now in a cell on a worksheet enter this
=TestTimeProblem()
This should return the current time...

Go back to the module and enter these additional lines of code

'Sub MakeTimetime(time As String)
'
'End Sub

'Sub FixTimeBackToTime(Time As String)
'
'End Sub

Now un-comment the MakeTimetime routine and the Time in the function will change to time.
Note that the function still works which as Richard indicated demonstrates that VBA is case agnostic.

To fix back uncomment the FixTimeBackToTime sub and all will get changed to Time...

It's hard to believe it has been almost 30 years since IB introduced their API.? Sorry that none of the developers hang out on this thread...

    
On 1/31/2025 7:49 AM, Richard L King wrote:

That’s not quite right.

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‘Time’ is NOT a VBA function: it’s a property of the VBA DateTime module (you can see this using the ObjectBrowser). It returns a variant with a vbDate variant type.

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Property names CAN be re-used as variable names (unlike method names, which cannot: Dim Len as String will fail).

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Your little function doesn’t illustrate anything: it will return the vbDate variant returned by the Time property. It doesn’t even use Time (or time) as a variable.

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You say ‘Notice that the Time will be changed to time’. This is nothing to do with conflicts. It’s because VBA (and indeed VB6, but fortunately not VB.Net) are very bad at managing name spellings. If you declare a variable or a method or property called ‘MyName’ somewhere, and then declare something else called ‘myname’ anywhere within the same project or module, then the original ‘MyName’ will be displayed as ‘myname’ (though the actual code won’t be changed).

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It seems that the VBA/VB6 compilers have a single name table that doesn’t record the context of a name declaration (and remember VBA and VB6 are case-insensitive) . Thus when ‘myname’ is declared, the original table entry for ‘MyName’ is overwritten with ‘myname’, and that’s what you’ll see everywhere, even on the original ‘MyName’ declaration.

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This is one of the most annoying features of VBA/VB6, especially where you have references to other components that use the same names with different capitalisation, in which case what you see will depend on the order of the references to these other components.

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I don’t think this actually ‘needs to be fixed’: after all it’s been like this for well over 20 years – if it were a real problem, someone would have fixed it by now. Are you able to point to any specific instances that you think don’t work properly?

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And no, IB Developers don’t appear to monitor this group. There used to be an IB staff member in the group, which was actually very helpful due to his insider knowledge, but no longer (at least, not that we know of).

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If you really think you need to bring this to IB’s attention, you can either raise a ticket on your Account Management page, or get access to the GitHub repository and raise an issue. But I can more or less guarantee that you won’t get any traction on this: far too much work for zero benefit.

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Richard