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Getting historical data for continuous futures (Python)

 

Hi,

I'm trying to read historical data for a continuous futures contract. But I get "Error 10339: Setting end date/time for continuous future security type is not allowed". Here's my code:

con = Contract()
con.symbol = 'CL'
con.secType = 'CONTFUT'
con.exchange = 'NYMEX'
con.currency = 'USD'
con.multiplier = 1000

client.reqHistoricalData(req_id, con, date.strftime('%Y%m%d %H:%M:%S') + ' EST',
? ? '1800 S', '1 min', 'MIDPOINT', 0, 1, False, [])

It looks like there's a problem with the second argument of reqHistoricalData. But I don't know how to set the desired time without it. Any ideas?

Thanks,
Zack
 

开云体育

That error message means exactly what it says: you can’t specify an end time with a continuous future.

?

So just set the end date/time argument to an empty string.

?

?

?

From: [email protected] <[email protected]> On Behalf Of zackscar
Sent: Monday, July 1, 2024 5:31 PM
To: [email protected]
Subject: [TWS API] Getting historical data for continuous futures (Python)

?

Hi,

I'm trying to read historical data for a continuous futures contract. But I get "Error 10339: Setting end date/time for continuous future security type is not allowed". Here's my code:

con = Contract()
con.symbol = 'CL'
con.secType = 'CONTFUT'
con.exchange = 'NYMEX'
con.currency = 'USD'
con.multiplier = 1000

client.reqHistoricalData(req_id, con, date.strftime('%Y%m%d %H:%M:%S') + ' EST',
? ? '1800 S', '1 min', 'MIDPOINT', 0, 1, False, [])

It looks like there's a problem with the second argument of reqHistoricalData. But I don't know how to set the desired time without it. Any ideas?

Thanks,
Zack

 

I see. So if I want futures data from two weeks ago, I can't create a continuous futures contract? Interesting.

Thank you,

Zack
 

开云体育

If you wanted say 1 week of data ending two weeks ago, grab from start date to now (3 weeks) and use pandas etc. to grab just the 1 week you wanted.? Just a thought.





-------- Original message --------
From: "zackscar via groups.io" <mattscar@...>
Date: 2024-07-01 10:32 a.m. (GMT-08:00)
Subject: Re: [TWS API] Getting historical data for continuous futures (Python)

I see. So if I want futures data from two weeks ago, I can't create a continuous futures contract? Interesting.

Thank you,

Zack
 

Are you sure that "MIDPOINT" data is available for continuous futures? I was under the impression that it is only available for forex.
 

Hello

Using code that hasn't changed in months...yesterday I started getting this error message.

Did something change on the back end?

What is the new protocol?

Dale
 

Not sure how my note was attached to this stream.

Seriously, this worked just fine until this week.

It'd be great if someone from IB could chime in on what's going on.
 

The error:

10339 : Setting end date/time for continuous future security type is not allowed.

started with TWS Build 10.30.1e.

A simple workaround is to install TWS Build 10.19.2o (Offline version for production environments as it will not auto-update).

The other workaround is already detailed in this thread, that is, set the end date/time field to an empty string "" before performing the historical data request.

Hope this helps.

--

 

Hi,?
?
You're setting an end_date time for a continuous time which basically have no end.?
Remove the date within the reqHistoricalData and set an empty string i.e. ' '.?
This will start the fetching the bars.
?
?
 

Hi,
?
Setting an empty string for end_date only retrieves recent bars. How to retrieve records from any earlier time point, say 1 year ago, to the earliest time point of a continuous future contract?
?
[Moderator: Removed unrelated content]

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