I have a strange issue when requesting data for a specific ticker: CHTR (for?Charter Communications Inc. - Class A). Below you can see a printout of my console, showing that price data for other test tickers is correctly retrieved. However, when reaching CHTR, it stops and says I don't have access to a database that can provide the data:
However, I do have access to multiple databases. I'm assuming that the most relevant one is the NASDAQ one - highlighted in green below. And I know the database is working because my code retrieves data for CHRW and CSX, both Nasdaq listed.
But there is a workaround - if I open CHTR in a chart with 20 years of weekly data, I can now retrieve the data for CHTR. See below the chart and the retrieved data for CHTR on my console:
Also, if I ask for a couple of weeks data for CHTR, even without opening a chart with the ticker in it, the data retrieval works fine.
Below is the test code I use. It works for multiple tickers, for multiple exchanges etc. I only have an issue with this one security (that I'm aware so far).
IBKR help desk will send me the typical answer "we are not a data provider" etc. Sure, but ironically IBKR's API is faster than the other three backup databases I have.
Any insight on this issue would be greatly appreciated,
Danilo
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CODE:
#%% DATA REQUEST EXAMPLES
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# VARIOUS EXAMPLES OF DATA REQUEST FROM INTERACTIVE BROKERS
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from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.common import TickerId
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from threading import Thread
import time
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import pandas
import sys
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class IBapi(EWrapper, EClient):
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? ? def __init__(self):
? ? ? ? EClient.__init__(self, self)
? ? ? ? self.data = []
? ? ? ? self.data_sent = -1 # used to check if full data requested returned
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? ? def error(self, reqId:TickerId, errorCode:int, errorString:str, advancedOrderRejectJson = ""):
? ? ? ? ?if advancedOrderRejectJson:
? ? ? ? ? ? ?print("\nError. Id:", reqId, "\nCode:", errorCode, "\nMsg:", errorString, "\nAdvancedOrderRejectJson:", advancedOrderRejectJson)
? ? ? ? ?else:
? ? ? ? ? ? ?print("\nError. Id:", reqId, "\nCode:", errorCode, "\nMsg:", errorString)
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? ? def historicalData(self, reqId, bar):
? ? ? ? self.data.append([bar.date, bar.close])
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? ? def historicalDataEnd(self, reqId, start, end):
? ? ? ? self.data_sent = reqId
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def run_loop():
? ? app.run()
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app = IBapi()
app.connect('127.0.0.1', 7496, 0)
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#Start the socket in a thread
api_thread = Thread(target=run_loop, daemon=True)
api_thread.start()
time.sleep(0.5) #Sleep interval to allow time for connection to server
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# HISTORICAL DATA TEST OF DATABASES vs. API
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# AAP (NYSE) and CHTR (Nasdaq):
# Had to sign-up for "NYSE (Network A/CTA) Billed by Broker" @ $45/month and "NASDAQ (Network C/UTP)" @ $25/month
# Didn't work with "NYSE American, BATS, ARCA, IEX, and Regional Exchanges (Network B)" @ $25/month
# "Worked" with "Cboe One" @ $5/month but data is inconsistent (e.g. multiple days with same price)
# The "NYSE American, BATS, ARCA, IEX, and Regional Exchanges (Network B)" was better to show streaming prices on TWS (with the Cboe One, live data disapears when using a Basket trade)
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# Volvo worked with "Nordic Equity" @ 36 EUR/month
# Didn't work with "Turquoise ECNs and Gettex Europe" @ 9.5 GBP/month
# But didn't work with "European (BATS/Chi-X)" @ 31.5 GBP/month
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# Nestle worked with "European (BATS/Chi-X) Equities" @ GBP 31.50/Month;?
# "SIX Swill Exchange" @ 32.5 CHF/Month partialy worked (would cause an error for 20 years of data request)
# "Tuquoise ECNs and Gettex" didn't work (same for Volvo - see above)
# Noticed that when using "SMART" for exchange getting different figures for Neste (vs. EOD and Yahoo Finance)
# Tried specific exchanges: AQXECH - no permission; BATECH: matched other databases; CHIXCH: permission but a few figures still wrong
# EBS - no permission; TRQXCH: no permission
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contracts = {'NYSE listed 1':? ?['AAP',? ? 'SMART',? 'USD'],
? ? ? ? ? ? ?'NYSE listed 2':? ?['AGCO',? ?'SMART',? 'USD'],
? ? ? ? ? ? ?'Nasdaq listed 1': ['CHRW',? ?'SMART',? 'USD'],
? ? ? ? ? ? ?'Nasdaq listed 2': ['CSX',? ? 'SMART',? 'USD'],
? ? ? ? ? ? ?'Nasdaq listed 3': ['CHTR',? ?'SMART',? 'USD'],
? ? ? ? ? ? ?'Index':? ? ? ? ? ?['SPY',? ? 'SMART',? 'USD'],
? ? ? ? ? ? ?'Nestle':? ? ? ? ? ['NESN',? ?'BATECH', 'CHF'],
? ? ? ? ? ? ?'Volvo':? ? ? ? ? ?['VOLV.B', 'SFB',? ? 'SEK']}
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#Create contract object
con = Contract()
con.secType = 'STK'
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# short-term data
for c in contracts:
? ? con.symbol = contracts[c][0]
? ? con.exchange = contracts[c][1]
? ? con.currency = contracts[c][2]
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? ? #Request Market Data
? ? reqId = 100
? ? app.data = []
? ? app.data_sent = -1
? ? app.reqHistoricalData(reqId, con, '', '2 W', '1 day', 'ADJUSTED_LAST', 1, 1, False, [])
? ? while app.data_sent != reqId:
? ? ? ? try:
? ? ? ? ? ? time.sleep(0.1)
? ? ? ? except:
? ? ? ? ? ? print("\nError while reading security "+contracts[c][0]+"\n")
? ? ? ? ? ? app.disconnect()
? ? ? ? ? ? sys.exit(1) # will exit code either due to an true error or if CTRL+C pressed
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? ? # Work with "data" from IB API
? ? df = pandas.DataFrame(app.data, columns=['DateTime', 'Adj. Close'])
? ? df['DateTime'] = pandas.to_datetime(df['DateTime'], format='%Y%m%d')
? ? print('\n2 Weeks of price data for {}:\n'.format(con.symbol))
? ? print(df)
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# long-term data
for c in contracts:
? ? con.symbol = contracts[c][0]
? ? con.exchange = contracts[c][1]
? ? con.currency = contracts[c][2]
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? ? #Request Market Data
? ? reqId = 100
? ? app.data = []
? ? app.data_sent = -1
? ? app.reqHistoricalData(reqId, con, '', '20 Y', '1 day', 'ADJUSTED_LAST', 1, 1, False, [])
? ? while app.data_sent != reqId:
? ? ? ? try:
? ? ? ? ? ? time.sleep(0.1)
? ? ? ? except:
? ? ? ? ? ? print("\nError while reading security "+contracts[c][0]+"\n")
? ? ? ? ? ? app.disconnect()
? ? ? ? ? ? sys.exit(1) # will exit code either due to an true error or if CTRL+C pressed
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? ? # Work with "data" from IB API
? ? df = pandas.DataFrame(app.data, columns=['DateTime', 'Adj. Close'])
? ? df['DateTime'] = pandas.to_datetime(df['DateTime'], format='%Y%m%d')
? ? print('\n20 years of price data for {}:\n'.format(con.symbol))
? ? print(df)
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app.disconnect()
Rational-IM