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wrighter / ib-scripts

Python scripts that use the Interactive Brokers TWS API
MIT License
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Pacing violations for small bars #1

Open wrighter opened 2 years ago

wrighter commented 2 years ago

As reported here: https://gist.github.com/wrighter/dd201adb09518b3c1d862255238d2534#comments

Hi,

using size '1 secs' shows an fatal error, anyone can help?, see below:

trade@trade-virtual-machine:~/PycharmProjects/bot$ /usr/bin/python3.8 /home/trade/PycharmProjects/bot/datadownload.py --start-date 20220601 --end-date 20220701 --size "1 secs" --security-type "CONTFUT" --exchange GLOBEX MNQ 17:08:26,532 root INFO Head Timestamp for 0,MNQ,CONTFUT,,0,,,GLOBEX,,USD,,,False,,combo: is 2019-10-31 22:00:00 17:08:26,532 ibapi.client INFO REQUEST reqHistoricalData {'reqId': 2, 'contract': 140539116660048: 0,MNQ,CONTFUT,,0,,,GLOBEX,,USD,,,False,,combo:, 'endDateTime': '20220701 00:00:00', 'durationStr': '1 D', 'barSizeSetting': '1 secs', 'whatToShow': 'TRADES', 'useRTH': 0, 'formatDate': 1, 'keepUpToDate': False, 'chartOptions': []} 17:08:26,532 ibapi.client INFO SENDING reqHistoricalData b'\x00\x00\x00U20\x002\x000\x00MNQ\x00CONTFUT\x00\x000.0\x00\x00\x00GLOBEX\x00\x00USD\x00\x00\x000\x0020220701 00:00:00\x001 secs\x001 D\x000\x00TRADES\x001\x000\x00\x00' 17:08:26,805 ibapi.wrapper INFO ANSWER error {'reqId': 2, 'errorCode': 162, 'errorString': 'Mensaje de error de los servicios de datos de mercado históricos:invalid step: 1', 'advancedOrderRejectJson': ''} 17:08:26,805 ibapi.wrapper ERROR ERROR 2 162 Mensaje de error de los servicios de datos de mercado históricos:invalid step: 1 17:08:26,805 root ERROR Error. Id: 2 Code 162 Msg: Mensaje de error de los servicios de datos de mercado históricos:invalid step: 1 Sending code 162 Received code 162 17:08:26,806 ibapi.client INFO disconnecting 17:08:26,806 ibapi.wrapper INFO ANSWER connectionClosed {}

wrighter commented 2 years ago

Pacing violations description is here