Class: IB::Messages::Outgoing::RequestHistoricalData

Inherits:
Object
  • Object
show all
Defined in:
lib/ib/messages/outgoing/bar_requests.rb

Overview

  • data = { :contract => Contract: requested ticker description :end_date_time => String: "yyyymmdd HH:mm:ss", with optional time zone allowed after a space: "20050701 18:26:44 GMT" :duration => String, time span the request will cover, and is specified using the format: , eg: '1 D', valid units are: '1 S' (seconds, default if no unit is specified) '1 D' (days) '1 W' (weeks) '1 M' (months) '1 Y' (years, currently limited to one) :bar_size => String: Specifies the size of the bars that will be returned (within IB/TWS limits). Valid values include: '1 sec' '5 secs' '15 secs' '30 secs' '1 min' '2 mins' '3 mins' '5 mins' '15 mins' '30 min' '1 hour' '1 day' :what_to_show => Symbol: Determines the nature of data being extracted. Valid values: :trades, :midpoint, :bid, :ask, :bid_ask, :historical_volatility, :option_implied_volatility, :option_volume, :option_open_interest - converts to "TRADES," "MIDPOINT," "BID," etc... :use_rth => int: 0 - all data available during the time span requested is returned, even data bars covering time intervals where the market in question was illiquid. 1 - only data within the "Regular Trading Hours" of the product in question is returned, even if the time span requested falls partially or completely outside of them. :format_date => int: 1 - text format, like "20050307 11:32:16". 2 - offset from 1970-01-01 in sec (UNIX epoch) }

  • NB: using the D :duration only returns bars in whole days, so requesting "1 D" for contract ending at 08:05 will only return 1 bar, for 08:00 on that day. But requesting "86400 S" gives 86400/barlengthsecs bars before the end Time.

  • Note also that the :duration for any request must be such that the start Time is not more than one year before the CURRENT-Time-less-one-day (not 1 year before the end Time in the Request)

    Bar Size Max Duration
-------- ------------
1 sec        2000 S
5 sec       10000 S
15 sec      30000 S
30 sec      86400 S
1 minute    86400 S, 6 D
2 minutes   86400 S, 6 D
5 minutes   86400 S, 6 D
15 minutes  86400 S, 6 D, 20 D, 2 W
30 minutes  86400 S, 34 D, 4 W, 1 M
1 hour      86400 S, 34 D, 4 w, 1 M
1 day       60 D, 12 M, 52 W, 1 Y

  • NB: as of 4/07 there is no historical data available for forex spot.

  • data may either be a Contract object or a String. A String should be in serialize_ib_ruby format; that is, it should be a colon-delimited string in the format (e.g. for Globex British pound futures contract expiring in Sep-2008):

  • Fields not needed for a particular security should be left blank (e.g. strike and right are only relevant for options.)

  • A Contract object will be automatically serialized into the required format.

  • See also http://chuckcaplan.com/twsapi/index.php/void%20reqIntradayData%28%29 for general information about how TWS handles historic data requests, whence the following has been adapted:

  • The server providing historical prices appears to not always be available outside of market hours. If you call it outside of its supported time period, or if there is otherwise a problem with it, you will receive error #162 "Historical Market Data Service query failed.:HMDS query returned no data."

  • For backfill on futures data, you may need to leave the Primary Exchange field of the Contract structure blank; see http://www.interactivebrokers.com/discus/messages/2/28477.html?1114646754

  • Version 6 implemented --> the version is not transmitted anymore

Instance Method Summary collapse

Instance Method Details

#encode ⇒ Object 



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# File 'lib/ib/messages/outgoing/bar_requests.rb', line 179

def encode
  data_type, bar_size, contract = parse @data

  [super.flatten,
   contract.serialize_long[0..-1],   # omit sec_id_type and sec_id
   @data[:end_date_time],
   bar_size,
   @data[:duration],
   @data[:use_rth],
   data_type.to_s.upcase,
  2 , # @data[:format_date], format-date is hard-coded as int_date in incoming/historicalData 
   contract.serialize_legs ,
     @data[:keep_up_todate],   # 0 / 1
    '' #  chartOptions:TagValueList - For internal use only. Use default value XYZ.  
    ]
end

#parse(data) ⇒ Object 



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# File 'lib/ib/messages/outgoing/bar_requests.rb', line 168

def parse data
  data_type, bar_size, contract = super data

  size = data[:bar_size] || data[:size]
  bar_size = BAR_SIZES.invert[size] || size
  unless  BAR_SIZES.keys.include?(bar_size)
    error ":bar_size must be one of #{BAR_SIZES.inspect}", :args
  end
  [data_type, bar_size, contract]
end