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Direct MessagesDate/Time: Mon, 06 May 2024 02:59:26 +0000
VIX futures via IB
View Count: 4290
| [2015-09-02 17:48:14] |
| Neo - Posts: 198 |
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I'm having some trouble loading up current month VIX futures. I can load up the Oct contact using VIX-201510-CFE-USD-1000, however using VIX-201509-CFE-USD-1000 I can't load up the current Sep contract "Message from IB: No historical data query found for ticker id:84. IB Error Code: 366. Request ID: 84. | 2015-09-02 13:40:49" |
| [2015-09-02 18:35:39] |
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Provide a copy of the Message Log, by following these instructions: http://www.sierrachart.com/index.php?l=PostingInformation.php#log Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-09-02 19:38:51] |
| Neo - Posts: 198 |
|
Here's a log showing a failure to load VIX-201509-CFE-USD-1000, while VIX-201510-CFE-USD-1000 loaded successfully Software version: 1290 | 2015-09-02 15:32:48 Uses New Spreadsheets | 2015-09-02 15:32:48 Usage end date: 2015-09-04 | 2015-09-02 15:32:48 Enabled for: Advanced Features. | 2015-09-02 15:32:48 Enabled for: Advanced Features 2. | 2015-09-02 15:32:48 Enabled for: Sierra Chart Historical Data Service. | 2015-09-02 15:32:48 Enabled for: Sierra Chart Real-Time Exchange Data Feed. | 2015-09-02 15:32:48 Enabled for: CME, CBOT, NYMEX, COMEX exchanges for trading accounts. | 2015-09-02 15:32:48 Enabled for: US EQUITIES exchanges. | 2015-09-02 15:32:48 Received 1 data feed usernames. | 2015-09-02 15:32:48 Allow Support for Sierra Chart Data Feeds is disabled. | 2015-09-02 15:32:48 Current selected Data/Trading service: Interactive Brokers | 2015-09-02 15:32:48 Chart Update Interval: 500 | 2015-09-02 15:32:48 Time Zone: -04:00:00 (EST-05EDT+01,M3.2.0/02:00,M11.1.0/02:00) | 2015-09-02 15:32:48 2015-09-02 15:32:48 Local computer clock time | 2015-09-02 15:32:48 2015-09-02 19:32:48 GMT time | 2015-09-02 15:32:48 2015-09-02 15:32:48 Time zone adjusted time | 2015-09-02 15:32:48 Time difference to server time: 8 seconds. | 2015-09-02 15:32:48 Program path: E:\S Chart\ | 2015-09-02 15:32:48 Data Files path: E:\S Chart\Data\ | 2015-09-02 15:32:48 OS Version Number: 6.2 | 2015-09-02 15:32:48 Locale Information: C | 2015-09-02 15:32:48 Checking for new symbol settings for ib | 2015-09-02 15:32:48 Symbol settings are up-to-date for ib | 2015-09-02 15:32:51 Interactive Brokers: Connecting to 127.0.0.1:7496 | 2015-09-02 15:32:53 Socket (4) | Connected. | 2015-09-02 15:32:53 Socket connected to TWS. Sending client version: 62. Waiting for acceptance. | 2015-09-02 15:32:53 Interactive Brokers | TWS server version: 76 | 2015-09-02 15:32:53 Interactive Brokers | Connected. Waiting for account information. | 2015-09-02 15:32:53 IB Account information received. | 2015-09-02 15:32:53 Interactive Brokers | Received 1 Trade Accounts from TWS. | 2015-09-02 15:32:53 Interactive Brokers | Connected to Live account. | 2015-09-02 15:32:53 Interactive Brokers | Year-Month last connected to Live account: 2015-09 | 2015-09-02 15:32:53 Interactive Brokers | Requesting Trade Positions (IB account data updates) for account: U157* | 2015-09-02 15:32:53 Next valid order ID: 1 | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:hfarm. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:eufarm. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:usfuture. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:usfuture.us. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:cashfarm. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:usfarm.us. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: Market data farm connection is OK:usfarm. IB Error Code: 2104. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: HMDS data farm connection is OK:ushmds.us. IB Error Code: 2106. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: HMDS data farm connection is OK:ilhmds. IB Error Code: 2106. Request ID: -1. | 2015-09-02 15:32:53 Message from IB: HMDS data farm connection is OK:ushmds. IB Error Code: 2106. Request ID: -1. | 2015-09-02 15:32:53 Next valid order ID: 1 | 2015-09-02 15:32:53 IB Account information received. | 2015-09-02 15:32:53 Interactive Brokers | Received 1 Trade Accounts from TWS. | 2015-09-02 15:32:53 Interactive Brokers | Connected to Live account. | 2015-09-02 15:32:53 Interactive Brokers | Year-Month last connected to Live account: 2015-09 | 2015-09-02 15:32:53 Interactive Brokers | Received Trade Positions download end message for account U157* | 2015-09-02 15:32:53 Interactive Brokers | Requesting historical order fills for account U15*. | 2015-09-02 15:32:58 Interactive Brokers | Received Open orders end message. | 2015-09-02 15:32:58 Currently no data in file to display. Will start historical data download and real-time updates. File: E:\S Chart\Data\VIX-201509-CFE-USD-1000.scid | 2015-09-02 15:33:05 Interactive Brokers | Starting real-time market data updates for: VIX-201509-CFE-USD-1000. ID: 1 | 2015-09-02 15:33:06 Subscribing to real-time True Data for symbol: VIX SecType: FUT Exchange: CFE Currency: USD | 2015-09-02 15:33:06 Interactive Brokers | Subscribing to Symbol: VIX, SecType: FUT, Expiry: 201509, Exchange: CFE, Currency: USD, Multiplier: 1000 | 2015-09-02 15:33:06 Intraday data recording state for symbol VIX-201509-CFE-USD-1000 is set to download pending. | 2015-09-02 15:33:06 HD Request # 2 | Downloading Intraday chart data for VIX-201509-CFE-USD-1000 to the file VIX-201509-CFE-USD-1000.scid. Service: ib | 2015-09-02 15:33:06 Compressing file: E:\S Chart\Data\VIX-201509-CFE-USD-1000.scid. This may take a while. | 2015-09-02 15:33:06 HD Request # 2 | Download start Date-Time: 2015-08-23 15:33:06.000 | 2015-09-02 15:33:06 HD Request # 2 | Requesting a total of 10 days and 4800 seconds. | 2015-09-02 15:33:06 HD Request # 2 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 782400. | 2015-09-02 15:33:06 HD Request # 2 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-24 15:23:06 for VIX-201509-CFE-USD-1000 | 2015-09-02 15:33:06 Symbol Error - VIX-201509-CFE-USD-1000 is unknown, unavailable, or improperly formatted. The contract description specified for VIX is ambiguous. | 2015-09-02 15:33:06 Symbol Error - VIX-201509-CFE-USD-1000 is unknown, unavailable, or improperly formatted. The contract description specified for VIX is ambiguous. | 2015-09-02 15:33:06 HD Request # 2 | Message from IB: The contract description specified for VIX is ambiguous.. IB Error Code: 200. Request ID: 2. | 2015-09-02 15:33:06 HD Request # 2 | Error downloading historical Intraday data for VIX-201509-CFE-USD-1000. The symbol is unknown to the server. | 2015-09-02 15:33:06 * HD Request # 2 | Received 0 records from 00:00:00 to 00:00:00 (0.0 seconds) and wrote 0 records for VIX-201509-CFE-USD-1000 | 2015-09-02 15:33:06 HD Request # 2 | Intraday download COMPLETE for VIX-201509-CFE-USD-1000. Completion time: 0s. Unique request ID: 1 | 2015-09-02 15:33:06 Removed historical data download ID 1 | 2015-09-02 15:33:06 Real-time Intraday chart data file updates started for VIX-201509-CFE-USD-1000 | 2015-09-02 15:33:06 Message from IB: No historical data query found for ticker id:2. IB Error Code: 366. Request ID: 2. | 2015-09-02 15:33:06 Currently no data in file to display. Will start historical data download and real-time updates. File: E:\S Chart\Data\VIX-201510-CFE-USD-1000.scid | 2015-09-02 15:33:15 Interactive Brokers | Starting real-time market data updates for: VIX-201510-CFE-USD-1000. ID: 3 | 2015-09-02 15:33:16 Subscribing to real-time True Data for symbol: VIX SecType: FUT Exchange: CFE Currency: USD | 2015-09-02 15:33:16 Interactive Brokers | Subscribing to Symbol: VIX, SecType: FUT, Expiry: 201510, Exchange: CFE, Currency: USD, Multiplier: 1000 | 2015-09-02 15:33:16 Intraday data recording state for symbol VIX-201510-CFE-USD-1000 is set to download pending. | 2015-09-02 15:33:16 HD Request # 3 | Downloading Intraday chart data for VIX-201510-CFE-USD-1000 to the file VIX-201510-CFE-USD-1000.scid. Service: ib | 2015-09-02 15:33:16 Compressing file: E:\S Chart\Data\VIX-201510-CFE-USD-1000.scid. This may take a while. | 2015-09-02 15:33:16 HD Request # 3 | Download start Date-Time: 2015-08-23 15:33:16.000 | 2015-09-02 15:33:16 HD Request # 3 | Requesting a total of 10 days and 4800 seconds. | 2015-09-02 15:33:16 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 782400. | 2015-09-02 15:33:16 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-24 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:16 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:17 HD Request # 3 | Receiving Intraday data for VIX-201510-CFE-USD-1000 starting at 2015-08-23 18:00:00 | 2015-09-02 15:33:17 HD Request # 3 | Timestamp of first Intraday data file record written: 2015-08-23 18:00:00 | 2015-09-02 15:33:17 HD Request # 3 | Received 2881 records and wrote 2567 records from 2015-08-21 13:38:00 to 2015-08-24 15:23:00. | 2015-09-02 15:33:17 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 696000. | 2015-09-02 15:33:19 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-25 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:19 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:20 HD Request # 3 | Received 2881 records and wrote 2850 records from 2015-08-24 15:08:00 to 2015-08-25 15:23:00. | 2015-09-02 15:33:20 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 609600. | 2015-09-02 15:33:22 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-26 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:22 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:23 HD Request # 3 | Received 2881 records and wrote 2850 records from 2015-08-25 15:08:00 to 2015-08-26 15:23:00. | 2015-09-02 15:33:23 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 523200. | 2015-09-02 15:33:24 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-27 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:24 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:25 HD Request # 3 | Received 2881 records and wrote 2850 records from 2015-08-26 15:08:00 to 2015-08-27 15:23:00. | 2015-09-02 15:33:25 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 436800. | 2015-09-02 15:33:27 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-28 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:27 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:28 HD Request # 3 | Received 2880 records and wrote 2849 records from 2015-08-27 15:08:00 to 2015-08-28 15:23:00. | 2015-09-02 15:33:28 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 350400. | 2015-09-02 15:33:29 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-29 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:29 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:30 HD Request # 3 | Received 2879 records and wrote 103 records from 2015-08-27 16:00:00 to 2015-08-28 16:14:30. | 2015-09-02 15:33:30 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 264000. | 2015-09-02 15:33:32 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-30 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:32 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:33 HD Request # 3 | Received 2879 records and wrote 0 records from 2015-08-27 16:00:00 to 2015-08-28 16:14:30. | 2015-09-02 15:33:33 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 177600. | 2015-09-02 15:33:34 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-08-31 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:34 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:35 HD Request # 3 | Received 2880 records and wrote 2566 records from 2015-08-28 13:38:00 to 2015-08-31 15:23:00. | 2015-09-02 15:33:35 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 91200. | 2015-09-02 15:33:37 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-09-01 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:37 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:38 HD Request # 3 | Received 2880 records and wrote 2849 records from 2015-08-31 15:08:00 to 2015-09-01 15:23:00. | 2015-09-02 15:33:38 HD Request # 3 | IB Backfill - Seconds requested: 86400. Seconds Remaining: 4800. | 2015-09-02 15:33:40 HD Request # 3 | Requesting 1 Day of data at 30 secs with ending Date-Time at 2015-09-02 15:23:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:40 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:41 HD Request # 3 | Received 2875 records and wrote 2844 records from 2015-09-01 15:08:00 to 2015-09-02 15:23:00. | 2015-09-02 15:33:41 HD Request # 3 | IB Backfill - Seconds requested: 4800. Seconds Remaining: 0. | 2015-09-02 15:33:42 HD Request # 3 | Requesting 4800 Seconds of data at 30 secs with ending Date-Time at 2015-09-02 16:43:16 for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:42 HD Request # 3 | Processing historical data message from TWS | 2015-09-02 15:33:43 HD Request # 3 | Received 52 records and wrote 21 records from 2015-09-02 15:08:00 to 2015-09-02 15:33:30. | 2015-09-02 15:33:43 HD Request # 3 | Received 28849 records from 2015-08-23 18:00:00 to 2015-09-02 15:33:30 (9.9 days) and wrote 22349 records for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:44 HD Request # 3 | Intraday download COMPLETE for VIX-201510-CFE-USD-1000. Completion time: 28s. Unique request ID: 2 | 2015-09-02 15:33:44 Removed historical data download ID 2 | 2015-09-02 15:33:44 Real-time Intraday chart data file updates started for VIX-201510-CFE-USD-1000 | 2015-09-02 15:33:44 |
| [2015-09-02 19:53:38] |
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This is the problem: Symbol Error - VIX-201509-CFE-USD-1000 is unknown, unavailable, or improperly formatted. The contract description specified for VIX is ambiguous. | 2015-09-02 15:33:06 Symbol Error - VIX-201509-CFE-USD-1000 is unknown, unavailable, or improperly formatted. The contract description specified for VIX is ambiguous. | 2015-09-02 15:33:06 This clearly is a problem on the Interactive Brokers side because that symbol is definitely not ambiguous. Not at all. You will need to contact Interactive Brokers for help with this. Explain to them, the relevant contract details are specified when requesting market data using the different parts of this symbol: VIX-201509-CFE-USD-1000 And the TWS API is still saying it is ambiguous. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-09-02 19:54:15
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| [2015-09-02 20:31:42] |
| Neo - Posts: 198 |
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I had a look further into it, the symbol isn't loading anymore because of the introduction to VIX weekly futures( http://www.cboe.com/micro/vix-weeklys/) The front month symbol has now become ambiguous because it can't distinguish between weekly and monthly contracts. The same thing will happen to the other VIX monthly contracts once the weekly contracts further roll out. There's nothing IB will do about this, so unfortunately the only solution is to change the symbol formatting from your end or stop supporting VIX futures. |
| [2015-09-02 20:54:51] |
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OK so probably after the month number you need to specify a weekday. Or a week number? Find out what this should be. So change that part of the symbol. You can use whatever symbol that Interactive Brokers requires. You just need to manually type it in. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-09-02 21:18:46] |
| Neo - Posts: 198 |
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Thanks, I didn't realize it was that simple. VIX-20150916-CFE-USD-1000 Just had to specify the last trading day of Sep contract. |
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