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Errors with IB for vixu16 & vix-201609-cfe-usd-1000
View Count: 1355
| [2016-08-29 11:58:33] |
| User686802 - Posts: 69 |
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Please see two error logs when using InteractiveBrokers futures account for vixu16 & vix-201609-cfe-usd-1000 symbols! The effect is I do get chart data for both symbols only one time, and then it just doesn't continue to refresh data on my chart during open hours.
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 Screenshot_20160819-210623.jpg / V - Attached On 2016-08-29 11:56:43 UTC - Size: 518.24 KB - 264 views Screenshot_20160819-201404.jpg / V - Attached On 2016-08-29 11:57:05 UTC - Size: 430.3 KB - 281 views Attachment Deleted. |
| [2016-08-29 14:33:15] |
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Do not use the VIXU16 symbol. After closing charts for that symbol, then reconnect to the data feed: File Menu: Procedure to Reconnect to the Data and Trade Servers Although this is not going to solve the problem. Interactive Brokers is not recognizing the other symbol. Provide the Message Log as explained here: https://www.sierrachart.com/index.php?page=PostingInformation.php#MessageLog 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 |
| [2016-08-29 17:50:50] |
| User686802 - Posts: 69 |
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What kind of smart alec reply is 'do not use vixu16' why don't you tell me how to get vix sept futures Below is log for vixu16 as requested. Please make sense with your replies. Software version: 1455 | 2016-08-29 13:29:25 Uses New Spreadsheets | 2016-08-29 13:29:25 Usage end date: 2017-10-30 | 2016-08-29 13:29:25 Enabled for: Advanced Features. | 2016-08-29 13:29:25 Enabled for: Advanced Features 2. | 2016-08-29 13:29:25 Enabled for: Sierra Chart Historical Data Service. | 2016-08-29 13:29:25 Allow Support for Sierra Chart Data Feeds is enabled. | 2016-08-29 13:29:25 Current selected Data/Trading service: Interactive Brokers | 2016-08-29 13:29:25 Chart Update Interval: 500 | 2016-08-29 13:29:25 Time Zone: -04:00:00 (EST-05EDT+01,M3.2.0/02:00,M11.1.0/02:00) | 2016-08-29 13:29:25 2016-08-29 13:29:25 Local computer time | 2016-08-29 13:29:25 2016-08-29 17:29:25 Local computer time in UTC | 2016-08-29 13:29:25 2016-08-29 13:29:25 Local computer time in SC Time Zone | 2016-08-29 13:29:25 2016-08-28 08:13:01 Server time in UTC | 2016-08-29 13:29:25 Local computer UTC time and Server UTC time difference: 1 seconds. | 2016-08-29 13:29:25 Program path: C:\SierraChart\ | 2016-08-29 13:29:25 Data Files path: C:\SierraChart\Data\ | 2016-08-29 13:29:25 OS Version Number: 6.2 | 2016-08-29 13:29:25 Locale Setting: C | 2016-08-29 13:29:25 Interactive Brokers | Using primary service for historical data for VIXU16 | 2016-08-29 13:30:41 VIXU16 1 Min #15 | Reloading chart. | 2016-08-29 13:30:41 Interactive Brokers | Starting real-time market data updates for: VIXU16. ID: 72 | 2016-08-29 13:30:43 Subscribing to real-time True Data for symbol: VIXU16 SecurityType: STK Exchange: SMART Currency: USD | 2016-08-29 13:30:43 Interactive Brokers | Subscribing to Symbol: VIXU16, SecurityType: STK, Expiration: , Exchange: SMART, Currency: USD, Multiplier: | 2016-08-29 13:30:43 Interactive Brokers | Requesting security definition data for: VIXU16. ID: 72 | 2016-08-29 13:30:43 Starting first historical Intraday data download. When complete another download will be done from the primary service. Symbol: VIXU16 | 2016-08-29 13:30:43 Intraday data recording state for symbol VIXU16 is set to download 'Pending'. | 2016-08-29 13:30:43 Market data subscription status is not known while delaying historical data download for symbol: VIXU16 | 2016-08-29 13:30:43 Delaying start of download for VIXU16 | 2016-08-29 13:30:43 Symbol Error - VIXU16 is unknown, unavailable, or improperly formatted. No security definition has been found for the request | 2016-08-29 13:30:45 Symbol Error - VIXU16 is unknown, unavailable, or improperly formatted. No security definition has been found for the request | 2016-08-29 13:30:45 Symbol Error - VIXU16 is unknown, unavailable, or improperly formatted. No security definition has been found for the request | 2016-08-29 13:30:45 HD Request # 127 | Downloading Intraday chart data for VIXU16 to the file VIXU16.scid. Service: cfefut | 2016-08-29 13:30:46 HD Request # 127 | Download start Date-Time: 2016-08-23 10:10:53.000 | 2016-08-29 13:30:46 HD Request # 127 | Using server: ds6.sierracharts.com port 10149 | 2016-08-29 13:30:46 Socket (0) | Resolved address ds6.sierracharts.com to IP 8.18.161.131. | 2016-08-29 13:30:46 Socket (1130) | Connected. | 2016-08-29 13:30:46 HD Request # 127 | Sending historical data logon request message. | 2016-08-29 13:30:46 HD Request # 127 | Requesting Intraday data. Start Date-Time: 2016-08-23 10:10:53. Record interval: 0. Symbol: VIU16 | 2016-08-29 13:30:46 HD Request # 127 | Decompressing data. | 2016-08-29 13:30:47 HD Request # 127 | Receiving Intraday data for VIXU16 starting at 2016-08-23 10:10:53 | 2016-08-29 13:30:47 HD Request # 127 | Timestamp of first Intraday data file record written: 2016-08-23 10:11:11 | 2016-08-29 13:30:47 Socket (1130) | Shutdown and closed. | 2016-08-29 13:30:47 The network socket for historical data has been closed. | 2016-08-29 13:30:47 HD Request # 127 | Received 59727 records from 2016-08-23 10:10:53 to 2016-08-29 13:20:47 (6.1 days) and wrote 59726 records for VIXU16 | 2016-08-29 13:30:47 HD Request # 127 | Intraday download COMPLETE for VIXU16. Completion time: 2s. Unique request ID: 130 | 2016-08-29 13:30:47 Removed historical data download ID 130 | 2016-08-29 13:30:47 Real-time Intraday chart data file updates started for VIXU16 | 2016-08-29 13:30:47 Intraday chart data file opened for VIXU16 | 2016-08-29 13:30:47 Interactive Brokers | Using primary service for historical data for VIXU16 | 2016-08-29 13:30:47 Intraday data recording state for symbol VIXU16 is set to download 'Pending'. | 2016-08-29 13:30:47 HD Request # 128 | Downloading Intraday chart data for VIXU16 to the file VIXU16.scid. Service: cfefut | 2016-08-29 13:30:47 HD Request # 128 | Download start Date-Time: 2016-08-29 13:20:47.000 | 2016-08-29 13:30:47 HD Request # 128 | Requesting a total of 0 days and 5401 seconds. | 2016-08-29 13:30:47 HD Request # 128 | IB Backfill - Seconds requested: 5401. Seconds Remaining: 0. | 2016-08-29 13:30:47 HD Request # 128 | Requesting 5401 Seconds of data at 30 secs with ending Date-Time at 2016-08-29 14:40:48 for VIXU16 | 2016-08-29 13:30:47 HD Request # 128 | Message from IB: No security definition has been found for the request. IB Error Code: 200. Request ID: 73. | 2016-08-29 13:30:49 HD Request # 128 | Error downloading historical Intraday data for VIXU16. The symbol is unknown to the server. | 2016-08-29 13:30:49 HD Request # 128 | Received 0 records from 00:00:00 to 00:00:00 (0.0 seconds) and wrote 0 records for VIXU16 | 2016-08-29 13:30:49 HD Request # 128 | Intraday download COMPLETE for VIXU16. Completion time: 2s. Unique request ID: 131 | 2016-08-29 13:30:49 Removed historical data download ID 131 | 2016-08-29 13:30:49 Real-time Intraday chart data file updates started for VIXU16 | 2016-08-29 13:30:49 Intraday chart data file opened for VIXU16 | 2016-08-29 13:30:49 Message from IB: No historical data query found for ticker id:73. IB Error Code: 366. Request ID: 73. | 2016-08-29 13:30:49 |
| [2016-08-29 20:41:22] |
| i960 - Posts: 360 |
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I think what they'r'e saying is that that symbol is not a valid format for IB. It certainly doesn't look like the typical IB symbol format to me for front month contracts.
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| [2016-08-29 21:06:45] |
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To be clear, the symbol that you need to use and only use is vix-201609-cfe-usd-1000. Not the other one. vix-201609-cfe-usd-1000 is an Interactive Brokers properly formatted symbol. The other one is for use with the Sierra Chart Exchange Data Feed. The underlying problem is on the Interactive Brokers side and we want to see the Message Log when using the vix-201609-cfe-usd-1000 symbol to clearly see what the Interactive Brokers error is. Ultimately we cannot solve this problem. Interactive Brokers will need to help you. 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 |
| [2016-08-29 22:23:59] |
| i960 - Posts: 360 |
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I can also confirm the various VIX symbols are kind of weird with IB. When did the additional 00 show up? Was that part of supporting weeklies? VIX-201609-CFE-USD works VIX-20160900-CFE-USD-1000 works VIX-201609-CFE-USD-1000 does not work VIX-20160900-CFE-USD does not work Occasionally a symbol will load but show "symbol is unknown" or "download failed" when one can still see the data on the chart. |
| [2016-08-29 22:35:02] |
| User686802 - Posts: 69 |
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The symbol does fill chart data but only once, it does not update the chart after initial fill in the scenario that [Occasionally a symbol will load but show "symbol is unknown" or "download failed" when one can still see the data on the chart"]. What is the fix? Seems the IBapi changed to support vix weeklies.
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| [2016-08-30 18:26:43] |
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The additional 00 is for the weekly expirations. This is the symbol you will need to use for September: VIX-20160921-CFE-USD-1000 We apologize for the delay. We needed to do additional research on this. We are also going to add automatic generation of weekly contracts. 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: 2016-08-30 18:28:36
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| [2016-08-31 08:59:23] |
| User686802 - Posts: 69 |
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Thanks for working on it. Please update when you have a working solution.
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| [2016-08-31 09:05:33] |
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You just need to use this symbol and you will be fine: VIX-20160921-CFE-USD-1000 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 |
| [2017-02-17 19:17:57] |
| User686802 - Posts: 69 |
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Still no auto-rolling of VIX monthly futures. So what is the latest info or setting for the monthly VIX futures so that it rolls automatically using IB api?
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| [2017-02-17 23:14:43] |
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Tell us the exact symbol you are using. We should not have a problem getting the monthly rollover working. 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 |
| [2017-02-18 00:04:15] |
| User686802 - Posts: 69 |
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I used VIX-20170215-CFE-USD-1000 for VIX monthly Feb 2017 and it DID NOT auto rolled into VIX-20170322-CFE-USD-1000 for VIX monthly March 2017. From thread above we were told this type of symbol must be used instead of just VIX-20170200-CFE-USD-1000 (notice the zero zero for date). If you just read the above thread, you would not have needed to ask me which symbol.
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| [2017-02-18 21:58:26] |
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We still needed to ask, because we always have to re-verify information and normally we do not look at prior older posts when there is a longer discussion. We understand the problem now. There is not a solution we have to this. And it is unknown when we would implement one. 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 |
| [2017-02-18 22:32:11] |
| User686802 - Posts: 69 |
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This is a core task of monthly futures and auto roll-over, granted that the VIX futures has weeklies recently which added complications to the monthly symbols. BUT we are all paying subscriptions to you to keep up with the technologies and to keep the core features working as things do evolve in the real world. Can you at least have a deeper discussion and appreciation of supporting VIX monthly futures auto roll-over. Why are you suggesting a "weak" position that it is "unknown when we would implement..." Again, that is the whole point of your subscription model to have money and resources to deal with core issues as things evolve! Thank you! |
| [2017-02-19 02:52:24] |
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We cannot possibly keep with everything. Thinking through this, we do not know how to solve this problem. There is no way we can reliably know what the expiration day should be. It is also something which is exchange and symbol specific. And not generalized across various symbols and exchanges. It is very reliable to determine contract months from standardized contract specifications. There are up to 12 of them and there simply no variance ever from that. For example a March contract always has a March/03 expiration. Simple and reliable. Whereas a day can vary based upon holidays and business days. For example, in the case of the rollover rules for a symbol, these are imperfect. But there cannot be any imperfection when it comes to generating a symbol. And the Interactive Brokers API has no way to query for a symbol. Thinking about this some more, this is really something Interactive Brokers should resolve because in the case of a monthly symbol, there should not have to be a need to specify the expiration day. This is not the case with CQG and we would have to check, but we do not think this is a problem with CTS either. Or with any other service. 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: 2017-02-19 02:54:10
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| [2017-02-19 04:54:15] |
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We are sorry, none of this is even remotely close to reasonable. And none of this is reliable. This is an example of something which is inherently impossible to definitively know and unreliable: If that Wednesday or the Friday that is 30 days following that Wednesday is a CBOE holiday
This is not something we are interested in discussing. It is not worth our time and is a detriment to our user base because it takes away time from our primary development which benefits all of our users. We cannot help with this. Our recommendation is to stop using Interactive Brokers and use another supported service that does not have this issue. We have no further comment on this. 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 |
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