IB market data subscriptions & End Date/Time: The date, time, or time-zone entered is invalid.

floodfill

I can't establish FX market data subscriptions against paper account TWS. I had this working previously, now it stopped working and I can't figure out what change on my side caused this.

Can someone please let me know what I am doing wrong?

Thanks.

Code with dummy mean reverting strat:

import backtrader as bt
import meanrev as mr

def run(args=None):
    cerebro = bt.Cerebro()
    store = bt.stores.IBStore(host='127.0.0.1', port=4002, clientId=None, reconnect=100, timeout=3.0, _debug=False)

    for sym,config in mr.syms.items():
        print('starting strategy for ' + sym)
        data = store.getdata(dataname=f"{sym}-CASH-IDEALPRO", tradename=f"{sym[:3]}-CFD-SMART-{sym[4:]}", timeframe=bt.TimeFrame.Ticks)
        cerebro.resampledata(data, timeframe=bt.TimeFrame.Seconds, compression=30)
    
        cerebro.addstrategy(mr.MeanRevStrat, md=data, sym=sym, config=config)

    cerebro.broker = store.getbroker()
    cerebro.run()

if __name__ == '__main__':
    run()

From IB logs API:

10:21:34:256 <- 20-5-16777228-12087792-EUR-CASH--0.0---IDEALPRO--USD-EUR.USD-EUR.USD-0-20220914 09:21:33 GMT-30 secs-28800 S-0-BID-2-
10:21:34:277 -> 4-2-16777228-10314-End Date/Time: The date, time, or time-zone entered is invalid. The correct format is yyyymmdd hh:mm:ss xxx where yyyymmdd and xxx are optional. E.g.: 20031126 15:59:00 US/Eastern  Note that there is a space between the date and time, and between the time and time-zone.  If no date is specified, current date is assumed. If no time-zone is specified, local time-zone is assumed(deprecated).  You can also provide yyyymmddd-hh:mm:ss time is in UTC. Note that there is a dash between the date and time in UTC notation.-

venv depedencies:

backtrader      1.9.76.123
cycler          0.11.0
fonttools       4.33.3
ibapi           9.81.1.post1
IbPy2           0.8.0
kiwisolver      1.4.3
matplotlib      3.5.3
numpy           1.23.0
packaging       21.3
pandas          1.4.3
Pillow          9.2.0
pip             22.0.2
pyparsing       3.0.9
python-dateutil 2.8.2
pytz            2022.1
setuptools      59.6.0
six             1.16.0

TWS versions:

Build 10.18.1d, Sep 13, 2022 3:41:49 PM 
Jolt Build 1.18.9, Jul 5, 2022 05:27:19 PM 
Nia Build 2.24.2, Jan 17, 2022 05:48:10 PM 
ModelNav Build 1.13.2, Jan 24, 2022 04:59:21 PM 
Riskfeed Build 2.45.3, Jul 25, 2022 06:42:42 PM

EMR

@floodfill I think there was a change on IB side regarding historical data retrieval. (see https://www.sierrachart.com/SupportBoard.php?ThreadID=77005)

Try to add backfill_start=False, backfill=False to your data definition, it should do the trick. Problems will probably arise for histo data requests.

colin

@emr what would the solution to this be for people who require backfilling/historical data? Here is the relevant piece of my script:

ibstore = backtrader.stores.IBStore(host='127.0.0.1', port=7497 if args.paper else 7496)
cerebro.setbroker(ibstore.getbroker())
data_backfill = ibstore.getdata(
    dataname=f'ES-{contract_date}-GLOBEX-USD', timeframe=backtrader.TimeFrame.Seconds,
    historical=True, fromdate=now.date(), tz='Canada/Mountain'
)
live_data = ibstore.getdata(
    dataname=f'ES-{contract_date}-GLOBEX-USD',
    timeframe=backtrader.TimeFrame.Seconds,
    compression=1,
    tz='Canada/Mountain',
    backfill_from=data_backfill,
    qcheck=0.1,
    filters=[btfilters.SessionFiller]
)

^ This used to work until the IB change roughly a week ago. Similar to what you said, my code works when I set historical=False and remove backfill_from from the live_data. I'd greatly prefer a fix that lets me keep the backfilling components though.