Cone8
 ( 9.63% )
- ago
If you're trading 24-hour markets like Globex, NYMEX, etc., please be aware of a bug in the IB Provider.

The problem:
When piecing together multiple intraday data requests in batches, we were inadvertently using the ending time in one request as the DateTime to start the next request.

The result is that you may see gaps in your 24-hour markets with data ending at midnight and then starting the next day at the regular, say, 6 pm opening time. You'll notice it more with lower time frame scales, especially 1-min, where we need to batch requests every 2 or 3 days.

Example:
Even though we request all the data starting at 2/8/2022, the data returned starts when the market opens that day at 6 pm -



We actually added a fix for this in Build 19 to add data from the last update, but we missed it in the batch requests.

Look for a full fix in Build 20 - and refresh your intraday histories then.

Aside: Note on Daily bars
This from IB's API documentation, which explains why daily closes may not align with intraday closes (the case is similar case for stocks).
- For futures, the close price of daily bars can be the settlement price if provided by the exchange. Generally the official settlement price is not available until several hours after a trading session closes. The Friday settlement price will sometimes not be available until Saturday.
- A daily bar will refer to a trading session which may cross calendar days. In that case the date of the bar will correspond to the day on which the bar closes.
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