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When requesting Tick data for Future, only the first History request History(Symbol, start, end, Resolution.Tick) returns data
The second and third History request returns empty or a few unrelated data point.
Reproducing the Problem
Run below code on research environment in Algorithm Lab:
qb.SetStartDate(2020, 6, 4)
future = qb.AddFuture(Futures.Currencies.EUR, Resolution.Minute)
contract_symbols = sorted(qb.FutureChainProvider.GetFutureContractList(future.Symbol, qb.Time), key=lambda symbol: symbol.ID.Date)
contract = contract_symbols[0]
qb.AddFutureContract(contract_symbols[0])
end_time = datetime(2020, 6, 3, 11, 0, 0)
start_time = end_time - timedelta(days=1)
ticks_df_tick_in_first_argument = qb.History(Tick, contract, start_time, end_time, Resolution.Tick)
ticks_obj = qb.History[Tick](contract, start_time, end_time, Resolution.Tick)
ticks_df = qb.History(contract, start_time, end_time, Resolution.Tick)
print('length of tick dataframe:' + str(len(ticks_df)))
print('length of tick dataframe with Tick in first argument:' + str(len(ticks_df_tick_in_first_argument)))
print('length of tick object list:' + str(len([t for t in ticks_obj])))
// The output is:
// length of tick dataframe:856834
// length of tick dataframe with Tick in first argument:3
// length of tick object list:3
The History request History(Symbol, start, end, Resolution.Tick) returns 856834 data points. The other returns 3 data points, which are all Open Interest instead of Trade or Quote, see image below:
Also tried different future like Futures.Indices.SP500EMini, as well as different time range 2024-03-06 11:00:00 - 2024-03-07 11:00:00. The issue consists for multiple Futures and multiple time range:
To make the second and third History request return more data, the future must be added at Tick resolution qb.AddFutureContract(contract_symbols[0], Resolution.Tick). After that 3 History call return same data:
This issue not exist in Equity. Take SPY for example. SPY are added at Minute resolution and 3 History call returns same amount Tick data:
System Information
Algorithm Lab
Checklist
[ x] I have completely filled out this template
[ x] I have confirmed that this issue exists on the current master branch
[ x] I have confirmed that this is not a duplicate issue by searching issues
[ x] I have provided detailed steps to reproduce the issue
The text was updated successfully, but these errors were encountered:
Also tested Crypto. Looks like Crypto also don't have this issue. The Crypto is added add Minute solution and 3 History call for Tick returns same data:
Expected Behavior
This 3 History requests for Tick data should return same number of Tick data for Future
History(Symbol, start, end, Resolution.Tick)
History[Tick](Symbol, start, end, Resolution.Tick)
History(Tick, Symbol, start, end, Resolution.Tick)
Actual Behavior
When requesting Tick data for Future, only the first History request
History(Symbol, start, end, Resolution.Tick)
returns dataThe second and third History request returns empty or a few unrelated data point.
Reproducing the Problem
Run below code on research environment in Algorithm Lab:
The History request
History(Symbol, start, end, Resolution.Tick)
returns 856834 data points. The other returns 3 data points, which are all Open Interest instead of Trade or Quote, see image below:Also tried different future like
Futures.Indices.SP500EMini
, as well as different time range2024-03-06 11:00:00 - 2024-03-07 11:00:00
. The issue consists for multiple Futures and multiple time range:To make the second and third History request return more data, the future must be added at Tick resolution
qb.AddFutureContract(contract_symbols[0], Resolution.Tick)
. After that 3 History call return same data:This issue not exist in Equity. Take
SPY
for example.SPY
are added at Minute resolution and 3 History call returns same amount Tick data:System Information
Algorithm Lab
Checklist
master
branchThe text was updated successfully, but these errors were encountered: