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Download Futures EOD with Zorro #486917
11/16/22 00:05
11/16/22 00:05
Joined: Nov 2022
Posts: 15
Friedrichshafen
E
Eugeniu Offline OP
Newbie
Eugeniu  Offline OP
Newbie
E

Joined: Nov 2022
Posts: 15
Friedrichshafen
Hi,

I'm struggling for some time trying to download futures EOD data with the Download.c script. I'd appreciate any pointers with what I'm doing wrong here.

When running the Download.c script I get this error:
Quote

!No security definition has been found for the request GBP-STK--0.00--SMART/ISLAND--USD
!GBP 01-01 00:00:00 to 11-16 00:03:41 failed


So basically it tries to download a stock named "GBP" instead of using the symbol.


Input data:

- I'm trying to download 6BZ2 EOD prices using Download.c script. In the Window I input these params:
Quote
- GBP
- 2022-2022
- EOD
- Trades
- Broker

- My AssetsIB contains these lines:
Quote
"Name","Price","Spread","RollLong","RollShort","PIP","PipCost","MarginCost","Market","Multiplier","Commission","Symbol","Centage","Description"
"GBP",0,0.0002,0,0,0.0001,0.0001,4667,0,62500,8,"GBP-FUT-20221219-6B-CME-USD",0,"Great Britain Pound"

- To come up with the symbol name I've tried using the TWS API directly from a Jupyter Notebook and was able to get the data with the following contract spec.
Quote

c = Contract()
c.symbol = "GBP"
c.secType = "FUT"
c.exchange = "CME"
c.currency = "USD"
c.lastTradeDateOrContractMonth = "20221219"

The full contract details look like this:
Quote

Contract(secType='FUT', conId=299701782, symbol='GBP', lastTradeDateOrContractMonth='20221219', multiplier='62500', exchange='CME', currency='USD', localSymbol='6BZ2', tradingClass='6B')

Re: Download Futures EOD with Zorro [Re: Eugeniu] #486919
11/16/22 09:31
11/16/22 09:31
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
You attempted to download not a future, but a stock named "GPB", which of course does not exist. Make sure that the download is using the symbol in your asset list.

Re: Download Futures EOD with Zorro [Re: jcl] #486922
11/16/22 12:51
11/16/22 12:51
Joined: Nov 2022
Posts: 15
Friedrichshafen
E
Eugeniu Offline OP
Newbie
Eugeniu  Offline OP
Newbie
E

Joined: Nov 2022
Posts: 15
Friedrichshafen
That is the problem indeed.
I was under the impression that if I specify the asset name from the assets file (GBP), the script will search by symbol that I specify in Symbol column.
If I enter the symbol directly in the panel it works indeed.
Thanks.

Attached Files Screenshot from 2022-11-16 13-49-58.png
Re: Download Futures EOD with Zorro [Re: Eugeniu] #486923
11/16/22 13:06
11/16/22 13:06
Joined: Nov 2022
Posts: 15
Friedrichshafen
E
Eugeniu Offline OP
Newbie
Eugeniu  Offline OP
Newbie
E

Joined: Nov 2022
Posts: 15
Friedrichshafen
btw, now that I downloaded the data I noticed it is in .t6 format. Shouldn't it be in .t8 format? What do columns 5, 6 mean for futures in this case? If column 6 is volume, why is it fractional?

Quote

2022-11-15T23:59:59 1.1966 1.1976 1.1801 1.1885 0 47.70278
2022-11-14T23:59:59 1.1745 1.1813 1.172 1.1791 0 28.38681
2022-11-11T23:59:59 1.1758 1.1867 1.172 1.1846 0 33.11597
2022-11-10T23:59:59 1.1638 1.1743 1.1632 1.1708 0 47.85209

Attached Files
GBPt6.csv (24 downloads)
Re: Download Futures EOD with Zorro [Re: Eugeniu] #486925
11/16/22 13:54
11/16/22 13:54
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Offline
Serious User
AndrewAMD  Offline
Serious User

Joined: Feb 2017
Posts: 1,718
Chicago
Originally Posted by Eugeniu
btw, now that I downloaded the data I noticed it is in .t6 format. Shouldn't it be in .t8 format?
No, because you only downloaded data for a single contract. Now, you can write a script that merges t6 contracts together into a single t8 file. (Maybe someone already wrote one? I know I have, but I did it with Sierra Chart.)

Re: Download Futures EOD with Zorro [Re: AndrewAMD] #486926
11/16/22 20:09
11/16/22 20:09
Joined: Nov 2022
Posts: 15
Friedrichshafen
E
Eugeniu Offline OP
Newbie
Eugeniu  Offline OP
Newbie
E

Joined: Nov 2022
Posts: 15
Friedrichshafen
Any idea what the last columns are supposed to be? First 4 are OHLC.

I've downloaded the same data from IBKR directly. First 4 columns coincide but neither of the remaining columns match.

Quote

2022-11-10 1.1638 1.1743 1.1632 1.1708 68907 1.16796 20001
2022-11-11 1.1758 1.1867 1.172 1.1846 47687 1.17956 13825
2022-11-14 1.1745 1.1813 1.172 1.1791 40877 1.17604 11625
2022-11-15 1.1966 1.1976 1.1801 1.1885 68692 1.1889 21926

Last edited by Eugeniu; 11/16/22 20:12.
Re: Download Futures EOD with Zorro [Re: Eugeniu] #486927
11/16/22 20:46
11/16/22 20:46
Joined: Nov 2022
Posts: 15
Friedrichshafen
E
Eugeniu Offline OP
Newbie
Eugeniu  Offline OP
Newbie
E

Joined: Nov 2022
Posts: 15
Friedrichshafen
Note sure what happened when I downloaded the data first time but now I get different results (last column seems to be volume this time).

Quote

2022-11-15T23:59:59 1.1965 1.1977 1.1801 1.1877 0 104.42361
2022-11-14T23:59:59 1.1745 1.1814 1.1721 1.177 0 184473
2022-11-11T23:59:59 1.1758 1.1867 1.1721 1.1855 0 126128
2022-11-10T23:59:59 1.1638 1.1743 1.1633 1.1726 0 101271


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