A command line utility to download historical data from Interactive Brokers

download_bars.py

#!/usr/bin/env python

import os
import sys
import argparse
import logging
from datetime import datetime, timedelta

from typing import List, Optional
from collections import defaultdict
from dateutil.parser import parse

import numpy as np
import pandas as pd

from ibapi import wrapper
from ibapi.common import TickerId, BarData
from ibapi.client import EClient
from ibapi.contract import Contract
from ibapi.utils import iswrapper

ContractList = List[Contract]
BarDataList = List[BarData]
OptionalDate = Optional[datetime]


def make_download_path(args: argparse.Namespace, contract: Contract) -> str:
    """Make path for saving csv files.
    Files to be stored in base_directory/<security_type>/<size>/<symbol>/
    """
    path = os.path.sep.join(
        [
            args.base_directory,
            args.security_type,
            args.size.replace(" ", "_"),
            contract.symbol,
        ]
    )
    return path


class DownloadApp(EClient, wrapper.EWrapper):
    def __init__(self, contracts: ContractList, args: argparse.Namespace):
        EClient.__init__(self, wrapper=self)
        wrapper.EWrapper.__init__(self)
        self.request_id = 0
        self.started = False
        self.next_valid_order_id = None
        self.contracts = contracts
        self.requests = {}
        self.bar_data = defaultdict(list)
        self.pending_ends = set()
        self.args = args
        self.current = self.args.end_date
        self.duration = self.args.duration
        self.useRTH = 0

    def next_request_id(self, contract: Contract) -> int:
        self.request_id += 1
        self.requests[self.request_id] = contract
        return self.request_id

    def historicalDataRequest(self, contract: Contract) -> None:
        cid = self.next_request_id(contract)
        self.pending_ends.add(cid)

        self.reqHistoricalData(
            cid,  # tickerId, used to identify incoming data
            contract,
            self.current.strftime("%Y%m%d 00:00:00"),  # always go to midnight
            self.duration,  # amount of time to go back
            self.args.size,  # bar size
            self.args.data_type,  # historical data type
            self.useRTH,  # useRTH (regular trading hours)
            1,  # format the date in yyyyMMdd HH:mm:ss
            False,  # keep up to date after snapshot
            [],  # chart options
        )

    def save_data(self, contract: Contract, bars: BarDataList) -> None:
        data = [
            [b.date, b.open, b.high, b.low, b.close, b.volume, b.barCount, b.average]
            for b in bars
        ]
        df = pd.DataFrame(
            data,
            columns=[
                "date",
                "open",
                "high",
                "low",
                "close",
                "volume",
                "barCount",
                "average",
            ],
        )
        if self.daily_files():
            path = "%s.csv" % make_download_path(self.args, contract)
        else:
            # since we fetched data until midnight, store data in
            # date file to which it belongs
            last = (self.current - timedelta(days=1)).strftime("%Y%m%d")
            path = os.path.sep.join(
                [make_download_path(self.args, contract), "%s.csv" % last,]
            )
        df.to_csv(path, index=False)

    def daily_files(self):
        return SIZES.index(self.args.size.split()[1]) >= 5

    @iswrapper
    def headTimestamp(self, reqId: int, headTimestamp: str) -> None:
        contract = self.requests.get(reqId)
        ts = datetime.strptime(headTimestamp, "%Y%m%d  %H:%M:%S")
        logging.info("Head Timestamp for %s is %s", contract, ts)
        if ts > self.args.start_date or self.args.max_days:
            logging.warning("Overriding start date, setting to %s", ts)
            self.args.start_date = ts  # TODO make this per contract
        if ts > self.args.end_date:
            logging.warning("Data for %s is not available before %s", contract, ts)
            self.done = True
            return
        # if we are getting daily data or longer, we'll grab the entire amount at once
        if self.daily_files():
            days = (self.args.end_date - self.args.start_date).days
            if days < 365:
                self.duration = "%d D" % days
            else:
                self.duration = "%d Y" % np.ceil(days / 365)
            # when getting daily data, look at regular trading hours only
            # to get accurate daily closing prices
            self.useRTH = 1
            # round up current time to midnight for even days
            self.current = self.current.replace(
                hour=0, minute=0, second=0, microsecond=0
            )

        self.historicalDataRequest(contract)

    @iswrapper
    def historicalData(self, reqId: int, bar) -> None:
        self.bar_data[reqId].append(bar)

    @iswrapper
    def historicalDataEnd(self, reqId: int, start: str, end: str) -> None:
        super().historicalDataEnd(reqId, start, end)
        self.pending_ends.remove(reqId)
        if len(self.pending_ends) == 0:
            print(f"All requests for {self.current} complete.")
            for rid, bars in self.bar_data.items():
                self.save_data(self.requests[rid], bars)
            self.current = datetime.strptime(start, "%Y%m%d  %H:%M:%S")
            if self.current <= self.args.start_date:
                self.done = True
            else:
                for contract in self.contracts:
                    self.historicalDataRequest(contract)

    @iswrapper
    def connectAck(self):
        logging.info("Connected")

    @iswrapper
    def nextValidId(self, order_id: int):
        super().nextValidId(order_id)

        self.next_valid_order_id = order_id
        logging.info(f"nextValidId: {order_id}")
        # we can start now
        self.start()

    def start(self):
        if self.started:
            return

        self.started = True
        for contract in self.contracts:
            self.reqHeadTimeStamp(
                self.next_request_id(contract), contract, self.args.data_type, 0, 1
            )

    @iswrapper
    def error(self, req_id: TickerId, error_code: int, error: str):
        super().error(req_id, error_code, error)
        if req_id < 0:
            logging.debug("Error. Id: %s Code %s Msg: %s", req_id, error_code, error)
        else:
            logging.error("Error. Id: %s Code %s Msg: %s", req_id, error_code, error)
            # we will always exit on error since data will need to be validated
            self.done = True


def make_contract(symbol: str, sec_type: str, currency: str, exchange: str, localsymbol: str) -> Contract:
    contract = Contract()
    contract.symbol = symbol
    contract.secType = sec_type
    contract.currency = currency
    contract.exchange = exchange
    if localsymbol:
        contract.localSymbol = localsymbol
    return contract


class ValidationException(Exception):
    pass


def _validate_in(value: str, name: str, valid: List[str]) -> None:
    if value not in valid:
        raise ValidationException(f"{value} not a valid {name} unit: {','.join(valid)}")


def _validate(value: str, name: str, valid: List[str]) -> None:
    tokens = value.split()
    if len(tokens) != 2:
        raise ValidationException("{name} should be in the form <digit> <{name}>")
    _validate_in(tokens[1], name, valid)
    try:
        int(tokens[0])
    except ValueError as ve:
        raise ValidationException(f"{name} dimenion not a valid number: {ve}")


SIZES = ["secs", "min", "mins", "hour", "hours", "day", "week", "month"]
DURATIONS = ["S", "D", "W", "M", "Y"]


def validate_duration(duration: str) -> None:
    _validate(duration, "duration", DURATIONS)


def validate_size(size: str) -> None:
    _validate(size, "size", SIZES)


def validate_data_type(data_type: str) -> None:
    _validate_in(
        data_type,
        "data_type",
        [
            "TRADES",
            "MIDPOINT",
            "BID",
            "ASK",
            "BID_ASK",
            "ADJUSTED_LAST",
            "HISTORICAL_VOLATILITY",
            "OPTION_IMPLIED_VOLATILITY",
            "REBATE_RATE",
            "FEE_RATE",
            "YIELD_BID",
            "YIELD_ASK",
            "YIELD_BID_ASK",
            "YIELD_LAST",
        ],
    )


def main():

    now = datetime.now()

    class DateAction(argparse.Action):
        """Parses date strings."""

        def __call__(
            self,
            parser: argparse.ArgumentParser,
            namespace: argparse.Namespace,
            value: str,
            option_string: str = None,
        ):
            """Parse the date."""
            setattr(namespace, self.dest, parse(value))

    argp = argparse.ArgumentParser()
    argp.add_argument("symbol", nargs="+")
    argp.add_argument(
        "-d", "--debug", action="store_true", help="turn on debug logging"
    )
    argp.add_argument(
        "--logfile", help="log to file"
    )
    argp.add_argument(
        "-p", "--port", type=int, default=7496, help="local port for TWS connection"
    )
    argp.add_argument("--size", type=str, default="1 min", help="bar size")
    argp.add_argument("--duration", type=str, default="1 D", help="bar duration")
    argp.add_argument(
        "-t", "--data-type", type=str, default="TRADES", help="bar data type"
    )
    argp.add_argument(
        "--base-directory",
        type=str,
        default="data",
        help="base directory to write bar files",
    )
    argp.add_argument(
        "--currency", type=str, default="USD", help="currency for symbols"
    )
    argp.add_argument(
        "--exchange", type=str, default="SMART", help="exchange for symbols"
    )
    argp.add_argument(
        "--localsymbol", type=str, default="", help="local symbol (for futures)"
    )
    argp.add_argument(
        "--security-type", type=str, default="STK", help="security type for symbols"
    )
    argp.add_argument(
        "--start-date",
        help="First day for bars",
        default=now - timedelta(days=2),
        action=DateAction,
    )
    argp.add_argument(
        "--end-date", help="Last day for bars", default=now, action=DateAction,
    )
    argp.add_argument(
        "--max-days", help="Set start date to earliest date", action="store_true",
    )
    args = argp.parse_args()

    logargs = dict(format='%(asctime)s,%(msecs)d %(name)s %(levelname)s %(message)s',
                   datefmt='%H:%M:%S')
    if args.debug:
        logargs['level'] = logging.DEBUG
    else:
        logargs['level'] = logging.INFO

    if args.logfile:
        logargs['filemode'] = 'a'
        logargs['filename'] = args.logfile

    logging.basicConfig(**logargs)

    try:
        validate_duration(args.duration)
        validate_size(args.size)
        args.data_type = args.data_type.upper()
        validate_data_type(args.data_type)
    except ValidationException as ve:
        print(ve)
        sys.exit(1)

    logging.debug(f"args={args}")
    contracts = []
    for s in args.symbol:
        contract = make_contract(s, args.security_type, args.currency, args.exchange, args.localsymbol)
        contracts.append(contract)
        os.makedirs(make_download_path(args, contract), exist_ok=True)
    app = DownloadApp(contracts, args)
    app.connect("127.0.0.1", args.port, clientId=0)

    app.run()


if __name__ == "__main__":
    main()

This is a great project - thank you.

I do have a bit of a glitch. I am downloading 15 second data for ES futures. The Dec'15 2023 expiry. I get lots of data, but not full days of data. With my TWS set to use New York time, and example is I get a file called 20230830.csv. It contains data from 20230830 18:00:00 to 20230830 23:59:45. I used the command below.

python download_bars.py --size "15 secs" --start-date 20230820 --end-date 20230901 --exchange CME --security-type FUT --localsymbol ESU3 ES

The output in the Python console relating to 20230830 is below. It looks like (2nd last line below) it requested 24 hours of data ending at the start of 20230830.

16:01:18,273 ibapi.client INFO REQUEST reqHistoricalData {'reqId': 4, 'contract': 2534678494944: 0,ES,FUT,,0.0,,,CME,,USD,ESU3,,True,,combo:, 'endDateTime': '20230830 00:00:00', 'durationStr': '1 D', 'barSizeSetting': '15 secs', 'whatToShow': 'TRADES', 'useRTH': 0, 'formatDate': 1, 'keepUpToDate': False, 'chartOptions': []}
16:01:18,274 ibapi.client INFO SENDING reqHistoricalData b'\x00\x00\x00R20\x004\x000\x00ES\x00FUT\x00\x000.0\x00\x00\x00CME\x00\x00USD\x00ESU3\x00\x001\x0020230830 00:00:00\x0015 secs\x001 D\x000\x00TRADES\x001\x000\x00\x00'
16:01:18,491 ibapi.wrapper INFO ANSWER historicalDataEnd {'reqId': 4, 'start': '20230829 00:00:00', 'end': '20230830 00:00:00'}
All requests for 2023-08-30 00:00:00 complete.

Am I requesting too much data? Maybe getting a UTC time mixed in there too?

TIA.

EDIT: When I request "5 mins" data I get the same 18:00:00 start, and end at 23:55:00. So possibly it the query format, not the amount of data requested.

@t-ara-fan Sorry for the super late reply, cleaning out my inbox. I believe this issue is taken care of in the version in the full project. It could be a UTC issue. But if it still is not working with that version, you can make an issue there. I haven't had any time to use this project in a while, but at least it's worth a try if you're interested.

I still receive an error:
Warning: This script does not work with IBPy versions below 10: 9.81.1-1
Please upgrade to version 10 of IBPy, you can download it from https://interactivebrokers.github.io.

I do have latest IBPy, but the version of ibapi is 9.81.1-1. Who faced with the same issue?

Latest version of TWS stable linked above is 10.19. This code won't work correctly with 9.81.1-1. Did you try downloading and updating the API from https://interactivebrokers.github.io?

Hi, wrighter, thanks for the prompt reply. What I did:

1. Install TWS API through msi setup
2. Create virutal env as you suggested
3. Tried to execute your scipt, and it threw such an error

The problem is here
version = ibapi.version
print(version)
9.81.1-1

can't understand how to install latest ibapi.

@MrBolt177 I'd recommend reading https://www.wrighters.io/how-to-connect-to-interactive-brokers-using-python/ or the official documentation here: https://ibkrcampus.com/ibkr-api-page/trader-workstation-api/ . Also note that you should probably be running the code that's https://github.com/wrighter/ib-scripts, not the version here since this code is older.

Hey! So, I managed to create a wheel, install the wheel, but still have an error on old library.
(ib_env) D:\Trading\US Stocks\IB_data>python -m pip install --user --upgrade C:\TWS_API\source\pythonclient\dist\ibapi-10.19.2-py3-none-any.whl
Processing c:\tws_api\source\pythonclient\dist\ibapi-10.19.2-py3-none-any.whl
Installing collected packages: ibapi
Successfully installed ibapi-10.19.2

(ib_env) D:\Trading\US Stocks\IB_data>download_bars.py --max-days --size '1 day' AAPL
Warning: This script does not work with IBPy versions below 10: 9.76.1
Please upgrade to version 10 of IBPy, you can download it from https://interactivebrokers.github.io.

Don't understand how it might be possible?

Running into the same issue, pyproject.toml generates a requirements.txt file that has ibapi==9.81.1.post1 by default but when you try to run the script it throws the warning,

Warning: This script does not work with IBPy versions below 10: 9.81.1-1
Please upgrade to version 10 of IBPy, you can download it from https://interactivebrokers.github.io.

Tried reinstalling ibapi==10.19.4 but it did not run with the same error message