IB API - Cancel historic market data request if no data received

Question

I am doing historic market data requests for several stocks. I often get the problem, that my loop through a ticker id list stops at a certain point and doesn't go any further. There is also no error code received that I could react on in this specific case.

My code is the following:

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.common import BarData

for i in range(len(df)):

        class MyWrapper(EWrapper):

            def nextValidId(self, orderId:int):
                self.nextValidOrderId = orderId
                self.start()

            def historicalData(self, reqId:int, bar: BarData):
                print("HistoricalData. ReqId:", reqId, "BarData.", bar)

            def error(self, reqId, errorCode, errorString):

                print("Error. Id: " , reqId, " Code: " , errorCode , " Msg: " , errorString)

                if errorCode == 200 or errorCode == 162:
                    app.disconnect()

            def historicalDataEnd(self, reqId: int, start: str, end: str):
                app.disconnect()

            def start(self):
                queryTime = df.iloc[i]["Date"]
                contract = Contract()
                contract.symbol = df.iloc[i]["IBS"]
                contract.secType = 'STK'
                contract.exchange = 'IBIS'
                contract.currency = "EUR"

                app.reqHistoricalData(4102, contract, queryTime,"1 D", "1 day", "MIDPOINT", 1, 1, False, [])

        app = EClient(MyWrapper())
        app.connect("127.0.0.1", 7497, clientId=123) 
        app.run() 

I figured out the problem may be, that I queried historic data for a stock earlier in time than it is available. An example for this is the ticker ID "14D1" with historic data of the day 08/20/2021 (20. Aug. 2021). In TWS I see that there is no historic data earlier than 10/05/2021 but I dont get an error message when requesting data ealier than this data, the code just runs forever without a result.

Since I can't react to any error message given, I think I need something that allows my code to proceed to the next ticker ID in the dataframe if the code takes for a ticker too long (like more than a few seconds). Or a command to receive the latest historic data point for a stock so I could adapt my queryTime request.

Any help here would be massively appreciated!

Answer 1

I think I figured out a solution for this problem:

In the IB APU there is a function available that gives you the last available data point of a stock. You can find it here:

https://interactivebrokers.github.io/tws-api/head_timestamp.html#reqHeadTimeStamp

It allows you to skip a stock that has no data for your requested date which is exactly what I need.