Hello,
I’m trying to get 10 years of 15min historical data for continuous futures contracts from IBKR using the .reqHistoricalData(…) method. But I’m facing some problems.
When I ask for the whole history in a single request I get a timeout error due to the number of requests.
But when I try to request it in chunks, moving backwards using the endDateTime=‘’ " parameter I get the error:
Error 10339, reqId 85: Setting end date/time for continuous future security type is not allowed
Is there a way I can achieve this?
Hi Santiago,
One way to achieve this can be manually constructing a continuous time series by aggregating data from individual expired futures contracts. Use reqContractDetails() with a defined Contract object (including includeExpired=True) to obtain all related futures contracts. For each contract, create a new Contract object, set includeExpired=True, and use reqHistoricalData() to fetch 15-minute interval data. Finally, aggregate the data chronologically, handling rollovers.
However, there might be other approaches to do the same for which I would suggest you to reach out to the IBKR support team here and they might be able to help you with the same.