I attempted to create a History DB bundle from an existing IBKR historical database for FXEURUSD. I don't see any calendar related to IBKR. And FXEURUSD i trade with Idealpro exchange. Which calendar should I use to create this bundle?
from quantrocket.zipline import create_bundle_from_db
create_bundle_from_db("eurusd-1d-history-bundle", from_db="ibkr-fx-eurusd-1d-history", calendar="?", start_date="2017-01-01")
24/5 would probably be the best choice.
Thank you, Brian, for helping me with the calendar. Now, I'm encountering another error while ingesting the bundle. The error is as follows:
2024-07-02 13:00:36 quantrocket.zipline: ERROR eurusd-1d-history-bundle bundle ingestion failed: Multiple currencies in the same bundle are not supported (found currencies CAD, CHF, CNH, HKD, JPY, NZD, SGD, USD, ZAR, CZK, DKK, HUF, NOK, PLN, SEK, TRY, AED, AUD, GBP, ILS, MXN, RUB, SAR, EUR, BGN, KRW, RON)
I'm not sure why this error is occurring because the history database consists of only one currency exchange, which is FXEURUSD. How can I rectify this error? Below is the code I used to create and ingest the bundle:
from quantrocket.zipline import create_bundle_from_db create_bundle_from_db("eurusd-1d-history-bundle", from_db="ibkr-fx-eurusd-1d-history", calendar="24/5", start_date="2017-01-01")
from quantrocket.zipline import ingest_bundle ingest_bundle("eurusd-1d-history-bundle")