Hey everyone, I’m struggling with collecting option chain information via collect_ibkr_option_chains. Here’s a code snippet below:
from quantrocket.master import download_master_file, collect_ibkr_option_chains import io f = io.StringIO() download_master_file(f, sec_types=["ETF"], symbols=["SPY"]) collect_ibkr_option_chains(infilepath_or_buffer=f)
and in the log, I see:
2021-03-10 03:44:36 quantrocket.master: INFO Requesting option strike prices and expiries for sids FIBBG000BDTBL9 2021-03-10 03:44:37 quantrocket.master: WARNING ibg1 client 5092 got IBKR error code 320: Error reading request.Message id 0. Unable to parse data. java.lang.NumberFormatException: For input string: "nan" 2021-03-10 03:45:38 quantrocket.master: ERROR Requested option params for 1 underlyings but got IB API responses for only 0 (missing: nan) 2021-03-10 03:45:38 quantrocket.master: WARNING No option chains found for sids FIBBG000BDTBL9
I see similar results with other symbols/securities as well. Does anyone know what I am doing in correctly? Many thanks!