The IBKR API has (silently) changed how it interprets duration strings of "1 W". Previously a full week of data was returned but now the IBKR API only returns data through the 5:15 PM start of the FX trading session that occurred 7 days ago. For example, for a request for “1 W” of bars ending on 2021-05-17 at 23:59:00:
|
First bar |
Last bar |
| Previous IBKR API behavior |
2021-05-11 00:00:00 |
2021-05-17 23:59:00 |
| New IBKR API behavior |
2021-05-11 17:15:00 |
2021-05-17 23:59:00 |
Which means part of 2021-05-11 is missing. Durations of "1 M" (1 month) are also affected. A similar issue occurred last year with daily bars and was addressed at that time. (Silent API changes are not uncommon with IBKR.)
The solution is to tell the IBKR API you want “7 D” of bars instead of “1 W”, as it correctly interprets “7 D” without the truncation behavior.
This will be fixed in an upcoming patch release, but you can force the behavior now by adding one or more of the following environment variables (depending on your desired bar size) to the history service in your docker-compose.yml:
history:
environment:
IB_DURATION_1_MIN: '7 D'
IB_DURATION_2_MINS: '7 D'
IB_DURATION_3_MINS: '7 D'
IB_DURATION_5_MINS: '7 D'
IB_DURATION_10_MINS: '7 D'
IB_DURATION_15_MINS: '20 D'
IB_DURATION_20_MINS: '20 D'
IB_DURATION_30_MINS: '20 D'
IB_DURATION_1_HOUR: '20 D'
IB_DURATION_2_HOURS: '20 D'
IB_DURATION_3_HOURS: '20 D'
IB_DURATION_4_HOURS: '20 D'
IB_DURATION_8_HOURS: '20 D'
We will also add a calendar test case for intraday FX to spot missing bars going forward. (We run calendar-based missing bar tests for a selection of IBKR asset classes and bar sizes, but not for every combination due to the large number of combinations.)
