We found the following issue while we were getting VIX (ConId=13455763) historical 1 day data with Interactive Brokers:
We are executing a code similar to the following:
create_db(db_name, conids=, bar_size="1 day") collect_history(db_name) wait_for_collections(db_name) download_history_file(db_name, filepath_or_buffer=outfilepath)
But 2016-07-15 date is missing from the result data. The final raw data, just after download_history_file, looks like:
As you can see 2016-07-15 is missing from the result. This execution was made at 2020-07-14 04:30 and again at 10:00 with the same result (US/Eastern).
According to the trading calendar does not look a non-trading day.
We also downloaded the same data from IB directly and this date is not missing there. Another providers like YahooFinance contain this date too.
We are downloading this data daily (4:00 US/Eastern) and we found that yesterday (2020-07-13) file contains this date.
Any explanation for this?