IB bug fixes (#1302)

- Fix data fetch with `PriceType.LAST` for Crypto - Add `async-timeout` package - Make `request_timeout` configurable
nautechsystems · Oct 24, 2023 · 035b4fa · 035b4fa
1 parent 6924465
commit 035b4fa
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Showing 4 changed files with 21 additions and 12 deletions.
diff --git a/nautilus_trader/adapters/interactive_brokers/client/client.py b/nautilus_trader/adapters/interactive_brokers/client/client.py
@@ -1107,7 +1107,7 @@ async def get_historical_bars(
                     endDateTime=end_date_time,
                     durationStr=duration,
                     barSizeSetting=bar_size_setting,
-                    whatToShow=what_to_show[bar_type.spec.price_type],
+                    whatToShow=what_to_show(bar_type),
                     useRTH=use_rth,
                     formatDate=2,
                     keepUpToDate=False,
@@ -1192,7 +1192,7 @@ async def subscribe_historical_bars(
             endDateTime="",
             durationStr=timedelta_to_duration_str(duration),
             barSizeSetting=bar_size_setting,
-            whatToShow=what_to_show[bar_type.spec.price_type],
+            whatToShow=what_to_show(bar_type),
             useRTH=use_rth,
             formatDate=2,
             keepUpToDate=True,
@@ -1395,7 +1395,7 @@ async def subscribe_realtime_bars(
                     reqId=req_id,
                     contract=contract,
                     barSize=bar_type.spec.step,
-                    whatToShow=what_to_show[bar_type.spec.price_type],
+                    whatToShow=what_to_show(bar_type),
                     useRTH=use_rth,
                     realTimeBarsOptions=[],
                 ),

diff --git a/nautilus_trader/adapters/interactive_brokers/historic/bar_data.py b/nautilus_trader/adapters/interactive_brokers/historic/bar_data.py
@@ -39,6 +39,7 @@ class BarDataDownloaderConfig(ActorConfig):
     bar_types: list[str]
     handler: Callable
     freq: str = "1W"
+    request_timeout: int = 30
 
 
 class BarDataDownloader(AsyncActor):
@@ -67,7 +68,7 @@ async def _on_start(self):
         instrument_ids = {bar_type.instrument_id for bar_type in self.bar_types}
         for instrument_id in instrument_ids:
             request_id = self.request_instrument(instrument_id)
-            await self.await_request(request_id)
+            await self.await_request(request_id, timeout=self.config.request_timeout)
 
         request_dates = list(pd.date_range(self.start_time, self.end_time, freq=self.freq))
 
@@ -78,7 +79,7 @@ async def _on_start(self):
                     start=request_date,
                     end=request_date + pd.Timedelta(self.freq),
                 )
-                await self.await_request(request_id)
+                await self.await_request(request_id, timeout=self.config.request_timeout)
 
         self.stop()
 

diff --git a/nautilus_trader/adapters/interactive_brokers/parsing/data.py b/nautilus_trader/adapters/interactive_brokers/parsing/data.py
@@ -20,6 +20,7 @@
 from nautilus_trader.core.datetime import nanos_to_secs
 from nautilus_trader.model.data import BarAggregation
 from nautilus_trader.model.data import BarSpecification
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import BookAction
 from nautilus_trader.model.enums import OrderSide
 from nautilus_trader.model.enums import PriceType
@@ -44,12 +45,18 @@
     4: "MidPoint",
 }
 
-what_to_show = {
-    PriceType.ASK: "ASK",
-    PriceType.BID: "BID",
-    PriceType.LAST: "TRADES",
-    PriceType.MID: "MIDPOINT",
-}
+
+def what_to_show(bar_type: BarType) -> str:
+    mapping = {
+        PriceType.ASK: "ASK",
+        PriceType.BID: "BID",
+        PriceType.LAST: "TRADES",
+        PriceType.MID: "MIDPOINT",
+    }
+    if str(bar_type.instrument_id.venue) == "PAXOS" and bar_type.spec.price_type == PriceType.LAST:
+        return "AGGTRADES"
+    else:
+        return mapping[bar_type.spec.price_type]
 
 
 def generate_trade_id(ts_event: int, price: float, size: Decimal) -> TradeId:

diff --git a/pyproject.toml b/pyproject.toml
@@ -68,13 +68,14 @@ uvloop = {version = "^0.19.0", markers = "sys_platform != 'win32'"}
 hiredis = {version = "^2.2.3", optional = true}
 redis = {version = "^5.0.1", optional = true}
 docker = {version = "^6.1.3", optional = true}
+async-timeout = "^4.0.3"
 nautilus_ibapi = {version = "==1019.1", optional = true}  # Pinned for stability
 betfair_parser = {version = "==0.7.1", optional = true}  # Pinned for stability
 
 [tool.poetry.extras]
 betfair = ["betfair_parser"]
 docker = ["docker"]
-ib = ["nautilus_ibapi"]
+ib = ["nautilus_ibapi", "async-timeout"]
 redis = ["hiredis", "redis"]
 
 [tool.poetry.group.dev]