Interactive Brokers request_bars issue for CONTFUT

[tomek-r]

Bug Report

When trying to get historical data for CONTFUT asset type, like ES, IB returns error:

[ERROR] TRADER-000.InteractiveBrokersClient-005: Setting end date/time for continuous future security type is not allowed. (code: 10339, req_id=10004).

Expected Behavior

I can download historical data without being forced to specify end_date_time

end_date_time should be optional.

Actual Behavior

Steps to Reproduce the Problem

Try:

import asyncio
import datetime

from nautilus_trader.adapters.interactive_brokers.common import IBContract
from nautilus_trader.adapters.interactive_brokers.historical import HistoricInteractiveBrokersClient

contract = IBContract(
    secType="CONTFUT",
    symbol="NQ",
    exchange="CME",
)

client = HistoricInteractiveBrokersClient(host=host, port=port, client_id=5)
await client.connect()
await asyncio.sleep(2)

instruments = await client.request_instruments(
    contracts=[contract]
)

bars = await client.request_bars(
   bar_specifications=["1-MINUTE-LAST"],
   end_date_time=datetime.datetime(2025, 5, 8),
   duration='1 D',
   tz_name="US/Central",
   contracts=[contract]
)

Try to omit the end_date_time like:

bars = await client.request_bars(
    bar_specifications=["1-MINUTE-LAST"],
    end_date_time='', # or None
    duration='1 D',
    tz_name="US/Central",
    contracts=[contract]
)

You will see a crash in the console.

    endDateTime=end_date_time.strftime("%Y%m%d %H:%M:%S %Z"),
                ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "nattype.pyx", line 54, in pandas._libs.tslibs.nattype._make_error_func.f
ValueError: NaTType does not support strftime

It is related to #2570

Specifications

• OS platform: Mac
• Python version: 3.12.10
• nautilus_trader version: 1.216.0

[FGU1]

The reason of this issue is a change in IB API behavior since 10.30
https://www.interactivebrokers.com/campus/ibkr-api-page/tws-api-changelog-2/

July 8, 2024

updateIBKR TWS API
Please be aware that endDateTime must be left as an empty string when requesting continuous futures contracts when using the TWS API with Trader Workstation or IB Gateway releases of 10.30 and above.

NT code will have to be modified accordingly.

[faysou]

Fixed in my PR, also works with instrument ids like ES.CME or ES.XCME. This was really hard to fix, something that helps though is that it's easy to debug the IB adapter as it's in python.
#2647