trying to get reqMktData working with CONTFUT but getting Error 321

[ghost]

Have added contractDetails and contractDetailsEnd to Wrap. I am trying to fill out the contract with the current ES contract using reqContractDetails to get the latest contract as reqMktData doesn't allow "CONTFUT" . I want to replicate what I see on the TWS desktop watchlist and the below is the workaround. It will work in python but not in MY (noob) julia code, so I'm trying to figure out where I am going wrong. Any help would be appreciated.

Wrap = Jib.Wrapper(
         # These events are always sent
         error= (id, errorCode, errorString, advancedOrderRejectJson) -> println("DJ Error: $(something(id, "NA")) $errorCode $errorString $advancedOrderRejectJson"),
         nextValidId= (orderId) -> println("Next OrderId: $orderId"),
         managedAccounts= (accountsList) -> println("Managed Accounts: $accountsList"),


         contractDetails = function(reqId, contractDetails)
                            println(" DJ contractDetails: $reqId $(contractDetails.contract.conId) $(contractDetails.contract.localSymbol)")
                           end,

         contractDetailsEnd= function(reqId)
                             println("contractDetailsEnd: $reqId")
                             end

        )

   Jib.reqContractDetails(ib,idx,contract)
         
   Jib.reqMktData(ib, idx, contract, "", false)

but I'm getting these errors. Note the reqContractDetails seems to work. I am calling for both ES and CL.

contractDetails: 1 461318816 ESH2
┌ Info: undefined callback
└   name = :contractDetailsEnd
DJ Error: 1 321 Error validating request.-'bW' : cause - Please enter a valid security type 
contractDetails: 2 256019299 CLJ2
┌ Info: undefined callback
└   name = :contractDetailsEnd
DJ Error: 2 321 Error validating request.-'bW' : cause - Please enter a valid security type 

[lbilli]

It's not clear how you define the contracts.
There are many fields that can be used to identify contracts; not all combinations are valid.
Using infos from ContractDetails, these work:

Jib.reqMktData(ib, 1, Jib.Contract(conId=461318816, exchange="GLOBEX"), "", false)
Jib.reqMktData(ib, 2, Jib.Contract(conId=256019299, exchange="NYMEX"), "", false)

[ghost]

OOP! sorry I didn't make that clear. Here's the loop

for (idx, s) in enumerate(eachrow(symbol_list))

    contract = Jib.Contract(symbol=s.Sym, secType="CONTFUT" , exchange=s.exchange , currency="USD")
   
    println("sending | " , contract ) 
    
    Jib.reqContractDetails(ib,idx,contract)
         
    Jib.reqMktData(ib, idx, contract, "", false)
end

Please remember I want to get the CURRENT contract hence the call to reqContractDetails which returns the current conID.

sending these contracts to reqContractDetails to get the CURRENT contract ESH2 in this case.

sending | Jib.Contract(0, "ES", "CONTFUT", "", 0.0, "", "", "GLOBEX", "", "USD", "", "", false, "", "", "", Jib.ComboLeg[], nothing)
sending | Jib.Contract(0, "CL", "CONTFUT", "", 0.0, "", "", "NYMEX", "", "USD", "", "", false, "", "", "", Jib.ComboLeg[], nothing)

and the callback is getting

DJ contractDetails: 1 461318816 ESH2
DJ contractDetails: 2 256019299 CLJ2

So I completely misunderstood what the requirements of reqMktData are. I thought that the returned contract from reqContractDetails could be submitted and all would be well as it returns the correct conID and the exchange was already populated by me. That's what confused me. I thought it WAS constructing a call of the form

Jib.reqMktData(ib, 1, Jib.Contract(conId=461318816, exchange="GLOBEX"), "", false)

I'll go back and figure out where I was wrong. I wanted to make sure that I hadn't messed up the callback in Wrap.

[ghost]

Hi there,
I "THOUGHT" I had this figured out but I haven't. Basically my approach to get the active ES contract id using Jib.reqContractDetails works but it doesn't behave the way I would have thought it would. Wrap gets the correct conId Jib.Contract(461318816 ...) but does NOT return it to the global memory space. Here's what I see happening

sending to Jib.reqContractDetails(ib,idx,contract)  |

Jib.Contract(0, "ES", "CONTFUT", "", 0.0, "", "", "GLOBEX", "", "USD", "", "", false, "", "", "", Jib.ComboLeg[], nothing)

the callback is triggered inside wrap NOTE the correct conId Jib.Contract(461318816...)

 DJ contract INSIDE wrap the contractDetails:

1 Jib.ContractDetails(Jib.Contract(461318816, "ES", "CONTFUT", "20220318 08:30 CST", 0.0, "", "50", "GLOBEX", "", "USD", "ESH2", "ES", false, "", "", "", Jib.ComboLeg[], nothing), "ES", 0.25, "ACTIVETIM,AD,ADJUST,ALERT,ALGO,ALLOC,AVGCOST,BASKET,BENCHPX,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,GAT,GTC,GTD,GTT,HID,ICE,IOC,LIT,LMT,LTH,MIT,MKT,MKTPROT,MTL,NGCOMB,NONALGO,OCA,PEGBENCH,RFQ,SCALE,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,STPPROT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,WHATIF", "GLOBEX,QBALGO", 1, 11004968, "E-mini S&P 500", "202203", "", "", "", "US/Central", "20220313:1700-20220314:1600;20220314:1700-20220315:1600;20220315:1700-20220316:1600;20220316:1700-20220317:1600;20220317:1700-20220318:0830", "20220314:0830-20220314:1600;20220315:0830-20220315:1600;20220316:0830-20220316:1600;20220317:0830-20220317:1600;20220318:CLOSED", "", nothing, nothing, "ES", "IND", "67,67", "20220318", "", "", 1.0, 1.0, 1.0, NamedTuple(), "", "", "", "", "", false, false, nothing, false, "", "", "", "", false, "")

BUT here's the incorrect call to Jib.reqMktData(ib, idx, contract, "", false) using the OLD contract

DJ contract after wrap reqContractDetails : Jib.Contract(0, "ES", "CONTFUT", "", 0.0, "", "", "GLOBEX", "", "USD", "", "", false, "", "", "", Jib.ComboLeg[], nothing)

I thought wrap was updating the global memory so the contract should retain the correct conId and so I would pass the correct one onto reqMktData. What am I missing please?

[lbilli]

It's not clear what Wrap.contractDetails() does exactly in this example.

Anyway, in the following pattern:

for (idx, s) in ...
    contract = Jib.Contract(...)
    Jib.reqContractDetails(ib, idx, contract)
    Jib.reqMktData(ib, idx, contract, "", false)
end

there is only one contract and it is fed to both reqContractDetails() and reqMktData().
reqContractDetails() doesn't return anything and doesn't change its arguments nor any sorrounding variables.

Also, the communication with TWS happens asynchronously, i.e.: Wrap.contractDetails() is called only when TWS responses are received and you don't have any control on when, if or how many times it is ever executed.
If it is indeed executed that happens in a different context/task/thread than the loop above.

In the code above, reqMktData() is executed sequentially right after reqContractDetails(), well before any response from TWS is even received.

You might want to revisit this example as a template on how to feed data from TWS responses into the main program.

[ghost]

Hi there
thank you for sticking with me on this. I know you were busy with the new release ( already updated :-). Your initial example was perfect for all my other ideas "STK:IND" and I thank you for that but for "FUT" the issue of a SINGLE conId is raised. The call to reqContractDetails returns a single ( front month) conId which is what I want to build out the call to reqMktData.

the intent of the loop ( in pseudocode below) is to get the current front month for a future and get a stream of data for it going.

get the next symbol
create a "CONTFUT" contract for the symbol 
send the contract to reqContractDetails which would populate the contract witth the conId of the front month (single) contract
send the UPDATED contract to reqMktData using the conId from reqContractDetails.
repeat loop until all symbols processed.

that's what I was trying to do in my wrap

wrap = Jib.Wrapper(
         # These events are always sent
         error= (id, errorCode, errorString, advancedOrderRejectJson) -> println("DJ Error: $(something(id, "NA")) $errorCode $errorString $advancedOrderRejectJson"),
         nextValidId= (orderId) -> println("Next OrderId: $orderId"),
         managedAccounts= (accountsList) -> println("Managed Accounts: $accountsList"),

         # Market Data specific events
         tickPrice= function(tickerId, field, price, size, attrib)
                    
                      #    ONLY WANT LAST "mdata[symbol_list[tickerId]][field] = price


                      if field == "LAST"

                         println("last detected for ===> ",tickerId ," | ", symbol_list[tickerId,:Sym]," | ", price)
                         
                         stk_send_msg = "LAST~" * string(tickerId) * "~" * symbol_list[tickerId,:Sym]* "~" * string(price) # sending TYPE~tickerId~SYMBOL~VALUE to STK socket 
   
                         ZMQ.send(stk_socket, stk_send_msg) 

                      elseif field == "CLOSE"

                         println("CLOSE detected for ===> ",tickerId ," | ", symbol_list[tickerId,:Sym]," | ", price)
                         
                         stk_send_msg = "CLOSE~" * string(tickerId) * "~" * symbol_list[tickerId,:Sym]* "~" * string(price) # sending TYPE~tickerId~SYMBOL~VALUE to STK socket 
   
                         ZMQ.send(stk_socket, stk_send_msg)
                                
        
                      end
   
                    end,

         tickSize= function(tickerId, field, size)

                     println("tickSize callback detected for ===> ",tickerId ," | ", symbol_list[tickerId,:Sym]," | ", field  ," | ",size )
                    
                     if field == "VOLUME"

                        println("VOLUME detected for   ===> ",tickerId ," | ", symbol_list[tickerId,:Sym]," | ",size )

                        stk_send_msg = "VOLUME~" * string(tickerId) * "~" *  symbol_list[tickerId,:Sym]* "~" * string(size) # sending TYPE~tickerId~SYMBOL~VALUE to STK socket 
 
                        ZMQ.send(stk_socket, stk_send_msg)           

                     end

                   end,

         tickGeneric= function(tickerId, tickType, value)
                        #    ONLY WANT LAST mdata[symbol_list[tickerId]][tickType] = value
                              println("tickGeneric: ", tickerId," ",symbol_list[tickerId,:Sym]," tickType ",tickType," value ",value)

                        stk_send_msg = "IV~" * string(tickerId) * "~" * symbol_list[tickerId,:Sym]* "~" * tickType * "~" * string(value) # sending TYPE~tickerId~SYMBOL~VALUE to STK socket 

                        ZMQ.send(stk_socket, stk_send_msg)

                      end,

         tickString= function(tickerId, tickType, value)
                       # ONLY WANT LAST  mdata[symbol_list[tickerId]][tickType] = value
                       #       println("tickString: ", tickerId," ",symbol_list[tickerId,:Sym]," value ",value)

                     end,

         marketDataType= function(reqId, marketDataType)
                           # Do nothing
                         end,

         tickReqParams= function(tickerId, minTick, bboExchange, snapshotPermissions)
                          # Do nothing
                        end,

         contractDetails = function(reqId, contractDetails)

                           println(" DJ INSIDE wrap the contractDetails:", contractDetails) 

                           #println(" DJ inside wrap the contractDetails: $reqId $(contractDetails.contract.conId) $(contractDetails.contract.localSymbol)")
                           end,

         contractDetailsEnd= function(reqId)
                             println("contractDetailsEnd: $reqId")
                             end

        )

and it "seemed" to work in principal using vscode.

so my intent was to create the call to reqMktData but for ONLY the front month. I "think" I see what might be happening thanks to your explanation. I didn't account for the asynch so maybe if I waited for the contractDetailsEnd callback before the call to reqMktData?