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useRTH=False doesn't show post-market trades

Open NumberChiffre opened this issue 9 months ago • 2 comments

Hey guys,

I'm trying to grab data outside of RTH for SPY, so I'd expect pre-market and post-market data, but I can only see pre-market data. Is there a way to include post-market data which should go from 4-8PM EST?

If there's a forum that lets people post questions like these, please share it here and I'll follow up there!

symbol = "SPY"
contract = Stock(symbol, "SMART", "USD")
bars = ib.reqHistoricalData(
    contract,
    endDateTime='',
    durationStr="1 D",
    barSizeSetting="1 min",
    whatToShow="TRADES",
    useRTH=False,
    formatDate=1,
)
                             open    high     low   close   volume  average  \
date                                                                          
2024-05-28 04:00:00-04:00  236.88  236.99  234.39  234.39   1651.0  235.718   
2024-05-28 04:01:00-04:00  234.50  234.80  234.31  234.31   1218.0  234.483   
2024-05-28 04:02:00-04:00  234.12  234.60  233.65  233.65   1630.0  234.104   
2024-05-28 04:03:00-04:00  234.00  234.40  233.65  233.65    836.0  234.047   
2024-05-28 04:04:00-04:00  233.65  233.65  233.65  233.65      0.0  233.650   
...                           ...     ...     ...     ...      ...      ...   
2024-05-28 15:55:00-04:00  245.51  245.53  244.38  244.56  62659.0  244.784   
2024-05-28 15:56:00-04:00  244.64  244.93  244.58  244.91  36765.0  244.793   
2024-05-28 15:57:00-04:00  244.93  245.07  244.74  244.87  51299.0  244.895   
2024-05-28 15:58:00-04:00  244.89  244.91  244.26  244.26  67822.0  244.530   
2024-05-28 15:59:00-04:00  244.26  245.15  244.24  245.10  92951.0  244.723   

                           barCount  
date                                 
2024-05-28 04:00:00-04:00        11  
2024-05-28 04:01:00-04:00         8  
2024-05-28 04:02:00-04:00         9  
2024-05-28 04:03:00-04:00         8  
2024-05-28 04:04:00-04:00         0  
...                             ...  
2024-05-28 15:55:00-04:00       416  
2024-05-28 15:56:00-04:00       292  
2024-05-28 15:57:00-04:00       326  
2024-05-28 15:58:00-04:00       374  
2024-05-28 15:59:00-04:00       617  

[720 rows x 7 columns]

NumberChiffre avatar May 29 '24 05:05 NumberChiffre