Fix request tickdata realtime exception (#96)

* Fix broken example.

* Change bid ask sizes in bid ask ticks to floats.

Author: chipkent

examples/example_all_functionality.py

@@ -90,22 +90,23 @@ def get_contracts() -> Dict[str, Contract]:
     contract.secType = "FUT"
     contract.exchange = "GLOBEX"
     contract.currency = "USD"
-    contract.lastTradeDateOrContractMonth = "202209"
+    contract.lastTradeDateOrContractMonth = "202212"
     rst["future_1"] = contract
 
+    # find more contracts at https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.quotes.html
     contract = Contract()
     contract.secType = "FUT"
     contract.exchange = "GLOBEX"
     contract.currency = "USD"
-    contract.localSymbol = "MESU2"
+    contract.localSymbol = "ESZ2"
     rst["future_2"] = contract
 
     contract = Contract()
     contract.symbol = "DAX"
     contract.secType = "FUT"
     contract.exchange = "EUREX"
     contract.currency = "EUR"
-    contract.lastTradeDateOrContractMonth = "202209"
+    contract.lastTradeDateOrContractMonth = "202212"
     contract.multiplier = "1"
     rst["future_3"] = contract
 
@@ -357,8 +358,8 @@ def get_contracts() -> Dict[str, Contract]:
                                bar_type=dhib.BarDataType.ASK)
 client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
                                bar_type=dhib.BarDataType.BID_ASK, keep_up_to_date=False)
-client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
-                               bar_type=dhib.BarDataType.AGGTRADES)
+# client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
+#                                bar_type=dhib.BarDataType.AGGTRADES)
 client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
                                bar_type=dhib.BarDataType.ADJUSTED_LAST, keep_up_to_date=False)
 
@@ -482,7 +483,7 @@ def get_contracts() -> Dict[str, Contract]:
 order.action = "BUY"
 order.orderType = "LIMIT"
 order.totalQuantity = 1
-order.lmtPrice = 3000
+order.lmtPrice = 100
 
 print("Placing order: START")
 client.order_place(rc, order)
@@ -493,7 +494,7 @@ def get_contracts() -> Dict[str, Contract]:
 order.action = "BUY"
 order.orderType = "LIMIT"
 order.totalQuantity = 1
-order.lmtPrice = 2600
+order.lmtPrice = 90
 
 print("Placing order: START")
 client.order_place(rc, order)
@@ -504,7 +505,7 @@ def get_contracts() -> Dict[str, Contract]:
 order.action = "BUY"
 order.orderType = "LIMIT"
 order.totalQuantity = 1
-order.lmtPrice = 2700
+order.lmtPrice = 91
 
 print("Placing order: START")
 req = client.order_place(rc, order)

examples/example_read_only_functionality.py

@@ -86,22 +86,23 @@ def get_contracts() -> Dict[str, Contract]:
     contract.secType = "FUT"
     contract.exchange = "GLOBEX"
     contract.currency = "USD"
-    contract.lastTradeDateOrContractMonth = "202209"
+    contract.lastTradeDateOrContractMonth = "202212"
     rst["future_1"] = contract
 
+    # find more contracts at https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.quotes.html
     contract = Contract()
     contract.secType = "FUT"
     contract.exchange = "GLOBEX"
     contract.currency = "USD"
-    contract.localSymbol = "MESU2"
+    contract.localSymbol = "ESZ2"
     rst["future_2"] = contract
 
     contract = Contract()
     contract.symbol = "DAX"
     contract.secType = "FUT"
     contract.exchange = "EUREX"
     contract.currency = "EUR"
-    contract.lastTradeDateOrContractMonth = "202209"
+    contract.lastTradeDateOrContractMonth = "202212"
     contract.multiplier = "1"
     rst["future_3"] = contract
 
@@ -353,8 +354,8 @@ def get_contracts() -> Dict[str, Contract]:
                                bar_type=dhib.BarDataType.ASK)
 client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
                                bar_type=dhib.BarDataType.BID_ASK, keep_up_to_date=False)
-client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
-                               bar_type=dhib.BarDataType.AGGTRADES)
+# client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
+#                                bar_type=dhib.BarDataType.AGGTRADES)
 client.request_bars_historical(rc, duration=dhib.Duration.days(10), bar_size=dhib.BarSize.MIN_5,
                                bar_type=dhib.BarDataType.ADJUSTED_LAST, keep_up_to_date=False)
 
@@ -478,7 +479,7 @@ def get_contracts() -> Dict[str, Contract]:
 order.action = "BUY"
 order.orderType = "LIMIT"
 order.totalQuantity = 1
-order.lmtPrice = 3000
+order.lmtPrice = 100
 
 print("Placing order -- confirm fail: START")
 try:
@@ -495,7 +496,7 @@ def get_contracts() -> Dict[str, Contract]:
 order.action = "BUY"
 order.orderType = "LIMIT"
 order.totalQuantity = 1
-order.lmtPrice = 2600
+order.lmtPrice = 90
 
 print("Placing order -- confirm fail: START")
 try:
@@ -512,7 +513,7 @@ def get_contracts() -> Dict[str, Contract]:
 order.action = "BUY"
 order.orderType = "LIMIT"
 order.totalQuantity = 1
-order.lmtPrice = 2700
+order.lmtPrice = 91
 
 print("Placing order -- confirm fail: START")
 try:

src/deephaven_ib/_tws/ib_type_logger.py

@@ -362,8 +362,8 @@ def _details_historical_tick_bid_ask() -> List[Tuple]:
         ("Timestamp", dtypes.DateTime, lambda t: unix_sec_to_dh_datetime(t.time)),
         ("BidPrice", dtypes.float64, lambda t: t.priceBid),
         ("AskPrice", dtypes.float64, lambda t: t.priceAsk),
-        ("BidSize", dtypes.int64, lambda t: t.sizeBid),
-        ("AskSize", dtypes.int64, lambda t: t.sizeAsk),
+        ("BidSize", dtypes.float64, lambda t: t.sizeBid),
+        ("AskSize", dtypes.float64, lambda t: t.sizeAsk),
         *_include_details(_details_tick_attrib_bid_ask(), lambda t: t.tickAttribBidAsk),
     ]