fix: normalize interval from milliseconds to HH:MM:SS.mmm for gRPC

Users pass interval as milliseconds (e.g. "60000" for 1-minute bars).
The MDDS gRPC server expects HH:MM:SS.mmm format for some endpoints.
normalize_interval() converts transparently -- no API change.

If the value already contains ":" (already formatted), it passes through.
If it's not a valid number, it passes through and lets the server reject.

Fixes: "Invalid time format: Expected hh:mm:ss.SSS" error when passing
millisecond intervals to index OHLC and other endpoints.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

Author: userFRM

Cargo.lock

@@ -540,14 +540,14 @@ impl DirectClient {
         ///
         /// gRPC: `BetaThetaTerminal/GetStockHistoryOhlc`
         ///
-        /// `interval` is in milliseconds (e.g. `"60000"` for 1-minute bars, `"300000"` for 5-minute).
+        /// `interval` is in milliseconds (e.g. `60000` for 1-minute bars, `300000` for 5-minute).
         fn stock_history_ohlc(symbol: &str, date: &str, interval: &str) -> Vec<OhlcTick>;
         grpc: get_stock_history_ohlc;
         request: StockHistoryOhlcRequest;
         query: StockHistoryOhlcRequestQuery {
             symbol: symbol.to_string(),
             date: Some(date.to_string()),
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_time: None,
             end_time: None,
             venue: None,
@@ -566,7 +566,7 @@ impl DirectClient {
         ///
         /// Uses `start_date`/`end_date` instead of single `date`.
         ///
-        /// `interval` is in milliseconds (e.g. `"60000"` for 1-minute bars, `"300000"` for 5-minute).
+        /// `interval` is in milliseconds (e.g. `60000` for 1-minute bars, `300000` for 5-minute).
         fn stock_history_ohlc_range(
             symbol: &str, start_date: &str, end_date: &str, interval: &str
         ) -> Vec<OhlcTick>;
@@ -575,7 +575,7 @@ impl DirectClient {
         query: StockHistoryOhlcRequestQuery {
             symbol: symbol.to_string(),
             date: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_time: None,
             end_time: None,
             venue: None,
@@ -613,14 +613,14 @@ impl DirectClient {
         ///
         /// gRPC: `BetaThetaTerminal/GetStockHistoryQuote`
         ///
-        /// `interval` is in milliseconds (e.g. `"60000"` for 1-minute bars, `"300000"` for 5-minute).
+        /// `interval` is in milliseconds (e.g. `60000` for 1-minute bars, `300000` for 5-minute).
         fn stock_history_quote(symbol: &str, date: &str, interval: &str) -> Vec<QuoteTick>;
         grpc: get_stock_history_quote;
         request: StockHistoryQuoteRequest;
         query: StockHistoryQuoteRequestQuery {
             symbol: symbol.to_string(),
             date: Some(date.to_string()),
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_time: None,
             end_time: None,
             venue: None,
@@ -667,14 +667,14 @@ impl DirectClient {
         ///
         /// gRPC: `BetaThetaTerminal/GetStockHistoryQuote`
         ///
-        /// `interval` is in milliseconds (e.g. `"60000"` for 1-minute bars, `"300000"` for 5-minute).
+        /// `interval` is in milliseconds (e.g. `60000` for 1-minute bars, `300000` for 5-minute).
         fn stock_history_quote_stream(symbol: &str, date: &str, interval: &str; handler: F) -> QuoteTick;
         grpc: get_stock_history_quote;
         request: StockHistoryQuoteRequest;
         query: StockHistoryQuoteRequestQuery {
             symbol: symbol.to_string(),
             date: Some(date.to_string()),
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_time: None,
             end_time: None,
             venue: None,
@@ -1104,7 +1104,7 @@ impl DirectClient {
         ///
         /// gRPC: `BetaThetaTerminal/GetOptionHistoryOhlc`
         ///
-        /// `interval` is in milliseconds (e.g. `"60000"` for 1-minute bars, `"300000"` for 5-minute).
+        /// `interval` is in milliseconds (e.g. `60000` for 1-minute bars, `300000` for 5-minute).
         fn option_history_ohlc(
             symbol: &str, expiration: &str, strike: &str, right: &str,
             date: &str, interval: &str
@@ -1115,7 +1115,7 @@ impl DirectClient {
             contract_spec: contract_spec!(symbol, expiration, strike, right),
             date: Some(date.to_string()),
             expiration: expiration.to_string(),
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_time: None,
             end_time: None,
             strike_range: None,
@@ -1157,7 +1157,7 @@ impl DirectClient {
         ///
         /// gRPC: `BetaThetaTerminal/GetOptionHistoryQuote`
         ///
-        /// `interval` is in milliseconds (e.g. `"60000"` for 1-minute bars, `"300000"` for 5-minute).
+        /// `interval` is in milliseconds (e.g. `60000` for 1-minute bars, `300000` for 5-minute).
         fn option_history_quote(
             symbol: &str, expiration: &str, strike: &str, right: &str,
             date: &str, interval: &str
@@ -1170,7 +1170,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             max_dte: None,
             strike_range: None,
             start_date: None,
@@ -1230,7 +1230,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             max_dte: None,
             strike_range: None,
             start_date: None,
@@ -1340,7 +1340,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             annual_dividend: None,
             rate_type: None,
             rate_value: None,
@@ -1401,7 +1401,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             annual_dividend: None,
             rate_type: None,
             rate_value: None,
@@ -1462,7 +1462,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             annual_dividend: None,
             rate_type: None,
             rate_value: None,
@@ -1523,7 +1523,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             annual_dividend: None,
             rate_type: None,
             rate_value: None,
@@ -1584,7 +1584,7 @@ impl DirectClient {
             expiration: expiration.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             annual_dividend: None,
             rate_type: None,
             rate_value: None,
@@ -1792,7 +1792,7 @@ impl DirectClient {
             symbol: symbol.to_string(),
             start_date: start_date.to_string(),
             end_date: end_date.to_string(),
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_time: None,
             end_time: None,
         };
@@ -1817,7 +1817,7 @@ impl DirectClient {
             symbol: symbol.to_string(),
             start_time: None,
             end_time: None,
-            interval: interval.to_string(),
+            interval: normalize_interval(interval),
             start_date: None,
             end_date: None,
         };
@@ -1980,6 +1980,33 @@ impl DirectClient {
 //  Private helpers
 // ═══════════════════════════════════════════════════════════════════════
 
+/// Normalize an interval string to the `HH:MM:SS.mmm` format the MDDS server expects.
+///
+/// Users pass milliseconds as a string (e.g. `"60000"` for 1-minute bars).
+/// The server expects `HH:MM:SS.mmm`. If the input is already in that format
+/// (contains `:`), it's passed through unchanged.
+///
+/// Examples: `"60000"` -> `"00:01:00.000"`, `"900000"` -> `"00:15:00.000"`, `"0"` -> `"00:00:00.000"`
+fn normalize_interval(interval: &str) -> String {
+    // If it already contains `:`, assume it's in HH:MM:SS format -- pass through.
+    if interval.contains(':') {
+        return interval.to_string();
+    }
+    // Try parsing as milliseconds.
+    match interval.parse::<u32>() {
+        Ok(ms) => {
+            let total_secs = ms / 1000;
+            let millis = ms % 1000;
+            let h = total_secs / 3600;
+            let m = (total_secs % 3600) / 60;
+            let s = total_secs % 60;
+            format!("{h:02}:{m:02}:{s:02}.{millis:03}")
+        }
+        // Not a number and not HH:MM:SS -- pass through and let the server reject it.
+        Err(_) => interval.to_string(),
+    }
+}
+
 /// Validate that a date string is in YYYYMMDD format (exactly 8 ASCII digits).
 fn validate_date(date: &str) -> Result<(), Error> {
     if date.len() != 8 || !date.bytes().all(|b| b.is_ascii_digit()) {

crates/thetadatadx/src/direct.rs

@@ -0,0 +1,36 @@
+use thetadatadx::{Credentials, DirectConfig, ThetaDataDx};
+
+#[tokio::main]
+async fn main() -> Result<(), Box<dyn std::error::Error>> {
+    let creds = Credentials::from_file("/home/theta-gamma/thetadx/creds.txt")?;
+    let tdx = ThetaDataDx::connect(&creds, DirectConfig::production()).await?;
+    println!("Connected: {}\n", tdx.session_uuid());
+
+    let tests = vec![
+        // (description, endpoint, args)
+        ("stock_history_ohlc AAPL '60000'", "stock", "60000"),
+        ("stock_history_ohlc AAPL '1s'", "stock", "1s"),
+        ("stock_history_ohlc AAPL '00:01:00.000'", "stock", "00:01:00.000"),
+        ("index_history_ohlc SPX '60000'", "index", "60000"),
+        ("index_history_ohlc SPX '1s'", "index", "1s"),
+        ("index_history_ohlc SPX '00:01:00.000'", "index", "00:01:00.000"),
+        ("index_history_ohlc SPX '1m'", "index", "1m"),
+        ("index_history_ohlc SPX '60'", "index", "60"),
+        ("index_history_ohlc SPX '1'", "index", "1"),
+    ];
+
+    for (desc, endpoint, interval) in tests {
+        print!("{}: ", desc);
+        let result = match endpoint {
+            "stock" => tdx.stock_history_ohlc("AAPL", "20260325", interval).await,
+            "index" => tdx.index_history_ohlc("SPX", "20260325", "20260325", interval).await,
+            _ => unreachable!(),
+        };
+        match result {
+            Ok(ticks) => println!("{} ticks", ticks.len()),
+            Err(e) => println!("ERROR: {}", e),
+        }
+    }
+
+    Ok(())
+}