Hi, When requesting auction price, volume, and imbalance data for ASX-listed securities in the pre-auction period, I'm getting the same number returned to me for both auction volume and auction imbalance, even though the tick type is different. I've put together an MWE to help anyone else look into this possible bug. I also just ran this MWE during the pre-close period today and I've pasted some of the output produced below so you can see what I mean. Anyway, the code is:
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.order import Order
from ibapi.order_state import OrderState
import threading
import time
from datetime import datetime
import queue
class IBapi(EWrapper, EClient):
def __init__(self):
EClient.__init__(self, self)
def request_auction_data_single(self, idnum: int, contract1: Contract):
self.reqMktData(idnum, contract1, 'mdoff,225', False, False, []) #225 is tick id for auction data of volume, price, and imbalance
return None
def tickPrice(self, reqId, tickType, price, attrib):
# tick price data sent by TWS is received by this function
attrib_as_string = str(attrib)
print("tickPrice triggered. reqId=%d, tickType=%d, price=%f, attribasstr=%s" % (reqId, tickType, price, attrib_as_string))
return None
def tickSize(self, reqId, tickType, size):
# tick size data sent by TWS is received by this function
print("tickSize triggered. reqId=%d, tickType=%d, size=%d" % (reqId, tickType, size))
return None
def error(self, id, errorCode, errorString):
errormessage = "TWS error. id = %d. errorcode = %d. msg = %s" % (id, errorCode, errorString)
print(errormessage)
def build_contract(self, mkt: str, scy: str, sectype: str, currency: str):
cc1 = Contract()
cc1.exchange = mkt
cc1.symbol = scy
cc1.secType = sectype
cc1.currency = currency
return cc1
def run_loop():
app.run()
app = IBapi()
app.connect("127.0.0.1", 7496, 0)
# Start the app in a thread
api_thread = threading.Thread(target=run_loop, daemon=True)
api_thread.start()
time.sleep(1) # Sleep interval to allow time for connection to server
# Request auction data
id1 = app.reqIds(-1)
contract1 = app.build_contract("ASX","NAB","STK","AUD")
app.request_auction_data_single(id1, contract1)
On my machine, this snippet will start printing auction price, volume, and imbalance data to the terminal for NAB (National Australian Bank) - which is one of the big banks listed on the ASX. I ran the snippet in the pre-close period today (just after 4pm Sydney time) and here is a snippet of the output produced:
tickSize? triggered. reqId=5, tickType=36, size=897951
tickPrice triggered. reqId=5, tickType=35, price=30.160000, attribasstr=CanAutoExecute: 0, PastLimit: 0, PreOpen: 0
tickSize? triggered. reqId=5, tickType=61, size=0
tickSize? triggered. reqId=5, tickType=34, size=912196
tickSize? triggered. reqId=5, tickType=36, size=912196
tickSize? triggered. reqId=5, tickType=34, size=915148
tickSize? triggered. reqId=5, tickType=36, size=915148
tickPrice triggered. reqId=5, tickType=35, price=30.290001, attribasstr=CanAutoExecute: 0, PastLimit: 0, PreOpen: 0
tickSize? triggered. reqId=5, tickType=34, size=915178
tickSize? triggered. reqId=5, tickType=36, size=915178
tickSize? triggered. reqId=5, tickType=34, size=915190
tickSize? triggered. reqId=5, tickType=36, size=915190
tickSize? triggered. reqId=5, tickType=34, size=916392
tickSize? triggered. reqId=5, tickType=36, size=916392
tickPrice triggered. reqId=5, tickType=35, price=30.250000, attribasstr=CanAutoExecute: 0, PastLimit: 0, PreOpen: 0
tickSize? triggered. reqId=5, tickType=34, size=916618
tickSize? triggered. reqId=5, tickType=36, size=916618
tickSize? triggered. reqId=5, tickType=34, size=917042
tickSize? triggered. reqId=5, tickType=36, size=917042
tickSize? triggered. reqId=5, tickType=34, size=917851
tickSize? triggered. reqId=5, tickType=36, size=917851
tickSize? triggered. reqId=5, tickType=34, size=917863
tickSize? triggered. reqId=5, tickType=36, size=917863
My understanding is that tickType 34 is supposed to be the volume, and tickType 36 is the imbalance. However, as can be seen here, they are both returning exactly the same number each time. Note, I've verified this behaviour across multiple securities on multiple days. Cheers all, any help would be most appreciated. Colin
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