The TWS API provides many ways to request live data and I am confused about the best approach. Below are at least 3 methods I am aware of, with some notes based on my tests and what I've read.
I've implemented reqHistoricalData with keepUpToDate=True but I am experiencing issues with accuracy of data.
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From your experience and based on my needs, which would you recommend?
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1) reqMktData (have not spent too much time with this one): constantly fires off a bunch of values ("Tick Types") for a given instrument
Pros: Can access more raw data than other methods - though I am mostly interested in OHLCV. Can get data with minimum delay straight from open.?
Cons: Need to deal with multiple callbacks coming at different times (tickSize for OHLC and tickSize for volume). Need to build logic to construct bars from accumulated ticks and timestamp them. Could lose some information on true highs and lows based on when we received the tick.
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2) reqHistoricalData with keepUpToDate=True (what I have implemented right now)
Pros: Single request to deal with historical and live data load. Easy to handle system restarts, simply re-submit the request to fill all data that was missed until current time.
Cons: I've compared the bars I receive with keepUpTodate during the session with the raw chart in TWS & historical data request generated after end of session, and almost none of the OHLCV values exactly match! Does historicalDataUpdate stream the final confirmed bar before a new one is streamed, or does it just streams unconfirmed bar values at the arbitrary 5 secs delay?
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3) reqRealTimeBars (have not tested yet): Provides bars for each 5 second period
Pros: should give the actual high/low for the period. Confirmed bar is received shortly after the interval closes.
Cons: need to combine with reqHistoricalData on system startup to build up the historical values prior to start. Only available for 5 sec bars.
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My needs:
- Needs to support most listed US stocks
- I am fine with 5 mins bars as highest resolution. I resample to lower resolutions (30 mins, 1 day etc...) as needed using real time aggregates in timescaleDB
- Need to stream data for about 50-100 stocks
- I prefer accuracy of data over speed
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Any pointers much appreciated!
JP
