I second this and also have never seen periodical inactivity for an instrument cause real time market data subscriptions to stop working. Just to be sure:
- Real time market data subscriptions include reqMktData, reqRealTimeBars, reqTickByTickData, and reqMktDepth
- It does not include reqHistoricalData with keepUpToDate set to true. In my experience, those do not survive all data farm reconnects.
When I checked up on "holes in the data" for an instrument in the past it was always caused by a quiet period for that instrument (unless my recorder client had failed).
As a matter of practice I now subscribe to "5 second real time bars" for all instruments as a "second opinion" and data feed quality metric. For many instruments, those bars get sent for every 5 second period, even if no trades or ask/bid changes took place (16,560 or 17,280 bars per day). A 0 volume 0 count bar confirms quiet periods for the other feeds of that instrument. They also serve as data feed heart beat detectors.
But then, data for instruments I subscribe come from big exchanges and are generally quite active. Feeds from smaller exchanges or infrequently traded instruments may behave differently.
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On Mon, Nov 18, 2024 at 12:00 PM, bespalex wrote:
I am not sure streaming data inactivity cease is connected to general API inactivity in any way, as in my case, I keep recCurrentTime requesting as a beacon every second, also difference in local/TWS time works for me as an API disconnect monitor sensor.
So my loss of some streams is of some other nature, but occurrence is stable in about 10% of maintained streams, different 10% each time.?
And no apparent connection to any of the events, looks like IB just "forgets" and drops some of the active subscriptions on ETH session start at 4am EST.
