Thanks 闯ü谤驳别苍,
very valid points. I was really afraid that complexity of this bug will cause problems. So I didn't write code from scratch but did least possible modifications the the official sample app IB provides as a common ground (Program.py in case of python) precisely hoping that maybe it will be bit more familiar to people and will save time and effort for everyone (at least to IB developers as I sent it first to them) and the way to look at that code is to run a comparison to the original IB code to really see the difference = the actual new code which is executed. And the code I have added there is less than 200 lines, the rest is the "full" test app, which can be ignored (or at least I was hoping people who would look at it would have more trust to IB's code :) and everyone has the original app to compare. I didn't delete that IB boiler code to make the comparison obvious, if I do the app would be tiny. I can do that easily = keep only code which gets executed if that will make everyone more comfortable)
In the nutshell
reqMktData_test (set a break point here and easy walk)
? ?calls reqMktData_test_work in a loop
? ? ? all contracts are sent to reqMktData
? ? ? the process is slowed down and finished by monitor_not_done so we don't have more than x data-lines used at the same time, that function monitors that all data is received and we can cancel the subscription?
? ? ? the results are printed using process_and_export_data
the following wrapper callbacks take the incoming data (unfortunately reqMktData triggers all those)
tickPrice
tickSize
tickGeneric
tickString
error
?
That will generally require us to read and understand the code before?
Actually, running against a paper account is perfectly fine (this is how I run it all day). I believe running it against a paper account with no subscription will also work (need to set DELAYED data).?
?Calling reqMktData creates a market data subscription for a real-time data feed that is intended to stay up for some time
Totally. In my live application I have several hundreds of data lines to work with and slightly less number of contracts I am interested in trading "now". and about 1500 - 2500 "full universe". So I go through such cycle to get latest on the market and maintain the subscription for those several hundreds I am interested in for a while (and there I run into issues that some data is not showing up for 20+ seconds (which I consider never)). Of course as I wanted the "simplest" app showing the issues. As you rightly say, it is a large chunk of code already :) I didn't want to make it larger by having another 200 lines "ok here we subscribed and waiting, and 3 min latter suddenly some of those lines lack data"?
Your code is peppered with sleep statements,
Thanks, I double checked (happy to double check). The code which I added is only to not have the busy waiting while waiting for data delivered by a different thread. There is one place I added a slowdown (but it default to zero) in tickPrice as I was experimenting with hypothesis "what if the problems are caused by me processing the data too long", I didn't find correlation. I should have removed that before posting the code to reduce mental strain of readers. Sorry about that (yet again, that line does nothing). But indeed there are several cases in IB original code (which is not used in this test) which relies on sleep before cancelling. The test code data path doesn't rely on IB sending data within specific time as far as I can see.??
?
My environment makes many of these subscriptions just before the start of the trading session
Another interesting bit. Thanks for sharing. As in this test we subscribe in the middle of the trading AND in case of TWS contracts from the watchlist definitely overrepresented in the list of failed symbols. Maybe something got broken in IB here. That is very tough to debug, as you get one shot per day :)?
you are using market data requests well outside of the "design envelope" and, while that worked in the past, it does not any longer.
The worrying bit that even if I do it for 5-20 data lines at a time (as a result slowly crawling). I still see the data missing. I see that it less to do with frequency of the requests?
Try a loop of reqContractDetails for all contracts
Interesting, I didn't know about this possible issue. Will try. Although since we run several loops on the same "home brew" contracts, I would expected that after the first loop all will be good. But I will try. At this point I would try anything which has any chance of solving the issue before IB retires the 10.19 gateway and would force move to 10.30
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