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I still believe there is no bug or anything wrong with reqMktData real time feeds. And snapshots are probably what you are looking for in the first place.

TWS API documentation says about reqMktData snapshots that: ... it is possible to request a snapshot of the current state of the market once instead of requesting a stream of updates continuously as market values change.

What you experience is likely that, at times, not all of the market values you are interested in change during the 20 seconds you are looking at the market. You could easily verify that yourselves by downloading TickByTick historical data for the time periods that fail your test.

I took a quick look at the "missing" BID price for MTDR on 20241217:

• You request real-time data for MTDR@NYSE only, instead of MTDR@SMART. On that day, NYSE handled only 22% of all trades. They handled 51% of the total volume, but I bet most of it was related to the MOO and MOC auctions.
• And then there were only 563 trades during the entire trading session (RTH and outside of RTH) on NYSE. That means there were definitely long periods of time that day (way longer than 20 seconds) where the BID price (or other "market values") just did not change and, therefore, no reports would have taken place in the real-time stream. But that would be no bug, just "nothing to report".
• Requesting data for SMART instead of only for NYSE may increase your chance of seeing "market values change" while you look. But even then, MTDR had only 2,563 trades (compared with 177,164 for APPL) and long quiet periods would have to be expected.

I don't have enough data about your 10.19 vs 10.30+ comparisons to explain the differences your are seeing. It may very well be that IBGW/TWS 10.19, upon subscription, send some "recent historical values" and 10.30+ are now cleaner and send "only market values that changed". But that is just a guess and there may be other explanations.

闯ü谤驳别苍

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