开云体育

Interestingly the documentation on what reqMktData (both old and new). Have this statement

"A tickPrice value of -1 or 0 followed by a tickSize of 0 indicates there is no data for this field currently available". Which I read as: if there is no data I get -1, if there is data I get some number. I guess this is there IB could be much more explicit. If one subscribes to market data in the middle of the trading session what happens? Does one get a "snapshot" of data = the latest data IB has (some might be very old) and then updates only then changes happen (which I believe how 10.19 and older worked). OR the "snapshot" part never happens now (10.30 and later?).

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However, a couple of observations from live environment which make me doubt the above explanation and make me lean on "some resource optimization went wrong". Is more likelly explanation. Here is a problem from one of live environments?

1. if the above is true, then high/low would be really rarelly updated. And this is not the case. Once asked for data those (high/low) get streamed, most of the time. Ok, it could be that for high/low there is an exception

2. In real env I often see?lastTimestamp missing (timestamp of the last trade) yet the price is present. For me it points to that "timestamp" stream got dropped by IB somehow in this case.?

Of course, the way API is setup we should not expect a perfect synchronicity here. but not getting within 20 seconds a timestamp is really a bug and probably of the same nature as we discuss here.?

3. Another fact that points to optimization problem. In this test app one needs to run several loops to consitently see the problem. With the first loop is likelly to be fine, only in later loops the issues will pop up.?

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