reqMktData with snapshot = true delivers hours old data randomly
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Dear Twsapi experts,
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I am calling with snapshot flag set to True
reqMktData(orderId, contract, "", True, False, [])
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The trouble is that randomly this call delivers not "latest" available data but hours old data (6 hours or more old timestamps). Note, the data gets delivered fast, that is not the problem, but the content of data is VERY old. I.e. looking at the timestamp it is very old (not seconds/minutes but hours old). And I believe even data on last/bid/ask etc is old as well. Those are harder to debug but some which I checked manually really show that "last" is not recent but indeed 5hours old. Wonder if anyone experienced this and has any workarounds?
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And of course it happens randomly only for some of the calls. Moreover, you call same function for a contract which just got delivered very old data and correct data is delivered. So not so easy to debug :). However the problem (for me) is 100% consistent. I.e. If I run snapshot for 1000 different contracts then 5-15-100 (random) will return very old data. If I call snapshot for very same symbols again most will return correct data, yet some other may fail (or may not). Making this function really not usable
I am using: IB API Version: 10.32.1 (but same was happening with 10.30.1 API as well)
I am using 10.30.1u tws (but I have seen same issue with 10.19)
happens on both Windows10 and Linux
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Example of what I am talking about is presented in this table
history: the "latest" timestamp of a snapshot which I have seen in the previous runs
time1, time2 is the 1st, 2nd, 3rd call for snapshot for this this contract and corresponding timestamp
so for symbol WYNN I have already seen data with timestamp 15:49:37 (I am in CET timezone +6h from NewYork). Yet on the first call with WYNN I receive data with timestamp 09:56:40. Obviously wrong since just several minutes ago calling same snapshot was giving me much later timestamp. Yet, if I call snapshot for WYNN again 2nd, 3rd time I get "correct" timestamps (correct == they are same or later) .?
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One could argue that the workaround is just call snapshot several times. The problem is that sometimes it start failing again (in this test run I couldn't repeat it, but I see that often) and sometimes it takes 3-5 calls before I get the data.
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For completeness I attach the python code which can reproduce the problem, where I just call snapshot in a loop for 1000 symbols and I run it like this
Program_get_bid_small.py' '-f' 'symbols.csv' '-m' 'REALTIME' '--data-lines' '75' '--loops' '3' '--port' '4001' ?
Note, first time one needs to run the code two times to generate that "history" file, so the next tests can have that "latest" (=history) timestamp to compare against and output error in case they are not in order.
? I of course reported it to IB first, but the report is sitting there for 3 weeks... with no real progress. Thus wonder if community have seen it and what could be a workaround.
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AJ
PS. Wonder if this issue is related to the one I reported earlier where reqMktData but without snapshot flag fails on TWS 10.30 and later. So I started experimenting with snapshot and run into this issue :)?
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