I am not saying there is no issue, cp. We just did not encounter any, but then we monitor only a very small fraction of all instruments and only on a few large exchanges here in the US. Would be interesting to hear whether others do experience a recent increase in "lack of a value" indications for market data by the TWS API.

Also, visitors may find it helpful to learn about the different approaches how TWS API represents the lack of a value for numerical fields, so I'd be inclined to keep the thread.

闯ü谤驳别苍

Hi Jurgen I think I'm fine with your data and thanks for running that. It seems that I'll have to learn a LOT more about julia as the problem is clearly mine. Can't argue with facts. Can you delete this whole message thread as it's going to cause more problems than it's worth. Thanks again for going the extra mile. cp

I asked the question in an incorrect manner. Here's another ( non language specific) way to get an answer.

Has anyone on the forum experienced a RECENT degradation in the feed stimulated by the call

reqMktData(ib, idx, contract, "", false)

I am aware of the Jib documentation and have considered that but this is a SPURIOUS event and I want to know if anyone else is experiencing it. It can be coded out but that's not the first recourse here. If TWS is flaky then it's whack a mole time. I don't want the forum to try to fix a problem in a completely different language using a Pkg that they don't use. I would feel bad about trying that. I just want a read on the quality of the data across the members of the forum. Sorry to have asked the question so poorly.

I hear you, but what you are experiencing is related to the Julia library implementation, not the TWS API. The TWS API does not return "null" values but it does occasionally indicate that a certain value is missing.

From

The Julia library implementer(s) took a very reasonable approach to present missing numerical values in a uniform way and to return Nothing objects in these cases. But it's not the TWS API that does that.

Can you pinpoint the callback method that cases the return of the Nothing object? We could then take a look at why TWS API indicates that a value is missing.

闯ü谤驳别苍

Hi Jurgen It's not the language the question is addressing but the data flow. The language is fine and normally the data works but I am asking if anyone on this forum ( which I have been on for some years) has been experiencing these null values. You'd see them in C, c#, java and Python. So I'd still like the question asked unless you still see an issue with julia.

The Julia client is not one of the IBKR provided APIs we are discussing here. You will be better off asking your question in a group or forum that focuses on that implementation.

If you are using the library at take a look at the discussion of missing values in README.md.

闯ü谤驳别苍

Hi there thanks for the intervention. I'm using julia and here's the call

here's my request

contract = Jib.Contract(symbol=s, secType="STK", exchange="SMART", currency="USD")

Jib.reqMktData(ib, idx, contract, "", false)

and I'm getting spurious


tickPrice2: AAPL CLOSE 172.39 0.0 (canAutoExecute = false, pastLimit = false, preOpen = false)
tickPrice2: AAPL OPEN 172.76 0.0 (canAutoExecute = false, pastLimit = false, preOpen = false)
tickPrice2: AAPL BID 172.8 23.0 (canAutoExecute = true, pastLimit = false, preOpen = false)
tickPrice2: AAPL ASK 172.81 33.0 (canAutoExecute = true, pastLimit = false, preOpen = false)
tickSize: 1 BID_SIZE 23.0
tickSize: 1 ASK_SIZE 33.0
tickString: 1 BID_EXCH KPQXZU
tickString: 1 ASK_EXCH KPQZNU
marketDataType: 2 REALTIME
tickReqParams: 2 0.01 9c0001 3
┌ Error: exception thrown
│   e = TypeError: in typeassert, expected Float64, got a value of type Nothing

again can you take this to another thread. My concern is your issue is not relevant to mine.Thank you

I guess that's my point, that it doesn't "roll over immediately after rth." Every other quote service I've used gives an OHLCV quote as soon as available (usually a few minutes after the close, depending on whom they poll for volume figures). I simply want to enter a valid trade after hours. "Valid" means the limit price I set should be marketable. Perhaps I will find that when IB gave -1 for the bid and ask that trades were no longer marketable. But this is robotrading. I need to programmatically set a trade that should execute as soon as available.

here's my request

contract = Jib.Contract(symbol=s, secType="STK", exchange="SMART", currency="USD")

Jib.reqMktData(ib, idx, contract, "", false)

and I'm getting spurious

tickPrice2: AAPL CLOSE 172.39 0.0 (canAutoExecute = false, pastLimit = false, preOpen = false)
tickPrice2: AAPL OPEN 172.76 0.0 (canAutoExecute = false, pastLimit = false, preOpen = false)
tickPrice2: AAPL BID 172.8 23.0 (canAutoExecute = true, pastLimit = false, preOpen = false)
tickPrice2: AAPL ASK 172.81 33.0 (canAutoExecute = true, pastLimit = false, preOpen = false)
tickSize: 1 BID_SIZE 23.0
tickSize: 1 ASK_SIZE 33.0
tickString: 1 BID_EXCH KPQXZU
tickString: 1 ASK_EXCH KPQZNU
marketDataType: 2 REALTIME
tickReqParams: 2 0.01 9c0001 3
┌ Error: exception thrown
│   e = TypeError: in typeassert, expected Float64, got a value of type Nothing

Hey guys can you take this to another thread. This isn't anything to do with what I asked.

Nick:

Perhaps I should have been more clear. I am trying to use marketPrice() to get a valid price from which to enter an after-hours order. marketPrice() returns the following:

 * last price if within current bid/ask;
 * average of bid and ask (midpoint);
 * close price.

So, if there is not a bid and ask available, it provides a 3-day-old close quote. That is unusable. That they tell us this in the docs does not make it any better. It is still a worthless quote.

last would be best, as long as it is not from some after-hours book cleanup, meaning it is the last actual open-market tick. I guess I could compare to Last RTH Trade to see if it makes sense.

You're not referring to me right? I don't want to have this thread go off in another direction. I'm pretty sure that I'm calling the correct data at the correct time. So my question still stands.

开云体育

Are you talking about tickPrice type 9 - Close Price? If so,

From the docs:

The last available closing price for the previous day. For US Equities, we use corporate action processing to get the closing price, so the close price is adjusted to reflect forward and reverse splits and cash and stock dividends.

Maybe read the docs to know what data you are getting.

Yeah, I am finding IB's quotes to be completely unreliable. Here is a quote I just received after hours:

ticker_data = ib.reqMktData( qualified_contract, "", True, False, [])

ticker_data.marketPrice(): 3.75
ticker_data.close: 3.75 # this is Friday's close!
ticker_data.last: 4.05
ticker_data.ask: -1.0
ticker_data.bid: -1.0

When trying to set a limit order after hours, one needs to know a valid current price. Entering a trade with a 3-day-old quotation is ridiculous. I guess I have to rely on a 3rd-party quote service, which is shameful.

Yeah, I am finding IB's quotes to be completely unreliable. Here is a quote I just received after hours:

ticker_data = ib.reqMktData( qualified_contract, "", True, False, [])

ticker_data.marketPrice(): 3.75
ticker_data.close: 3.75 # this is Friday's close!
ticker_data.last: 4.05
ticker_data.ask: -1.0
ticker_data.bid: -1.0

When trying to set a limit order after hours, one needs to know a valid current price. Entering a trade with a 3-day-old quotation is ridiculous. I guess I have to rely on a 3rd-party quote service, which is shameful.