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There have been several reports here of broken features in the TWS 10 series. Seemingly unrelated errors are happening and it feels like TWS has gotten away from them in the 10 series.

Hanging on to the 9 series as long as possible seems like the best option for now.

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.order import Order
from ibapi.order_state import OrderState

import threading
import time
from datetime import datetime
import queue
class IBapi(EWrapper, EClient):
        def __init__(self):
                EClient.__init__(self, self)
        def request_auction_data_single(self, idnum: int, contract1: Contract):
                self.reqMktData(idnum, contract1, 'mdoff,225', False, False, []) #225 is tick id for auction data of volume, price, and imbalance
                return None
        def tickPrice(self, reqId, tickType, price, attrib):
                # tick price data sent by TWS is received by this function
                attrib_as_string = str(attrib)
                print("tickPrice triggered. reqId=%d, tickType=%d, price=%f, attribasstr=%s" % (reqId, tickType, price, attrib_as_string))
                return None
        def tickSize(self, reqId, tickType, size):
                # tick size data sent by TWS is received by this function
                print("tickSize  triggered. reqId=%d, tickType=%d, size=%d" % (reqId, tickType, size))
                return None
        def error(self, id, errorCode, errorString):
                errormessage = "TWS error. id = %d. errorcode = %d. msg = %s" % (id, errorCode, errorString)
                print(errormessage)
        def build_contract(self, mkt: str, scy: str, sectype: str, currency: str):
                cc1 = Contract()
                cc1.exchange = mkt
                cc1.symbol = scy
                cc1.secType = sectype
                cc1.currency = currency
                return cc1

def run_loop():
        app.run()

app = IBapi()
app.connect("127.0.0.1", 7496, 0)

# Start the app in a thread
api_thread = threading.Thread(target=run_loop, daemon=True)
api_thread.start()

time.sleep(1) # Sleep interval to allow time for connection to server

# Request auction data
id1 = app.reqIds(-1)
contract1 = app.build_contract("ASX","NAB","STK","AUD")
app.request_auction_data_single(id1, contract1)

tickSize? triggered. reqId=5, tickType=36, size=897951
tickPrice triggered. reqId=5, tickType=35, price=30.160000, attribasstr=CanAutoExecute: 0, PastLimit: 0, PreOpen: 0
tickSize? triggered. reqId=5, tickType=61, size=0
tickSize? triggered. reqId=5, tickType=34, size=912196
tickSize? triggered. reqId=5, tickType=36, size=912196
tickSize? triggered. reqId=5, tickType=34, size=915148
tickSize? triggered. reqId=5, tickType=36, size=915148
tickPrice triggered. reqId=5, tickType=35, price=30.290001, attribasstr=CanAutoExecute: 0, PastLimit: 0, PreOpen: 0
tickSize? triggered. reqId=5, tickType=34, size=915178
tickSize? triggered. reqId=5, tickType=36, size=915178
tickSize? triggered. reqId=5, tickType=34, size=915190
tickSize? triggered. reqId=5, tickType=36, size=915190
tickSize? triggered. reqId=5, tickType=34, size=916392
tickSize? triggered. reqId=5, tickType=36, size=916392
tickPrice triggered. reqId=5, tickType=35, price=30.250000, attribasstr=CanAutoExecute: 0, PastLimit: 0, PreOpen: 0
tickSize? triggered. reqId=5, tickType=34, size=916618
tickSize? triggered. reqId=5, tickType=36, size=916618
tickSize? triggered. reqId=5, tickType=34, size=917042
tickSize? triggered. reqId=5, tickType=36, size=917042
tickSize? triggered. reqId=5, tickType=34, size=917851
tickSize? triggered. reqId=5, tickType=36, size=917851
tickSize? triggered. reqId=5, tickType=34, size=917863
tickSize? triggered. reqId=5, tickType=36, size=917863

Nick, I guess that after 6 years since the original post was written, the OP doesn't care anymore. ;-) I just hijacked the thread for asking another question regarding the 50 msg/sec limit instead of opening a new one.

@Bob: I also tried your approach but when I'm requesting option chains and their data (option contract details, option prices) I still get the pace violation error. I absolutely don't have a clue why this is happening, but I'll investigate it.

@Frank: that's exactly the same as I'm doing it, but I'm still getting the pace violation error.

@闯ü谤驳别苍: thanks for providing a link, that clarifies my question. I also know this connection configuration for activating the internal pacing prevention. However, as I'm currently using an older TWS release (because of the issue requesting delayed data which only works properly in TWS releases prior 9.73), I cannot use it. Maybe it's a bug within this older TWS release.

EDIT: I just made a test and I'm pretty sure that it is a bug within the TWS or the TWS API. I'm printing the time of every request sent to server and I can clearly see that I never pass the 50 msg/sec limit. However, I just got a message that I've exceeded it by sending 180 (!) msg/sec. This cannot be true. Thus, it may be a problem with my old TWS release but nevertheless it's the only one working with delayed data. Btw, I already reported the delayed data bug to IB but still I got no response.

Hi all,

Not sure IB will address this issue soon enough (see their reply below)
I'm upset and frustrated as I raised my first ticket about it more than 2 years ago;

---------------------

Dear Sir,
I haven't received an update from the development team, but I have asked for updates or progress reports. Please keep in mind, because this concerns delayed data and not live data, our developers might not view it as the most urgent, and for that I apologize. I will continue to ask for updates so they may review this further, and will let you know of any updates as soon as I have them.
Regards,
xxx
IBKR API Support

开云体育

Valid point. There are enough active traders here that anything widespread would probably get a mention.

It could be something affecting only certain instruments.

Hope it all goes back to normal for you.

开云体育

Everyone has different experiences but I don't think you can make meaningful connections between fills on paper account and live. You just don't know what would have happened on live.

If you are seeing a paper account behave different than usual it might mean something, but again, doesn't tell you what would have happened on live.

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