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You will have to look very hard to find a tick by tick data feed that is as bad (identical as you call it) as Interactive Brokers 4 times per second filtered burst feed.

I have tested this for years. It's very simple, there is no retail unfiltered correct tick by tick data feed on the market. Not even sierracharts own datafeed, whatever the kiwis tell you.

Closest that I have seen compared to what I have worked with in Chicago is TT, and that's it.

If you are so worried about correct datafeeds and latency, then why are you even using python, it's 200 times slower than Java and C++ for example and totally not fit for purpose in this domain.

Good luck.

闯ü谤驳别苍 Reinold,

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Sorry, visibility on the github URL was earlier set as “private”. Now its set to public.

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The “Collaboration” is an easy join.

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I really hope to learn this TagValue thing.

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Thank you,

Rv

IQFeed costs ~$100/mo for a basic subscription + extra depending on your requested data. See?
Low-latency tick-by-tick data for multiple streaming symbols is provided via a locally-installed client (IQConnect) that is a native Windows program; on Linux/MacOS it can be used via emulators (e.g. wine).
API communication with IQConnect consists of socket-based comma-delimited text messages. I provide an off-the-shelf wrapper for Matlab (), and you can create a similar one for Python. Access to IQFeed API's documentation requires a developer license (I believe ~$300/yr but I'm not sure exactly, talk to them).?

Hi,

Looking at the source code, the ContractDetails object has a "self.EVMultiplier" attribute. Does "contract_details.EVMultiplier" not pull back the wanted field?

Aidan

Hi all,

We're still encountering these issues, has anyone had any progress/solutions to this? This has been happening the past 3 weeks.

Aidan

@Paul There is nothing on the website about market data, at least i could not find it, but i believe it is IQFeed right??
I tried to get it setup some time ago, but there is some app that has to be installed and it does not support Python from what i found out. Or perhaps i am wrong and it has websocket connection?

Btw, I am aware of those disconnects - I am in West Cost USA time, so it happens between 9:20 and 9:40 pm and lasts approximately 30 seconds or so. Other than the occurrences I mention below though, they usually self-correct.?

On Sat, Aug 28, 2021 at 03:32 PM, Paul Kranz wrote:

Data Trasmission Network

@Paul
Thanks for reply, i will definitely have a look. Can you please provide a link to the service? ( current link connects to domain for sale ). Btw is it through websocket connection? I am using Python and usually if the data provider has some app, its C++ or something like that.

I know this has been asked a lot, so i will try to narrow down my question very specificaly to what i ma looking for.

I have spent over month trying to find data provider, which is able to provide tickByTick, which is essentially identical to IB. I have tested several services, spent most of the time with Polygon and Finage, both provide significantly different data to IB.
All i am looking for is tickByTick data through websocket for at least 50 symbols. Budget up to $500 per month.

I am not going to say that Finage or Polygon are providing wrong data or that IB has correct data, but this was my experience and why i decided not to use them.
I did one to one test for both services, getting at real time ticks from IB and Finage. Finage would have missing ticks. Ie most of them would be identical, but some would be simply missing. I am constructing 1s bars from IB ticks, I can construct 1s bars, which are pretty much identical to TradingView.
I cant do that with data from Finage or Polygon, bars are different to bars created with IB and to TW due to missing data.
I dont know what data are correct, but i can compare the data and there are missing data, which i would assume is not a good thing. My takeaway was that some exchanges were fully missing from the data.
I am sure these data providers can work for others and provide other things, which are perfectly fine. For me unfortunately the data are not usable.

All this being said, does anyone know about any data provider, who is able to provide identical tickByTick data IB?

Any help appreciated, since i do struggle with the data feed most for a long time now.

On Sat, Aug 28, 2021 at 03:23 PM, 闯ü谤驳别苍 Reinold wrote:

but what region have you selected for TWS?

Hello 闯ü谤驳别苍, thanks for the response.

I just checked the trading computer and, yes, America is selected as the Region, as well as the time zone being set to UTC -06:00 America/Chicago. Funny thing, though, when the primary server disconnects, all the other servers remain connected, so I'm confident the purple grid isn't just an internet issue. It takes about 2 to 3 minutes for the primary server to connect again.

The issue is something I have on my list to talk to IB about eventually, that's why the above post immediately caught my attention when @Nick mentioned the purple grid. Another disconnection happens at 07:15 US Central, but I need to check exactly what is happening at that time before I contact IB about the issue. Both times are outside my trading window, so I haven't been too worried as yet.

KH

The reset periods per region are documented at the bottom of the page and shows "First reset: 16:30 - 17:00 ET" for the Asia region. That is in line with your experience of ~15:45CT. While they don't say why that time has been selected, it makes sort of sense for traders in Asia who trade in Asia.

You say you have the computer and TWS running in the "US Central" time zone, but what region have you selected for TWS? At the bottom of the TWS login window is a "More Options" button that, among other fields, allows the selection of the TWS region as America, Europe, Asia, and China. Unless you have selected America already, maybe you could try selecting region "America" to hopefully prevent resets during the US trading hours. If that does not work, maybe IBKR can configure your account for American reset hours.

cdc1.ibllc.com? is the server for US Central as you can see from and so.

闯ü谤驳别苍

The purple grid occurs (for me, anyway), when TWS loses the Primary server. For me this is cdc1.ibllc.com, Every day at 15:45 or 15:46 US Central time, which is 06:45 the next morning Sydney time at this time of year..

I live in Sydney and the account is with IB Australia. The computer and TWS are set to US Central time. I suspect that this particular server (cdc1.ibllc.com) is reset at this time on a daily basis. Still haven't figured out why the reset happens when US market is still open.

KH

I can only give you a very generic answer since all links you provided to GitHub and the "Collaboration" group require non-public access permissions.

The List<TagValue> concept is not unique to IB. It allows communicating parties to transmit lists of "SomeTagName = SomeTagValue" pairs. Tags are also known as variables or parameters..The parties need to agree upon or understand the names of all valid tags and for each tag the valid values.

The signatures of several EClient request methods and EWrapper response methods define TagValue lists, but only few of them actually use them. I am not aware of any defined tags for the market data methods, at least not at API levels 9.72 and below. You would simply call those methods with empty lists.

If you are interested in seeing how TagValue lists work, take a look at the . Each algorithm defines a table with one or more parameters (tags) that make sense only for that algorithm. But the TagValue lists make it possible that all these algorithm can be selected and configured without making bloating the order object with possibly hundreds of extra fields.

Hope this helps,

闯ü谤驳别苍

Well, I upgraded my TWS to the latest offline version. Will see if that makes any difference.

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Hi Everyone,

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Hope everyone’s doing great and all is well. I was wondering for the longest on TagValue implementation, especially as pertains to historical data. Would anyone care to comment or briefly say few words. Doesn't have to be here, but can continue elsewhere. Somewhat willing to compensate for any help, provided, response is continuously posted/public here, for public use.

For the longest, on historical data, I have been calling the method historicalData and saving the callback response into an ArrayList of <Bar> type and processing it for the opening of position. [In past I’ve also used serialization, but I think that too costly]. My strategy is a simple momentum of ''look back'' one hour and whichever way the slope/momentum points, [[[ boom ;) ]]], and I go with that. I hope everyone dispenses with extraneous and tangential comments and lectures, not a pro programmer, am advanced to level of HashMaps/streams, etc. But tagValue, baffles me. Anyways, is there any use to the tagValue thing? The only pseudo-marginally (in applicability) yet inspirational helpful examples of implements have been Dmitry’s TWS API FAQ. Thank you Dmitry. See Question is of course in java. See URL below. The properties of the Tag and Value are String. If wishing to work with doubles and int, lots of conversions would be required. Regardless worth it or not, I still would like to know basic how-to.

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Basic outline of implementation would be helpful—to the point of what classes needed (and how many :) ) and etc..??

Are we supposed to construct the TagValue thingie and then send it via the “public static void HistoricalData_MainOPERATIONS” in Main and then somehow pick it up or get the response from the Ewrapper_Implementation class using getter and setters?

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Here’s my present implement…. **Without** TagValue.




ArrayList<Bar>
??? ArrayList<Bar> barsHistDataArrayList = new ArrayList<>(); //new when making request
??? //! [historicaldata]

??? @Override
??? public void historicalData(int reqId, com.ib.client.Bar bar) {
??????? System.out.println("HistoricalData. " + reqId + " - Date: " + bar.time() + ", Open: " + bar.open() + ", High: " + bar.high() + ", Low: " + bar.low() + ", Close: " + bar.close() + ", Volume: " + bar.volume() + ", Count: " + bar.count() + ", WAP: " + bar.wap());
??????? barsHistDataArrayList.add(bar);
??? }
??? //! [historicaldata]

??? public ArrayList<Bar> getBarsHistDataArrayList() {
??????? return barsHistDataArrayList;
??? }

??? public void setBarsHistDataArrayList(ArrayList<Bar> barsHistDataArrayList) {
??????? this.barsHistDataArrayList = barsHistDataArrayList;
??? }

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??? //! [historicaldataend]
??? @Override
??? public void historicalDataEnd(int reqId, String startDateStr, String endDateStr) {
??????? System.out.println("HistoricalDataEnd. " + reqId + " - Start Date: " + startDateStr + ", End Date: " + endDateStr);
?????? ?
??? }
??? //! [historicaldataend]

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Anyways, here’s a sample of my program on GitHub if anyone cares to look into and help. -no rush

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Main class

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ReqHistorical is being called from line 132. I am hoping for some type of TagValue implement/help from lines 189-198. Do we have to construct it then pass to argument, and pick up from Ibkr response via Ewrapper_Implementation class.

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On above github sample, I've deliberately, of course, left out some aspects. --Holy grail of profitability almost there..-- But the raw strategy is here.

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No rush please- Please give help. Thank you forum as always!

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-Rv