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The post you pointed to is 15 years old, and, at that point, only reqMktData existed. The API Reference Guide chapter ""? describes how sampling/aggregation is handled today. So the post is still relevant for reqMktData (even if sampling is a little faster and smarter now).

was introduced only a few years back and is not sampled or aggregated. Consequently, data volume is huge and the limits of how many simulations subscriptions can exist are much tighter, Every trade (ask/bid) is reported to you as it happens.

If you subscribe, for example, via reqMktData for an instrument, you will never get more that 4 to 6 updates per second even if that instrument is traded heavily. If you subscribe to TickByTiclLast for the same instrument, you might get hundreds if not thousands of ticks in very busy seconds. And you will see every price change including the "102" the post in your link refers to.

闯ü谤驳别苍

• This is good idea to review call path. I am also going to run my code for my much shorter time frame (minute or two) and check how much data I have in log vs python code. Hopefully, this way I can pinpoint what data points are missing
• There is really nothing time consuming in my code. The only deficiency I see right now it that I used a = a + [some_value] on Python list, instead of a.append(some_value). Append should be faster.?
• I do have a sleep in my main thread. I put my main thread to sleep until the end of trading day. However, I do not think it should affect the thread with app.?
• Yes, my client is on the same machine as IB gateway. There are no network issues.

That link is not relevant to your problem. It relates to and not to TickByTick data that you are asking for.

When you say you see 400k ticks in the log file, is that the TWS/IBG API log file with market data included? And how do you know your client only saw 40k ticks?

• You should review all call paths in your client to make sure that tickByTick callbacks properly handle all data presented to them. Maybe add a simple counter so that you know exactly how often the API calls them.
• Does your code contain any time consuming operations, that prevent it from handling callbacks on a timely basis?
• You use time.sleep after the connection call. Does your client use sleep anywhere else? Calling time.sleep (in any API language) is a really bad idea and shall not be done.
• Is your client co-located with TWS/.IBGW in the same server, or is there a network there them?

Your client (even in Python) should be able to handle 400k ticks without breaking a sweat. Our client (while implemented in Java) handles the data streams from 80+ instruments, plus five 15 TickByTick streams (five times Last, BidAsk, and Midpoint each) plus several Level II Market Book feeds. We see between 40Mio and 90Mio ticks per day (500per second average over 24hrs, with peaks of 15k ticks per second and more).

闯ü谤驳别苍

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.ticktype import TickTypeEnum
import time
import threading

class TestApp(EWrapper, EClient):
    def __init__(self):
        EClient.__init__(self, self)
        self.last_exchange = []
        self.last_market_time = []
        self.last_price = []
        self.last_size = []

    def error(self, reqId, errorCode, errorString):
        print("Error: ", reqId, " ", errorCode, " ", errorString)

    def tickByTickAllLast(self, reqId, tickType, time, price, size, tickAtrribLast,
                          exchange, specialConditions):

        super().tickByTickAllLast(reqId, tickType, time, price, size, tickAtrribLast,
                                  exchange, specialConditions)


        self.last_exchange = self.last_exchange + [exchange]
        self.last_market_time = self.last_market_time + [time]
        self.last_price = self.last_price + [price]
        self.last_size = self.last_size + [size]

app = TestApp()

contract = Contract()
contract.symbol = "SPY"
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
contract.primaryExchange = "ARCA"

app.connect("127.0.0.1", 4002, 0)
time.sleep(1)
app.reqTickByTickData(1 ,contract, "Last", 0, False)
api_thread = threading.Thread(target=app.run)
api_thread.start()

Maybe a different issue

Try emptying the contract, (including symbol)
Just keep conId (and maybe exchange=SMART)
I found out that Conflicting info in Contract when conId is specified lead to strange result
I am not surprised by what your report as looking worst than if you nicely specify the primaryExchange without specifying conId.

Get same issue using exchange="SMART" , But as you point it out it works when exchange = primaryExchange.

IMHO
Raising the question about what you look for when looking historical,
Otherwise said, historical yes, but from which exchange ?

How did IB compound a bar across multiple exchange ?
Did they even compound it ? (half ligit) or resolve that for us ?
Does IB require now that you specify where do you want your data from ?

Suggestion for this thread
Avoid using SMART and set exchange = primaryExchange,
primary is a decent source for historical. Just never had reasons to grab historical from alternate exchange.

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Looks fixed in 10.19.0e: the date part is no longer dropped.