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reqIds hangs when recereating IBClient - EWrapper

 

I have IBClient that implements EWrapper that I copied from C# samples from official TWS repository.?
When some event happens, I would like to destroy existing client and create new instance.?
This is the method I use to create this client.?
?
void Create()
{
? var signal = new EReaderMonitorSignal();
? _client = new IBClient(signal);
? _client.ClientSocket.SetConnectOptions("+PACEAPI");
? _client.ClientSocket.eConnect(Host, Port, 0);
? var reader = new EReader(_client.ClientSocket, signal);
? var process = new Thread(() =>
? {
? ? while (_client.ClientSocket.IsConnected())
? ? {
? ? ? signal.waitForSignal();
? ? ? reader.processMsgs();
? ? }
? });
? process.Start();
? reader.Start();
}
?
After that, I'm waiting for the next valid ID.
?
async Task Register()
{
? var source = new TaskCompletionSource();
? void subscribe(int o)
? {
? ? _client.NextValidId -= subscribe;
? ? source.TrySetResult();
? }
? _client.NextValidId += subscribe;
? _client.ClientSocket.reqIds(-1);
? await source.Task;
}
?
Then use method to destroy client.?
?
void Destroy()
{
? _client?.ClientSocket?.eDisconnect();
}
?
The first time everything works fine.
When I try to call these 3 methods next time, "reqIds" hangs and I never receive response for "NextValidId".?
Is it some known limitation that only one client can connect to TWS only once or am I missing something??
Re: Entry that triggers OCO with TP and SL

 

开云体育

This is not correct: all three orders must have unique order ids. But the TP and SL orders must have “ParentId” set to the “OrderId” of the main order.

?

?

From: [email protected] <[email protected]> On Behalf Of Andy Sanders via groups.io
Sent: 19 December 2024 05:28
To: [email protected]
Subject: Re: [TWS API] Entry that triggers OCO with TP and SL

?

Create 3 separate orders.

TP and SL orders will have property "OrderId" that should be the same as the main order ID.?

The first two orders will have property "Transmit" set to false, the last one is true.?

?
Re: Entry that triggers OCO with TP and SL

 

Thank you.? I will try this.

On Thu, Dec 19, 2024 at 12:28?AM Andy Sanders via <arteinvolo=[email protected]> wrote:
Create 3 separate orders.
TP and SL orders will have property "OrderId" that should be the same as the main order ID.?
The first two orders will have property "Transmit" set to false, the last one is true.?
?
Re: IB's New automated trading system questionnaire

 

Thanks to everyone for their suggestions.? I flailed around for longer than I would like to admit before finding a send email solution that works for me.

1) I found out gmail offers something called an "app password" that requires you to use 2-factor authentication and then you can create a password that works with SMTP over port 465.
2) I installed MSVC 2010, changed my email program to use the new password and rebuilt.? (It was easier to use MSVC 2010 than to build with MSVC 2019 which had various complaints.)

Voila, I'm once again able to send emails.? The only ongoing cost will be dealing with gmail's two factor log ins.

Frank
Re: No definition for SPX option using LocalSymbol

 

For the future readers.
I was using data coming from Schwab and each SPX contract had two dates, "LastTradingDate" and "ExpirationDate". I was trying to use option contract expiring the same day to place order in IB but it was rejected because even though contract is expiring today, the last trading day for that contract was yesterday.?
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

Uh, my sanity is restored :)
?
As for your comment about the network, yes my dev setup is in EU (yet its 250Mbit up/down fiber, typically no issues here with Internet otherwise, but of course anything can happen :) and again switching back and forth between 10.19 and 10.30 all the time, where 10.19 does't have issues) However, I can reproduce it from my test site in US just as well. Test site is in AWS with pretty biffy setup on the East Coast? (us-east-1, i..e supposed to be closest to IB servers, ?t3.2xlarge instance aws claims 5gbit network, ok it is probably less in reality but itis not likelly a bottleneck even it is "just" 500Mbit to the Internet ).?
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

On Thu, Dec 19, 2024 at 10:23 PM, ajn wrote:

It is often happening on the second loop or later.

Ok, I managed to reproduce the problem.
Re: IB's New automated trading system questionnaire

 

?
Once you've set up the appropriate Telegram bot on your Telegram account, sending a message programmatically is pretty easy. ?Here's my (redacted) code for that:
?
#!/usr/bin/env python3

import requests


def send_message(text, parse_mode=None):
    bf_token = "YOUR_TOKEN_HERE"  # replace this your Bot's token
    user_id = 1234567890  # replace this with your user id

    assert parse_mode in (None, "HTML", "MarkdownV2")

    # from BotFather
    url = f"https://api.telegram.org/bot{bf_token}/sendMessage"

    params = {"chat_id": user_id, "text": text}
    if parse_mode:
        params["parse_mode"] = parse_mode
    resp = requests.get(url, params=params, timeout=3)

    # Throw exception if Telegram API fails
    resp.raise_for_status()


if __name__ == "__main__":
    from sys import argv

    if len(argv) <= 1:
        i = 50 // 3
        MESSAGE = "```\n" + (f"{3 * i}." * i) + "\n```"
    else:
        MESSAGE = " ".join(argv[1:])

    send_message(MESSAGE, parse_mode="MarkdownV2")
Re: IB's New automated trading system questionnaire

 

开云体育

Another option is Telegram. I wouldn't trust too much on email as it's very difficult these days to have your mail accepted by the receiving end as non-spam or not get blocked.

For instant notification, Telegram has been a great option for me. It has? good api documentation. Start here:

Greetings,
Raoul





On 18-12-2024 18:10, 闯ü谤驳别苍 Reinold via groups.io wrote:

There are many ways you can handle this. @wordd already mentioned sending messages to slack channels, for example. All large cloud providers have services that are called something like "Simple Message Service" or so, that allow you to send messages through simple API calls.

If you want to stick with email, check how your email provider supports "SMTP for outgoing messages" and look for an SMTP library for your preferred environment. Your service provider may place various restrictions on email delivered to them by SMTP (such as SSH/TLS encryption or certificates), but generally I would expect that those do not need two-factor authentication.

For Java, for example, you'd use "JavaMail" directly or through higher level libraries such as "Apache Commons Email".

闯ü谤驳别苍

?

On Tue, Dec 17, 2024 at 11:31 PM, Frank Bell wrote:
I logged on to my account and found a must complete questionnaire about how I'm monitoring my automated api.? It wanted to know
?
1) Did I write it or is it commercial and if so the vendor?
2) Is the API completely automated?? If not to what extent it is manual?
3) How are critical errors handled (audible alert, email, text)?
4) Is it constantly monitored?
5) and more
?
Apparently it is now being required by regulators.
?
Given that, can anyone point to code that will allow me to send email/texts now that Google and Yahoo are requiring two factor authentication?? I used to send emails and texts when single factor was good enough.
?
Frank
Re: -1 negative VOLUME in Futures BID_ASK historical request

 

开云体育

I see the same. It looks like you only get VOLUME or BARCOUNT if you ask for TRADES. That doesn’t seem unreasonable to me.

?

Richard
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

On Thu, Dec 19, 2024 at 10:23 PM, ajn wrote:

However I did notice 2 things

I just ran your sample program again, after hours w/ realtime, data_lines=75, loops=5 and everything worked OK using IBGW 10.30.1s. IDK what to say... I may try it again tomorrow since you indicate there's more likelihood of a problem during RTH.

However, I'm also wondering if your network connection may have slightly degraded in the recent past? Is someone streaming HDTV while you test, lol? Are you sure you can't reproduce the problem w/ 10.19? I suppose it's possible that 10.30 has just enough extra network demand than 10.19 to make a difference but...

I mention this mostly because my server has an exceptionally good connection (and I'm located close to the USA NE data center). When I look at your email headers I notice you're in Sweden, so if you're using a local computer... you might have more variation in connection quality. Just a guess since the code itself looks OK and the test results look OK.
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

Thank you very much!
yes, I can confirm it is there, at least it was all day for me on that very code and right now. (yet it is funky atm, see end of post)
can you run it with several loops? It is often happening on the second loop or later. Does account you run has real time subscription? (see end of post, why maybe one really need subscription not 100% sure yet)
?
Using args Namespace(port=4002, global_cancel=False, file='symbols.csv', market_data_type='REALTIME', data_lines=75, loops=5)
serverVersion:187 connectionTime:b'20241219 16:56:08 EST'
1713296 Waiting... Symbols in work : 75, done symbols: 0
1714476 Waiting... Symbols in work : 75, done symbols: 1180
TIMEOUT ? ? ?reqId: 1714133, symbol: MU CANCEL ? ? ?TIMEOUT!!!!
1714504 Waiting... Symbols in work : 18, done symbols: 1264
? ? ? ? ? ? ?Number of not done symbols: 1
reqId ? ? symbol done ?bid ? ? ask ? ? last ? ?volume ?high ? ?low ? ? last_timestamp
1714133 ? MU ? ? 0 ? ? N/A ? ? N/A ? ? 87.03 ? 904214 ?91.0 ? ?84.61 ? 2024-12-19 22:56:09 ? ? ? ?

However I did notice 2 things
  1. I have run the test after hours and the frequency of errors is significantly less. I get 1 failure per 5 loops. whereas during trading hours I was getting maybe 5-20 per same test. So maybe it is related somehow on how IB infra is loaded? i.e. the infra is probably less loaded now (just a guess)
  2. I can repeat the issue for REALTIME and DELAYED options on paper trading account which HAS market data subscriptions. However, at least now, after hours trying it on the account which DOESN'T have subscription doesn't generate issues with DELAYED. Maybe it has to do with after hours or maybe DELAYED means different things for account with subscription and without. I don't know.? So I can confirm the issue for account with subscription, yet after hours it is less rare one really need to run 5 loops to be sure.?
?
? ?
?
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

On Wed, Dec 18, 2024 at 12:08 AM, ajn wrote:

Actually, running against a paper account is perfectly fine (this is how I run it all day). I believe running it against a paper account with no subscription will also work (need to set DELAYED data).

I presume you mean the problem will still exhibit itself. Can you confirm? Because I just ran your last sample program (w/ inconsequential changes for convenience; see attached) against a demo acct using DELAYED and it finished successfully.

  • TWGW ver: 10.30.1s
  • IBAPI ver: 1030.01
  • Platform: Linux 4.4.0-260-generic #294-Ubuntu SMP Fri Sep 27 16:14:57 UTC 2024 x86_64 GNU/Linux

Output:

Using args Namespace(data_lines=65, file='symbols.csv', global_cancel=False, loops=1, market_data_type='DELAYED', port=4002)                                                   
serverVersion:187 connectionTime:b'20241219 15:00:41 EST'
NextValidId received: 1
NextValidId set     : 1000009
Executing requests
LOOP 0 START
1000074 Waiting... Symbols in work : 65, done symbols: 0
1000209 Waiting... Symbols in work : 65, done symbols: 135
1000334 Waiting... Symbols in work : 65, done symbols: 260
1000459 Waiting... Symbols in work : 65, done symbols: 385
1000584 Waiting... Symbols in work : 65, done symbols: 510
1000709 Waiting... Symbols in work : 65, done symbols: 635
1000834 Waiting... Symbols in work : 65, done symbols: 760
1000959 Waiting... Symbols in work : 65, done symbols: 885
1001080 Waiting... Symbols in work : 65, done symbols: 1006
1001207 Waiting... Symbols in work : 65, done symbols: 1133
1001292 Waiting... Symbols in work : 24, done symbols: 1259
             Number of not done symbols: 0
reqId     symbol done  bid     ask     last    volume  high    low     last_timestamp   
                                                                                       
DONE reqMktData_test 51.7 seconds
   ALL Tests DONE

patch.txt
patch.txt

Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

Just run a couple of more tests (using the app I posted, just changed False to True and commented cancel request). Snapshot works 100% reliable as Daniel experiences i.e. snapshot delivers all that is expected and no errors printed
self.reqMktData(orderId,?contract,?"", True,?False, [])
live data (4th argument is False) oth is the case which has the problems
self.reqMktData(orderId,?contract,?"",?False,?False, [])
It is live data is bit broken in gateway 10.30+ . We are making some progress :)
?
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

E.g. in C#: client.reqMktData(reqId, contractObject, string.Empty, true, false, null);
yes it is the same call I am making, except I am not asking for snapshot (4th argument is False) but whole set of data to be streamed to me
self.reqMktData(orderId, contract, "", False, False, [])
?
Last time I checked the difference between asking for a snapshot and streaming, snapshot was much more delayed (but that was 4-5 years ago, maybe things improved since). Still streaming or snapshot, api is promising the data, we pay for it. We should be getting it :)?
?
And even in this test. last was there, In this case bid/ask was missing. Sometimes "last_timestamp" (time of last trade) is missing, sometime high/low/volume. bit random. I believe last is present most of the time
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

Hi AJ,?

I connect via TWS and my TWS version is 10.30.1s, whereas the version of my CSharpAPI.dll is?10.15.2.0.?

"I didn't receive all of ["bid", "ask", "last", "volume", "last_timestamp", "high", "low"]"

?I think this might be the difference. I only request snapshots every few seconds.?

E.g. in C#: client.reqMktData(reqId, contractObject, string.Empty, true, false, null);

As said, 50.000+ requests per day and working fine. Of?course, I only get 'the last Last' snapshot, for my app that's fine.

Hope it helps,
Daniel.


On Thu, Dec 19, 2024 at 5:53?PM ajn via <andrei.jefremov=[email protected]> wrote:
In the attached zip I have the app. It is now only 250 lines including all the IB connection and argument parsing. The working function are all the same as before (described earlier) I just deleted everything else. I do agree, as a standalone app it gets much more readable
?
Program_get_bid.py -f symbols.csv -m REALTIME --data-lines 75 --loops 5 --port 4001
?
As an added bonus this app can be run from anywhere, not just from python samples folder. so long your python environment has 10.30 installed
?
AJ



--
Daniel
Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

In the attached zip I have the app. It is now only 250 lines including all the IB connection and argument parsing. The working function are all the same as before (described earlier) I just deleted everything else. I do agree, as a standalone app it gets much more readable
?
Program_get_bid.py -f symbols.csv -m REALTIME --data-lines 75 --loops 5 --port 4001
?
As an added bonus this app can be run from anywhere, not just from python samples folder. so long your python environment has 10.30 installed
?
AJ

Program_get_bid.zip
Program_get_bid.zip
Program_get_bid.py
Program_get_bid.py

Re: reqMktData callbacks are missing data with gateway 10.30 and 10.31 sporadically, works fine with 10.19 and older gateways/TWS

 

Thanks Daniel,
?
Just to be clear the problem is not that I am not receiving the callbacks at all. The problem is that I am receiving not entire set of? the data I expect for some of the contracts (always random which contracts will be missing some data). Sometime it is bid which is missing, sometimes ask, sometimes last etc. bit random misses. And everytime I check gateway log for the request I had issues with It is clear that that piece of data is not there (say I see that for req 123456 I get bid, ask, volume but not a last value etc.).?
?
First off: note that `Contract.primaryExch` is not the same as `Contract.Exchange`. You might be constructing invalid Contract objects.?
I am 99.99% it is not the contract issue, as I am getting most of data,?
?
Moreover, today I was experimenting with unsubscribing/subscribing for data for a contract which at this point was missing data (my definition of "missing" is that after subscription I didn't receive all of ["bid", "ask", "last", "volume", "last_timestamp", "high", "low"] within 20 seconds at least once, typically one or two would be missing), and 100% of time I was receiving the data after a second subscription. So contract part is very likely fine.?
?
Possible issues:
1: make sure you comply with the max 50 requests per second pacing violation. I don't know if you'll receive an error message if that's your case.
2: error code 10197 "No market data during competing session": if you're pulling reqMktData and at the same time visualizing the data in TWS, you might get this error and hence not receive an eWrapper callback.?
Yes, I monitor error codes. no such errors. As for pacing, it used to be needed but SDK I believe build it in and there is an option ?setConnectOptions("+PACEAPI"), which I use for several years now on top of own pacer anyway (just ot be safe, remember first versions were glitchy). And typically pacing errors result that you don't get any data at all. which is not current case.?
?
About reqMktData: just for fun I checked my code and out and yesterday I made 54.000 calls to it, all received a callback except few
Great stats, :) it used to be like this for me up and including gateway 10.19.?
  1. what is your definition of "received"? are you looking for say "last" only or a bit wider scope like I mentioned above?
  2. What version of gateway/TWS are you using (not API) ?? Gateway 10.19 and older work fine for me (and have been for 5 years), yet once I switch gateway to 10.30 or 10.31 I immediately start seeing issues.?
AJ
Re: No definition for SPX option using LocalSymbol

 

Thanks.?
I've already tried using US format like SPXW ?241218C05945000 but for some reason it still couldn't find the contract.?
I just tried again and it seems to work now.?
Re: No definition for SPX option using LocalSymbol

 

Yes, I mentioned that I can use TradingClass to separate monthly and weekly options. The problem is that it is supposed to be generic method that I could use to form a contract for any security type, SPX index option, QQQ stock option, ES futures option. In this case, it is not clear what I should provide in the TradingClass property.?
?
If there is a strict rule that defines how TradingClass needs to be set, e.g. symbol name + expiration type = SPXW, then I could use TradingClass instead of LocalSymbol but I haven't seen any docs describing how to set TradingClass depending on SecType. LocalSymbol does define specific format for all type of options, it is more generic, so I decided to go with it.?
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