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5 sec. Bars
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Hello,
I have written a Java program to subscribe to the 5 sec. bars, but I had missing data, so I rewrote everything in Python, but I still have problems. For instance, 32 minutes before todays Close, SPY bars stopped appearing, while all the other 5 sec. bars (VIX,? QQQ, ...) where coming in. I contacted IB tech support about this problem, but they where of no help. Do you have any ideas? Thanks, Ernst |
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Scary.? I don't use 5sec (realtime) bars.? Several questions come to mind:
Paper or real account? Did you also subscribe to realtime ticks, and did your api get any for SPY in the last 32 minutes? Did you try unsubscribing and re-subscribing ? Did your TWS show SPY ticks in the last 32 minutes? Did your try Ctrl-Alt-F in your TWS to refresh realtime data ? Would a second client get SPY 5sec bars when the first doesn't ? Gd luck SouqMate. ---In TWSAPI@..., <ernst.tmp@...> wrote : Hello, I have written a Java program to subscribe to the 5 sec. bars, but I had missing data, so I rewrote everything in Python, but I still have problems. For instance, 32 minutes before todays Close, SPY bars stopped appearing, while all the other 5 sec. bars (VIX,? QQQ, ...) where coming in. I contacted IB tech support about this problem, but they where of no help. Do you have any ideas? Thanks, Ernst |
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Hi souqmate,
thanks for your questions. It happened in the Real account. I did not subscribe to Realtime Ticks No SPY data appeared in the last 32 minutes. I did not look inside TWS to look for bars (I should have, thanks, that is a good idea!!!) I have not tried resubscribing, but I think than the bars would appear again. This is a good idea, I could program sth. that unsubscribes and subscribes the bars whenever there is no bar for more than 10 minutes during opening hours. But still I would have some gaps. Are similar problems appearing with realtime ticks, or would it make sense to use realtime ticks to create the bars ? Thanks, Ernst |
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Nick
¿ªÔÆÌåÓýIf you want/need realtime data to match historical data as close as possible then realtime bars is the only choice.If you don't care about that you can use market data (ticks) or realtime volume (rtv). Those have less problems with data not arriving. Realtime bars often do not survive session changes so you should unsubscribe and re-subscribe if your app runs across sessions. On 12/17/2015 7:03 PM, ernst.tmp@...
[TWSAPI] wrote:
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¿ªÔÆÌåÓýJust curious if real time bars make your own five min bars would produce same results as historical data request seconds after a five min bar ended.? I suspect in both cases it's the same from my experience only after the market closes does IB fill in the blanks but I'm curious if you think switching to creating your own five mins bars would produce better results than historicaldatarequest for that same five mins. Sent from my iPhone On Dec 17, 2015, at 7:36 PM, "Nick news1000@... [TWSAPI]" <TWSAPI@...> wrote:
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