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TickByTick data outage during the night?

 

So here is a new one for me. Did anyone else experience TickByTick data outage during the night?

  • Between 03:26 and 06:26, no TickByTick values were delivered for the instruments we monitor. (Chicago Time)
  • But all other level I and level II market data did arrive timely.
  • Also, TWS charts show a gap for that time frame. See below ES, VX, YM, and ZN.

All evidence indicates that trading took place normally and, for example, "Volume" and "RtTradeVolume" market data ticks agree that just over 24,000 ESU1 contracts traded during that time frame.

I cannot find any error messages or warnings, no TWS disconnects, no Market Data Farm warnings, ...

The exact time frame was [1628756782601, 1628767570816] just shy of exactly 3hrs

  • Thursday, August 12, 2021 3:26:22.601 AM GMT-05:00 DST
  • Thursday, August 12, 2021 6:26:10.816 AM GMT-05:00 DST
 

Hello
I don't use TickByTick, but my TWS charts for ES and MES show normal bars during the time period you mention.
TWS was operating normally during this time period (early evening in Sydney).
KH
 

Now that is interesting, Kevin. Thank you for sharing.

My TWS 981.2w just had the daily restart(we do that at 16:45 Chicago Time) and
  • It still shows the data gaps for ES, VX, YM, ZN
  • I also checked MES (was not in my favorites before) and it shows the gap
  • Gaps also show for Forex EUR.USD and EUR.AUD
But European DAX future FDXM SEP 21 is fine.

´³¨¹°ù²µ±ð²Ô


On Thu, Aug 12, 2021 at 05:06 PM, Kevin wrote:
Hello
I don't use TickByTick, but my TWS charts for ES and MES show normal bars during the time period you mention.
TWS was operating normally during this time period (early evening in Sydney).
KH
Nick
 

I just checked and on the ES I am seeing empty (15min) bars from 4:40 to 7:00 Eastern Time inclusive.

On 8/12/2021 4:31 PM, ´³¨¹°ù²µ±ð²Ô Reinold via groups.io wrote:
So here is a new one for me. Did anyone else experience TickByTick data outage during the night?
 

Computer and TWS are both set to Chicago time. The crosshair is at 12 August 03:45. Excuse the white lines.

KH
YSS
 

IB's data feed is not a true tick by tick data feed.

I compared different datafeeds and IBs was missing a lot of data. They do this on purpose with their burst feed (4x per second) and to avoid paying non-screen feed status with the exchanges.
Nick
 

¿ªÔÆÌåÓý

Sure but the OP is talking about several hours of no activity at all. That is not throttling it's an outage.


On 8/13/2021 9:09 AM, YSS wrote:

IB's data feed is not a true tick by tick data feed.

I compared different datafeeds and IBs was missing a lot of data. They do this on purpose with their burst feed (4x per second) and to avoid paying non-screen feed status with the exchanges.

 

¿ªÔÆÌåÓý

Hi,

Mij tws chart showed the same behavior, but the api kept delivering the correct price and volume data. But in the api, I use tickString for price and volume, so that may be the difference between what's shown in the tws chart versus the api data I collected.

Regards,
Raoul



On 12-08-2021 22:31, ´³¨¹°ù²µ±ð²Ô Reinold via groups.io wrote:

So here is a new one for me. Did anyone else experience TickByTick data outage during the night?

  • Between 03:26 and 06:26, no TickByTick values were delivered for the instruments we monitor. (Chicago Time)
  • But all other level I and level II market data did arrive timely.
  • Also, TWS charts show a gap for that time frame. See below ES, VX, YM, and ZN.

All evidence indicates that trading took place normally and, for example, "Volume" and "RtTradeVolume" market data ticks agree that just over 24,000 ESU1 contracts traded during that time frame.

I cannot find any error messages or warnings, no TWS disconnects, no Market Data Farm warnings, ...

The exact time frame was [1628756782601, 1628767570816] just shy of exactly 3hrs

  • Thursday, August 12, 2021 3:26:22.601 AM GMT-05:00 DST
  • Thursday, August 12, 2021 6:26:10.816 AM GMT-05:00 DST

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