Daily bar data from IB randomly missing

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MidKnight
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Daily bar data from IB randomly missing

Postby MidKnight » 21 May 2014

Hi there,

Recently I have been getting a '-' as my entire current day daily bar data from Interactive Brokers. I do not know if this is an IB issue or a MC.net issue. The problem seems to only happen on one of my symbols and also seemed to start once I was recently forced to upgrade TWS to a new version. Current bar daily data is crucial to me because I have several real-time biases that use the current day daily bar. I cannot use the 'build from minutes' because that will not give me the days true high and low. The daily data does give you the days true high/low regardless of the ticks sent from the IB API.

Any ideas?

With kind regards,
MK

EDIT: I should add that this doesn't happen every day, but has lately been happening 2-3 days a week.
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Henry MultiСharts
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Re: Daily bar data from IB randomly missing

Postby Henry MultiСharts » 22 May 2014

Hello MidKnight,

Are you able to get the correct current daily bar for the current and next individual futures contracts if you plot them on a chart? Have you consulted with IB regarding the issue? Did they made sure the realtime data is provided correctly on the API level on your PC?

MidKnight
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Re: Daily bar data from IB randomly missing

Postby MidKnight » 22 May 2014

When the issue happens, changing to individual contracts does not make a difference. I have not contacted IB about it yet.

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Re: Daily bar data from IB randomly missing

Postby Henry MultiСharts » 22 May 2014

Do both current and next individual futures contracts show the same price values as the custom futures? Do the last bar prices correspond to the prices in IB TWS main window (symbol grid with values)?

MidKnight
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Re: Daily bar data from IB randomly missing

Postby MidKnight » 22 May 2014

The last price on the daily chart matches the TWS. It will move up and down with the last price throughout the day but it will not plot a proper OHLC bar. I should add that this is a random real-time issue somewhere. After reloading from historical data once the day is over, it will right itself.

"Do both current and next individual futures contracts show the same price values as the custom futures?"

I'm not sure what you mean here. Obviously, they will have different prices due to different time till expiration premiums. The individual current month contract has the same price as the custom futures I have made in MC.net.

MidKnight
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Re: Daily bar data from IB randomly missing

Postby MidKnight » 08 Jun 2014

Still a problem with the latest TWS build. All my TWS data farms remain green and in a "connected" state. Maybe you could investigate this random behavior some. I'm connected to IB's HKfarm.

MidKnight
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Re: Daily bar data from IB randomly missing

Postby MidKnight » 09 Jun 2014

I've contacted IB about this and they recommended gathering detailed log files from the TWS and from MC.net - sending them through to the MC staff and CC'n the API staff at IB. I've enabled the detailed logging within TWS. Do I need to enable some detailed logging in MC.net?

I'll send through the logs next time its a problem.

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Re: Daily bar data from IB randomly missing

Postby Henry MultiСharts » 19 Jun 2014

Hello MidKnight,

The realtime data is not being logged with the default modules as such logs can take significant disk space. We will be able to create the required logging module for tracing the issue (if required) once we examine it live. When this behavior is replicated - please come to our live chat Monday-Friday 6:30 am - 3 pm EST to demonstrate it remotely and we will collect all required for analysis information.

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Re: Daily bar data from IB randomly missing

Postby MidKnight » 19 Jun 2014

HSI trading hours are outside your support hours so I will unable to demonstrate it live. How do we proceed in this circumstance?


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