I thought price was not coming from the same stream as volume, i thought it comes from the book stream (isn't it the midpoint of the best bid/ask on the book?)
On Tue, Oct 9, 2012 at 8:59 AM, Klaus <[email protected]> wrote: > Dear nonlinear, > > what irritates me most is that it partially recovers: some data (for the > same instrument) is reconnected and correctly logged (volume = at least I > assume it is correct, it is at least reasonable), while price is not > correctly logged. To me this looks more like a SW issue, as both types of > data are coming from the same stream. > Regarding network connection, I assume there is probably few better > connections than AWS. It certainly is way ahead of private > connections I dealt with. It might also be interesting to note that I do > not use TWS, but IB Gateway. > > Cheers > Klaus > > > Am Montag, 8. Oktober 2012 10:44:27 UTC-4 schrieb nonlinear: >> >> Thanks for reporting the problem, Klaus. With respect to the midnight >> market data interruptions, this has always been the case, as IB servers >> restart at that time. The expected behavior is that once the restart is >> completed, the market data resumes and TWS and JBT would resume receiving >> the data stream without the need to restart. However, I noticed that >> occasionally this fails. My remedy is restart both TWS and JBT every day in >> the morning before regular trading starts. With respect to the interruptions >> during the other times of the day, I belive it all has to do with the >> quality of your network connection. The better quality, the less frequent is >> the loss. In my experience, both JBT and TWS recover from these >> interruptions (except for the occasional non-recoverable midnight resets). >> The typical pattern in the log is the message "market data lost", followed >> by in a minute or two by message "market data restored". Now, with respect >> to the stock data that you see in the TWS log, it's probably your standard >> subscription. I'd suggest visiting your "market subscriptions" page >> associated with your account on the IB we site. >> >> >> >> >> On Mon, Oct 8, 2012 at 9:45 AM, Klaus <[email protected]> wrote: >>> >>> Just had the same again. This time at 3:25 Monday morning. >>> Registered a temporary connection loss in the event report. Book and >>> price data did not change for any of the collected data from thereon, but >>> volume does. >>> >>> In addition, I found the following messages in the terminal window. >>> Perhaps somehow can make sense of all this? >>> (I include one message before and after for context) >>> --- >>> 03:08:11:547 JTS-CCPPing-269: Warning: not received heartbeat at 20904000 >>> elapsed:11000 >>> 03:25:30:728 JTS-PostAuthenticate-513: pre-logon message successfully >>> sent >>> 03:25:36:225 AWT-EventQueue-0: Warning: hot restart not equal to quick >>> restart >>> 03:25:36:226 AWT-EventQueue-0: Unsubscribe MD before routing table >>> rerequest >>> 03:25:36:227 AWT-EventQueue-0: Unsubscribe HMDS before updating routing >>> table >>> 03:25:36:227 AWT-EventQueue-0: Could not find route table entry for >>> path:exch=NEWS secType=STK currency=USD dataType=DayChart >>> 03:25:36:228 AWT-EventQueue-0: No data of type DayChart is available for >>> the exchange 'NEWS' and the security type 'Stock' >>> 03:25:36:228 AWT-EventQueue-0: Could not find route table entry for >>> path:exch=RTRSFND secType=STK currency=USD dataType=DayChart >>> 03:25:36:228 AWT-EventQueue-0: No data of type DayChart is available for >>> the exchange 'RTRSFND' and the security type 'Stock' >>> 03:25:36:228 AWT-EventQueue-0: Could not find route table entry for >>> path:exch=RTRSFND secType=STK currency=USD dataType=DayChart >>> 03:25:36:228 AWT-EventQueue-0: No data of type DayChart is available for >>> the exchange 'RTRSFND' and the security type 'Stock' >>> 03:25:36:229 AWT-EventQueue-0: Reconnected! >>> 03:25:37:151 JTS-ForwardRouting-HISTORICAL_DATA-532: >>> handleCompatibleRouting HISTORICAL_DATA compmode=true ready=false >>> farm=ushmds >>> 03:25:37:939 JTS-ForwardRouting-MARKET_DATA-536: handleCompatibleRouting >>> MARKET_DATA compmode=true ready=false farm=usfarm >>> 03:26:36:399 JTS-Fuse-sd-533: Reset transferrable socket:ushmds >>> gw1.ibllc.com:4000 >>> 03:26:37:187 JTS-Fuse-sd-537: Reset transferrable socket:usfarm >>> gw1.ibllc.com:4000 >>> 05:20:18:052 JTS-CCPPing-516: Warning: not received heartbeat at 28813000 >>> elapsed:11000 >>> ------ >>> >>> Data that is collected is only for the three instruments: EUR, NQ, ES >>> (thus I am puzzled also by the stock request above) >>> >>> Cheers >>> Klaus >>> >>> >>> Am Montag, 1. Oktober 2012 10:42:52 UTC-4 schrieb Klaus: >>>> >>>> Hi, >>>> >>>> for quite some time, I am using JBT to gather data. For this purpose, it >>>> is running on a AWS micro-instance. >>>> Once in a while I found it stuck (actually , but was not sure where it >>>> was coming from). Usually the happened also after a >>>> full week of data. >>>> >>>> However, today it happened again and I found some strange things (I >>>> start recording usually some time Sunday evening and let it run till >>>> Friday). Perhaps someone has an idea where it might come from. The fact is, >>>> it seems not data itself gets stuck only the price information is kept the >>>> same: the volume does continue to change. >>>> >>>> This is how the end of the recording looks like: then there is a 30sec >>>> gap where I restarted JBT. >>>> >>>> 100112,101425,-11.6,1.28335,14 >>>> >>>> 100112,101426,-11.6,1.28335,6 >>>> >>>> 100112,101427,-11.6,1.28335,0 >>>> >>>> 100112,101458,9.95,1.29335,0 >>>> >>>> 100112,101459,9.16,1.29335,2 >>>> >>>> 100112,101500,8.24,1.29335,1 >>>> >>>> The gap is not due to a change in the market, but because the data >>>> before was no longer correct (btw, this is the EUR) >>>> >>>> >>>> This is the part of the data where it seemed to happen: >>>> >>>> 100112,001556,-9.99,1.2833,0 >>>> >>>> 100112,001557,-4.27,1.28325,0 >>>> >>>> 100112,001558,-2.62,1.28325,0 >>>> >>>> 100112,001559,-11.47,1.28335,16 >>>> >>>> 100112,001600,-9.75,1.2833,1 >>>> >>>> 100112,001601,-10.32,1.2833,0 >>>> >>>> 100112,001602,-10.26,1.2833,0 >>>> >>>> 100112,001603,-13.42,1.28335,1 >>>> >>>> 100112,001604,-13.61,1.28335,0 >>>> >>>> 100112,001605,-12.64,1.28335,0 >>>> >>>> 100112,001606,-12.04,1.28335,0 >>>> >>>> 100112,001607,-11.83,1.28335,0 >>>> >>>> 100112,001608,-11.71,1.28335,0 >>>> >>>> 100112,001609,-11.71,1.28335,0 >>>> >>>> 100112,001610,-11.71,1.28335,0 >>>> >>>> 100112,001611,-11.71,1.28335,0 >>>> >>>> 100112,001612,-11.93,1.28335,0 >>>> >>>> 100112,001613,-11.98,1.28335,0 >>>> >>>> 100112,001614,-11.04,1.28335,7 >>>> >>>> the price keeped changing until 001602, then was stuck - as far as I >>>> could see in the file all the way until I restarted. >>>> >>>> >>>> The following is an excerpt from the Eventreport file - it contains the >>>> end before the restart (the were no further events recorded) >>>> >>>> 09/30/12 23:59:05.196 IB API 2103: Market data farm connection is >>>> broken:usfuture >>>> >>>> 09/30/12 23:59:21.450 IB API 2104: Market data farm connection is >>>> OK:usfuture >>>> >>>> 10/01/12 00:14:04.896 IB API 317: Market depth data has been RESET. >>>> Please empty deep book contents before applying any new entries. (for id 3) >>>> >>>> 10/01/12 00:14:04.896 My JBookTrader Market data for book 3 has been >>>> reset. >>>> >>>> 10/01/12 00:14:04.896 IB API 317: Market depth data has been RESET. >>>> Please empty deep book contents before applying any new entries. (for id 2) >>>> >>>> 10/01/12 00:14:04.896 My JBookTrader Market data for book 2 has been >>>> reset. >>>> >>>> 10/01/12 00:14:04.896 IB API 317: Market depth data has been RESET. >>>> Please empty deep book contents before applying any new entries. (for id 1) >>>> >>>> 10/01/12 00:14:04.896 My JBookTrader Market data for book 1 has been >>>> reset. >>>> >>>> 10/01/12 00:14:04.896 IB API 2103: Market data farm connection is >>>> broken:usfuture >>>> >>>> 10/01/12 00:14:42.166 IB API 2104: Market data farm connection is >>>> OK:usfuture >>>> >>>> 10/01/12 00:15:48.860 IB API 1100: Connectivity between IB and Trader >>>> Workstation has been lost. >>>> >>>> 10/01/12 00:16:16.630 IB API 1102: Connectivity between IB and Trader >>>> Workstation has been restored - data maintained. >>>> >>>> >>>> So, it looks like connectivity was lost and restored, but from this >>>> point forward no price updates were recorded.. >>>> >>>> Any idea what is going on, would be helpful. >>>> >>>> Cheers >>>> Klaus >>>> >>>> >>> -- >>> You received this message because you are subscribed to the Google Groups >>> "JBookTrader" group. >>> To view this discussion on the web visit >>> https://groups.google.com/d/msg/jbooktrader/-/O4d4rFkJ3F0J. >>> >>> To post to this group, send email to [email protected]. >>> To unsubscribe from this group, send email to >>> [email protected]. >>> >>> For more options, visit this group at >>> http://groups.google.com/group/jbooktrader?hl=en. >> >> >> > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To view this discussion on the web visit > https://groups.google.com/d/msg/jbooktrader/-/tEYk3_95L5EJ. > > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]. > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. 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