Correct, Judson.
The book data is requested via this line in TraderAssistant.java:
socket.reqMktDepth(ticker, contract, 10);
The corresponding callback method in Trader.java:
updateMktDepth();
This is where the price is determined as the midpoint between the current
best bid and current best ask.
The volume data is requested via this line in TraderAssistant.java:
socket.reqMktData(ticker, contract, "", false);
The corresponding callback method in Trader.java:
tickSize()
Price data (such as the "last price") can also be handled here, but JBT
only uses the volume data here.
The subscription to market depth and volume happens here:
if (!subscribedTickers.contains(ticker)) {
subscribedTickers.add(ticker);
socket.reqContractDetails(strategy.getContract().m_conId,
strategy.getContract());
eventReport.report(JBookTrader.APP_NAME, "Requested contract
details for instrument " + instrument);
socket.reqMktDepth(ticker, contract, 10);
eventReport.report(JBookTrader.APP_NAME, "Requested book data
for instrument " + instrument);
socket.reqMktData(ticker, contract, "", false);
eventReport.report(JBookTrader.APP_NAME, "Requested market data
for instrument " + instrument);
}
What I suggested to Klaus is that we can detect the loss of market data via
the error() method, and resubscribe if this happens. Klaus, I'll see if I
can make that code change and I'll send it over to you to test. Are you OK
with it?
On Tue, Oct 9, 2012 at 1:58 PM, Judson Wilson <[email protected]>wrote:
> 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
> >>>>
> >>>>
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> >>
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