Dear Eugene, Dear Judson,
first thanks to all for clarifying this. This was puzzling me and now I
understand how it can technically
happen. I was mistaken to believe it would be the same stream.
Certainly, if you give me a proposed patch, I would be happy to analyze the
relevant effects.
Cheers
Klaus
Am Dienstag, 9. Oktober 2012 14:43:00 UTC-4 schrieb nonlinear:
>
> 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]<javascript:>
> > 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] <javascript:>>
>> 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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