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Jim Harrison
2013-12-14 23:51:24


1. Anyone had a successful "Backfill when system detects a disconnect" using IB? I had an instance where ISP was down, and when it reconnected it streamed all my symbols OK, but it did not go back and get my missing data via auto backfill.

The ATS log shows the system detected a disconnect. This obviously can be an issue if my ATS "missed" something.

2. I also noted that if I am streaming more than 60 symbols via ATS or Watchlist, I experience a "Pacing Violation" error when backfilling and the backfills time out. I think it is a 2 minute period until I can backfill again. I know this is an IB API limit (60 requests per minute) but maybe we can pace the auto backfills so that they do not trigger the violation.

3. Where is the data that is being streamed "held", and at what point does it get written to the database if I have selected that option. FYI I have no interval < 1 minute (no tick data).

4. If I have an ATS that is ON and streaming pre market and is using the 1 minute interval. It scans 80 +/- symbols for trades. I have told IB not to get data outside regular hours as I do not use it for this strategy. Should I use tick data?

The Market opens and all symbols stream OK. The issue I noticed is that on market open not all symbols will show the correct opening print. Obviously I know this is data latency related, just curious for any insights as to how Qshare handles this event once it starts streaming. The differences range from ~2 seconds to just milliseconds. The reason I ask, is that the differences are usually lower on the symbol list that is being streamed, i.e. maybe @ symbol # 40 out of 80 I start seeing a difference.

5. IS it possible to backfill EOD data using IB. I have yet to accomplish this.

Any other IB real time users out there, please message back with any related issues or similar experiences so the Guru can continue to improve Qshare for us all!

Thanks



Jim Harrison
2013-12-17 18:26:38

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I have been playing with the grid tool, I like it! Thanks.

Quick question: 1. Can I access similar logic in a watchlist, i.e. bid, ask, size, etc? If so, how do I call these data points? Thanks in advance.



QuantShare
2013-12-17 22:39:23

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Hi,

1/ This is because currently, auto-backfill is enabled only if there are less than 20 streaming securities. We will increase this value in future releases.

2/ Thanks for the suggestion.

3/ It is held in memory. After a certain number of ticks, the data is written to the tick or intraday database.

4/ What do you mean but "Should I use tick data?". Please send us an email regarding this.

5/ Select IB as data provider, select an EOD time frame, click on the icon (circle) at the bottom/right corner of the chart then select "Backfill EOD"

6/ Yes, you can:

The variable names are: bid, ask, bidsize, asksize




Jim Harrison
2013-12-18 07:09:59

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1. Thanks. again awesome if it matched the Symbol limit setting, and backfills are paced not to violate.

3. How many Ticks please? What is the threshold?

5.Still no luck with EOD backfill and IB. Historical Market Data Service error message:Time length exceed max (Code:162)(SymbolID: CSCO-BATS-STK-USD)

6. Yes, but only if I am monitoring TICKS, not on minute intervals. So , I can use bid, ask, etc. in a tick based interval watchlist or a tick chart, but not a minute interval.






QuantShare
2013-12-19 00:05:13

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3/ 1000 ticks

5/ We will check this. Thank you for reporting it.

6/ Yes, currently these variables work only when streaming tick data




Jim Harrison
2014-03-09 23:53:51

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Any update:

Still no luck with EOD backfill and IB. Historical Market Data Service error message:Time length exceed max (Code:162)(SymbolID: CSCO-BATS-STK-USD).



QuantShare
2014-03-10 12:15:12

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Jim, please send email to support regarding any issue of that kind


Andrew B Levin
2018-01-16 08:07:22

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I noticed this doesn't work for me. I logged out, then logged back in this morning. It pulls in current futures data from IB but nothing between. I have backfill outside of regular trading hours checked...i've requested a back fill several times, but no luck. Any suggestions?


Andrew B Levin
2018-01-16 08:07:57

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Also I've done everything on this thread and am only streaming 5 symbols in 10 minute intervals.


QuantShare
2018-01-17 03:33:31

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Please send an email to support with the log data. You can find by clicking on the "Data Feeds" button at the bottom/right corner then clicking on "Log" in the IB row.


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