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Bug with live trading ibtest.py script?



  • Is there a bug with live trading when fetching the data feed when we use resample data? Especially with the high and low data.
    I am using the exact ibtest script in the samples without any changes to it.
    When I run the script for Seconds and compression 1 the desired data is received with no issues.
    I used this to run the code which is pretty standard.
    ./ibtest.py --port 4002 --data0 'TCS-STK-NSE-INR' --resample --timeframe Seconds --compression 1

    Data0, 1797, 737468.1806481482, 2020-02-13T04:20:08.000000, 2194.6, 2194.6, 2194.6, 2194.6, 6.0, 0, 2194.45
    Data0, 1798, 737468.1806597222, 2020-02-13T04:20:09.000000, 2194.6, 2194.6, 2194.6, 2194.6, 0.0, 0, 2194.3900000000003
    Data0, 1799, 737468.1806712963, 2020-02-13T04:20:10.000000, 2194.55, 2194.55, 2194.55, 2194.55, 11.0, 0, 2194.33
    Data0, 1800, 737468.1806828703, 2020-02-13T04:20:11.000000, 2194.2, 2194.2, 2194.2, 2194.2, 36.0, 0, 2194.3
    ***** DATA NOTIF: LIVE
    Data0, 1801, 737468.1807060185, 2020-02-13T04:20:13.000000, 2193.55, 2193.55, 2193.55, 2193.55, 133894.0, 0, 2194.3
    Data0, 1802, 737468.1807175926, 2020-02-13T04:20:14.000000, 2184.55, 2184.55, 2184.55, 2184.55, 165.0, 0, 2192.29
    Data0, 1803, 737468.1807291667, 2020-02-13T04:20:15.000000, 2180.9, 2180.9, 2180.9, 2180.9, 13.0, 0, 2189.55
    Data0, 1804, 737468.1807523149, 2020-02-13T04:20:17.000000, 2184.85, 2184.85, 2184.85, 2184.85, 145.0, 0, 2187.6099999999997
    Data0, 1805, 737468.180775463, 2020-02-13T04:20:19.000000, 2240.0, 2240.0, 2186.1, 2186.1, 95.0, 0, 2185.9900000000002
    

    Please notice the high and lows i.e. the 2nd and 3rd column after time when I use the code for Minutes with compression 1.
    I use this to run the code for minutes.
    ./ibtest.py --port 4002 --data0 'TCS-STK-NSE-INR' --resample --timeframe Minutes --compression 1

    Data0, 0036, 737468.1805555555, 2020-02-13T04:20:00.000000, 2193.35, 2195.0, 2193.35, 2194.6, 850.0, 0, 2194.45
    Data0, 0037, 737468.18125, 2020-02-13T04:21:00.000000, 2194.7, 2194.7, 2193.65, 2194.0, 623.0, 0, 2194.13
    Data0, 0038, 737468.1819444444, 2020-02-13T04:22:00.000000, 2194.2, 2194.2, 2193.45, 2193.65, 1027.0, 0, 2193.8599999999997
    Data0, 0039, 737468.182638889, 2020-02-13T04:23:00.000000, 2193.7, 2194.0, 2193.65, 2193.95, 138.0, 0, 2193.9
    ***** DATA NOTIF: LIVE
    Data0, 0040, 737468.1833333333, 2020-02-13T04:24:00.000000, 2194.05, 2273.9, 2176.0, 2185.15, 23071.0, 0, 2192.27
    Data0, 0041, 737468.1840277778, 2020-02-13T04:25:00.000000, 2184.8, 2228.8, 2176.0, 2185.6, 9375.0, 0, 2190.4700000000003
    Data0, 0042, 737468.1847222223, 2020-02-13T04:26:00.000000, 2176.0, 2230.25, 2176.0, 2185.5, 8036.0, 0, 2188.77
    
    

    The lows are constant i.e. the 3rd column and the highs i.e. the second column is not sensible. Just to cross check I opened Trader workstation and it has the right highs and lows. You can also compare the highs and lows with the historical data for further confirmation and this is 1 minute data so it is obvious.
    Can someone please help fixing this?



  • I forgot to mention the seconds run is working fine when I change timeframe to minutes or any other timeframe the problem occurs.


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