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    ES Real-Time Datafeed No Longer Working

    General Code/Help
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    • C
      colin last edited by

      I’ve been developing and testing a trading strategy against both live and historical data for almost two years now, using ES (S&P 500 futures, GLOBEX). For most of this year my focus has been on backtesting with historical data, but I just found out that my IB datafeeds which worked last year no longer do.

      Both the historical data and the real-time data seem to be using the wrong contract. I can see in TWS what the price is supposed to be but the historical datafeed is off by anywhere from 20 to 40 points and the real-time datafeed is nonexistent. The current relevant contract is 202209 unless I am mistaken.

      When I run my strategy live, it backfills with the inaccurate price data, and then displays a “Delayed” message when it should be switching over to real-time data. After that it stops receiving data altogether. I’ve tested five or more versions of my code and none of them work anymore. I’ve also contacted IB to make sure that I have the correct subscriptions, so that isn’t the problem either.

      Could someone please show me an example of a functional real-time datafeed for ES with accurate outputs? I’m guessing something changed in the last four or five months from either Backtrader or the TWS API that broke my datafeeds.

      1 Reply Last reply Reply Quote 0
      • C
        colin last edited by

        Here is my datafeed code:

        ibstore = backtrader.stores.IBStore(host='127.0.0.1', port=7497)
cerebro.setbroker(ibstore.getbroker())
data_backfill = ibstore.getdata(
    dataname='ES-202209-GLOBEX-USD', timeframe=backtrader.TimeFrame.Seconds,
    historical=True, fromdate=now.date(), compression=1,
)
live_data = ibstore.getdata(
    dataname='ES-202209-GLOBEX-USD',
    timeframe=backtrader.TimeFrame.Ticks,
    compression=1,
    backfill_from=data_backfill,
    qcheck=0.1
)

live_data.resample(timeframe=backtrader.TimeFrame.Seconds, compression=1)
cerebro.adddata(live_data)

cerebro.resampledata(live_data, name='ES_two_minute', timeframe=backtrader.TimeFrame.Minutes, compression=2)

        And here is the output when I run it:

        Server Version: 76
TWS Time at connection:20220704 11:32:21 MST
STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm.nj>
STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture>
STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:cashfarm>
STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm>
STORE NOTIF: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds>
STORE NOTIF: <error id=-1, errorCode=2158, errorMsg=Sec-def data farm connection is OK:secdefil>
2022-07-04T01:30:00, Open: 3816.50, High: 3816.50, Low: 3815.00, Close: 3815.50 
2022-07-04T01:32:00, Open: 3815.50, High: 3815.75, Low: 3813.25, Close: 3813.50 
2022-07-04T01:34:00, Open: 3813.50, High: 3815.75, Low: 3813.25, Close: 3815.50 
2022-07-04T01:36:00, Open: 3815.50, High: 3815.75, Low: 3814.00, Close: 3815.00 
2022-07-04T01:38:00, Open: 3815.00, High: 3816.50, Low: 3814.75, Close: 3815.75 
2022-07-04T01:40:00, Open: 3816.00, High: 3816.00, Low: 3813.75, Close: 3813.75 
2022-07-04T01:42:00, Open: 3813.75, High: 3814.00, Low: 3813.25, Close: 3813.25 
2022-07-04T01:44:00, Open: 3813.25, High: 3813.75, Low: 3812.50, Close: 3813.25 
2022-07-04T01:46:00, Open: 3813.25, High: 3814.50, Low: 3813.25, Close: 3813.75 
2022-07-04T01:48:00, Open: 3814.00, High: 3814.50, Low: 3813.50, Close: 3813.75 
2022-07-04T01:50:00, Open: 3813.25, High: 3813.25, Low: 3812.25, Close: 3812.25 
2022-07-04T01:52:00, Open: 3812.25, High: 3812.75, Low: 3811.00, Close: 3811.00 
2022-07-04T01:54:00, Open: 3811.00, High: 3812.25, Low: 3810.25, Close: 3812.25 
2022-07-04T01:56:00, Open: 3812.00, High: 3813.25, Low: 3811.75, Close: 3811.75 
2022-07-04T01:58:00, Open: 3811.75, High: 3811.75, Low: 3810.00, Close: 3810.75 
2022-07-04T02:00:00, Open: 3810.75, High: 3811.00, Low: 3808.75, Close: 3810.00 
2022-07-04T02:02:00, Open: 3810.25, High: 3813.50, Low: 3809.25, Close: 3810.25 
2022-07-04T02:04:00, Open: 3810.25, High: 3812.25, Low: 3808.50, Close: 3808.75 
2022-07-04T02:06:00, Open: 3808.75, High: 3809.25, Low: 3807.00, Close: 3808.00 
2022-07-04T02:08:00, Open: 3808.00, High: 3812.00, Low: 3807.75, Close: 3811.00 
2022-07-04T02:10:00, Open: 3810.75, High: 3812.25, Low: 3808.75, Close: 3809.50 
2022-07-04T02:12:00, Open: 3809.50, High: 3812.50, Low: 3807.25, Close: 3807.50 
2022-07-04T02:14:00, Open: 3807.50, High: 3808.00, Low: 3806.75, Close: 3807.25 
2022-07-04T02:16:00, Open: 3807.25, High: 3807.25, Low: 3805.25, Close: 3806.00 
2022-07-04T02:18:00, Open: 3806.00, High: 3808.00, Low: 3804.00, Close: 3804.25 
2022-07-04T02:20:00, Open: 3804.25, High: 3806.50, Low: 3802.00, Close: 3806.00 
2022-07-04T02:22:00, Open: 3806.25, High: 3806.50, Low: 3804.50, Close: 3805.00 
2022-07-04T02:24:00, Open: 3805.00, High: 3807.50, Low: 3804.50, Close: 3807.50 
2022-07-04T02:26:00, Open: 3807.50, High: 3808.25, Low: 3805.75, Close: 3806.00 
2022-07-04T02:28:00, Open: 3806.00, High: 3808.00, Low: 3805.50, Close: 3807.50 
2022-07-04T02:30:00, Open: 3807.25, High: 3810.25, Low: 3806.75, Close: 3809.50 
2022-07-04T02:32:00, Open: 3809.50, High: 3809.75, Low: 3806.25, Close: 3806.75 
2022-07-04T02:34:00, Open: 3806.75, High: 3807.25, Low: 3805.00, Close: 3806.00 
2022-07-04T02:36:00, Open: 3806.00, High: 3806.50, Low: 3803.75, Close: 3805.50 
2022-07-04T02:38:00, Open: 3805.50, High: 3806.25, Low: 3803.25, Close: 3804.50 
2022-07-04T02:40:00, Open: 3804.50, High: 3805.00, Low: 3803.25, Close: 3803.75 
2022-07-04T02:42:00, Open: 3803.75, High: 3804.75, Low: 3802.00, Close: 3804.25 
2022-07-04T02:44:00, Open: 3804.00, High: 3804.00, Low: 3802.50, Close: 3803.00 
2022-07-04T02:46:00, Open: 3803.00, High: 3803.00, Low: 3801.75, Close: 3802.50 
2022-07-04T02:48:00, Open: 3802.50, High: 3802.75, Low: 3798.75, Close: 3800.00 
2022-07-04T02:50:00, Open: 3800.00, High: 3800.25, Low: 3798.00, Close: 3798.25 
2022-07-04T02:52:00, Open: 3798.25, High: 3799.75, Low: 3797.75, Close: 3798.25 
2022-07-04T02:54:00, Open: 3798.25, High: 3798.75, Low: 3798.00, Close: 3798.25 
2022-07-04T02:56:00, Open: 3798.25, High: 3799.00, Low: 3798.00, Close: 3798.50 
2022-07-04T02:58:00, Open: 3798.50, High: 3799.50, Low: 3797.25, Close: 3799.50 
2022-07-04T03:00:00, Open: 3799.50, High: 3800.50, Low: 3798.75, Close: 3799.25 
2022-07-04T03:02:00, Open: 3799.25, High: 3803.00, Low: 3799.25, Close: 3803.00 
2022-07-04T03:04:00, Open: 3803.00, High: 3803.75, Low: 3802.25, Close: 3803.25 
2022-07-04T03:06:00, Open: 3803.00, High: 3804.25, Low: 3799.50, Close: 3799.75 
2022-07-04T03:08:00, Open: 3800.00, High: 3803.00, Low: 3799.50, Close: 3801.00 
2022-07-04T03:10:00, Open: 3801.00, High: 3801.50, Low: 3800.00, Close: 3801.00 
2022-07-04T03:12:00, Open: 3801.00, High: 3803.00, Low: 3800.75, Close: 3802.75 
2022-07-04T03:14:00, Open: 3802.50, High: 3803.00, Low: 3802.00, Close: 3803.00 
2022-07-04T03:16:00, Open: 3802.75, High: 3804.25, Low: 3802.75, Close: 3804.00 
2022-07-04T03:18:00, Open: 3804.00, High: 3804.50, Low: 3802.50, Close: 3802.50 
2022-07-04T03:20:00, Open: 3802.50, High: 3803.50, Low: 3802.00, Close: 3803.25 
2022-07-04T03:22:00, Open: 3803.50, High: 3803.50, Low: 3801.25, Close: 3802.00 
2022-07-04T03:24:00, Open: 3802.00, High: 3802.25, Low: 3799.25, Close: 3800.75 
2022-07-04T03:26:00, Open: 3801.00, High: 3801.00, Low: 3799.25, Close: 3800.75 
2022-07-04T03:28:00, Open: 3800.75, High: 3802.25, Low: 3800.00, Close: 3802.00 
2022-07-04T03:30:00, Open: 3802.00, High: 3803.25, Low: 3801.75, Close: 3802.00 
2022-07-04T03:32:00, Open: 3802.00, High: 3803.25, Low: 3801.50, Close: 3802.75 
2022-07-04T03:34:00, Open: 3802.75, High: 3802.75, Low: 3800.25, Close: 3801.25 
2022-07-04T03:36:00, Open: 3801.25, High: 3801.50, Low: 3801.00, Close: 3801.00 
2022-07-04T03:38:00, Open: 3801.00, High: 3801.75, Low: 3800.75, Close: 3800.75 
2022-07-04T03:40:00, Open: 3800.75, High: 3801.25, Low: 3798.75, Close: 3799.00 
2022-07-04T03:42:00, Open: 3799.25, High: 3799.50, Low: 3798.25, Close: 3798.75 
2022-07-04T03:44:00, Open: 3798.75, High: 3798.75, Low: 3798.00, Close: 3798.50 
2022-07-04T03:46:00, Open: 3798.50, High: 3799.25, Low: 3798.25, Close: 3798.50 
2022-07-04T03:48:00, Open: 3798.50, High: 3800.75, Low: 3798.00, Close: 3800.00 
2022-07-04T03:50:00, Open: 3800.00, High: 3800.75, Low: 3799.75, Close: 3799.75 
2022-07-04T03:52:00, Open: 3799.50, High: 3800.50, Low: 3799.00, Close: 3799.25 
2022-07-04T03:54:00, Open: 3799.25, High: 3800.25, Low: 3799.25, Close: 3800.25 
2022-07-04T03:56:00, Open: 3800.25, High: 3801.00, Low: 3800.00, Close: 3800.50 
2022-07-04T03:58:00, Open: 3800.25, High: 3801.00, Low: 3800.25, Close: 3800.25 
2022-07-04T04:00:00, Open: 3800.00, High: 3802.00, Low: 3799.75, Close: 3800.75 
2022-07-04T04:02:00, Open: 3800.75, High: 3801.75, Low: 3800.50, Close: 3800.50 
2022-07-04T04:04:00, Open: 3800.50, High: 3800.50, Low: 3799.25, Close: 3799.50 
2022-07-04T04:06:00, Open: 3799.25, High: 3799.75, Low: 3798.25, Close: 3799.00 
2022-07-04T04:08:00, Open: 3799.00, High: 3799.75, Low: 3798.50, Close: 3799.50 
2022-07-04T04:10:00, Open: 3799.50, High: 3801.00, Low: 3799.25, Close: 3800.75 
2022-07-04T04:12:00, Open: 3800.75, High: 3801.75, Low: 3800.75, Close: 3801.00 
2022-07-04T04:14:00, Open: 3801.00, High: 3801.50, Low: 3800.75, Close: 3801.50 
2022-07-04T04:16:00, Open: 3801.50, High: 3804.50, Low: 3801.50, Close: 3804.25 
2022-07-04T04:18:00, Open: 3804.50, High: 3804.75, Low: 3803.75, Close: 3804.75 
2022-07-04T04:20:00, Open: 3804.75, High: 3805.00, Low: 3803.00, Close: 3804.00 
2022-07-04T04:22:00, Open: 3803.75, High: 3804.25, Low: 3803.00, Close: 3803.75 
2022-07-04T04:24:00, Open: 3803.75, High: 3805.00, Low: 3803.75, Close: 3804.50 
2022-07-04T04:26:00, Open: 3804.50, High: 3805.50, Low: 3803.75, Close: 3805.50 
2022-07-04T04:28:00, Open: 3805.50, High: 3805.50, Low: 3804.25, Close: 3805.00 
2022-07-04T04:30:00, Open: 3805.00, High: 3807.25, Low: 3805.00, Close: 3806.75 
2022-07-04T04:32:00, Open: 3806.50, High: 3810.50, Low: 3805.50, Close: 3809.75 
2022-07-04T04:34:00, Open: 3810.00, High: 3814.25, Low: 3807.25, Close: 3812.25 
2022-07-04T04:36:00, Open: 3812.25, High: 3813.00, Low: 3811.00, Close: 3812.00 
2022-07-04T04:38:00, Open: 3812.00, High: 3813.00, Low: 3811.00, Close: 3812.50 
2022-07-04T04:40:00, Open: 3812.50, High: 3814.25, Low: 3811.25, Close: 3813.75 
2022-07-04T04:42:00, Open: 3813.75, High: 3814.25, Low: 3813.00, Close: 3813.50 
2022-07-04T04:44:00, Open: 3813.75, High: 3815.25, Low: 3813.50, Close: 3815.25 
2022-07-04T04:46:00, Open: 3815.00, High: 3815.00, Low: 3814.00, Close: 3814.50 
2022-07-04T04:48:00, Open: 3814.50, High: 3815.50, Low: 3813.50, Close: 3815.00 
2022-07-04T04:50:00, Open: 3815.00, High: 3816.25, Low: 3814.75, Close: 3815.50 
2022-07-04T04:52:00, Open: 3815.50, High: 3817.75, Low: 3815.00, Close: 3816.50 
2022-07-04T04:54:00, Open: 3816.50, High: 3817.75, Low: 3815.75, Close: 3816.75 
2022-07-04T04:56:00, Open: 3816.75, High: 3817.25, Low: 3816.50, Close: 3817.00 
2022-07-04T04:58:00, Open: 3817.00, High: 3817.00, Low: 3815.75, Close: 3816.00 
2022-07-04T05:00:00, Open: 3816.25, High: 3816.25, Low: 3815.00, Close: 3816.25 
2022-07-04T05:02:00, Open: 3816.25, High: 3816.25, Low: 3812.50, Close: 3813.50 
2022-07-04T05:04:00, Open: 3813.50, High: 3813.50, Low: 3811.50, Close: 3811.75 
2022-07-04T05:06:00, Open: 3811.75, High: 3813.00, Low: 3811.50, Close: 3811.75 
2022-07-04T05:08:00, Open: 3811.75, High: 3812.00, Low: 3810.75, Close: 3810.75 
2022-07-04T05:10:00, Open: 3810.75, High: 3812.25, Low: 3810.00, Close: 3812.25 
2022-07-04T05:12:00, Open: 3812.25, High: 3812.25, Low: 3811.25, Close: 3812.25 
2022-07-04T05:14:00, Open: 3812.25, High: 3813.00, Low: 3812.00, Close: 3812.50 
2022-07-04T05:16:00, Open: 3812.50, High: 3813.50, Low: 3811.75, Close: 3812.25 
2022-07-04T05:18:00, Open: 3812.25, High: 3814.25, Low: 3812.00, Close: 3814.00 
2022-07-04T05:20:00, Open: 3814.00, High: 3815.00, Low: 3813.75, Close: 3813.75 
2022-07-04T05:22:00, Open: 3814.00, High: 3814.00, Low: 3812.25, Close: 3812.75 
2022-07-04T05:24:00, Open: 3812.75, High: 3814.00, Low: 3812.75, Close: 3813.50 
2022-07-04T05:26:00, Open: 3813.50, High: 3814.00, Low: 3813.00, Close: 3813.50 
2022-07-04T05:28:00, Open: 3813.50, High: 3815.75, Low: 3813.50, Close: 3815.75 
2022-07-04T05:30:00, Open: 3815.75, High: 3816.00, Low: 3815.50, Close: 3816.00 
2022-07-04T05:32:00, Open: 3816.00, High: 3816.25, Low: 3815.50, Close: 3815.50 
2022-07-04T05:34:00, Open: 3815.50, High: 3816.00, Low: 3815.25, Close: 3815.25 
2022-07-04T05:36:00, Open: 3815.25, High: 3815.50, Low: 3814.50, Close: 3815.50 
2022-07-04T05:38:00, Open: 3815.50, High: 3816.75, Low: 3815.50, Close: 3816.50 
2022-07-04T05:40:00, Open: 3816.25, High: 3818.50, Low: 3816.25, Close: 3817.50 
2022-07-04T05:42:00, Open: 3817.50, High: 3817.50, Low: 3816.25, Close: 3817.25 
2022-07-04T05:44:00, Open: 3817.25, High: 3818.00, Low: 3816.25, Close: 3817.00 
2022-07-04T05:46:00, Open: 3817.25, High: 3818.00, Low: 3815.75, Close: 3816.00 
2022-07-04T05:48:00, Open: 3815.75, High: 3816.75, Low: 3815.50, Close: 3816.75 
2022-07-04T05:50:00, Open: 3816.75, High: 3817.25, Low: 3816.50, Close: 3816.50 
2022-07-04T05:52:00, Open: 3816.50, High: 3816.75, Low: 3815.75, Close: 3816.50 
2022-07-04T05:54:00, Open: 3816.50, High: 3816.75, Low: 3816.25, Close: 3816.50 
2022-07-04T05:56:00, Open: 3816.50, High: 3816.75, Low: 3815.75, Close: 3816.25 
2022-07-04T05:58:00, Open: 3816.25, High: 3817.25, Low: 3816.25, Close: 3816.75 
2022-07-04T06:00:00, Open: 3816.75, High: 3816.75, Low: 3815.50, Close: 3816.25 
2022-07-04T06:02:00, Open: 3816.25, High: 3817.25, Low: 3815.75, Close: 3817.25 
2022-07-04T06:04:00, Open: 3816.75, High: 3819.00, Low: 3816.75, Close: 3818.00 
2022-07-04T06:06:00, Open: 3818.00, High: 3818.25, Low: 3817.25, Close: 3818.00 
2022-07-04T06:08:00, Open: 3818.00, High: 3819.00, Low: 3817.75, Close: 3818.25 
2022-07-04T06:10:00, Open: 3818.25, High: 3819.50, Low: 3818.25, Close: 3818.50 
2022-07-04T06:12:00, Open: 3818.50, High: 3819.00, Low: 3816.50, Close: 3816.75 
2022-07-04T06:14:00, Open: 3816.75, High: 3818.50, Low: 3816.50, Close: 3817.75 
2022-07-04T06:16:00, Open: 3817.75, High: 3818.00, Low: 3815.50, Close: 3816.00 
2022-07-04T06:18:00, Open: 3816.00, High: 3816.25, Low: 3813.25, Close: 3813.50 
2022-07-04T06:20:00, Open: 3813.50, High: 3815.25, Low: 3813.50, Close: 3814.75 
2022-07-04T06:22:00, Open: 3814.50, High: 3814.75, Low: 3813.75, Close: 3814.00 
2022-07-04T06:24:00, Open: 3814.00, High: 3814.25, Low: 3812.75, Close: 3813.00 
2022-07-04T06:26:00, Open: 3813.00, High: 3813.50, Low: 3812.75, Close: 3813.00 
2022-07-04T06:28:00, Open: 3812.75, High: 3814.25, Low: 3812.25, Close: 3814.25 
2022-07-04T06:30:00, Open: 3814.25, High: 3816.00, Low: 3814.25, Close: 3815.50 
2022-07-04T06:32:00, Open: 3815.50, High: 3815.75, Low: 3815.00, Close: 3815.00 
2022-07-04T06:32:20, DATA NOTIF: DELAYED
2022-07-04T06:32:20, Open: 3814.75, High: 3815.75, Low: 3814.75, Close: 3815.50

        If this issue is known and has been addressed, please let me know. Otherwise please look into this so that myself and others are able to trade ES using Backtrader.

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