I have a usecase.
I noticed that index data values are wrong if requested as 1-second snapshot. So, I need to use 5-second real time bars on index values.
I use the index values to calculate the option strike price to be traded. I also use the futures levels in the mix for monitoring exit opportunities.
So, I want to use 5s real time bars for index, but tick-by-tick update or 1s snapshot update for futures and options.
I tried this with the backtrader code and when I keep all the data as 5-second real time bars, I am able to receive data.
But when I keep the index data as 5s bar and futures/options as tick-updates resampled to 1 second snapshot, (of course the 1s resampled data feeds added first and then the 5s rtb added), I receive no data.
Is this something inherent to interactive brokers?