@sasha said in problem with live trading(delayed data):

Requested market data is not subscribed

https://interactivebrokers.github.io/tws-api/message_codes.html
error :10090

Indicates that some tick types requested require additional market data subscriptions not held in the account. This commonly occurs for instance if a user has options subscriptions but not the underlying stock so the system cannot calculate the real time greek values (other default ticks will be returned). Or alternatively, if generic tick types are specified in a market data request without the associated subscriptions.

@backtrader, have a couple of questions:
how to make algo skeleton, that can trade, not on a day close, but on ticker price at a specific time like 15:30?
To make resampling with 30min, and wait for a specific time to validate and execute?
How I can get a historical daily price this specific time 15:30 (for example for 200 days)?

thank you in advance.

enable API in IB Workstation, and check port number.

@backtrader Somehow I get timer notification before the time arrived(marked bold), what issue can be?
you can see difference with (when parameter, and data timestamp).

   def __init__(self):
        print("Init ")
        self.add_timer(when=datetime.time(16,30), #bt.timer.SESSION_END,
            offset=datetime.timedelta(minutes=10),
            repeat=datetime.timedelta(),
            weekdays=[]) # , tzdata=self.dnames['MKTD'])   #tz.timezone('America/New_York')


    def notify_timer(self, timer, when, *args, **kwargs):
        print('strategy notify_timer with tid {}, when {} cheat {} feed stamp {}'.
              format(timer.p.tid, when, timer.p.cheat,self.data.datetime.datetime(-1)))

strategy notify_timer with tid 0, when 2019-04-30 16:40:00 cheat False feed stamp 2019-04-29 15:00:00
NEXT
strategy notify_timer with tid 0, when 2019-05-01 16:40:00 cheat False feed stamp 2019-04-30 15:00:00
NEXT
***** DATA NOTIF: MKTD LIVE
***** DATA NOTIF: BONDLONGD LIVE
***** DATA NOTIF: GOLDLONGD LIVE

@backtrader could you please advice why resampledata not working stable with IB ?

@backtrader thank you for reference, i took your referenced sample, and alter to make my own code.
i replaced resampledata to cerebro.adddata i use Days instead of ticks.
when i use resampledata - cerebro crashed, i open issue, but found by adddata it's run stable (without crashes)

Could you please point me what i doing wrong??

Next called every tick, and
inside
self.dnames['GOLDLONGD'].close[0] is real time value, but self.dnames['GOLDLONGD'].close[-1] previus tick, not Yestarday as i expect.

    def next(self):
        print("NEXT ") 
        print("{}".format(self.data.datetime.datetime(0).isoformat()))
        print("MKT(len={}) [0]{} [-1]{}".format(len(self.dnames['MKTD']),
                 self.dnames['MKTD'].close[0],
                 self.dnames['MKTD'].close[-1]))

     spygd = store.getdata(dataname='SPYG-STK-ARCA-USD',timeframe=bt.TimeFrame.Days)
     tltd = store.getdata(dataname='TLT-STK-ARCA-USD',timeframe=bt.TimeFrame.Days)
    gldd = store.getdata(dataname='IAU-STK-ARCA-USD',timeframe=bt.TimeFrame.Days)
    cerebro.addcalendar("NYSE")
    cerebro.adddata(spygd, name='MKTD')
    cerebro.adddata(tltd, name='BONDLONGD')
    cerebro.adddata(gldd, name='GOLDLONGD')
    

It's started ok, but later become very strange - i marked it BOLD

NEXT
2019-04-15T23:59:59.999986
MKT(len=249) [0]38.1 [-1]38.05
NEXT
2019-04-16T23:59:59.999986
MKT(len=250) [0]38.0 [-1]38.1
NEXT
2019-04-17T23:59:59.999986
MKT(len=251) [0]37.85 [-1]38.0
***** DATA NOTIF: MKTD LIVE
NEXT
2019-04-17T23:59:59.999986
MKT(len=251) [0]37.85 [-1]38.0
.
.
.
NEXT
2019-04-17T23:59:59.999986
MKT(len=251) [0]37.85 [-1]38.0
***** DATA NOTIF: BONDLONGD LIVE
NEXT
2019-04-17T23:59:59.999986
MKT(len=251) [0]37.85 [-1]38.0
NEXT
2019-04-18T13:18:29.462995
MKT(len=252) [0]37.89 [-1]37.85
NEXT
2019-04-18T13:18:29.462995
MKT(len=252) [0]37.89 [-1]37.85
NEXT
2019-04-18T13:18:29.462995
MKT(len=252) [0]37.89 [-1]37.85

pandas implementation

pctrank = lambda x: pd.Series(x).rank(pct=True).iloc[-1]
df["n200"]=df["source"].rolling(200).apply(pctrank)

backtrader implementation ?

class Percentile(bt.Indicator):
    lines = ('percentile',)
    params = (('period', 15),)

    def __init__(self):
        self.lines.percentilee = pd.Series(self.data).rank(pct=True).iloc[-1]

found issue - just replace with resampledata to replaydata

I continue to get crashes even before it's call my next function. some rare times it's pass OK, anyone can advise?

Traceback (most recent call last):
<historicalData reqId=16777255, date=20180418, open=121.02, high=121.34, low=120.19, close=120.25, volume=8863, count=3478, WAP=120.761, hasGaps=False>
<historicalData reqId=16777255, date=20180419, open=119.86, high=119.91, low=118.81, close=119.29, volume=13703, count=5397, WAP=119.257, hasGaps=False>
  File "/Users/roman/Projects/ai/sample-backtrader/ibtutorial.py", line 219, in <module>
    run()
  File "/Users/roman/Projects/ai/sample-backtrader/ibtutorial.py", line 215, in run
    cerebro.run()
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
<historicalData reqId=16777255, date=20180420, open=119.22, high=119.22, low=118.37, close=118.41, volume=7372, count=3448, WAP=118.704, hasGaps=False>
<historicalData reqId=16777255, date=20180423, open=118.11, high=118.61, low=117.8, close=118.5, volume=8573, count=3336, WAP=118.369, hasGaps=False>
<historicalData reqId=16777255, date=20180424, open=118.16, high=118.45, low=117.76, close=117.76, volume=8363, count=3679, WAP=118.094, hasGaps=False>
    self._runnext(runstrats)
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/cerebro.py", line 1630, in _runnext
    strat._next()
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/strategy.py", line 347, in _next
    super(Strategy, self)._next()
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/lineiterator.py", line 260, in _next
    clock_len = self._clk_update()
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/strategy.py", line 327, in _clk_update
    newdlens = [len(d) for d in self.datas]
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/strategy.py", line 327, in <listcomp>
    newdlens = [len(d) for d in self.datas]
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/lineseries.py", line 464, in __len__
    return len(self.lines)
  File "/Users/roman/anaconda3/envs/backtrader/lib/python3.7/site-packages/backtrader/lineseries.py", line 220, in __len__
    return len(self.lines[0])
ValueError: __len__() should return >= 0

Process finished with exit code 1