[ts-gen] Same timestamps after several minutes?

Jordi Sanfeliu jordi at fibranet.cat
Mon Nov 15 05:56:32 EST 2010


Hi Johan,

Thanks for your reply.

Johan Hermansson wrote:
> 
> You might want to compare it when run under a paper and/or live account. 
> That way you can at least pin point the problem somewhat more exactly.
> 
> 

Sure, just to say that I use often the Demo account because I'm able to 
test more contracts types.

What follows is the transcript of a Paper Account session and now using 
the latest Shim version.

[~/IB/trading-shim/shim-101112]$ ./shim --risk

           The trading shim has connected to the database server and
           loaded  51624 products.  The IB tws offered api level 50,
           and connection negotiation resulted in an api level of 40
           and a client id of  8.  A query shows the account code to
           be DUxxxxx.  Program initialization has been completed.

select tick ibc:30.......

[ and the log is: ]

12736|41160|749588|3| 1| 6|    1| 1|     8.5350| 
9335|1|price.outcry.bid.   |STK:
12736|41160|749608|3| 1| 6|    1| 2|     8.5360| 
10011|1|price.outcry.ask.   |STK:
12736|41160|749621|3| 2| 6|    1| 0|                9335|0|size.bid. 
        |STK:
12736|41160|749631|3| 2| 6|    1| 3|               10011|0|size.ask. 
        |STK:
12736|41160|749832|3| 1| 6|    1| 4|     8.5360| 
2467|0|price.summary.last. |STK:
12736|41160|749843|3| 2| 6|    1| 5|                2467|0|size.last. 
        |STK:
12736|41160|749863|3|46| 6|    1|45|1289816771|
12736|41160|750156|3| 2| 6|    1| 8|             9187431|0|size.volume. 
        |STK:
12736|41160|750171|3| 1| 6|    1| 6|     8.5400| 
0|0|price.summary.high. |STK:
12736|41160|750185|3| 1| 6|    1| 7|     8.3820| 
0|0|price.summary.low.  |STK:
12736|41160|750199|3| 1| 6|    1| 9|     8.5260| 
0|0|price.summary.close.|STK:
12736|41160|750313|3| 1| 6|    1|14|     0.0000|       0|0|price.open. 
        |STK:
12736|41160|750504|3| 1| 6|    1| 1|     8.5350| 
9335|1|price.outcry.bid.   |STK:
12736|41160|750519|3| 1| 6|    1| 2|     8.5360| 
10011|1|price.outcry.ask.   |STK:
12736|41160|750530|3| 2| 6|    1| 0|                9335|0|size.bid. 
        |STK:
12736|41160|750540|3| 2| 6|    1| 3|               10011|0|size.ask. 
        |STK:
12736|41161|134391|3| 2| 6|    1| 8|             9203193|0|size.volume. 
        |STK:
12736|41161|134411|3| 1| 6|    1| 6|     8.5400| 
0|0|price.summary.high. |STK:
12736|41161|134425|3| 1| 6|    1| 7|     8.3820| 
0|0|price.summary.low.  |STK:
12736|41161|134439|3| 1| 6|    1| 9|     8.5260| 
0|0|price.summary.close.|STK:
12736|41160|588341|3| 2| 6|    1| 0|               13308|0|size.bid. 
        |STK:
12736|41161|339240|3| 1| 6|    1| 1|     8.5340| 
4674|1|price.outcry.bid.   |STK:
12736|41161|339258|3| 2| 6|    1| 0|                4674|0|size.bid. 
        |STK:
12736|41161|341588|3| 1| 6|    1| 4|     8.5350| 
4023|0|price.summary.last. |STK:
12736|41161|341600|3| 2| 6|    1| 5|                4023|0|size.last. 
        |STK:
12736|41161|341621|3|46| 6|    1|45|1289816778|
12736|41161|341733|3| 2| 6|    1| 8|             9207216|0|size.volume. 
        |STK:
12736|1266916047|  3695|3| 1| 6|    1| 1|     8.5350| 
5080|1|price.outcry.bid.   |STK:
12736|1266916047|  3707|3| 2| 6|    1| 0| 
5080|0|size.bid.           |STK:
12736|1266916047|  3718|3| 2| 6|    1| 3| 
13640|0|size.ask.           |STK:
12736|1266916047|503104|3| 2| 6|    1| 5| 
3973|0|size.last.          |STK:
12736|1266916047|503200|3| 2| 6|    1| 8| 
9211189|0|size.volume.        |STK:
12736|1266916047|503390|3| 1| 6|    1| 1|     8.5340| 
7806|1|price.outcry.bid.   |STK:
12736|1266916047|503401|3| 2| 6|    1| 0| 
7806|0|size.bid.           |STK:
12736|1266916047|503412|3| 2| 6|    1| 3| 
12640|0|size.ask.           |STK:
12736|1266916048|253102|3| 2| 6|    1| 5| 
5080|0|size.last.          |STK:
12736|1266916048|253125|3|46| 6|    1|45|1289816966|
12736|1266916048|253240|3| 2| 6|    1| 8| 
9216269|0|size.volume.        |STK:
12736|1266916048|253251|3| 2| 6|    1| 3| 
13640|0|size.ask.           |STK:
12736|1266916048|752956|3| 1| 6|    1| 4|     8.5360| 
11|0|price.summary.last. |STK:
12736|1266916048|752972|3| 2| 6|    1| 5| 
11|0|size.last.          |STK:
12736|1266916048|752992|3|46| 6|    1|45|1289816967|
12736|1266916048|753130|3| 2| 6|    1| 8| 
9216280|0|size.volume.        |STK:
12736|1266916049|  2226|3| 2| 6|    1| 3| 
13140|0|size.ask.           |STK:
12736|1266916049|502128|3| 2| 6|    1| 5| 
489|0|size.last.          |STK:
12736|1266916049|502226|3| 2| 6|    1| 8| 
9216769|0|size.volume.        |STK:
12736|1266916047|207478|3| 2| 6|    1| 0| 
7461|0|size.bid.           |STK:
12736|1266916047|207657|3| 1| 6|    1| 4|     8.5340| 
345|0|price.summary.last. |STK:
12736|1266916047|207668|3| 2| 6|    1| 5| 
345|0|size.last.          |STK:
12736|1266916047|207686|3|46| 6|    1|45|1289816970|
12736|1266916047|207789|3| 2| 6|    1| 8| 
9217114|0|size.volume.        |STK:
12736|41160|747760|3| 2| 6|    1| 0|               11404|0|size.bid. 
        |STK:
12736|41161|499210|3| 2| 6|    1| 3|               12140|0|size.ask. 
        |STK:
12736|1266916047|663803|3| 2| 6|    1| 3| 
13401|0|size.ask.           |STK:
12736|41161|212264|3| 1| 6|    1| 1|     8.5330| 
4026|1|price.outcry.bid.   |STK:
12736|41161|212283|3| 1| 6|    1| 2|     8.5340| 
1261|1|price.outcry.ask.   |STK:
12736|41161|212295|3| 2| 6|    1| 0|                4026|0|size.bid. 
        |STK:
12736|41161|212305|3| 2| 6|    1| 3|                1261|0|size.ask. 
        |STK:
12736|41161|212460|3| 2| 6|    1| 5|                1544|0|size.last. 
        |STK:
12736|41161|212479|3|46| 6|    1|45|1289816978|
12736|41161|212490|3| 2| 6|    1| 8|             9218658|0|size.volume. 
        |STK:
12736|1266916047|124604|3| 2| 6|    1| 3| 
3890|0|size.ask.           |STK:
12736|1266916047|624027|3| 2| 6|    1| 5| 
1241|0|size.last.          |STK:


[ after several minutes ... ]


12736|41160|954106|3| 2| 6|    1| 3|                9344|0|size.ask. 
        |STK:
12736|41161|453877|3| 2| 6|    1| 0|                7629|0|size.bid. 
        |STK:
12736|41161|453891|3| 2| 6|    1| 3|               10344|0|size.ask. 
        |STK:
12736|1266916047|618466|3| 2| 6|    1| 0| 
8529|0|size.bid.           |STK:
12736|1266916049|118993|3| 1| 6|    1| 4|     8.5410| 
1000|0|price.summary.last. |STK:
12736|1266916049|119008|3| 2| 6|    1| 5| 
1000|0|size.last.          |STK:
12736|1266916049|119029|3|46| 6|    1|45|1289817141|
12736|1266916049|119041|3| 2| 6|    1| 8| 
9603521|0|size.volume.        |STK:
12736|1266916049|369354|3| 2| 6|    1| 0| 
7529|0|size.bid.           |STK:
12736|1266916049|619519|3| 1| 6|    1| 4|     8.5420| 
2318|0|price.summary.last. |STK:
12736|1266916049|619535|3| 2| 6|    1| 5| 
2318|0|size.last.          |STK:
12736|1266916049|619555|3|46| 6|    1|45|1289817142|
12736|1266916049|619567|3| 2| 6|    1| 8| 
9605839|0|size.volume.        |STK:
12736|41160|511178|3| 2| 6|    1| 3|                7907|0|size.ask. 
        |STK:
12736|41160|511198|3| 1| 6|    1| 4|     8.5410| 
2000|0|price.summary.last. |STK:
12736|41160|511209|3| 2| 6|    1| 5|                2000|0|size.last. 
        |STK:
12736|41160|511220|3| 2| 6|    1| 8|             9607839|0|size.volume. 
        |STK:
12736|41161|160273|3| 2| 6|    1| 0|                8754|0|size.bid. 
        |STK:
12736|41161|160288|3| 2| 6|    1| 3|                7945|0|size.ask. 
        |STK:
12736|1266916048|327828|3| 1| 6|    1| 2|     8.5440| 
2409|1|price.outcry.ask.   |STK:
12736|1266916048|327843|3| 2| 6|    1| 3| 
2409|0|size.ask.           |STK:
12736|1266916048|327858|3| 1| 6|    1| 4|     8.5440| 
857|0|price.summary.last. |STK:
12736|1266916048|327869|3| 2| 6|    1| 5| 
857|0|size.last.          |STK:
12736|1266916048|327890|3|46| 6|    1|45|1289817145|
12736|1266916048|327902|3| 2| 6|    1| 8| 
9608696|0|size.volume.        |STK:
12736|1266916048|577515|3| 1| 6|    1| 2|     8.5450| 
4395|1|price.outcry.ask.   |STK:
12736|1266916048|577528|3| 2| 6|    1| 3| 
4395|0|size.ask.           |STK:
12736|1266916048|826974|3| 2| 6|    1| 3| 
9965|0|size.ask.           |STK:
12736|1266916049|577464|3| 2| 6|    1| 3| 
8056|0|size.ask.           |STK:
12736|1266916047|532815|3| 1| 6|    1| 2|     8.5420| 
9000|1|price.outcry.ask.   |STK:
12736|1266916047|532831|3| 2| 6|    1| 3| 
9000|0|size.ask.           |STK:

Same results (more or less).
Thanks.

-- 
Jordi Sanfeliu
FIBRANET Network Services Provider
http://www.fibranet.cat


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