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reqMktData subscription is not continuous

 

Trying to subscribe to live Bid / Ask prices for ES futures using "reqMktData". 
 
var contract = new Contract { Symbol = "ES", Exchange = "CME", ConId = 495512563, LastTradeDateOrContractMonth = "20251219" };
_client.TickPrice += o => Console.WriteLine(JsonSerializer.Serialize(o));
_client.ClientSocket.reqMktData(id, contract, string.Empty, false, false, null);
 
As a result, I receive one round of messages below, and then notifications stop.  
 
{"Attribs":{"CanAutoExecute":true,"PastLimit":true,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":5801,"Data":5801,"RequestId":3,"Field":1}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":0}
{"Attribs":{"CanAutoExecute":true,"PastLimit":false,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":6300,"Data":6300,"RequestId":3,"Field":2}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":3}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":0}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":3}
{"Attribs":null,"Value":0,"Data":0,"RequestId":3,"Field":5}
{"Attribs":{"CanAutoExecute":false,"PastLimit":false,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":6274,"Data":6274,"RequestId":3,"Field":9}
{"Attribs":{"CanAutoExecute":false,"PastLimit":false,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":6050.5,"Data":6050.5,"RequestId":3,"Field":14}
 
Are there any settings, like "Return only snapshots instead of continuous subscriptions"? 
Why notifications stop after receiving only one quote? 
 

You are requesting a snapshot, hence its expected to only receive one quote. If you want to subscribe permanently you can notify it on the reqMktData request. 

Daniel


On Thu, 26 Dec 2024 at 10:09, Andy Sanders via groups.io <arteinvolo=gmail.com@groups.io> wrote:
Trying to subscribe to live Bid / Ask prices for ES futures using "reqMktData". 
 
var contract = new Contract { Symbol = "ES", Exchange = "CME", ConId = 495512563, LastTradeDateOrContractMonth = "20251219" };
_client.TickPrice += o => Console.WriteLine(JsonSerializer.Serialize(o));
_client.ClientSocket.reqMktData(id, contract, string.Empty, false, false, null);
 
As a result, I receive one round of messages below, and then notifications stop.  
 
{"Attribs":{"CanAutoExecute":true,"PastLimit":true,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":5801,"Data":5801,"RequestId":3,"Field":1}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":0}
{"Attribs":{"CanAutoExecute":true,"PastLimit":false,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":6300,"Data":6300,"RequestId":3,"Field":2}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":3}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":0}
{"Attribs":null,"Value":1,"Data":1,"RequestId":3,"Field":3}
{"Attribs":null,"Value":0,"Data":0,"RequestId":3,"Field":5}
{"Attribs":{"CanAutoExecute":false,"PastLimit":false,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":6274,"Data":6274,"RequestId":3,"Field":9}
{"Attribs":{"CanAutoExecute":false,"PastLimit":false,"PreOpen":false,"Unreported":false,"BidPastLow":false,"AskPastHigh":false},"Value":6050.5,"Data":6050.5,"RequestId":3,"Field":14}
 
Are there any settings, like "Return only snapshots instead of continuous subscriptions"? 
Why notifications stop after receiving only one quote? 
 

Snapshot parameter is set to false.
 

Appeared to be that was some glitch with paper account. Liver data feed works fine. 
 

Good to know that after the Holidays, the liver is still functioning fine!

Mel



-------- Original message --------
From: "Andy Sanders via groups.io" <arteinvolo@...>
Date: 2024-12-28 9:29 a.m. (GMT-08:00)
To: twsapi@groups.io
Subject: Re: [TWS API] reqMktData subscription is not continuous

Appeared to be that was some glitch with paper account. Liver data feed works fine. 

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