Update on the weird prices, 'glitch' from the 25th and broker response.
I hate reddit’s text editors. Markdown and fancy both suck. There will be formatting issues.
Goddamn it reddit.. You had 1 job.
On the 25th of May 2022 I experienced TWS showing me weird numbers in the API and TWS itself.
Prices in the millions, for multiple tickers. Timestamps not lining up, weird order sizes and even orders without an exchange.
I made this known on reddit.
I thought y’all would like an update on any broker response and what happened about the weird experience that day.
For those that don’t know, here’s the post from then:
The 26th I sent in a support ticket with the question: what happened?
I attached two screenshots from the GME order book. One with both the AH price and the 1.3Million price, and 1 with the Red HALT bar in it.
I told them I saw this in both TWS and the API. First in the API, then later in TWS, on all tickers I was tracking.
I sent this ticket to the TWS support Department.
Attached pictures:
A day later I got a response.
An API Specialist from the API support department responded.
They thanked me for getting in contact with them about this and asked if the HALT Button (Yes.. Button) is still persisting on my screen. Then they gave the explanation about Halts, why exchanges do this, “particularly against short sale and the like”. They said they are temporary and relieved after a few hours or a day.
Then asked if I was still seeing these errors.
Then asked if I could clarify if this is also happening on Orders placed from the API, or if it’s happening on the data feed across TWS and the API.
I left out identifiable information about me and the API Specialist.
That’s it.
No denial. No ‘it was just a glitch’ or ‘it sounds like your TWS had a momentary hiccup that might have caused irregularities and therefore corrupted the data’.
Just asking more questions and completely disregarding the info on the attached screenshots.
Treating me like I’m a golden retriever lmao.
So let’s break this down.
Before I go into this I like to point out that somebody in the comments on the big thread about this said they contacted IBKR and IBKR told them there was nothing happening on IBKR’s side.
About the HALT button, as per response.
Lets be clear: It’s not a button. A button, per software definition, can be clicked. This was just a row in the orderbook (Time&Sales window) that moved with the orders, like any other order. As you can see in the screenshots above.
This wasn’t a Halt notification.
A few weeks ago there were a few halts, this is what it looked like:
And this is the Historical data from when that happened:
As you can see, there is no big red HALT row in the order book. It displays it at the top as a replacement for ‘last’ and in the ticker monitor window it’s a red box and there is a “H” in front of the price
Normally, from what I’ve seen, when it halts it just stops trades and you see ASK prices that line up with L2 as it shuts down and it walks through the L2 book.
The HALT row (Button), was also placed with a future timestamp. Which the API Specialist simply disregarded. I’m seriously doubting the ‘specialist’ part here.
Now onto the TWS/API part.
The API comes from TWS, TWS gets the info from IBKR. Simple enough right?
I sent in a ticket last week to the API support department asking about why I couldn’t get historical data through the API and why TWS was giving me dates that didn’t line up with my requested information.
If I requested data from a certain date it would say ‘no data beyond this date’, and then when I inserted a date later than that date, I would get the same message just with a different timestamp that didn’t line up with that date either.
Since I initially thought it was an API thing I sent it to the API support department.
I asked them why I couldn’t get data and elaborated a bit that I thought it was a historical tickbytick data limitation but I made sure not to hit any limits. I prefer to get tickbytick data since that has a higher resolution that normal bar data.
They responded and told me the API only gets the data from TWS. It was a TWS thing, not an API thing, and they would forward it to the TWS department.
Awesome. I haven’t heard anything from that since.
So to recap:
When I had a TWS issue and sent it to the wrong department, they corrected me and confirmed the API gets data from TWS.
When I had an TWS and API issue and sent that to the TWS department, I got a response back from an API specialist that simply disregarded certain details neither confirmed or denied anything.
Here is a line directly from the API Documentation about this:
Remember the TWS API is only a delivery channel: if the information is not available in the TWS itself first, the TWS will not be able to dispatch it via the API socket.
Source: https://interactivebrokers.github.io/tws-api/tick_types.html
So the documentation and the support desk say TWS gets data from IBKR, API gets it from TWS.
That being said.
After the AH market closed I started watching Forex, since that was the only thing still going.
I did not restart my client and I had no server reconnects.
Everything was fine. Forex order book was fine.I Was watching it for about 2 hours and nothing weird happened.
Historical data for GME/SPY/VXX/DB was normal. Like nothing ever happened.
But.. it did. It’s public knowledge by now.
So full recap:
IBKR knew about me using the API to get tickbytick data last week. I told them that myself.
Then weird tickbytick data happens that also shows in my TWS. Remember: API gets from TWS, TWS from IBKR. IBKR > TWS > API.
I was the only one seeing it. I’ve spoken to others since it happened and literally nobody else was able to see it. According to the historical data it never happened and IBKR did not confirm nor deny it was a glitch or client-side software bug.
Make of this all what you want.