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Market Data

5 Second Bars

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Introduction

Real time and historical data functionality is combined through the EClient.reqRealTimeBars() request. reqRealTimeBars will create an active subscription that will return a single bar in real time every five seconds that has the OHLC values over that period. reqRealTimeBars can only be used with a bar size of 5 seconds.

RealTimeBars also adheres to Market Data Lines and Live Data Limitations limitations and requirements.

Request 5 Second Bars

EClient.reqRealTimeBars(tickerId, contract, barSize, whatToShow, useRTH, realTimeBarOptions)

Requests real time bars. Only 5 seconds bars are provided. This request is subject to the same pacing as any historical data request: no more than 60 API queries in more than 600 seconds.

Real time bars subscriptions are also included in the calculation of the number of Level 1 market data subscriptions allowed in an account.

tickerId
int

Request identifier used to track data.

contract
object

The Contract object for which the depth is being requested

barSize
int

Currently being ignored

whatToShow
string

The nature of the data being retrieved. Available Values: TRADES, MIDPOINT, BID, ASK

useRTH
int

Set to 0 to obtain the data which was also generated outside of the Regular Trading Hours, set to 1 to obtain only the RTH data

realTimeBarOptions
object

Internal use only.

self.reqRealTimeBars(3001, contract, 5, "MIDPOINT", 0, [])

Receive 5 Second Bars

EWrapper.realtimeBar(reqId, time, open, high, low, close, volume, WAP, count)

Receives the real time 5 second bars.

reqId
int

Request identifier used to track data.

time
long

The bar’s start date and time (Epoch/Unix time)

open
double

The bar’s open point

high
double

The bar’s high point

low
double

The bar’s low point

close
double

The bar’s closing point

volume
decimal

The bar’s traded volume (only returned for TRADES data)

WAP
decimal

The bar’s Weighted Average Price rounded to minimum increment (only available for TRADES).

count
int

The number of trades during the bar’s timespan (only available for TRADES).

def realtimeBar(self, reqId: TickerId, time:int, open_: float, high: float, low: float, close: float, volume: Decimal, wap: Decimal, count: int):
	print("RealTimeBar. TickerId:", reqId, RealTimeBar(time, -1, open_, high, low, close, volume, wap, count))

Cancel 5 Second Bars

EClient.cancelRealTimeBars(tickerId)

Cancels Real Time Bars’ subscription.

tickerId
int

Request identifier used to track data.

self.cancelRealTimeBars(3001)