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Weird error subscribing to ES with IB when live. Anyone seen this before?

Hey Jared Broad when subscribing to ES e-mini futures when live, i get this error:

  • Delayed market data is available.ES JUN'18 (DP) (ES1DM8) /TOP/ALL. Origin: Subscribe: FUT ES USD ONE

The error is correct because I'm not subscribed to the @ONE exchange BUT i was trying to subscribe to the e-mini ES on @Globex and the system tried to subscribe to ES on the @ONE exchange.

Backtesting in the Algo Lab works without error. Error only appears when live.

Notice that ES1DM8 are futures contract from EVERSOURCE ENERGY on the @One exchange, not the ES e-mini on the @Globex exchange? It appears that the subscribe message defaults to the @ONE exchange. Futher, there's no way to override the default and specify the exchange in Python using the self.AddFuture function. Is there another way?

Here's the init code that links to the wrong exchange

gold = self.AddFuture( Futures.Metals.Gold )
nasdaq = self.AddFuture( Futures.Indices.NASDAQ100EMini )
sp500 = self.AddFuture( Futures.Indices.SP500EMini )

if I add just ES, not Gold and Nasdaq OR if SP500 is first in the list, it works ok and there's no error

this works-> sp500 = self.AddFuture( Futures.Indices.SP500EMini )

Update Backtest








Could you share the algorithm with us using the Support Project Panel tab in Algorithm Lab
We will take a look into it ASAP.

For live trading support, the preferable channel is Support Project Panel.

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I'll post it. Is there a way to override the exchange or specify the exchange in Python? self.AddFuture doesn't seem to support that.

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Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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