Not receiving latest minute bar when calling History by ScalpTrader

ScalpTrader

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I'm trying to work out why when i perform the following history request the last bar i receive isn't the last minute. E.g. If i do the request at 1PM ET I'm expecting the last bar beceived to be 12.59am ET but instead the most recent bar i seem to receive is a lot older.

The call is simple;

public override void OnSecuritiesChanged ( SecurityChanges changes ) {

    foreach ( var change in changes.AddedSecurities ) {

        var tradeBarHistory = History<TradeBar> ( change.Symbol, 1000, Resolution.Minute );

If i change the periods to 100 it works okay.

There should not be an issue receiving the last 1000 minute bars ( i'm using IQFeed )

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ScalpTrader

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ScalpTrader

509 ,

I did some debugging and it seems that the class IQLookupHistorySymbolClient has a limit of 500 for the variable _histDataPointsPerSend

That explains why the results are truncated when i request > 500 minutes for data.

Was that logic placed there because the IQFeed service does not allow more that 500 per request?

ScalpTrader

509 ,

Okay so it was not actually related to the IQLookupHistorySymbolClient but instead there is code in LiveTradingResultHandler::LogMessage that filters messages when the count > 500

    public void LogMessage ( string message ) {

        //Send the logging messages out immediately for live trading:

        if (Messages.Count > 500) return;

This made it quite confusing when trying to debug on via logs.

Jared Broad

That is only if the number of messages backs up to more than 500, normally the messaging queue would push to the display / view / console faster than that. The 500 is a "just in case" to prevent an explosion of RAM.

ScalpTrader

509 ,

Okay thanks Jared.

ScalpTrader

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