IB Intraday Options Data Loss

der_kommissar · Apr 11, 2016

Over the past several months I've noticed that whenever I chart an intra-day options strike with IB, there is a 60 minute data loss just about every time. IOW, it will be accurate with the intra-day data going back several days, but for the same trading day, the data is usually missing starting about 20-30 minutes before the current price bar.

Is this consistent with what others have found when charting individual option strikes?

rwk · Apr 11, 2016

I haven't seen missing data. It is fairly common for market makers to briefly pull their quotes on one side, and occasionally on both sides at once. That causes big spikes in the bid or offer. I am not charting the data, rather I have an app that samples quotes at one-second intervals and writes that to a database.

der_kommissar · Apr 12, 2016

Thx for the response. It's different than MM's pulling quotes, it's basically a "data blackout" any time I initiate a chart for a particular option strike and/or refresh an existing chart for an options strike. Here is an example:

donnap · Apr 12, 2016

Same here, OP. Looks like about a 90 min gap in data.

I don't chart options usually, but what's up with that?

der_kommissar · Apr 12, 2016

It's been going on for awhile now...Typically it will backfill a day later (the initial data loss), but if/when I refresh the chart of try to scroll back the data loss will appear again...

der_kommissar · Apr 14, 2016

Another day another strike with data loss. Take note that I can chart ES futs options with no problems whatsoever, plus the data is retrieved much faster (different exchange, I know), but these SPY options strikes have been consistently losing data for awhile now.

donnap · Apr 15, 2016

der_kommissar said:
Another day another strike with data loss. Take note that I can chart ES futs options with no problems whatsoever, plus the data is retrieved much faster (different exchange, I know), but these SPY options strikes have been consistently losing data for awhile now.

View attachment 163609

Don't turn around, uh oh oh. OP's in town.

Hey, FWIW, I routed directly to CBOE (instead of SMART) with no data loss. Still, the retrieving data message took some time.

der_kommissar · Apr 15, 2016

ha...yes Falco...

Good to know that you were able to retrieve the strike with a different routing...So long as I keep the options strike up and running and do not refresh or scroll back I get the entire day's data, but clearly there is a bug in there somewhere.