IBKR TWS API 5 Second delay to collect bar data upon close

[surfandkite]

Hello, does anyone else encounter the issue of a 5 second delay for all data requests from IBKR TWS API? Using the Python script below which just prints 1min bar data upon close for /nq 1min bars I get a 5 second delay while it is near instant for my developer. Attached is a screenshot of my terminal. Notice all results take 5+ seconds.

from ib_insync import *
import datetime as dt


def on_bar(bars: BarDataList, has_new_bar: bool):
    if has_new_bar:
        closed_bar = bars[-2]
        print(f"{dt.datetime.now()}: {closed_bar}")


ib = IB()
ib.connect("localhost", 7497, 2)

contract = Future("NQ", "202412", "CME", currency="USD")
ib.qualifyContracts(contract)

b = ib.reqHistoricalData(contract, "", "300 S", "1 min", "TRADES", False, 1, True)
b.updateEvent += on_bar

while True:
    ib.sleep(1)

[mattsta]

It looks like other people have noticed the same problem here: https://www.elitetrader.com/et/threads/ib-real-time-data-lag.343165/

Maybe that's just how it works? Some of the IBKR data APIs work only on 5 second time increments, so maybe their network sender bundles all previously closed bars on their next 5 second timer.

For live data, I use reqRealTimeBars() but I never tracked the exact arrival time of the data versus the timestamps being returned (any processing needing less than 15 second latency is better served through streaming prices and not bars anyway).

The fastest price data is always from reqMktData() for any live bid/ask/last/size processing though. It updates as fast as 250 ms (IBKR drops any updates faster than 250 ms) but price data updating 4 times per second is faster than you can practically use the IBKR order APIs anyway over a standard public network.

[Jeffreylabranche]

did you found a solution ? I have the same 5 seconds delay for 1min and 15 min bars. I'm wondering if it is related to more recent IB Gateway settings since I'm running my code on a Linux VM (Ubuntu 24.04 LTS) with older IB Gatway version (10.19) without delay but if II run the code on a most recent IB Gateway version (10.30) I get the 5 seconds delay.

[mattsta]

This is just a limit of IBKR itself. The IBKR API only creates a new subscribed bar every 5 seconds and only sends a new market data update every 250 ms.

For faster updates, you would have to subscribe to a real market data service like polygon.io or consuming OPRA/CME/etc feeds directly.

On the other side, the delays are actually okay because there is almost nothing useful you can do on such short time frames because of the general noise present in second-by-second trade matching.

[Jeffreylabranche]

Thank you @mattsta for the quick answer. Makes sense and I agree with you that over such a short time period the 5 seconds delay is not a big deal considering all the noise. Although I'm still curious to see if someone else in the community noticed this delay with most recent IB Gateway versions because with version 10.19 I was able to receive bars in real time (current time = bar timestamp). I won't pursue the investigation on my side but might post a code sample tonight if it can help others to investigate the difference.

[surfandkite]

Never found a solution unfortunately. Prior to July 2024 I didn’t the 5 second delay. Tried to run it on older versions of IBKR’s static TWS but still had the issue. Sent from my iPhoneOn Jan 5, 2025, at 9:11 AM, Jeffrey Labranche ***@***.***> wrote: Thank you @mattsta for the quick answer. Makes sense and I agree with you that over such a short time period the 5 seconds delay is not a big deal considering all the noise. Although I'm still curious to see if someone else in the community noticed this delay with most recent IB Gateway versions because with version 10.19 I was able to receive bars in real time (current time = bar timestamp). I won't pursue the investigation on my side but might post a code sample tonight if it can help others to investigate the difference. —Reply to this email directly, view it on GitHub, or unsubscribe.You are receiving this because you authored the thread.Message ID: ***@***.***>

[Jeffreylabranche]

Here is the code I have used and below I share the results. We can see that with IB gateway 10.19 I'm able to get 1 min bars without delay.

import nest_asyncio
import datetime
import os
import sys
import pytz
nest_asyncio.apply()

script_name=os.path.basename(__file__)

ib = IB()
ib.connect('127.0.0.1', 4001, clientId=1) 

#LONG
ticker='USDCAD'
contract = Forex(ticker, 'IDEALPRO')
ib.qualifyContracts(contract)

async def on_new_bar_1min(bars, has_new_bar):
    if has_new_bar:
        latest_bar = bars[-1]
        current_time = datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
        print(f"Current time: {current_time}, 1 min bar timestamp: {latest_bar.date}, Close: {latest_bar.close}")


async def on_new_bar_5sec(bars, has_new_bar):
    if has_new_bar:
        latest_bar = bars[-1]
        eastern = pytz.timezone('US/Eastern')
        bar_time_eastern = latest_bar.time.astimezone(eastern)
        current_time = datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
        print(f"Current time: {current_time}, 5 seconds bar timestamp: {bar_time_eastern.strftime('%Y-%m-%d %H:%M:%S')}, Close: {latest_bar.close}")

def subscribe_1min():
    contract = Forex(ticker)
    data_1min = ib.reqHistoricalData(
        contract,
        endDateTime='',
        durationStr='1 D',
        barSizeSetting='1 min',
        whatToShow='MIDPOINT',
        useRTH=False,
        keepUpToDate=True,
        timeout=0
    )
    data_1min.updateEvent.clear()
    data_1min.updateEvent += on_new_bar_1min
    print('Subscribed 1min')


def disconnection(script_name):
    ib.disconnect()
    sys.exit(0)

data_5sec = ib.reqRealTimeBars(contract, 5, 'MIDPOINT', False)
data_5sec.updateEvent.clear()
data_5sec.updateEvent+=on_new_bar_5sec

time_bar=datetime.datetime.now().replace(hour=18, minute=50, second=20, microsecond=0)
time_disconnection=datetime.datetime.now().replace(hour=21, minute=52, second=5, microsecond=0)
ib.schedule(time_bar,subscribe_1min)
ib.schedule(time_disconnection,disconnection,script_name)


ib.run()

IB Gateway 10.19 results:

IB Gateway 10.30 results