ib.reqTickByTickData raising exception: 'ConnectionError: Socket disconnect'

I am attempting to place limit orders based on the prevailing best bid/offer. I am attempting to do this through ‘ib.reqTickByTickData(symbol, ‘BidAsk’)’. This function works perfectly when testing. However when I put it into a while True loop, it acts up and causes the following error:

CancelledError                           Traceback (most recent call last)
File c:\Users\Azkar\miniconda3\envs\quant\lib\asyncio\tasks.py:234, in Task.__step(***failed resolving arguments***)
    [233](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=232)     else:
--> [234](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=233)         result = coro.throw(exc)
    [235](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=234) except StopIteration as exc:

File c:\Users\Azkar\miniconda3\envs\quant\lib\asyncio\tasks.py:605, in sleep(delay, result)
    [604](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=603) try:
--> [605](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=604)     return await future
    [606](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=605) finally:

File c:\Users\Azkar\miniconda3\envs\quant\lib\asyncio\futures.py:284, in Future.__await__(self)
    [283](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=282)     self._asyncio_future_blocking = True
--> [284](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=283)     yield self  # This tells Task to wait for completion.
    [285](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=284) if not self.done():

File c:\Users\Azkar\miniconda3\envs\quant\lib\asyncio\tasks.py:304, in Task.__wakeup(self, future)
    [303](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=302) try:
--> [304](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=303)     future.result()
    [305](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=304) except BaseException as exc:
    [306](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/tasks.py?line=305)     # This may also be a cancellation.

File c:\Users\Azkar\miniconda3\envs\quant\lib\asyncio\futures.py:196, in Future.result(self)
    [195](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=194)     exc = self._make_cancelled_error()
--> [196](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=195)     raise exc
    [197](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=196) if self._state != _FINISHED:

CancelledError: 

During handling of the above exception, another exception occurred:

CancelledError                            Traceback (most recent call last)
File c:\Users\Azkar\miniconda3\envs\quant\lib\site-packages\ib_insync\util.py:332, in run(timeout, *awaitables)
    [331](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=330) try:
--> [332](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=331)     result = loop.run_until_complete(task)
    [333](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=332) except asyncio.CancelledError as e:

File c:\Users\Azkar\miniconda3\envs\quant\lib\site-packages\nest_asyncio.py:70, in _patch_loop.<locals>.run_until_complete(self, future)
     [68](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/nest_asyncio.py?line=67)     raise RuntimeError(
     [69](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/nest_asyncio.py?line=68)         'Event loop stopped before Future completed.')
---> [70](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/nest_asyncio.py?line=69) return f.result()

File c:\Users\Azkar\miniconda3\envs\quant\lib\asyncio\futures.py:196, in Future.result(self)
    [195](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=194)     exc = self._make_cancelled_error()
--> [196](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=195)     raise exc
    [197](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/asyncio/futures.py?line=196) if self._state != _FINISHED:

CancelledError: 

During handling of the above exception, another exception occurred:

ConnectionError                           Traceback (most recent call last)
c:\Users\Azkar\OneDrive\Programming\poseiden_engine\MA_trend\MA_IB_live_algo\limit_multi.ipynb Cell 5' in <cell line: 32>()
     [33](vscode-notebook-cell:/c%3A/Users/Azkar/OneDrive/Programming/poseiden_engine/MA_trend/MA_IB_live_algo/limit_multi.ipynb#ch0000020?line=32) for symbol in contracts:
     [34](vscode-notebook-cell:/c%3A/Users/Azkar/OneDrive/Programming/poseiden_engine/MA_trend/MA_IB_live_algo/limit_multi.ipynb#ch0000020?line=33)     req_real = ib.reqTickByTickData(symbol, 'BidAsk')
---> [35](vscode-notebook-cell:/c%3A/Users/Azkar/OneDrive/Programming/poseiden_engine/MA_trend/MA_IB_live_algo/limit_multi.ipynb#ch0000020?line=34)     ib.sleep(1)
     [36](vscode-notebook-cell:/c%3A/Users/Azkar/OneDrive/Programming/poseiden_engine/MA_trend/MA_IB_live_algo/limit_multi.ipynb#ch0000020?line=35)     place_order('BUY', 1, symbol, req_real.ask)
     [37](vscode-notebook-cell:/c%3A/Users/Azkar/OneDrive/Programming/poseiden_engine/MA_trend/MA_IB_live_algo/limit_multi.ipynb#ch0000020?line=36)     ib.cancelTickByTickData(symbol,'BidAsk')

File c:\Users\Azkar\miniconda3\envs\quant\lib\site-packages\ib_insync\util.py:378, in sleep(secs)
    [370](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=369) def sleep(secs: float = 0.02) -> bool:
    [371](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=370)     """
    [372](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=371)     Wait for the given amount of seconds while everything still keeps
    [373](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=372)     processing in the background. Never use time.sleep().
   (...)
    [376](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=375)         secs (float): Time in seconds to wait.
    [377](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=376)     """
--> [378](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=377)     run(asyncio.sleep(secs))
    [379](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=378)     return True

File c:\Users\Azkar\miniconda3\envs\quant\lib\site-packages\ib_insync\util.py:334, in run(timeout, *awaitables)
    [332](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=331)     result = loop.run_until_complete(task)
    [333](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=332) except asyncio.CancelledError as e:
--> [334](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=333)     raise globalErrorEvent.value() or e
    [335](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=334) finally:
    [336](file:///c%3A/Users/Azkar/miniconda3/envs/quant/lib/site-packages/ib_insync/util.py?line=335)     globalErrorEvent.disconnect(onError)

ConnectionError: Socket disconnect

The code simplified as per below:

import pandas as pd
import numpy as np
from datetime import datetime
from ib_insync import *
util.startLoop()
util.logToConsole()

ib = IB()
ib.connect('127.0.0.1', 6000, clientId=1)

contracts = [Stock(stonk,'SMART','USD') for stonk in ('AAPL','TSLA','JPM')]
ib.qualifyContracts(*contracts)

for contract in contracts:
    bar = ib.reqHistoricalData(contract, 
                             endDateTime='', 
                             durationStr='10 D',
                             barSizeSetting='10 mins', 
                             whatToShow='TRADES', 
                             useRTH=True,
                             keepUpToDate=True)

def place_order(direction, size, contract, price):
    if direction == 'BUY': 
        contract_order = LimitOrder('BUY', size, price)  
        trade = ib.placeOrder(contract, contract_order)

    elif direction == 'SELL':
        contract_order = LimitOrder('SELL', size, price)         
        trade = ib.placeOrder(contract, contract_order) 

while True:
    for symbol in contracts:
        req_real = ib.reqTickByTickData(symbol, 'BidAsk')
        ib.sleep(1)
        place_order('BUY', 1, symbol, req_real.ask)
        ib.cancelTickByTickData(symbol,'BidAsk')

Tried different variations of the code but the error persists. Thinking of using another way to get current bid/ask if this doesn’t work.

Cheers

[5KevinH]

Thanks @mrwillett I didn’t have exactly the same problem, but one very similar. I do suspect, however, that the problem @miali88 will be fixed by your code sample. One thing, if I may. cancelTickByTickData is looking for exactly the same contract as was provided by reqTickByTickData. So, in your solution, I would change this: for ticker in tick_bars: ib.cancelTickByTickData(ticker.contract.symbol, 'BidAsk') to this: for contract in contracts: ib.cancelTickByTickData(contract, 'BidAsk') Thanks again for your help. KH

[erdewit]

I can’t reproduce the issue either with this simplified case:

contracts = [Stock(symbol,'SMART','USD') for symbol in ('AAPL','TSLA','JPM')]

for i in range(10):
    tickers = [ib.reqTickByTickData(contract, 'BidAsk') for contract in contracts]
    ib.sleep(1)
    print(tickers)
    for contract in contracts:
        ib.cancelTickByTickData(contract, 'BidAsk')

If the connection is actively dropped by TWS/gateway then that tends to be a sort of punishment for what the API is doing.