Fixing the issue with TWS API Bust events (err code 10225) (#396)

backtrader/feeds/ibdata.py

@@ -365,6 +365,7 @@ def start(self):
         else:
             self._state = self._ST_START  # initial state for _load
         self._statelivereconn = False  # if reconnecting in live state
+        self._subcription_valid = False  # subscription state
         self._storedmsg = dict()  # keep pending live message (under None)
 
         if not self.ib.connected():
@@ -410,14 +411,15 @@ def stop(self):
 
     def reqdata(self):
         '''request real-time data. checks cash vs non-cash) and param useRT'''
-        if self.contract is None:
+        if self.contract is None or self._subcription_valid:
             return
 
         if self._usertvol:
             self.qlive = self.ib.reqMktData(self.contract, self.p.what)
         else:
             self.qlive = self.ib.reqRealTimeBars(self.contract)
 
+        self._subcription_valid = True
         return self.qlive
 
     def canceldata(self):
@@ -446,7 +448,7 @@ def _load(self):
                     if True:
                         return None
 
-                    # Code invalidated until further checking is done
+                # Code invalidated until further checking is done
                     if not self._statelivereconn:
                         return None  # indicate timeout situation
 
@@ -473,6 +475,7 @@ def _load(self):
                     continue  # to reenter the loop and hit st_historback
 
                 if msg is None:  # Conn broken during historical/backfilling
+                    self._subcription_valid = False
                     self.put_notification(self.CONNBROKEN)
                     # Try to reconnect
                     if not self.ib.reconnect(resub=True):
@@ -489,6 +492,7 @@ def _load(self):
                 elif msg == -1100:  # conn broken
                     # Tell to wait for a message to do a backfill
                     # self._state = self._ST_DISCONN
+                    self._subcription_valid = False
                     self._statelivereconn = self.p.backfill
                     continue
 
@@ -500,6 +504,14 @@ def _load(self):
 
                 elif msg == -1101:  # conn broken/restored tickerId gone
                     # The message may be duplicated
+                    self._subcription_valid = False
+                    if not self._statelivereconn:
+                        self._statelivereconn = self.p.backfill
+                        self.reqdata()  # resubscribe
+                    continue
+
+                elif msg == -10225:  # Bust event occurred, current subscription is deactivated.
+                    self._subcription_valid = False
                     if not self._statelivereconn:
                         self._statelivereconn = self.p.backfill
                         self.reqdata()  # resubscribe
@@ -561,14 +573,17 @@ def _load(self):
                 msg = self.qhist.get()
                 if msg is None:  # Conn broken during historical/backfilling
                     # Situation not managed. Simply bail out
+                    self._subcription_valid = False
                     self.put_notification(self.DISCONNECTED)
                     return False  # error management cancelled the queue
 
                 elif msg == -354:  # Data not subscribed
+                    self._subcription_valid = False
                     self.put_notification(self.NOTSUBSCRIBED)
                     return False
 
                 elif msg == -420:  # No permissions for the data
+                    self._subcription_valid = False
                     self.put_notification(self.NOTSUBSCRIBED)
                     return False
 

backtrader/stores/ibstore.py

@@ -480,6 +480,16 @@ def error(self, msg):
                 q.put(-msg.errorCode)
                 self.cancelQueue(q)
 
+        elif msg.errorCode == 10225:
+            # 10225-Bust event occurred, current subscription is deactivated.
+            # Please resubscribe real-time bars immediately.
+            try:
+                q = self.qs[msg.id]
+            except KeyError:
+                pass  # should not happend but it can
+            else:
+                q.put(-msg.errorCode)
+
         elif msg.errorCode == 326:  # not recoverable, clientId in use
             self.dontreconnect = True
             self.conn.disconnect()