twelvedata/twelvedata-python

[Bug] SPX Websocket Data Delayed

Closed this issue · 5 comments

jbonilla-tao commented

Describe the bug
Not able to get SPX websocket data until 16 minutes after the open.

To Reproduce

  1. At 9:30 AM ET, I confirmed that my websocket was successfully subscribed to SPX

2024-04-09 09:30:41.804 | INFO | Subscribed to symbols: [{'symbol': 'GDAXI', 'mic_code': 'XETR', 'type': 'INDEX'}, {'symbol': 'AUD/USD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'GBP/USD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'EUR/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'AUD/CAD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'NZD/CAD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'DJI', 'mic_code': 'NYSE', 'type': 'INDEX'}, {'symbol': 'ETH/USD', 'type': 'DIGITAL_CURRENCY'}, {'symbol': 'AUD/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'NZD/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'BTC/USD', 'type': 'DIGITAL_CURRENCY'}, {'symbol': 'EUR/CHF', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'CAD/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'USD/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'GBP/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'USD/CAD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'FTSE', 'mic_code': 'LSE', 'type': 'INDEX'}, {'symbol': 'EUR/GBP', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'NZD/USD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'SPX', 'mic_code': 'NYSE', 'type': 'INDEX'}, {'symbol': 'USD/CHF', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'EUR/USD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'EUR/NZD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'CHF/JPY', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'EUR/CAD', 'type': 'PHYSICAL_CURRENCY'}, {'symbol': 'CAD/CHF', 'type': 'PHYSICAL_CURRENCY'}]

  1. At 9:43 AM ET, I checked to see what data has been received on the webhook. I have data for all subscribed trade pairs except for SPX. Other indices are working. For some reason, the only trade pair that hasn't sent data is SPX.

  2. at 9:46AM, I finally received SPX data and it is stale (price from ~16 minutes ago)

Expected behavior
I should receive SPX data starting from 9:30 ET for weekdays where the market is open.

Additional context
Using enterprise subscription.

(venv) jbonilla@MacBook-Air prop-net % pip show twelvedata
Name: twelvedata
Version: 1.2.12
Summary: Python client for Twelve Data
Home-page: https://github.com/twelvedata/twelvedata-python
Author: Twelve Data
Author-email: info@twelvedata.com
License: MIT
Location: /Users/jbonilla/Documents/prop-net/venv/lib/python3.10/site-packages
Requires: pytimeparse, requests

darmstrong09 commented

Hello,
It's expected behaviour, as there is 15 mins delay for this index.

jbonilla-tao commented

Hi @darmstrong09 does TwelveData have an option for more realtime data for SPX?

jbonilla-tao commented

Hi this page says there is 170ms delay for websocket but you told me that SPX has a 15 minute delay

https://support.twelvedata.com/en/articles/5203307-data-delays

Please confirm what the websocket price delays are for different trade pairs

mnvx commented

Try GSPC instead: https://twelvedata.com/markets/953677/index/nyse/gspc

It is the same but must be real-time

  • 🚀1
jbonilla-tao commented

Hi @mnvx thank you so much that works!! BTW Is there a "real-time" version of other trade pairs too? Seeing 2 minute lags for most trade pairs right now. Thanks for your help.

Current websocket lags (s): {'NZD/JPY': '117.12', 'GBP/USD': '143.12', 'NZD/USD': '117.12', 'NZD/CAD': '117.12', 'AUD/CAD': '117.12', 'USD/CAD': '117.12', 'ETH/USD': '2.12', 'SPX': '957.12', 'AUD/USD': '117.12', 'CHF/JPY': '117.12', 'GBP/JPY': '117.12', 'EUR/GBP': '117.12', 'USD/JPY': '117.12', 'EUR/JPY': '117.12', 'AUD/JPY': '117.12', 'USD/CHF': '143.12', 'EUR/NZD': '117.12', 'EUR/CAD': '117.12', 'EUR/USD': '5.12', 'BTC/USD': '14.12', 'EUR/CHF': '117.12', 'CAD/JPY': '117.12', 'CAD/CHF': '117.12', 'DJI': '117.12'}