I got the following error many times today when I wanted to download 5s ES historical data: Historical Market Data Service error message:HMDS query returned no data: ESZ9@GLOBEX Trades It was no problem to download 1m and 15m ES historical data. I use the following ActiveX method: tws.reqHistoricalDataEx(orderid, contract, dtZ, '7200 S', '5 secs', 'TRADES', 1, 1) Has anyone experienced the same? Can anyone suggest a another data source where I can download 5s historical data when IB's twsapi fails?
The server side has no problem. My local machine time is altered by one bugged program, so the server query return no data. Nevertheless, I will be glad if anyone suggests me an alternative data source (other than IB) that can provides 5s historical and real time data. My charting program are mostly depended on 5s data.