CHART_FUTURES emits a bar only once its minute is over, so the chart stepped
once a minute and sat still in between, which reads as a dead feed.
LEVEL_ONE_FUTURES carries real trades on the same socket and the same login — no
extra REST call, no extra rate limit — and reports delayed: False on this
account. It was verified back in M6 and never subscribed to. It is now, building
a forming bar for the current minute that the authoritative CHART_FUTURES bar
then supersedes.
Three constraints shaped it, each a real bug avoided:
- Tick bars never reach the aggregator. It accumulates with current.v +=
incoming.v, so re-sending the same forming minute would add its volume into
every higher timeframe again on every update. Runtime.on_bar returns early for
an unclosed bar: store, set price, broadcast, stop.
- Emissions are throttled, SCHWAB_TICK_SECONDS default 1.0, because /ES trades
many times a second and each emission is a store write plus a broadcast to
every open socket. Negative drops the Level 1 subscription entirely.
- A tick for a minute CHART_FUTURES has already closed is dropped, or a late
trade would overwrite a settled exchange bar with a partial one.
Bid-only updates are skipped rather than carried forward: a bid is not a trade
and must not extend a candle's high or low. Alerts stay on closed bars — a level
is judged on a settled bar, not a price that may not last the minute — which
needed no change, since on_bar already gated on closed.
Verified against the live socket: 15 forming bars and 2 closed bars in 100
seconds, the closed bar superseding each forming minute. Verified in a browser:
the last candle's high and low visibly extend within the minute, no console
errors. 85 tests pass, four of them new.
The plan gains the cold-restart options asked for: make seeding non-quadratic
first, then persist cooldowns, then persist bars.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
Verified against a live account before and after writing it. CHART_FUTURES
delivers one true-OHLCV minute bar per symbol per minute, LEVEL_ONE_FUTURES
reports delayed: false, and consecutive bars arrived sixty seconds apart through
the production code path.
Yahoo stays. Schwab serves no futures history whatever, so seed_source resolves
to Yahoo even when SEED_SOURCE=schwab is asked for — the pairing is the intended
configuration rather than a fallback. The symbols differ, ES=F against /ES, so
Settings.live_symbol picks the live one while seeding always uses Yahoo's.
Three findings worth keeping, each of which cost a round trip:
- get_quote() singular returns the wrong instrument entirely. It puts the symbol
in the URL path, where the leading slash is normalised away, so /ES resolves to
Eversource Energy at $72 and returns HTTP 200 with a populated body. Only
get_quotes() plural, which passes symbols as a query parameter, returns the
future. A 200 is not evidence; assetMainType is.
- Streaming requires the Accounts and Trading product. StreamClient.login() reads
/trader/v1/userPreference for its socket URL, and that path does not exist in
Market Data Production.
- /ES resolves to the active contract on Schwab's side, so the contract roll
handling the plan left open needs no code.
The stream drops the oldest queued message rather than stalling the socket, and
surfaces a dead pump task instead of waiting forever on a queue nothing fills.
schwab-py moves into requirements.txt, imported only when LIVE_SOURCE=schwab.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
