Hey Jared Broad when subscribing to ES e-mini futures when live, i get this error:

  • Delayed market data is available.ES JUN'18 (DP) (ES1DM8) /TOP/ALL. Origin: Subscribe: FUT ES USD ONE

The error is correct because I'm not subscribed to the @ONE exchange BUT i was trying to subscribe to the e-mini ES on @Globex and the system tried to subscribe to ES on the @ONE exchange.

Backtesting in the Algo Lab works without error. Error only appears when live.

Notice that ES1DM8 are futures contract from EVERSOURCE ENERGY on the @One exchange, not the ES e-mini on the @Globex exchange? It appears that the subscribe message defaults to the @ONE exchange. Futher, there's no way to override the default and specify the exchange in Python using the self.AddFuture function. Is there another way?

Here's the init code that links to the wrong exchange

gold = self.AddFuture( Futures.Metals.Gold )
nasdaq = self.AddFuture( Futures.Indices.NASDAQ100EMini )
sp500 = self.AddFuture( Futures.Indices.SP500EMini )

if I add just ES, not Gold and Nasdaq OR if SP500 is first in the list, it works ok and there's no error

this works-> sp500 = self.AddFuture( Futures.Indices.SP500EMini )