Market data and entitlements

Broker market data — quotes, option chains, Greeks, historical bars — arrives through your own TWS or IB Gateway session. Nothing is resold or proxied. If a symbol is real-time in TWS it is real-time here, and if TWS shows it delayed, so does canary. Market data is real-time wherever your IBKR market-data subscriptions cover it, delayed where they don't.

That has a useful consequence: no configuration in this project can turn delayed data into real-time data. The only place to change what you receive is IBKR's account management. What the project can do is tell you, per row, which kind of data you are looking at, and refuse to compute things that the data cannot support.

A short list of regime inputs is the exception: they come from the institution that publishes them, not from your broker session.

01Series the daemon reads from the publisher

These are official daily series fetched over HTTPS, straight from the source that computes them:

Three things follow. No IBKR entitlement is involved, so these rows keep working on an account with no market-data subscription at all. They fail independently of the gateway: a broker outage leaves them current, and a publisher outage leaves them stale while your quotes stay live. And they are daily closes, so their age is counted in sessions rather than seconds — Sensors has that vocabulary.

VIX3M is the one row where both kinds of data meet. In session the broker's live tick is the source, because Cboe publishes closes and not intraday values. Once the publication window shuts, the served value is Cboe's dated close and the broker's own reading is compared against it.

That comparison is there for a specific failure. A gateway that keeps answering with a stale value looks exactly like a quiet market: in frozen mode it re-sends its last known price on request, so the tick arrives new however old the value is, and an index carries no trade timestamp to date it with. A lapsed market-data entitlement fails this way rather than going silent. The published close is what settles it, and Regime dashboard has the verdicts and what each one does to the row.

02What the daemon asks for

On every successful connect the daemon sets market-data type 2, frozen-aware. The gateway then returns live ticks for symbols your subscriptions cover and the last-known price when it cannot. Type 1, pure live, can leave snapshot requests hanging when the market is closed, so it is not used.

Dealer gamma has one narrow regular-hours exception. If the gateway rejects an SPY or SPX spot request with IBKR 354, Canary retries that underlying once under type 3. An entitled request still comes back live; an unentitled one may come back 15–20 minutes delayed. The retry is bounded to the failed gamma phase and the connection returns to type 2 afterwards. Nothing learned about the account is stored as an entitlement.

Entitlements are never stored. The daemon reports the data type it observed on each request instead, which is why a DATA column appears beside a quote and why the same symbol can report differently in two sessions.

03What each type is good enough for

Two more values appear on some surfaces. prev_close marks a price taken from a prior close rather than the current session, and closed replaces the data type on option chains outside option regular trading hours, with the real feed state moved to a feed_type field beside it. An empty data type means the gateway has not sent its notice yet, which happens for a few hundred milliseconds after a fresh subscription; it is treated as live.

Some computations refuse delayed input rather than producing a plausible wrong answer. Dealer gamma accepts live, frozen, and clock-aligned delayed inputs. It never mixes a delayed spot with live, frozen, or untyped option prices: a delayed run must receive IBKR's delayed model-computation tick for every priced leg. delayed-frozen is still refused.

04Why one symbol says delayed

There are two distinct causes and they need different fixes.

No subscription for that instrument class. IBKR answers with error 354, "Requested market data is not subscribed". That rejection is terminal for the subscription. Ordinary quote paths do not retry it in delayed mode: the key is suppressed for 30 minutes so a poller stops hammering a dead name, and a gateway reconnect re-arms it immediately. The regular-hours dealer-gamma phase is the narrow exception described above; it rearms only its rejected underlying for one clock-aligned delayed attempt. Options are a separate entitlement from the underlying stock, which is the usual surprise: a stock quote can be live while its chain returns nothing.

A competing live session. If the same login is already streaming live data somewhere else, in TWS or a mobile app, the gateway answers with error 10197 and the connection is forced into delayed mode as a whole. Closing the other session and reconnecting restores live data.

Troubleshooting has the symptom-side version of this, including what each badge string says verbatim.

05Which surfaces need which entitlement

Live quotes also consume subscription slots, which retail accounts cap at around a hundred concurrent. That is why a wide chain serializes rather than firing every request at once.

06What works with no market-data subscription at all

More than you would expect. Account and position data is broker account state, not market data, so balances, holdings, cost basis, and order history are unaffected. A position whose quote is missing stays account truth; the daemon marks the missing quote as the expected state rather than a data-quality defect.

The published series above need no broker session at all, so the vol-of-vol, cash-credit, and funding rows are unaffected. Daily bars are a separate entitlement path from streaming quotes, so canary technical and the S&P 500 breadth engine keep working. Breadth is computed from constituent daily bars precisely because the index itself is not redistributed on retail subscriptions. Its first build is slow for pacing reasons covered in Troubleshooting.

Market calendars are embedded in the binary and read no broker data, so the brief and app retain session context even with the gateway down.

07When a quote looks wrong, read the session

A quote attaches a session_context block when the calendar state is needed to interpret it, and omits it on an ordinary live in-session row. The block names the market, its state (regular, closed, holiday, early_close, or unknown), and the next open and close.

That is usually the answer when a price looks stale. A frozen quote at 20:00 ET on a Tuesday is the system working correctly; the same quote at 11:00 ET is worth investigating. Concepts explains why the embedded exchange calendar, rather than the gateway's quote state, decides whether a market is open.