Sorry for the multipe email (as I can't edit my response). Just want to add that currently the output of the script is:

Retrying... 1
Retrying... 2
Retrying... 3
Failed to get data after 3 retries
PSA PRF nan 20.91 nan 800.0 20.98
PSA PRG nan 20.63 nan 1000.0 20.63

The sequence is simply: 1. Connect to TWS 2. reqMktData() 3. Give it some time to get data. 4. If some fields are NaN or None, cancelMktData(), and retry.

Below is a minimal example. When the problem happens, the bid is NaN. (Note the bid should usually be 20 some dollars. It's not a penny option where there can be no bid.) The problem can happen during market hours. After the gateway or TWS restarts, running the client the first time is always fine. But running it a second or more times can cause this. The problem is illusive. When it doesn't happen, it tends not to happen as long as I don't restart the gateway. If it happens, then it happens almost every subsequent time until I restart the gateway.

import asyncio
import math

import ib_async as ibs

tickers_list = ["PSA PRF", "PSA PRG"]

async def subscribe(ib, contracts):
    ib.reqMarketDataType(1)
    tickers = []
    for c in contracts:
        ticker = ib.reqMktData(c, "456,375")
        tickers.append(ticker)
        await asyncio.sleep(0.1)
    return tickers

def is_ok(ticker):
    attributes = ["bid", "ask", "bidSize", "askSize", "close"]
    def is_null(x):
        if isinstance(x, float):
            return math.isnan(x)
        return x is None

    return all(not is_null(getattr(ticker, attr, None)) for attr in attributes)


async def main():
    ib = ibs.IB()
    await ib.connectAsync("gateway", 4004, clientId=1, timeout=60)
    contracts = list(ibs.Stock(sym, "SMART", "USD") for sym in tickers_list)
    contracts2 = await ib.qualifyContractsAsync(*contracts)

    for i_retry in range(1, 4):
        tickers = await subscribe(ib, contracts2)
        await asyncio.sleep(5)
        if all(is_ok(ticker) for ticker in tickers):
            print("success")
            break
        print("Retrying...", i_retry)
        for c in contracts2:
            ib.cancelMktData(c)

    else:
        print("Failed to get data after 3 retries")
        for ticker in tickers:
            print(ticker.contract.symbol, ticker.bid, ticker.ask, ticker.bidSize,
                  ticker.askSize, ticker.close)

asyncio.run(main())

1. Connect TWS.
2. Connect client.
3. Subscribe reqMktData
4. ...

I tested it. It does seem that type 2 will give me the most recent quote and price when the market is open. However, even if I use type 2, the problem I described in the original email persisted, namely, some fields are missing if the client is not connected to the gateway the first time the gateway restarts.

Okay, MktDataType 2 may be the answer. Parts of the documentation say it is the quotes recorded at the last closing, which is not what I want, but part of it says it is the last quotes seen by their system, which is what I want. Since the market is closed, I have to find out on Monday. Thank you for your help.

There are still some pending questions that I need to investigate:

1. Does MkDataType 2 provide the last quotes recorded at closing or just the last recorded quotes?
2. Do I need to call reqMktData twice for each contract, once with type 2 and a second time with type 1, to get both the last recorded quotes and the live updates?
3. If I do this, it may mask the problem that a bid is in fact "stuck" and is never updated, which means I have to write extra monitoring code to see if quotes do update.

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Type 2 is the last data recorded at market close, which is not what I want.

Also, "live" does not usually just mean that I will only get the data when there are new updates. It also means that I will get the most recent quote when there are no new updates.

If it were to only get the data when there is an update, then all the snapshot functions wouldn't work. Also, it is not really consistent with my experience. I find that sometimes it is missing a bid and sometimes the close. Note that a market maker rarely only send the ask and not the bid when updating their quotes. Missing the close is even harder to explain. The fact that I never experienced this on the initial connection to a freshly started gateway also means that this is perhaps not the reason.

I am having an odd problem. Everything works as expected when my client makes an initial connection to the gateway. However, if I restart the client process, sometimes reqMktData()won't get all the fields. Specifically, if I do the below, I find everything in the ticker object are filled except for bid and bidSize, which are nan. Sometimes, it is the close price that is nan.

ticker  = ib.reqMktData(contract)
asyncio.sleep(0.5)
# ticker.bid, ticker.bidSize, ticker.close may be nan

I have logic to retry the subscription as follows, but it rarely does anything:

ib.cancelMktData(contract)
asyncio.sleep(0.1)
ib.reqMktData(contract)

When this happens, the same few contracts out of 30 have this problem no matter how many times I retry (like the above). The other contracts are completely fine.

This does not happen every time. Occasionally, restarting the client to make a new connection the second time is okay, and when the second time is okay, it tends to be okay for subsequent connections. Over 50% of the time, however, making the connection the second time will have the above-described problem. If the second time fails, all subsequent connections will also fail.

The problem is not limited to the gateway. Connecting with TWS has exactly the same problem.

Restarting the gateway fixes this problem. I have never seen this happening to the initial connection to the gateway instance. This seems to say that the gateway has to be restarted every time I restart my client, which is tedious.

Has anyone encountered similar issues?

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ib.reqHistoricalDataAsync takes timeout parameter, set it to 0 and this method will not time out.

thank you for replying, I have identified the problem: the reqTickers was nested in the reqTickByTickData, so I changed the App structure. BTW do you know the function to use for nested call (even though I remember that nested asyncio and blocking was not recommended)? best