Retry IBKR quote snapshots before fallback

Author: Pigbibi

pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "quant-platform-kit"
-version = "0.7.13"
+version = "0.7.14"
 description = "Shared broker adapters, domain models, execution ports, and notification utilities for QuantStrategyLab strategies."
 readme = "README.md"
 requires-python = ">=3.9"

src/quant_platform_kit/__init__.py

@@ -1,6 +1,6 @@
 """QuantPlatformKit public package surface."""
 
-__version__ = "0.7.13"
+__version__ = "0.7.14"
 
 from .common.models import (
     ExecutionReport,

src/quant_platform_kit/ibkr/market_data.py

@@ -184,6 +184,8 @@ def fetch_quote_snapshots(
     symbols: list[str] | tuple[str, ...] | set[str],
     *,
     wait_seconds: float = 3.0,
+    retry_wait_seconds: float = 1.5,
+    attempts_per_data_type: int = 2,
     exchange: str = "SMART",
     currency: str = "USD",
     stock_factory: Callable[..., Any] | None = None,
@@ -199,38 +201,39 @@ def fetch_quote_snapshots(
         ib.qualifyContracts(contract)
         contracts.append((symbol, contract))
 
-    snapshots = _collect_quote_snapshots(
-        ib,
-        contracts,
-        wait_seconds=wait_seconds,
-        currency=currency,
-    )
-    missing_contracts = [(symbol, contract) for symbol, contract in contracts if symbol not in snapshots]
-    if not missing_contracts:
-        return snapshots
+    snapshots: dict[str, QuoteSnapshot] = {}
+    missing_contracts = list(contracts)
+    attempts_per_data_type = max(int(attempts_per_data_type or 1), 1)
 
     setter = getattr(ib, "reqMarketDataType", None)
-    if not callable(setter):
-        return snapshots
+    market_data_types = (1, 2, 4) if callable(setter) else (1,)
 
     try:
-        for market_data_type in (2, 4):
-            _set_market_data_type(ib, market_data_type)
-            recovered = _collect_quote_snapshots(
-                ib,
-                missing_contracts,
-                wait_seconds=wait_seconds,
-                currency=currency,
-            )
-            snapshots.update(recovered)
-            missing_contracts = [
-                (symbol, contract)
-                for symbol, contract in missing_contracts
-                if symbol not in recovered
-            ]
+        for market_data_type in market_data_types:
+            if callable(setter):
+                _set_market_data_type(ib, market_data_type)
+
+            for attempt_index in range(attempts_per_data_type):
+                wait_for_attempt = wait_seconds if attempt_index == 0 else retry_wait_seconds
+                recovered = _collect_quote_snapshots(
+                    ib,
+                    missing_contracts,
+                    wait_seconds=wait_for_attempt,
+                    currency=currency,
+                )
+                snapshots.update(recovered)
+                missing_contracts = [
+                    (symbol, contract)
+                    for symbol, contract in missing_contracts
+                    if symbol not in snapshots
+                ]
+                if not missing_contracts:
+                    break
+
             if not missing_contracts:
                 break
     finally:
-        _set_market_data_type(ib, 1)
+        if callable(setter):
+            _set_market_data_type(ib, 1)
 
     return snapshots

tests/test_ibkr_market_data.py

@@ -147,6 +147,43 @@ def reqMktData(self, contract, *_args):
         self.assertEqual(snapshots["SPY"].last_price, 102.5)
 
 
+
+    def test_fetch_quote_snapshots_retries_same_market_data_type_before_fallback(self) -> None:
+        class RetrySameTypeIB(FakeIB):
+            def __init__(self):
+                super().__init__()
+                self.market_data_type = 1
+                self.market_data_type_calls = []
+                self.market_data_attempts = {}
+
+            def reqMarketDataType(self, market_data_type):
+                self.market_data_type = market_data_type
+                self.market_data_type_calls.append(market_data_type)
+
+            def reqMktData(self, contract, *_args):
+                self.last_market_data_contract = contract
+                key = (self.market_data_type, contract.symbol)
+                attempt = self.market_data_attempts.get(key, 0)
+                self.market_data_attempts[key] = attempt + 1
+                if self.market_data_type == 1 and attempt == 0:
+                    return FakeTicker(-1.0, close=float("nan"), bid=None, ask=None)
+                return FakeTicker(101.8, close=101.8, bid=101.7, ask=101.9)
+
+        ib = RetrySameTypeIB()
+        snapshots = fetch_quote_snapshots(
+            ib,
+            {"SPY"},
+            wait_seconds=0,
+            retry_wait_seconds=0,
+            attempts_per_data_type=2,
+            stock_factory=FakeContract,
+        )
+
+        self.assertEqual(snapshots["SPY"].last_price, 101.8)
+        self.assertEqual(ib.market_data_attempts[(1, "SPY")], 2)
+        self.assertNotIn(2, ib.market_data_type_calls)
+        self.assertNotIn(4, ib.market_data_type_calls)
+
     def test_fetch_quote_snapshots_retries_with_market_data_fallbacks(self) -> None:
         class FallbackMarketDataIB(FakeIB):
             def __init__(self):
@@ -175,7 +212,7 @@ def reqMktData(self, contract, *_args):
         )
 
         self.assertEqual(snapshots["SPY"].last_price, 101.8)
-        self.assertEqual(ib.market_data_type_calls, [2, 4, 1])
+        self.assertEqual(ib.market_data_type_calls, [1, 2, 4, 1])
 
 
 if __name__ == "__main__":