Module ibkr 

Ibkr market data stream (behind ibkr feature). Interactive Brokers market data connector.

Provides streaming market data from IB TWS/Gateway via the ibapi crate.

Testing Status

NOT TESTED in CI. IBKR has not confirmed permission to use credentials for CI, and requires IB Gateway/TWS running locally.

Tested locally (free subscriptions via IBKR Pro):

• Tier 0: Connection, contract resolution
• Tier 1: Historical bars/ticks, L1 quotes, Greeks calculator, option chains

NOT tested locally (paid subscriptions):

• Tier 2: L2 Market Depth — exchange-specific fees
• Tier 3: OPRA US Options — paid subscription

Tests are organized by subscription tier (see ibkr_integration.rs).

Connection

Requires TWS or IB Gateway running locally with API enabled:

Application	Live Port	Paper Port
TWS	7496	7497
IB Gateway	4001	4002

Enable API in TWS/Gateway: Configure → API → Settings → Enable ActiveX and Socket Clients.

Architecture

Unlike WebSocket-based exchanges, IB uses TCP sockets with a blocking API. This module implements Stream directly rather than using the Connector trait designed for WebSocket exchanges.

Supported Data Types

• Quotes (OrderBookL1): Best bid/ask via market_data() subscription
• Depth (OrderBookEvent): L2 order book via market_depth() subscription
• Trades (PublicTrade): Tick-by-tick trades via tick_by_tick_all_last() subscription
• Historical (Candle): OHLCV bars via historical::IbkrHistoricalData

Limitations

• Market depth limit: IB allows max 3 concurrent depth subscriptions (error 309)
• Trade side: IB doesn’t provide trade side; defaults to Side::Buy
• Blocking API: Uses std::thread::spawn for long-lived subscriptions
• No auto-reconnect: Caller responsibility per library philosophy

See Also

• IB API Documentation
• rustrade_execution::client::ibkr for order execution

Modules

depth

Depth aggregation for IB market depth updates.

greeks

Greeks aggregation for IB option tick data.

historical

Historical data fetcher for Interactive Brokers.

options

Option Greeks and chain data types for Interactive Brokers.

quotes

Quote aggregation for IB market data ticks.

subscription

IBKR subscription types.

trades

Trade tick transformation for IB tick-by-tick data.

Structs

FlexPollPolicy

Poll timing for the GetStatement stage of IbkrFlexClient::fetch_statement_xml.

IbkrFlexClient

Client for fetching corporate-action records from the IBKR Flex Web Service.

IbkrFlexConfig

Credentials for the IBKR Flex Web Service: an Activity-statement Flex token and the id of a saved Flex query that includes the Corporate Actions section.

IbkrFlexCorporateAction

A single corporate-action row from an IBKR Flex statement, surfaced verbatim.

IbkrMarketStream

Market data stream from Interactive Brokers.

IbkrStreamConfig

Configuration for the IBKR market data stream.

Enums

IbkrFlexError

Errors from IBKR Flex Web Service operations.

IbkrReorgType

IBKR Flex reorganisation type (the <CorporateAction> type attribute).

Functions

parse_corporate_actions

Parse the <CorporateAction> rows out of an IBKR Flex statement XML document.