SPX Options Error in Live IBKR

Here’s a detailed response for Manoj:

1. Why your current IBKR subscriptions are not enough for SPX options in QuantConnect (QC) live trading:
While you have the “US Equities and Options” and “Futures Bundle,” SPX options (including weeklies, i.e., SPXW) are index options on the S&P 500, not equity options. They require specific index data permissions. The “US Equities and Options” alone does not grant you access to real-time SPX or SPXW market data.

2. Which IBKR subscriptions you specifically need to trade and receive live SPX option data:
To successfully live trade SPX and SPXW options on QuantConnect through Interactive Brokers, you need BOTH:

• The “US Equity and Options Add-On Streaming Bundle” (for real-time US equity/options data).
• The “CME S&P Indexes Bundle (Level 1)” (to access real-time data for US equity indices, including SPX and NDX).

Without both, IBKR will reject option requests for index options with “No security definition has been found for the request.”

3. Notes on entitlement activation:

• After subscribing or making changes, entitlement can take up to 24 hours to sync and become available.
• Verify the market data bundle is assigned to the correct IBKR (paper/live) account. If you have multiple accounts under one login, contact IBKR support if it’s not clearly enabled for your trading account.

4. Code review and API usage:
Your QuantConnect logic for adding SPX and SPXW as separate index option universes is correct. Example:

self.spx = self.add_index("SPX", Resolution.MINUTE)

# Standard SPX options:
self.spx_options = self.add_index_option("SPX")
self.spx_options.set_filter(lambda u: u.strikes(0, 1).expiration(0, 45))

# SPXW (weeklies):
spxw = self.add_index_option("SPX", "SPXW")
spxw.set_filter(lambda u: u.strikes(0, 1).expiration(0, 45).include_weeklys())
self.spxw_option = spxw.symbol

Advice: Don’t mix direct SPX and SPXW within the same add_index_option() call. Maintain them as separate universes as above.

5. Further steps:
If you’ve subscribed to both data bundles and waited at least 24 hours (and still get that error), check that SPX market data is visible in IB Gateway/TWS for your account. If not, contact IBKR support to verify if the bundles are correctly enabled and assigned. You may also consult the QuantConnect forums for persistent cases.

Summary:
You are missing the CME S&P Index data bundle for live SPX option prices. After adding, wait 24 hours, confirm assignment, and use separate add_index_option() for SPX and SPXW. If issues persist, contact IBKR.

Sources: Interactive Brokers - QuantConnect.com, Universes - QuantConnect.com

Manoj Kandlikar ,

Thank you for your patience.
The error message is not due to your data subscriptions.
It means that this contract was not found in Interactive Brokers' database. 

For live trading issues, please open a support ticket.

Best regards,
Alex