We have just set a second additional IB gateway (ibg2). It is now correctly configured. We are getting data from different exchanges. Most of them are working fine.
But... one type of data we are getting is an index from CBOE. And the original gateway (ibg1) has this data subscription but the new gateway (ibg2) has not.
We are getting the following error while we are trying to get CBOE historical data with both gateways running:
WARNING ibg2 client 3021 got IB error code 354: Requested market data is not subscribed.
INFO [vix1daydb] Saved 0 total records for 0 total securities to quantrocket.history.vix1daydb.sqlite
If we stop the new gateway (ibg2, the one that is not having CBOE subscription on) and repeat the request we can get the data correctly.
Is this the expected behaviour? Is not QuantRocket supposed to spread the requests among the running gateways and in that case ibg1 would do the job?