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Real Time Vs Delayed Data Entitlement Handling

real-time-vs-delayed-data-entitlement-handlingsource

Use at the point a consumer asks for data and something must decide between a live stream, a delayed stream carrying its delay label, or a refusal, using each venue's own delay definition. Depth and non-display licensing is separate.

Domain
Data Management
Version
2.0.0
Reading
6 min
Hands off to
5
Handed off from
3
License
Apache-2.0
CoversNasdaq Display Requirements PolicyCME Group Data Licensing Policy GuidelinesICE Futures Europe Market Data PolicyMiFIR Article 13 / ESMA market data terminologyPython Dataclasses

When to Use

Use this skill at the point where a system asks for market data on an instrument and something must decide which tier it gets: a live stream, a delayed stream carrying a delay label, or a refusal. It exists for two failures that are cheap to prevent and expensive to discover:

  1. A strategy priced off stale quotes. A delayed entitlement is the usual sign that the real-time licence for that venue was never bought. An execution path fed by a ten- or fifteen-minute-old book is trading against a market it cannot see.
  2. A delay interval invented by the application instead of read off the venue's policy. "Delayed means 15 minutes" is a Nasdaq/ESMA convention, not a universal one. CME Group defines Real Time Information as "made available within ten (10) minutes of initial transmission" and Delayed Information as "more than ten (10) minutes, but less than eight (8) hours" old; ICE Futures Europe likewise "defines real-time data as any market data that is < 10 minutes old." A feed throttled by eight minutes and served as "delayed" is real-time Information at those venues, at real-time rates.

When NOT to Use

  • Not a per-venue licence gate. Depth of book, non-display activity category, and whether a Non-Professional declaration can stand belong to market-data-entitlement-and-licensing-per-venue. This skill validates the subscriber classification and records it; it does not adjudicate it.
  • Not a latency or staleness monitor. A REAL_TIME entitlement is a licensing fact, not a measurement. It says nothing about whether the feed is currently keeping up — see market-data-latency-monitoring-per-vendor and model-staleness-detection.
  • Not for strategies that legitimately trade on delayed data. Some venues license automated use of delayed Information — CME requires Non-Display Use "of Real Time and Delayed Information" to be reported per Application, which presupposes the use exists. If a slow strategy runs on delayed prices under a licence that permits it, this gate's unconditional execution block is the wrong control.
  • Not a fee calculator or a usage declaration. It counts nothing and reports nothing to a venue.
  • Not a substitute for the vendor's permissioning system. LSEG DACS and Bloomberg EMRS enforce entitlements at the feed itself; this gate sits upstream.

Prerequisites

  • UserEntitlement — user_id, subscriber_type (PROFESSIONAL / NON_PROFESSIONAL), subscribed_exchanges (any iterable of venue ids, matched case-insensitively; a bare string is rejected, not iterated character by character), entitlement_tier (REAL_TIME / DELAYED — anything else is denied).
  • MarketDataRequest — symbol, exchange, is_trading_execution_request.
  • One VenueDelayPolicy per venue whose delayed feed may be served, populated from that venue's published data policy:
    • delay_minutes — the delay the firm actually applies.
    • min_delay_minutes — the smallest delay that counts as delayed at that venue. Nasdaq/ESMA: 15. CME Group and ICE Futures Europe draw the line above ten minutes, so: 11.
    • max_delay_minutes — optional ceiling beyond which the feed is end-of-day or historical Information under a separate licence. CME caps delayed Information below eight hours: 479.
    • display_label — the Prominent Delay Message, verbatim. Nasdaq's own examples: Data Delayed 15 minutes, Del-15, Data Delayed 24 hours.
    • delay_message_refresh_seconds — default 90, the cadence Nasdaq requires on a scrolling ticker.
    • policy_source — citation of the document and version the numbers came from.
  • A durable store for the returned EntitlementAuditReport objects. The engine keeps no record of its own.

Workflow

Checks run in this order and short-circuit on the first denial. The order is part of the contract: it decides which status an auditor sees when a request breaches more than one rule.

  1. Structural validation — blank ids, an unknown subscriber_type, a non-boolean execution flag, or a bare-string venue list raise EntitlementConfigurationError. Malformed input is a defect, not a compliance decision; evaluating it anyway yields an authoritative-looking approval backed by nothing.
  2. Tier recognised — a tier outside {REAL_TIME, DELAYED} is denied with ENTITLEMENT_DENIED_UNRECOGNISED_TIER. It is checked first because an unclassified tier makes every later question unanswerable. A gate that only compares the tier to DELAYED and serves everything else lets REALTIME, Real Time and "" skip the execution block entirely.
  3. Venue subscribed — an exchange absent from subscribed_exchanges is denied with EXCHANGE_NOT_SUBSCRIBED. Ids are normalised on both sides.
  4. Execution on a delayed feed — is_trading_execution_request on a DELAYED tier is refused with LIVE_TRADING_BLOCKED_DELAYED_DATA, before any stream is shaped, so the caller never receives a permitted-looking report it can act on.
  5. Real-time serve — REALTIME_STREAM_ENTITLED, delay 0, execution allowed, no display label. Needs no venue delay policy.
  6. Delayed serve — only against an explicit VenueDelayPolicy:
    • no policy for the venue $\implies$ DELAYED_STREAM_BLOCKED_NO_DELAY_POLICY. The engine will not assume fifteen minutes for a venue it was told nothing about.
    • delay_minutes < min_delay_minutes $\implies$ DELAYED_STREAM_BLOCKED_INSUFFICIENT_DELAY. Under-throttled data is real-time Information.
    • delay_minutes > max_delay_minutes (when tracked) $\implies$ DELAYED_STREAM_BLOCKED_DELAY_EXCEEDS_POLICY — that is a different licensed product.
    • otherwise DELAYED_STREAM_ENTITLED, carrying delay_minutes, required_display_label and delay_message_refresh_seconds. Rendering that label is the caller's obligation; the engine cannot draw the screen.
  7. Audit report — persist every EntitlementAuditReport, denials included.

Full procedure: see references/workflows.md. Standards reference: see references/standards.md. Printable pre-flight checklist: see assets/checklist.md.

Common Pitfalls

  • Hard-coding a 15-minute delay. Applied to CME or ICE, a delay chosen by the application rather than the venue is either over-generous (paying real-time rates for a product you throttled anyway) or a breach (serving Real Time Information under a delayed licence). Read the number off the venue's policy and put it in the VenueDelayPolicy.
  • Treating "not DELAYED" as "real-time". Any gate whose delayed branch is an equality test on one literal will serve REALTIME, RT, Real Time and "" down the permitted path and skip the execution block. Deny the unrecognised tier instead.
  • Asserting a delay on a denial. A report for a refused request that still says is_delayed=True, delay_minutes=15 describes a stream nobody received; an auditor reads it as data served. On a denial this engine sets delay_minutes to None.
  • Displaying delayed prices with no delay message. Nasdaq requires a Prominent Delay Message on all displays of Delayed Data, "at or near the top of the page", and on a ticker "interspersed with the market data at least every 90 seconds". The engine hands you the label; a screen that drops it breaches on the day it ships.
  • Assuming delayed means free and unlicensed. Nasdaq says only that "there may not be a charge for the usage of the delayed data, depending upon the product selected". CME requires Non-Display Use of Real Time and Delayed Information to be reported per Application. The free-15-minute obligation in MiFIR Article 13(1) binds EU trading venues — it is not a global rule and it is not a licence to consume delayed data any way you like.
  • Reading REAL_TIME as "the data is fresh". It is a licensing tier. A real-time entitlement served by a lagging or gapped feed is still stale data; monitor freshness separately.
  • Falling through on an unrecognised status. Callers routing on status must treat anything outside ALL_STATUSES as a denial.

Verification

  • Instantiate RealTimeVsDelayedEntitlementEngine with a Nasdaq policy (delay_minutes=15, min_delay_minutes=15, display_label="Data Delayed 15 minutes") and a CME policy (delay_minutes=11, min_delay_minutes=11, max_delay_minutes=479).
  • DELAYED + NASDAQ + execution request $\implies$ LIVE_TRADING_BLOCKED_DELAYED_DATA, is_permitted=False, delay_minutes is None.
  • REAL_TIME + NASDAQ $\implies$ REALTIME_STREAM_ENTITLED, delay_minutes == 0, trading_execution_allowed=True, no display label.
  • DELAYED + CME $\implies$ DELAYED_STREAM_ENTITLED with delay_minutes == 11 — the venue's number, not fifteen.
  • DELAYED + a venue with no policy $\implies$ DELAYED_STREAM_BLOCKED_NO_DELAY_POLICY.
  • A CME policy with delay_minutes=10 $\implies$ DELAYED_STREAM_BLOCKED_INSUFFICIENT_DELAY; at 11 it is served.
  • entitlement_tier="REALTIME" with an execution request $\implies$ ENTITLEMENT_DENIED_UNRECOGNISED_TIER, never a permitted stream.
  • subscribed_exchanges="NASDAQ" (a bare string) $\implies$ EntitlementConfigurationError.
  • Run python -m unittest discover -s skills/real-time-vs-delayed-data-entitlement-handling/scripts.

Verify it, from the repository root

python -m unittest discover -s skills/real-time-vs-delayed-data-entitlement-handling/scripts

Hands off to 5

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Exchanges and venues worldwide

Handed off from 3

Skills that name this one as the place a case belongs. The reverse edges of the graph.

Calendars, timezones, symbology

Exchanges and venues worldwide