CODEWITHSUNDEEP
pythonapiinteractive-brokerstws
Sara Mun
Sara Mun

Reputation: 73

Python Interactive Brokers API very slow for historical option prices

In the code below I am trying to retrieve historical price of some option prices. I am looking at 4 months history with a bar size of 8 hours. I am taking the example of Apple and I am trying to download the prices of call options for 6 strikes and a single expiry. It takes a crazy amount of time...

When I run the code below, it took 20 seconds to get the data for the 1st strike, 1770 seconds for the 2nd strike, 3400 seconds for the 3rd strike, 840 seconds for the 4th strike and 560 seconds for the 5th strike and 460 seconds for the last strike. It took roughly 2 hours to download everything. What is wrong and what can I do to make it faster?

import time
import pandas as pd
import collections
import datetime as dt

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.common import BarData

class TestApp(EClient, EWrapper):
    def __init__(self):
        EClient.__init__(self, self)
        self.data=collections.defaultdict(list)

    def error(self, reqId:int, errorCode:int, errorString:str):
        print("Error: ", reqId, "", errorCode, "", errorString)

    def historicalData(self, reqId:int, bar:BarData):
        self.data["date"].append(bar.date)
        self.data["price"].append(bar.close)

    def historicalDataEnd(self, reqId: int, start: str, end: str):
        print("HistoricalDataEnd. ReqId:", reqId, "from", start, "to", end)
        self.df = pd.DataFrame.from_dict(self.data)
        self.disconnect()
        print("finished")


def get_option_histo_prices_test(ticker:str,expiry:str,strike:str):

    app = TestApp()
    app.connect("127.0.0.1", 7496, 5)

    time.sleep(1)

    contract = Contract()
    contract.secType = "OPT"   
    contract.right = "C"
    contract.exchange = "SMART"
    contract.currency = "USD"
    contract.multiplier = "100" 

    contract.symbol = ticker
    contract.lastTradeDateOrContractMonth = expiry
    contract.strike = strike

    app.reqHistoricalData(1, contract,"","4 M", "8 hours", "ASK", 1, 1, False, [])

    app.run()

    return app.df

ticker = "AAPL"
expiry = "20200619"
start_time_initial = time.time()
for strike in ["300","280","240","220","180","160"]:

    start_time = time.time()
    prices = get_option_histo_prices_test(ticker,expiry,strike)
    end_time = time.time()
    print (end_time - start_time)

end_time_final = time.time()
print("it took",end_time_final - start_time_initial)

Upvotes: 2

Views: 1646

Answers (1)

Sara Mun
Sara Mun

Reputation: 73

Replacing "ASK" by "TRADES" works. IT takes 20 seconds instead of 2 hours before.

Upvotes: 1

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