CODEWITHSUNDEEP
python-asyncio
run-out
run-out

Reputation: 3184

Asyncio script performs slowly, similar to sync script

I'm writing an asyncio script to retrieve stock bars data from Interactive Brokers via the ib_insync library.

While I have the script working, the performance is similar to a serial script. I was hoping to see a drastic improvement in speed. This code will be used in production.

I am new to asyncio and feel like I'm missing an important element. Below is the full script. Would very much appriciate assistance in speeding this up. Thanks.

import asyncio
import ib_insync as ibi
import nest_asyncio
import pandas as pd

nest_asyncio.apply()

class App:
    async def run(self, symbols):
        print(f"1 start run: {symbols}")
        self.ib = ibi.IB()
        with await self.ib.connectAsync("127.0.0.1", "****", clientId="****"):
            contracts = [ibi.Stock(symbol, "SMART", "USD") for symbol in symbols]
            bars_dict = dict()
            print(f"2 start loop: {symbols}")
            for contract in contracts:
                bars = await self.ib.reqHistoricalDataAsync(
                    contract,
                    endDateTime="",
                    durationStr="1 M",
                    barSizeSetting="1 day",
                    whatToShow="ADJUSTED_LAST",
                    useRTH=True,
                )
                # Convert to dataframes.
                bars_dict[contract.symbol] = ibi.util.df(bars)
            print(f"3 End bars: {symbols}")
            return bars_dict

    async def main(self):
        res = await asyncio.gather(self.run(self.sp500(0, 100)))
        return res

    def stop(self):
        self.ib.disconnect()

    def sp500(self, start=None, end=10):
        payload = pd.read_html(
            "https://en.wikipedia.org/wiki/List_of_S%26P_500_companies"
        )
        first_table = payload[0]
        sp500 = first_table["Symbol"].sort_values().to_list()
        return sp500[start:end]


if __name__ == "__main__":
    import time

    start = time.time()

    app = App()
    try:
        print(f"START CALL")
        res = asyncio.run(app.main())
        print(f"END CALL")
    except (KeyboardInterrupt, SystemExit):
        app.stop()
    for ticker, bars in res[0].items():
        print(f"{ticker}\n{bars}")

    print(f"Total time: {(time.time() - start)}")

Upvotes: 2

Views: 249

Answers (1)

user4815162342
user4815162342

Reputation: 154876

Your script is running in sequence. The call to asyncio.gather() in main is useless because it is invoked with just one coroutine. You're supposed to call it with multiple coroutines to have them run in parallel.

For example, you could remove the asyncio.gather() from main (just await self.run(self.sp500(0, 100) there) and instead use it to parallelize calls to reqHistoricalDataAsync:

class App:
    async def run(self, symbols):
        print(f"1 start run: {symbols}")
        self.ib = ibi.IB()
        with await self.ib.connectAsync("127.0.0.1", "****", clientId="****"):
            contracts = [ibi.Stock(symbol, "SMART", "USD") for symbol in symbols]
            print(f"2 start loop: {symbols}")
            all_bars = await asyncio.gather(*[
                self.ib.reqHistoricalDataAsync(
                    contract,
                    endDateTime="",
                    durationStr="1 M",
                    barSizeSetting="1 day",
                    whatToShow="ADJUSTED_LAST",
                    useRTH=True,
                )
                for contract in contracts
            ])
            bars_dict = {}
            for contract, bars in zip(contracts, all_bars):
                # Convert to dataframes.
                bars_dict[contract.symbol] = ibi.util.df(bars)
            print(f"3 End bars: {symbols}")
            return bars_dict

Upvotes: 1

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