This code 'finds' market price for option spread. Why is it so slow?

Hi Community,

The below code is built in Python using ib_insync. The goal is the execute an option spread at the market price. Often options are illiquid so so if you buy a spread you could pay higher than midprice and if you sell a spread you could sell for less than midprice, potentially. That's why a SNAP to PRIM order is used here instead of SNAP to MID. Regardless, this code takes a few seconds to initialize and a few seconds to loop between each offset.
Is it because ib.reqMarketDataType and ib.reqTickers slows it down? Is there any way to speed this up?

##########################
from ib_insync import *
ib = IB()
ib.connect("127.0.0.1", 7497, clientId=4001)

maximum_limit_price = 11.5
spread_contract = Contract()
spread_contract.symbol = "AAPL"
spread_contract.secType = "BAG"
spread_contract.currency = "USD"
spread_contract.exchange = "SMART"
option1 = Option('AAPL', '20200327', 230.0, 'C', 'SMART', tradingClass='AAPL')
option2 = Option('AAPL', '20200327', 245.0, 'C', 'SMART', tradingClass='AAPL')
# ib.qualifyContracts(option2)
contracts = [option1, option2]
ib.qualifyContracts(*contracts)
leg1 = ComboLeg()
leg1.conId = option1.conId
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "SMART"
leg2 = ComboLeg()
leg2.conId = option2.conId
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "SMART"
spread_contract.comboLegs = []
spread_contract.comboLegs.append(leg1)
spread_contract.comboLegs.append(leg2)
print(spread_contract)
ib_order = Order()
ib_order.orderType = 'SNAP PRIM'
ib_order.action = 'BUY'
ib_order.totalQuantity = 5
i = 0
flag_loop = True
ib.reqMarketDataType(3)
data = ib.reqTickers(spread_contract)
offset = 0.5


while i < 15:
ib.reqMarketDataType(3)
data = ib.reqTickers(spread_contract)
limit_price = data[0].bid + offset
if limit_price < maximum_limit_price:
ib_order.auxPrice = offset
trade = ib.placeOrder(spread_contract, ib_order)
if trade.orderStatus.status == 'Filled':
print('', trade)
break
offset += 0.5
ib.sleep(2)
i += 1

 

dont use reqMarketData for event driven

use
def on_tick(self, ticker):
blah
ticker.updateEvent += rader.on_tick

 

Thanks traider we'll try it

 

Sorry traider, we didn't understand your post. My coder took a look at self.on_tick and says that self.on_tick uses reqMktData itself.
So essentially only way to get data is reqMktData or reqTicker functions. Does that sound right?

 

Look at this
https://github.com/erdewit/ib_insync/blob/master/notebooks/market_depth.ipynb
look at all his notebooks very good examples

 

looks like a great client for IB API... interesting!

 

Our code runs faster now. We still used ib.reqMarketDataType(3) but we took out the ib.reqTickers it wasn't necessary and was just slowing things down.
My coder looked at the link traider sent but didn't think it was relevant. We're just looking for simple bid & ask prices for option spreads not depth