quantrocket-llc/ibapi-grease

Monkey patches to grease the Interactive Brokers Python API

ibapi-grease

NOTE: the bottlenecks this package addresses are resolved as of IB API version 973.07, so this package is no longer needed.

The official Interactive Brokers Python API has a few design choices which make it run slowly. Specifically: excessive debug logging, and an overly cautious lock on the socket connection (private repo; request access here). ibapi-grease provides monkey patches that eliminate these bottlenecks by turning off the logging and removing the locks.

As an example of the speedup, making a socket connection to TWS goes from taking a second or more without ibapi-grease to a few milliseconds with it.

Without:

In [1]: from ibapi.client import EClient

In [2]: from ibapi.wrapper import EWrapper

In [3]: class App(EWrapper, EClient):
   ...:
   ...:      def __init__(self):
   ...:          EWrapper.__init__(self)
   ...:          EClient.__init__(self, wrapper=self)
   ...:

In [4]: app = App()

In [5]: %time app.connect("localhost", 4001, 1)
CPU times: user 3.74 ms, sys: 2.44 ms, total: 6.17 ms
Wall time: 1.03 s

With:

In [1]: from ibapi.client import EClient

In [2]: from ibapi.wrapper import EWrapper

In [3]: from ibapi_grease import patch_all

In [4]: patch_all()

In [5]: class App(EWrapper, EClient):
   ...:
   ...:      def __init__(self):
   ...:          EWrapper.__init__(self)
   ...:          EClient.__init__(self, wrapper=self)
   ...:

In [6]: app = App()

In [7]: %time app.connect("localhost", 4001, 1)
CPU times: user 3.83 ms, sys: 1.72 ms, total: 5.55 ms
Wall time: 13.9 ms

Installation

pip install ibapi-grease

Usage

from ibapi_grease import patch_all
patch_all()

Requirements

Naturally, ibapi-grease requires the Interactive Brokers Python API.

License

ibapi-grease is distributed under the Apache 2.0 License. See the LICENSE file in the release for details.

Note

ibapi-grease is not a product of Interactive Brokers, nor is this project affiliated with IB.