Slowness in requesting full option chain

[jasonmellone]

Below is a snippet representing how I am attempting to pull a full option chain.

I chunk within expiration due to a timeout if I do not. On a reasonable wifi (130mb/s), SPY takes an extremely long time, if it finishes at all.

Is this common? Are there any common gotchas I'm running into that can be avoided?

`
def get_chain_instance_for_underlying(
self,
symbol: str = "",
exchange: str = "",
currency: str = "",
contract: typing.Optional[ib_async.Contract] = None,
):
if contract is None:
contract = ib_async.Stock(
symbol=symbol, exchange=exchange, currency=currency
)
self.qualifyContracts(contract)

            chains = self.reqSecDefOptParams(
                contract.symbol, "", contract.secType, contract.conId
            )
            return chains

    def load_option_chain(
        self,
        symbol: str,
        exchange: str = "SMART",
        currency: str = "USD",
        expirations: list[datetime.date] | datetime.date = None,
    ):
        
        underlying = ib_async.Stock(symbol=symbol, exchange=exchange, currency=currency)
        self.qualifyContracts(underlying)

        ts = self.get_timeseries_of_returns(underlying)
        sigma_move = (ts["close_to_close"].tail(30).std() * (252.0**0.5)) * 2.0

        last_close = ts.loc[ts.index.max()].close
        lbound = last_close * (1 - sigma_move)
        ubound = last_close * (1 + sigma_move)

        chains = self.get_chain_instance_for_underlying(contract=underlying)

        data = []
        options = []

        for chain in tqdm.tqdm(chains, desc="Loading Option Chain"):
            if not chain.exchange in [exchange]:
                continue

            if expirations is None:
                expirations = chain.expirations

            for expiry in chain.expirations:
                parsed_date: datetime.date = datetime.datetime.strptime(
                    expiry, "%Y%m%d"
                ).date()

                if expirations is not None:
                    if isinstance(expirations, datetime.date):
                        if parsed_date != expirations:
                            continue

                    if isinstance(expirations, list):
                        if expiry not in expirations:
                            continue

                strikes = [K for K in chain.strikes if (K > lbound) and (K < ubound)]

                for strike in strikes:
                    options.append(
                        ib_async.Option(
                            underlying.symbol, expiry, strike, "C", exchange
                        )
                    )
                    options.append(
                        ib_async.Option(
                            underlying.symbol, expiry, strike, "P", exchange
                        )
                    )

                # Request market data for each option contract
                contracts = self.qualifyContracts(*options)
                tickers = self.reqTickers(*contracts)

                # Wait to collect data
                self.sleep(2)

                # TODO - finish this.
                for obj in tickers:
                    o = OptionDeconstruct(raw=obj)
                    o.main()
                    if o.output["bid"] >= 0:
                        data.append(o.output)

                options = []

        return data

`

[stevegee58]

How long is "long"? I can download the full option chain for SPY in about 10 seconds all at once. Same for SPX.

[jasonmellone]

How long is "long"? I can download the full option chain for SPY in about 10 seconds all at once. Same for SPX.

Are you taking a similar approach?

[stevegee58]

I haven't tried the qualifyContracts method but use reqContractDetails instead.

`

        ib = IB()
        ib.connect('127.0.0.1', 7496, clientId=1)
        option_contract = Option(symbol, '', 0, '', 'SMART', '', '')
        details = ib.reqContractDetails(option_contract)
        for detail in details:
            print(detail.contract.right, ',', detail.contract.lastTradeDateOrContractMonth, ',', int(detail.contract.strike), ',', detail.contract.conId, ',', detail.contract.localSymbol, file=f)

`

I use the conId to subscribe to tickers.

I've found the option chain downloads to be highly variable e.g. I've seen SPX take 10, 23, 40 seconds. I believe the bottleneck is in TWS itself. Also I only download a fresh chain in the morning and cache the downloaded chain in a file with a timestamp. If the timestamp is 1+ old I download fresh again.