Improve performance of receiving more tick types

Same pattern as before, except we have some special cases _before_ the
generic tick maps of just setting values from ids.

ALSO includes 5 new tick types we didn't handle before in addition to
more verbose error handling if the client receives unknown ticks (so we
can add them when we find out about them instead of ignoring them for
years by mistake).

Now the Ticker object also has (if you subscribe to these ticks):

- shortable: a SCORE of how shortable an instrument is (not shares, just 0-3)
- volumeRate3Min: IBKR-provided volume metrics for finding acceleration
  opportunities at 3, 5, and 10 min average volume rates.
- volumeRate5Min
- volumeRate10Min
- lastTimestamp: timestamp of the last trade event

Author: mattsta

ib_async/ticker.py

@@ -61,6 +61,7 @@ class Ticker:
     last: float = nan
     lastSize: float = nan
     lastExchange: str = ""
+    lastTimestamp: datetime | None = None
     prevBid: float = nan
     prevBidSize: float = nan
     prevAsk: float = nan
@@ -92,6 +93,10 @@ class Ticker:
     tradeCount: float = nan
     tradeRate: float = nan
     volumeRate: float = nan
+    volumeRate3Min: float = nan
+    volumeRate5Min: float = nan
+    volumeRate10Min: float = nan
+    shortable: float = nan
     shortableShares: float = nan
     indexFuturePremium: float = nan
     futuresOpenInterest: float = nan

ib_async/wrapper.py

@@ -88,6 +88,50 @@
 OrderKeyType: TypeAlias = int | tuple[int, int]
 TickDict: TypeAlias = dict[int, str]
 
+PRICE_TICK_MAP: Final[TickDict] = {
+    6: "high",
+    72: "high",
+    7: "low",
+    73: "low",
+    9: "close",
+    75: "close",
+    14: "open",
+    76: "open",
+    15: "low13week",
+    16: "high13week",
+    17: "low26week",
+    18: "high26week",
+    19: "low52week",
+    20: "high52week",
+    35: "auctionPrice",
+    37: "markPrice",
+    50: "bidYield",
+    103: "bidYield",
+    51: "askYield",
+    104: "askYield",
+    52: "lastYield",
+}
+
+
+SIZE_TICK_MAP: Final[TickDict] = {
+    8: "volume",
+    74: "volume",
+    63: "volumeRate3Min",
+    64: "volumeRate5Min",
+    65: "volumeRate10Min",
+    21: "avVolume",
+    27: "callOpenInterest",
+    28: "putOpenInterest",
+    29: "callVolume",
+    30: "putVolume",
+    34: "auctionVolume",
+    36: "auctionImbalance",
+    61: "regulatoryImbalance",
+    86: "futuresOpenInterest",
+    87: "avOptionVolume",
+    89: "shortableShares",
+}
+
 GENERIC_TICK_MAP: Final[TickDict] = {
     23: "histVolatility",
     24: "impliedVolatility",
@@ -860,36 +904,12 @@ def priceSizeTick(self, reqId: int, tickType: int, price: float, size: float):
             if size != ticker.lastSize:
                 ticker.prevLastSize = ticker.lastSize
                 ticker.lastSize = size
-        elif tickType in {6, 72}:
-            ticker.high = price
-        elif tickType in {7, 73}:
-            ticker.low = price
-        elif tickType in {9, 75}:
-            ticker.close = price
-        elif tickType in {14, 76}:
-            ticker.open = price
-        elif tickType == 15:
-            ticker.low13week = price
-        elif tickType == 16:
-            ticker.high13week = price
-        elif tickType == 17:
-            ticker.low26week = price
-        elif tickType == 18:
-            ticker.high26week = price
-        elif tickType == 19:
-            ticker.low52week = price
-        elif tickType == 20:
-            ticker.high52week = price
-        elif tickType == 35:
-            ticker.auctionPrice = price
-        elif tickType == 37:
-            ticker.markPrice = price
-        elif tickType in {50, 103}:
-            ticker.bidYield = price
-        elif tickType in {51, 104}:
-            ticker.askYield = price
-        elif tickType == 52:
-            ticker.lastYield = price
+        else:
+            assert (
+                tickType in PRICE_TICK_MAP
+            ), f"Received tick {tickType=} {price=} but we don't have an attribute mapping for it? Triggered from {ticker.contract=}"
+
+            setattr(ticker, PRICE_TICK_MAP[tickType], price)
 
         if price or size:
             tick = TickData(self.lastTime, tickType, price, size)
@@ -924,30 +944,12 @@ def tickSize(self, reqId: int, tickType: int, size: float):
             if size != ticker.lastSize:
                 ticker.prevLastSize = ticker.lastSize
                 ticker.lastSize = size
-        elif tickType in {8, 74}:
-            ticker.volume = size
-        elif tickType == 21:
-            ticker.avVolume = size
-        elif tickType == 27:
-            ticker.callOpenInterest = size
-        elif tickType == 28:
-            ticker.putOpenInterest = size
-        elif tickType == 29:
-            ticker.callVolume = size
-        elif tickType == 30:
-            ticker.putVolume = size
-        elif tickType == 34:
-            ticker.auctionVolume = size
-        elif tickType == 36:
-            ticker.auctionImbalance = size
-        elif tickType == 61:
-            ticker.regulatoryImbalance = size
-        elif tickType == 86:
-            ticker.futuresOpenInterest = size
-        elif tickType == 87:
-            ticker.avOptionVolume = size
-        elif tickType == 89:
-            ticker.shortableShares = size
+        else:
+            assert (
+                tickType in SIZE_TICK_MAP
+            ), f"Received tick {tickType=} {price=} but we don't have an attribute mapping for it? Triggered from {ticker.contract=}"
+
+            setattr(ticker, SIZE_TICK_MAP[tickType], price)
 
         if price or size:
             tick = TickData(self.lastTime, tickType, price, size)
@@ -1054,6 +1056,10 @@ def tickString(self, reqId: int, tickType: int, value: str):
                 ticker.askExchange = value
             elif tickType == 84:
                 ticker.lastExchange = value
+            elif tickType == 45:
+                ticker.lastTimestamp = datetime.fromtimestamp(
+                    int(value), self.defaultTimezone
+                )
             elif tickType == 47:
                 # https://web.archive.org/web/20200725010343/https://interactivebrokers.github.io/tws-api/fundamental_ratios_tags.html
                 d = dict(