feat(V2): IBKR WebSocket layer + tick/depth snapshot cache
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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"""IBKR Client Portal WebSocket — persistent WSS, smd/sbd subs, snapshot cache."""
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from __future__ import annotations
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import asyncio
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import contextlib
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import json
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import time
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from dataclasses import dataclass, field
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from typing import Any
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from websockets import connect as websockets_connect # exposed for tests
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from cerbero_mcp.exchanges.ibkr.oauth import OAuth1aSigner
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class WSError(Exception):
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"""WebSocket layer error."""
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@dataclass
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class TickSnapshot:
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last_price: float | None
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bid: float | None
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ask: float | None
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bid_size: float | None
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ask_size: float | None
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timestamp_ms: int
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@dataclass
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class DepthSnapshot:
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bids: list[dict]
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asks: list[dict]
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timestamp_ms: int
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_SMD_FIELDS = ["31", "84", "86", "7295", "7296"]
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@dataclass
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class IBKRWebSocket:
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signer: OAuth1aSigner
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ws_url: str
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base_url: str
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max_subs: int = 80
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idle_timeout_s: int = 300
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_ws: Any = field(default=None, init=False, repr=False)
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_tick_cache: dict[int, TickSnapshot] = field(default_factory=dict, init=False)
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_depth_cache: dict[int, DepthSnapshot] = field(default_factory=dict, init=False)
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_subs: set[int] = field(default_factory=set, init=False)
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_depth_subs: set[int] = field(default_factory=set, init=False)
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_last_polled_at: dict[int, float] = field(default_factory=dict, init=False)
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_forced_subs: set[int] = field(default_factory=set, init=False)
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_reader_task: asyncio.Task | None = field(default=None, init=False)
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_idle_task: asyncio.Task | None = field(default=None, init=False)
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_stopped: bool = field(default=False, init=False)
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@property
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def connected(self) -> bool:
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return self._ws is not None and not getattr(self._ws, "closed", True)
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async def start(self) -> None:
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if self.connected:
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return
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lst = await self.signer.get_live_session_token(base_url=self.base_url)
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self._ws = await websockets_connect(
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self.ws_url,
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additional_headers={"Cookie": f"api={lst}"},
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)
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self._reader_task = asyncio.create_task(self._reader_loop())
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self._idle_task = asyncio.create_task(self._idle_sweeper())
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async def stop(self) -> None:
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self._stopped = True
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if self._idle_task:
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self._idle_task.cancel()
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with contextlib.suppress(BaseException):
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await self._idle_task
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if self._reader_task:
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self._reader_task.cancel()
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with contextlib.suppress(BaseException):
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await self._reader_task
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if self._ws:
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with contextlib.suppress(Exception):
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await self._ws.close()
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self._ws = None
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async def subscribe_tick(self, conid: int, *, forced: bool = False) -> None:
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await self._ensure_capacity(conid)
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if conid in self._subs:
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self._last_polled_at[conid] = time.monotonic()
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if forced:
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self._forced_subs.add(conid)
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return
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msg = "smd+" + str(conid) + "+" + json.dumps({"fields": _SMD_FIELDS})
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await self._ws.send(msg)
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self._subs.add(conid)
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self._last_polled_at[conid] = time.monotonic()
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if forced:
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self._forced_subs.add(conid)
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async def subscribe_depth(
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self, conid: int, *, exchange: str = "SMART", rows: int = 5
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) -> None:
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await self._ensure_capacity(conid)
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if conid in self._depth_subs:
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self._last_polled_at[conid] = time.monotonic()
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return
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msg = f"sbd+{conid}+{exchange}+{rows}"
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await self._ws.send(msg)
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self._depth_subs.add(conid)
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self._last_polled_at[conid] = time.monotonic()
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async def unsubscribe(self, conid: int) -> None:
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if conid in self._subs:
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await self._ws.send(f"umd+{conid}+{{}}")
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self._subs.discard(conid)
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if conid in self._depth_subs:
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await self._ws.send(f"ubd+{conid}")
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self._depth_subs.discard(conid)
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self._tick_cache.pop(conid, None)
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self._depth_cache.pop(conid, None)
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self._last_polled_at.pop(conid, None)
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self._forced_subs.discard(conid)
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def get_tick_snapshot(self, conid: int) -> dict | None:
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snap = self._tick_cache.get(conid)
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if not snap:
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return None
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self._last_polled_at[conid] = time.monotonic()
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return {
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"conid": conid,
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"last_price": snap.last_price,
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"bid": snap.bid,
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"ask": snap.ask,
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"bid_size": snap.bid_size,
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"ask_size": snap.ask_size,
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"timestamp_ms": snap.timestamp_ms,
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}
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def get_depth_snapshot(self, conid: int) -> dict | None:
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snap = self._depth_cache.get(conid)
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if not snap:
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return None
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self._last_polled_at[conid] = time.monotonic()
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return {
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"conid": conid,
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"bids": snap.bids,
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"asks": snap.asks,
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"timestamp_ms": snap.timestamp_ms,
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}
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async def _ensure_capacity(self, conid: int) -> None:
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if (conid in self._subs) or (conid in self._depth_subs):
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return
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active = len(self._subs) + len(self._depth_subs)
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if active >= self.max_subs:
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raise WSError(f"IBKR_WS_SUB_LIMIT: {active}/{self.max_subs}")
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async def _reader_loop(self) -> None:
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try:
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while not self._stopped and self._ws:
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raw = await self._ws.recv()
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try:
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msg = json.loads(raw)
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except json.JSONDecodeError:
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continue
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topic = msg.get("topic", "")
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if topic.startswith("smd+"):
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self._on_tick(topic, msg)
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elif topic.startswith("sbd+"):
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self._on_depth(topic, msg)
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except asyncio.CancelledError:
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raise
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except Exception:
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return
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def _on_tick(self, topic: str, msg: dict) -> None:
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try:
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conid = int(topic.split("+", 1)[1])
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except (ValueError, IndexError):
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return
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def _f(k: str) -> float | None:
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v = msg.get(k)
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try:
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return float(v) if v not in (None, "") else None
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except (TypeError, ValueError):
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return None
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self._tick_cache[conid] = TickSnapshot(
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last_price=_f("31"), bid=_f("84"), ask=_f("86"),
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bid_size=_f("7295"), ask_size=_f("7296"),
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timestamp_ms=int(time.time() * 1000),
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)
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def _on_depth(self, topic: str, msg: dict) -> None:
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try:
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conid = int(topic.split("+", 1)[1])
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except (ValueError, IndexError):
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return
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self._depth_cache[conid] = DepthSnapshot(
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bids=msg.get("bids") or [],
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asks=msg.get("asks") or [],
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timestamp_ms=int(time.time() * 1000),
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)
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async def _idle_sweeper(self) -> None:
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try:
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while not self._stopped:
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await asyncio.sleep(30)
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now = time.monotonic()
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expired = [
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c for c in list(self._subs | self._depth_subs)
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if c not in self._forced_subs
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and now - self._last_polled_at.get(c, now) > self.idle_timeout_s
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]
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for c in expired:
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with contextlib.suppress(Exception):
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await self.unsubscribe(c)
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except asyncio.CancelledError:
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raise
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