Implement missing tick types

Also refactors some handling to use the more modern O(1) setting
patterns.

Adds missing tick types present in the current IBKR ibapi client we
hadn't updated internally in a while.

Currently untested, but looks good so far. Some specific data types or
data extraction formats may need to be adjusted when we test against
live data.

Fixes #182
Fixes #182

Author: mattsta

ib_async/objects.py

@@ -323,6 +323,37 @@ class Fill(NamedTuple):
     time: datetime
 
 
+@dataclass(slots=True, frozen=True)
+class EfpData:
+    """
+    Exchange for Physical (EFP) futures data.
+
+    EFP allows trading a position in a single stock for a position
+    in the corresponding single stock future.
+    """
+
+    # Annualized basis points (financing rate comparable to broker rates)
+    basisPoints: float
+
+    # Basis points formatted as percentage string
+    formattedBasisPoints: str
+
+    # The implied Futures price
+    impliedFuture: float
+
+    # Number of days until the future's last trade date
+    holdDays: int
+
+    # Expiration date of the single stock future
+    futureLastTradeDate: str
+
+    # Dividend impact on the annualized basis points interest rate
+    dividendImpact: float
+
+    # Expected dividends until future expiration
+    dividendsToLastTradeDate: float
+
+
 @dataclass(slots=True, frozen=True)
 class OptionComputation:
     tickAttrib: int

ib_async/ticker.py

@@ -10,6 +10,7 @@
 from ib_async.objects import (
     Dividends,
     DOMLevel,
+    EfpData,
     FundamentalRatios,
     IBDefaults,
     MktDepthData,
@@ -109,6 +110,28 @@ class Ticker:
     avOptionVolume: float = nan
     histVolatility: float = nan
     impliedVolatility: float = nan
+    openInterest: float = nan
+    lastRthTrade: float = nan
+    lastRegTime: str = ""
+    optionBidExch: str = ""
+    optionAskExch: str = ""
+    bondFactorMultiplier: float = nan
+    creditmanMarkPrice: float = nan
+    creditmanSlowMarkPrice: float = nan
+    delayedLastTimestamp: datetime | None = None
+    delayedHalted: float = nan
+    reutersMutualFunds: str = ""
+    etfNavClose: float = nan
+    etfNavPriorClose: float = nan
+    etfNavBid: float = nan
+    etfNavAsk: float = nan
+    etfNavLast: float = nan
+    etfFrozenNavLast: float = nan
+    etfNavHigh: float = nan
+    etfNavLow: float = nan
+    socialMarketAnalytics: str = ""
+    estimatedIpoMidpoint: float = nan
+    finalIpoLast: float = nan
     dividends: Optional[Dividends] = None
     fundamentalRatios: Optional[FundamentalRatios] = None
     ticks: list[TickData] = field(default_factory=list)
@@ -124,6 +147,14 @@ class Ticker:
     askGreeks: Optional[OptionComputation] = None
     lastGreeks: Optional[OptionComputation] = None
     modelGreeks: Optional[OptionComputation] = None
+    custGreeks: Optional[OptionComputation] = None
+    bidEfp: Optional[EfpData] = None
+    askEfp: Optional[EfpData] = None
+    lastEfp: Optional[EfpData] = None
+    openEfp: Optional[EfpData] = None
+    highEfp: Optional[EfpData] = None
+    lowEfp: Optional[EfpData] = None
+    closeEfp: Optional[EfpData] = None
     auctionVolume: float = nan
     auctionPrice: float = nan
     auctionImbalance: float = nan
@@ -195,6 +226,22 @@ def __post_init__(self):
             self.auctionPrice = self.defaults.unset
             self.auctionImbalance = self.defaults.unset
             self.regulatoryImbalance = self.defaults.unset
+            self.openInterest = self.defaults.unset
+            self.lastRthTrade = self.defaults.unset
+            self.bondFactorMultiplier = self.defaults.unset
+            self.creditmanMarkPrice = self.defaults.unset
+            self.creditmanSlowMarkPrice = self.defaults.unset
+            self.delayedHalted = self.defaults.unset
+            self.etfNavClose = self.defaults.unset
+            self.etfNavPriorClose = self.defaults.unset
+            self.etfNavBid = self.defaults.unset
+            self.etfNavAsk = self.defaults.unset
+            self.etfNavLast = self.defaults.unset
+            self.etfFrozenNavLast = self.defaults.unset
+            self.etfNavHigh = self.defaults.unset
+            self.etfNavLow = self.defaults.unset
+            self.estimatedIpoMidpoint = self.defaults.unset
+            self.finalIpoLast = self.defaults.unset
 
             self.created = True
 

ib_async/wrapper.py

@@ -25,6 +25,7 @@
     DepthMktDataDescription,
     Dividends,
     DOMLevel,
+    EfpData,
     Execution,
     FamilyCode,
     Fill,
@@ -101,6 +102,19 @@
     51: "askYield",
     104: "askYield",
     52: "lastYield",
+    57: "lastRthTrade",
+    78: "creditmanMarkPrice",
+    79: "creditmanSlowMarkPrice",
+    92: "etfNavClose",
+    93: "etfNavPriorClose",
+    94: "etfNavBid",
+    95: "etfNavAsk",
+    96: "etfNavLast",
+    97: "etfFrozenNavLast",
+    98: "etfNavHigh",
+    99: "etfNavLow",
+    101: "estimatedIpoMidpoint",
+    102: "finalIpoLast",
 }
 
 
@@ -111,6 +125,7 @@
     64: "volumeRate5Min",
     65: "volumeRate10Min",
     21: "avVolume",
+    22: "openInterest",
     27: "callOpenInterest",
     28: "putOpenInterest",
     29: "callVolume",
@@ -133,6 +148,8 @@
     55: "tradeRate",
     56: "volumeRate",
     58: "rtHistVolatility",
+    60: "bondFactorMultiplier",
+    90: "delayedHalted",
 }
 
 GREEKS_TICK_MAP: Final[TickDict] = {
@@ -144,6 +161,38 @@
     82: "lastGreeks",
     13: "modelGreeks",
     83: "modelGreeks",
+    53: "custGreeks",
+}
+
+EFP_TICK_MAP: Final[TickDict] = {
+    38: "bidEfp",
+    39: "askEfp",
+    40: "lastEfp",
+    41: "openEfp",
+    42: "highEfp",
+    43: "lowEfp",
+    44: "closeEfp",
+}
+
+STRING_TICK_MAP: Final[TickDict] = {
+    25: "optionBidExch",
+    26: "optionAskExch",
+    32: "bidExchange",
+    33: "askExchange",
+    84: "lastExchange",
+    85: "lastRegTime",
+    91: "reutersMutualFunds",
+    100: "socialMarketAnalytics",
+}
+
+TIMESTAMP_TICK_MAP: Final[TickDict] = {
+    45: "lastTimestamp",
+    88: "delayedLastTimestamp",
+}
+
+RT_VOLUME_TICK_MAP: Final[TickDict] = {
+    48: "rtVolume",
+    77: "rtTradeVolume",
 }
 
 
@@ -418,6 +467,50 @@ def _setTimer(self, delay: float = 0):
             self.setTimeout(0)
             self.ib.timeoutEvent.emit(diff)
 
+    # Helper methods for tick processing
+
+    def _processTimestampTick(self, ticker: Ticker, fieldName: str, value: str):
+        """Convert timestamp string to datetime and set on ticker field."""
+        timestamp = int(value)
+        # Only populate if timestamp isn't '0' (we don't want to report "last trade: 20,000 days ago")
+        if timestamp:
+            setattr(
+                ticker,
+                fieldName,
+                datetime.fromtimestamp(timestamp, self.defaultTimezone),
+            )
+
+    def _processRtVolumeTick(
+        self, ticker: Ticker, tickType: int, value: str
+    ) -> tuple[float, float] | None:
+        """
+        Parse RT Volume or RT Trade Volume tick.
+
+        Format: price;size;ms since epoch;total volume;VWAP;single trade
+        Example: 701.28;1;1348075471534;67854;701.46918464;true
+
+        Returns (price, size) tuple if valid, None otherwise.
+        """
+        priceStr, sizeStr, rtTime, volume, vwap, _ = value.split(";")
+
+        if volume:
+            # Set volume field based on tick type
+            volumeField = RT_VOLUME_TICK_MAP[tickType]
+            setattr(ticker, volumeField, float(volume))
+
+        if vwap:
+            ticker.vwap = float(vwap)
+
+        if rtTime:
+            ticker.rtTime = datetime.fromtimestamp(
+                int(rtTime) / 1000, self.defaultTimezone
+            )
+
+        if priceStr == "":
+            return None
+
+        return (float(priceStr), float(sizeStr))
+
     # wrapper methods
 
     def connectAck(self):
@@ -1107,20 +1200,12 @@ def tickString(self, reqId: int, tickType: int, value: str):
             return
 
         try:
-            if tickType == 32:
-                ticker.bidExchange = value
-            elif tickType == 33:
-                ticker.askExchange = value
-            elif tickType == 84:
-                ticker.lastExchange = value
-            elif tickType == 45:
-                timestamp = int(value)
-
-                # only populate if timestamp isn't '0' (we don't want to report "last trade: 20,000 days ago")
-                if timestamp:
-                    ticker.lastTimestamp = datetime.fromtimestamp(
-                        timestamp, self.defaultTimezone
-                    )
+            # Simple string assignments (O(1) dict lookup)
+            if tickType in STRING_TICK_MAP:
+                setattr(ticker, STRING_TICK_MAP[tickType], value)
+            elif tickType in TIMESTAMP_TICK_MAP:
+                # Timestamp conversion (O(1) dict lookup)
+                self._processTimestampTick(ticker, TIMESTAMP_TICK_MAP[tickType], value)
             elif tickType == 47:
                 # https://web.archive.org/web/20200725010343/https://interactivebrokers.github.io/tws-api/fundamental_ratios_tags.html
                 d = dict(
@@ -1135,40 +1220,17 @@ def tickString(self, reqId: int, tickType: int, value: str):
                         d[k] = float(v)  # type: ignore
                         d[k] = int(v)  # type: ignore
                 ticker.fundamentalRatios = FundamentalRatios(**d)
-            elif tickType in {48, 77}:
-                # RT Volume or RT Trade Volume string format:
-                # price;size;ms since epoch;total volume;VWAP;single trade
-                # example:
-                # 701.28;1;1348075471534;67854;701.46918464;true
-                priceStr, sizeStr, rtTime, volume, vwap, _ = value.split(";")
-                if volume:
-                    if tickType == 48:
-                        ticker.rtVolume = float(volume)
-                    elif tickType == 77:
-                        ticker.rtTradeVolume = float(volume)
-
-                if vwap:
-                    ticker.vwap = float(vwap)
-
-                if rtTime:
-                    ticker.rtTime = datetime.fromtimestamp(
-                        int(rtTime) / 1000, self.defaultTimezone
-                    )
-
-                if priceStr == "":
-                    return
-
-                price = float(priceStr)
-                size = float(sizeStr)
-
-                ticker.prevLast = ticker.last
-                ticker.prevLastSize = ticker.lastSize
-
-                ticker.last = price
-                ticker.lastSize = size
-
-                tick = TickData(self.lastTime, tickType, price, size)
-                ticker.ticks.append(tick)
+            elif tickType in RT_VOLUME_TICK_MAP:
+                # RT Volume or RT Trade Volume (O(1) dict lookup + helper)
+                result = self._processRtVolumeTick(ticker, tickType, value)
+                if result:
+                    price, size = result
+                    ticker.prevLast = ticker.last
+                    ticker.prevLastSize = ticker.lastSize
+                    ticker.last = price
+                    ticker.lastSize = size
+                    tick = TickData(self.lastTime, tickType, price, size)
+                    ticker.ticks.append(tick)
             elif tickType == 59:
                 # Dividend tick:
                 # https://interactivebrokers.github.io/tws-api/tick_types.html#ib_dividends
@@ -1467,7 +1529,26 @@ def tickEFP(
         dividendImpact: float,
         dividendsToLastTradeDate: float,
     ):
-        pass
+        ticker = self.reqId2Ticker.get(reqId)
+        if not ticker:
+            return
+
+        # Create EFP data object with all available information
+        # Note: totalDividends parameter is actually the implied future price per IBKR docs
+        efpData = EfpData(
+            basisPoints=basisPoints,
+            formattedBasisPoints=formattedBasisPoints,
+            impliedFuture=totalDividends,
+            holdDays=holdDays,
+            futureLastTradeDate=futureLastTradeDate,
+            dividendImpact=dividendImpact,
+            dividendsToLastTradeDate=dividendsToLastTradeDate,
+        )
+
+        # Store in appropriate field based on tick type (O(1) dict lookup)
+        if tickType in EFP_TICK_MAP:
+            setattr(ticker, EFP_TICK_MAP[tickType], efpData)
+            self.pendingTickers.add(ticker)
 
     def historicalSchedule(
         self,