feat: add opt-in TCP_NODELAY support for low-latency trading #391
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Optionally disables Nagle's algorithm on TcpStream when the environment variable IBAPI_TCP_NODELAY=1 is set. Default behavior is unchanged (Nagle enabled, matching upstream). When enabled, small writes (order submissions ~100-200 bytes) are sent immediately instead of being buffered up to 40ms. For trading systems this eliminates latency on order routing with zero practical downside. Usage: IBAPI_TCP_NODELAY=1 ./my-trading-app Affected paths: - sync: TcpSocket::new() and TcpSocket::reconnect() - async: AsyncConnection::connect_with_callback() and reconnect()
Adds 10-minute bar size to the BarSize enum for historical data fetching, matching IBKR TWS/Gateway API support. Changes: - Add Min10 variant to BarSize enum (between Min5 and Min15) - Display format: "10 mins" - FromStr parsing: "MIN10" → BarSize::Min10 - Update tests to include Min10 coverage This aligns with the official IBKR API specification which supports 10-minute bars for historical data requests.
IBKR returns bar dates as 'YYYYMMDD HH:MM:SS' (with two spaces)
but the parser only handled:
1. Exactly 8 characters ('YYYYMMDD')
2. Unix timestamps
This caused parsing errors like 'the year component could not be parsed'
for many symbols during warmup.
Fix: Add support for parsing dates with time component in the
IBKR-specific format (two spaces between date and time).
Related: Live trading warmup failures on Windows
Owner
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Superseded by #394 |
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Overview
This PR adds opt-in TCP_NODELAY support for low-latency trading applications. When enabled via the
IBAPI_TCP_NODELAY=1environment variable, Nagle's algorithm is disabled on all TcpStream connections, eliminating up to 40ms of latency on small writes.Closes #390
What Changed
socket.set_nodelay(true)?inAsyncConnection::connect_with_callback()andreconnect()stream.set_nodelay(true)?inTcpSocket::new()andreconnect()Backward Compatibility
✅ 100% backward compatible:
IBAPI_TCP_NODELAY=1environment variableUsage
Performance Impact
For trading systems:
recv, notsend)Testing