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My algo tried to define options contract for strike price 5635 with expiry on 2025-04-14 (0DTE), but got error message saying "Unknown contract". I then found that this particular strike (5635) was missing from the options chain (spot was trading at around 5610 at that moment). I suppose SPX's strikes are listed every 5 points (unless the strike is very far away from spot or it is long dated like a year ahead). Is this common ? How do you guys' code cater for this missing strike ??

Sorry, I attach here the screen shot for the missing strike?

If it's missing in TWS, then there's no API issue (at least not on the last mile).

I doubt it wasn't available on the market, so only reasonable explanation is that the gamma was so high it hit some ceiling in TWS.

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Out of curiosity, did you have the checkbox for local calculations selected or not? Not sure if that is the problem or not so you might want to test (including re-launching TWS after changing it).

Configuration > Volatility and Analytics > Use Local PC to calculate Bid / Ask IV

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Please let us know here of your results.