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Richard, Josh,

thank you so much for the explanation.

With OPRA subscription (using the R code I posted in the first mail) I get the last values for few option strikes/expirations only (maybe for those contracts that are traded).

Now, I've just made the subscription to US Equity and Options Add-On Streaming Bundle.

If I run the R code with the new subscription I do not get the following message anymore:

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

However, like before the code does not stop running and does not create objects (it's 15 min I run the code, I'll wait), I don't know if this is a problem related to the R code I'm using.

Can I overcome the limitation of the last price getting only bid/ask prices for a particular day? I just need to bring in R an option chain.

Thanks

Simone

Il giorno ven 31 ago 2018 alle ore 16:14 Josh via Groups.Io <jb201448=[email protected]> ha scritto:

Simone,

If you have the OPRA subscription it covers the options but not the underlying SPX index. For the index you would need CBOE Streaming Market Indexes or US Securities Snapshot and Futures Value Bundle.?

?

So with only the options subscription TWS can return some tick types such as bid/ask/last, but can't return the greek values which require the real time index price to calculate. Thats why it returns the message:?

?

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

?

However you can still receive the bid/ask/last/ values for the options. I would double-check if those are being returned. Please note there won't be a 'last' price in the current day if the option hasn't traded.
Josh (IBKR)