On Aug 16, 2022, at 2:48 PM, bart decanne.com via groups.io <bart@...> wrote:

I believe TWS somehow stores the last data so that when it does not receive current valid data it displays the buffered data.

It seems on days with big moves at market open especially, greeks are not available even up to an hour into trading.

Similar also for market value or bid/ask prices outside trading hours: you won’t get anything via the API, but TWS still shows it.

On your question for portfolio greeks, I don’t think it’s returned from the API since you get greeks from ticker data (which does not take into account your position in the contract). So you need to calculate portfolio greeks yourself based off the ticker data greeks and your positions. I do this and the result comes out identical to what TWS shows.

On Aug 16, 2022, at 1:10 PM, Crow via groups.io <aaroncook394@...> wrote:

I configured IB TWS workstation to show the portfolio delta and theta values for each position aggregated in my portfolio as shown in the screenshot.? It basically just adds up the position delta and theta of each leg.? However, when I reqMktData() for those two positions shown in the screenshot, the resulting tickOptionComputation() callback returns Infinity for delta and theta.? Likely because the options are too far OTM and there was a problem with the calculation.? But if that is the case, how is TWS workstation getting the delta and theta, is it possible to pull those values via the API?

The Implied Volatility of an underlying based on its current option prices is returned in tick 24. See Available Tick Types. The IB 30-day volatility is the at-market volatility estimated for a maturity thirty calendar days forward of the current trading day, and is based on option prices from two consecutive expiration months.

<Screenshot at 2022-08-16 12-54-56.png>