I don¡¯t think there is any such guarantee. tickPrice comes from the exchange; while tickOptionComputation likely comes from IBKR models. Probably the reason they¡¯re separate in the API. Sometimes there are no greeks (eg at start of trading when there is high
volatility so the model can¡¯t calculate a reliable number yet) so you may receive prices but no greeks. I think you either wait until the snapshot is completed, or you stream tickPrices and then manually monitor until you have received all data you need.
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On Aug 19, 2022, at 10:32 AM, Crow via groups.io <aaroncook394@...> wrote:
I pull option quotes for single strikes by calling reqMktData() described here:
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Regulatory Snapshots. The fifth argument to reqMktData specifies a regulatory snapshot request to US stocks and options. Regulatory snapshots require TWS/IBG v963 and API 973.02 or higher and specific market data subscriptions.. For stocks, there are individual
exchange-specific market data subscriptions necessary to receive streaming quotes.
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I receive bid,ask, and last/close via calls the callback method tickPrice().? After that, the option greeks are sent to another call back called?tickOptionComputation()
described here:
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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.
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Is there any guarantee that the tick option callback will only arrive after all tickPrice() callbacks have been made?? The reason that I ask is because I usually only request snapshots
and as mentioned in the first link, the?()
call only comes 11 seconds after the request is made.? Why 11 seconds?? I have no idea, but I want to move on after I have all the callbacks.? Some strikes might be missing a bid or ask quote so I'll never know for sure how many tickPrice() calls to expect.?
But if the?tickOptionComputation()?is only called after all tickPrice calls have been
completed, then I know that I'm done after receiving the tickOptionComputation().? Is that the case?
