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Re: Tick Encoding/Decoding

 

I'm the author of the TickUtils.jar you're referring to.



(For others reading this thread, this jar can be found in the Files section
of this group. It provides encoding and decoding facilities to store tick
data in a much smaller space than either plain text or some kind of fixed
binary format. I use it for storing tick data in an SQL database. At the
time I originally wrote it, I needed to minimize the space occupied by the
data, because disk space was still expensive back then and database backups
were interminable over a 10Mb/s network. I also didn't have the performance
necessary to write a row for each tick, so I batch up the ticks for each
minute into a blob using the encoding routines, and write the blobs at a
predictable rate. Nowadays disk space is almost trivially cheap. My database
is now around 25GB, and would be about 150GB without this encoding - not a
huge file by modern standards. However the performance aspect may still be
relevant, given that at some times I can be recording several hundred ticks
per second. By the way, the encoding/decoding overhead is completely
insignificant.)



If you want to use this jar with IB's Java API, you need to understand a few
things.



1. IB actually sends trade price and the corresponding trade size in a
single message from TWS to the API client, but the API code then splits that
into two separate callbacks - a tickPrice and a tickSize. (The same applies
to bids and asks.)



2. This combined message is only sent when the price changes - otherwise
just the size is sent, and a tickSize callback occurs.



3. After sending the combined price/size message, TWS then sends the exact
same size again as a separate message, and the API generates another
identical tickSize callback from this (there are historical reasons for this
apparently nonsensical 'feature', though I suspect they are no longer
valid).



4. If a trade occurs at the same price and size as the previously reported
trade, not even the tick size is sent - just a volume update. (Note that the
'previously reported trade' isn't necessarily the same as the most recent
actual trade, because the API doesn't necessarily report every trade.)



From this information, we can make the following deductions:



- when a tickPrice is received, the next tickSize (for the same tick type
obviously) will be the size for that price (and will in fact occur
immediately after, as it happens during the processing of the same socket
message from TWS).



- when a tickSize is received that is identical to the previous tickSize, it
should be ignored, because it is just the duplicate that TWS sends after
sending the combined price/size message - it doesn't represent a separate
trade.



You should now have enough understanding to be able to generate the formats
required by the TickUtils.jar.



By the way, please think carefully about whether you actually need to use
these encoding/decoding routines. For example, if you just need to store
tick data in ordinary files, it's best to simply write it out as text. The
problem with the encoded format is that it's not human-readable. I actually
do this in addition to my database recording, as a sort of backup - the
files are compressed (by the operating system), which reduces their size to
about one-sixth of their uncompressed size.



Richard





From: TWSAPI@... [mailto:TWSAPI@...] On Behalf Of
sc1447
Sent: 14 July 2013 20:55
To: TWSAPI@...
Subject: [TWS API] Tick Encoding/Decoding






Hi All,

I'm trying to encode tick data from IB, and wanted to use TickUtils.jar
contributed here. But it seems to work with standard tick formats for
example a Trade tick would have format (%time %price %trade size).

IB data shows up as (%time %tick type %value), so IB would send two tick
responses for a trade tick, instead of one.

I was wondering if anyone was using the encoding utility for IB and if they
would have a converter for IB tick data into the the format the encoder
needs and are willing to share it.

Thanks

S
C# Option Contract Details

andrewcmeier
 

Excellent, it worked, had to change a couple of other fields but it was definitely the contractID, thank you. The final code I used is:

AAAA = new Contract(0, "AAPL", SecurityType.Option, "20130719", 420.0, RightType.Call, "100", "SMART", "USD", "", "", SecurityIdType.None, "");

Still not sure how to get all options for a stock but will keep trying.

--- In TWSAPI@..., "Richard L King" <rlking@...> wrote:

contractId is IB's own unique identifier for a contract. If you know this id
for a specific contract, you can use it in a contract details request and
not supply any of the other fields.



Setting this to 22 as you have done, and then supplying all the other fields
for a contract whose id is almost certainly not 22, is probably the source
of your error.



So try setting contractId to 0.



Richard



From: TWSAPI@... [mailto:TWSAPI@...] On Behalf Of
andrewcmeier
Sent: 15 July 2013 04:47
To: TWSAPI@...
Subject: [TWS API] Re: C# Option Contract Details







I've had a look, it looks great, however, I still can't seem to fix my
problem. The way you set up a contract in VB is:
contract.conId = Convert.ToInt32(ss(2))
contract.symbol = TextBox1.Text
contract.secType = "OPT"
contract.expiry = ss(0).Trim.ToString
contract.strike = Convert.ToDouble(ss(1))
contract.right = "C"
contract.multiplier = ""
contract.exchange = "SMART"
contract.primaryExchange = ""
contract.currency = "USD"
contract.localSymbol = ""
contract.includeExpired = 0
tickcount += 1
AxTws1.reqMktDataEx(rnumber, contract, "", 1) '0 =streaming 1=snapshot

However, in C# I don't seem to have any of the contract.x and can't even
seem to use .reqMktDataEx()

I've tried another method which uses:
AAAA = new Contract(22, "AAPL", SecurityType.Option, "201307", 420.0,
RightType.Call, "", "SMART", "USD", "", "", SecurityIdType.None, "");

The constructor for this is:
public Contract(int contractId, String symbol, SecurityType securityType,
String expiry, double strike, RightType right,
String multiplier, string exchange, string currency, string localSymbol,
string primaryExchange,
SecurityIdType secIdType, string secId)

It still says no security definition found.
Any idea of what is wrong here?

Thanks again.

--- In TWSAPI@... <mailto:TWSAPI%40yahoogroups.com> , Nick
<nickhere@> wrote:

In the file section of this group
I wrote a option chain getter
I included the source.it in vb
and conversion is easy to c#
i had very little problems with it
it get the chain of any stock ticker
gets all the quotes
and draws vertical spread graphs

nick


On 7/14/2013 6:23 AM, andrewcmeier wrote:
Oops, Tester and A1 were meant to be the same variable in the options
lines, change Tester to A1 and that is what I have.

--- In TWSAPI@... <mailto:TWSAPI%40yahoogroups.com> ,
"andrewcmeier" <andrewcmeier@> wrote:
Hi there,
I've started using the Krs.Ats.IBNet software
(.
0.21.Full.zip) to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is
what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an
option in C#? I also then wan't to be able to leave fields out to do things
such as return all the contracts in a month, does anyone have any examples
how to do this?

I'm finding that C# should be a good way to download and analyse data
but don't have any documentation, I've only worked out what to do from
searching through lots of the code.

Thanks for your help.


------------------------------------

Yahoo! Groups Links
Re: C# Option Contract Details

 

contractId is IB's own unique identifier for a contract. If you know this id
for a specific contract, you can use it in a contract details request and
not supply any of the other fields.



Setting this to 22 as you have done, and then supplying all the other fields
for a contract whose id is almost certainly not 22, is probably the source
of your error.



So try setting contractId to 0.



Richard



From: TWSAPI@... [mailto:TWSAPI@...] On Behalf Of
andrewcmeier
Sent: 15 July 2013 04:47
To: TWSAPI@...
Subject: [TWS API] Re: C# Option Contract Details







I've had a look, it looks great, however, I still can't seem to fix my
problem. The way you set up a contract in VB is:
contract.conId = Convert.ToInt32(ss(2))
contract.symbol = TextBox1.Text
contract.secType = "OPT"
contract.expiry = ss(0).Trim.ToString
contract.strike = Convert.ToDouble(ss(1))
contract.right = "C"
contract.multiplier = ""
contract.exchange = "SMART"
contract.primaryExchange = ""
contract.currency = "USD"
contract.localSymbol = ""
contract.includeExpired = 0
tickcount += 1
AxTws1.reqMktDataEx(rnumber, contract, "", 1) '0 =streaming 1=snapshot

However, in C# I don't seem to have any of the contract.x and can't even
seem to use .reqMktDataEx()

I've tried another method which uses:
AAAA = new Contract(22, "AAPL", SecurityType.Option, "201307", 420.0,
RightType.Call, "", "SMART", "USD", "", "", SecurityIdType.None, "");

The constructor for this is:
public Contract(int contractId, String symbol, SecurityType securityType,
String expiry, double strike, RightType right,
String multiplier, string exchange, string currency, string localSymbol,
string primaryExchange,
SecurityIdType secIdType, string secId)

It still says no security definition found.
Any idea of what is wrong here?

Thanks again.

--- In TWSAPI@... <mailto:TWSAPI%40yahoogroups.com> , Nick
<nickhere@...> wrote:

In the file section of this group
I wrote a option chain getter
I included the source.it in vb
and conversion is easy to c#
i had very little problems with it
it get the chain of any stock ticker
gets all the quotes
and draws vertical spread graphs

nick


On 7/14/2013 6:23 AM, andrewcmeier wrote:
Oops, Tester and A1 were meant to be the same variable in the options
lines, change Tester to A1 and that is what I have.

--- In TWSAPI@... <mailto:TWSAPI%40yahoogroups.com> ,
"andrewcmeier" <andrewcmeier@> wrote:
Hi there,
I've started using the Krs.Ats.IBNet software
(.
0.21.Full.zip) to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is
what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an
option in C#? I also then wan't to be able to leave fields out to do things
such as return all the contracts in a month, does anyone have any examples
how to do this?

I'm finding that C# should be a good way to download and analyse data
but don't have any documentation, I've only worked out what to do from
searching through lots of the code.

Thanks for your help.


------------------------------------

Yahoo! Groups Links
Re: Tick Encoding/Decoding

unatnahs57
 

1. I am making data request as: mClientSocket.reqMktData(id, contract, "", false);
which returns the "last price and quantity in separate callbacks".

So, using the post #24461 that you suggested I made the request as: mClientSocket.reqMktData(id, contract, "233", false);

which returns Last Trade tick as:
id=0 RTVolume=3066.00;4;1373851042866;1108;3065.15771661;false

I can now construct the LastTick object instance used in TickUtils.jar.

(Not yet sure if BidTick, AskTick can be done this way, but I'll investigate further, I wanted to reply at the earliest).

++++++
2a. I also noticed an interesting thing. Request made with only "233" still gives me IB response for tickPrice, tickSize methods, so I'm actually using more bandwidth.

2b. Also, please take a look at the data below (I tested $NQ_F)

2013.07.14 20:17:14:836,0,6.0
2013.07.14 20:17:15:759,0,7.0
2013.07.14 20:17:20:208,0,6.0
id=0 lastTimestamp=1373851042 <-tickString() response
2013.07.14 20:17:21:989,4,3066.0 <-TRADE_PRICE
2013.07.14 20:17:21:993,5,1.0 <-TRADE_SIZE
2013.07.14 20:17:21:999,8,1105.0 <-VOLUME
2013.07.14 20:17:22:004,1,3065.75
2013.07.14 20:17:22:014,0,4.0
2013.07.14 20:17:22:021,0,4.0
2013.07.14 20:17:22:025,3,6.0
id=0 RTVolume=3066.00;4;1373851042866;1108;3065.15771661;false
2013.07.14 20:17:23:132,5,3.0 <-TRADE_SIZE
2013.07.14 20:17:23:233,8,1108.0 <-VOLUME
2013.07.14 20:17:23:324,0,5.0
2013.07.14 20:17:23:328,3,7.0
2013.07.14 20:17:24:052,0,6.0

i) There is almost a 030ms (average seems to be like 040ms) lag between when trade is executed and when we get RTVolume response.

ii) I get a tickString response timestamp, then I get a trade, trade size, tickString Tick data, then trade size and then volume upto that point. Seems 2nd trade_size is not preceded with TRADE_PRICE if the price is same as last traded price.

iii) Seems we can construct TRADE ticks using tickPrice stream ourselves, although VWAP might get messed up if data breaks in between.

I'll be looking at this for a bit, but thanks a lot for your reply.

S.

--- In TWSAPI@..., "rwk2095" <r@...> wrote:



It's not clear from your question what you're trying to accomplish. If you're interested in market microstructure, i.e. very short term, you might have a look at TickString. See this old post:


[rwk]



--- "sc1447" <sc1447@> wrote:
I'm trying to encode tick data from IB, and wanted to use TickUtils.jar contributed here. But it seems to work with standard tick formats for example a Trade tick would have format (%time %price %trade size).

IB data shows up as (%time %tick type %value), so IB would send two tick responses for a trade tick, instead of one.

I was wondering if anyone was using the encoding utility for IB and if they would have a converter for IB tick data into the the format the encoder needs and are willing to share it.
Re: C# Option Contract Details

andrewcmeier
 

I've given this a quick try, no luck yet, will try again when I get a chance.

--- In TWSAPI@..., Shane Castle <shane.castle@...> wrote:

You're running an older version of ib-csharp.

The latest code is now hosted here:

Download that and give it a try.

Shane

On Sunday, July 14, 2013, andrewcmeier wrote:

Oops, Tester and A1 were meant to be the same variable in the options
lines, change Tester to A1 and that is what I have.

--- In TWSAPI@... <javascript:;>, "andrewcmeier"
<andrewcmeier@> wrote:

Hi there,
I've started using the Krs.Ats.IBNet software (
)
to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is
what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an
option in C#? I also then wan't to be able to leave fields out to do
things such as return all the contracts in a month, does anyone have any
examples how to do this?

I'm finding that C# should be a good way to download and analyse data
but don't have any documentation, I've only worked out what to do from
searching through lots of the code.

Thanks for your help.



------------------------------------

Yahoo! Groups Links
C# Option Contract Details

andrewcmeier
 

I've tried both dates, no luck.

--- In TWSAPI@..., Peter Gum <petergum@...> wrote:


Should '20130719' be '20130720'? I.e. 19 -> 20 to match the tws market line. (Although IB will expire the option on the 19th. Confusing.)
Pete



On 07/14/13, andrewcmeier<andrewcmeier@...> wrote:




Oops, Tester and A1 were meant to be the same variable in the options lines, change Tester to A1 and that is what I have.

--- In TWSAPI@..., "andrewcmeier" <andrewcmeier@> wrote:

Hi there,
I've started using the Krs.Ats.IBNet software () to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in C#? I also then wan't to be able to leave fields out to do things such as return all the contracts in a month, does anyone have any examples how to do this?

I'm finding that C# should be a good way to download and analyse data but don't have any documentation, I've only worked out what to do from searching through lots of the code.

Thanks for your help.
C# Option Contract Details

andrewcmeier
 

I've had a look, it looks great, however, I still can't seem to fix my problem. The way you set up a contract in VB is:
contract.conId = Convert.ToInt32(ss(2))
contract.symbol = TextBox1.Text
contract.secType = "OPT"
contract.expiry = ss(0).Trim.ToString
contract.strike = Convert.ToDouble(ss(1))
contract.right = "C"
contract.multiplier = ""
contract.exchange = "SMART"
contract.primaryExchange = ""
contract.currency = "USD"
contract.localSymbol = ""
contract.includeExpired = 0
tickcount += 1
AxTws1.reqMktDataEx(rnumber, contract, "", 1) '0 =streaming 1=snapshot

However, in C# I don't seem to have any of the contract.x and can't even seem to use .reqMktDataEx()

I've tried another method which uses:
AAAA = new Contract(22, "AAPL", SecurityType.Option, "201307", 420.0, RightType.Call, "", "SMART", "USD", "", "", SecurityIdType.None, "");

The constructor for this is:
public Contract(int contractId, String symbol, SecurityType securityType, String expiry, double strike, RightType right,
String multiplier, string exchange, string currency, string localSymbol, string primaryExchange,
SecurityIdType secIdType, string secId)

It still says no security definition found.
Any idea of what is wrong here?

Thanks again.

--- In TWSAPI@..., Nick <nickhere@...> wrote:

In the file section of this group
I wrote a option chain getter
I included the source.it in vb
and conversion is easy to c#
i had very little problems with it
it get the chain of any stock ticker
gets all the quotes
and draws vertical spread graphs

nick


On 7/14/2013 6:23 AM, andrewcmeier wrote:
Oops, Tester and A1 were meant to be the same variable in the options lines, change Tester to A1 and that is what I have.

--- In TWSAPI@..., "andrewcmeier" <andrewcmeier@> wrote:
Hi there,
I've started using the Krs.Ats.IBNet software () to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in C#? I also then wan't to be able to leave fields out to do things such as return all the contracts in a month, does anyone have any examples how to do this?

I'm finding that C# should be a good way to download and analyse data but don't have any documentation, I've only worked out what to do from searching through lots of the code.

Thanks for your help.


------------------------------------

Yahoo! Groups Links
Re: Tick Encoding/Decoding

rwk2095
 

It's not clear from your question what you're trying to accomplish. If you're interested in market microstructure, i.e. very short term, you might have a look at TickString. See this old post:


[rwk]



--- "sc1447" <sc1447@...> wrote:

I'm trying to encode tick data from IB, and wanted to use TickUtils.jar contributed here. But it seems to work with standard tick formats for example a Trade tick would have format (%time %price %trade size).

IB data shows up as (%time %tick type %value), so IB would send two tick responses for a trade tick, instead of one.

I was wondering if anyone was using the encoding utility for IB and if they would have a converter for IB tick data into the the format the encoder needs and are willing to share it.
option expiry [was: C# Option Contract Details]

 

The expiry is as it always was, a friday for US stock options. The OSI
symbol, introduced a couple years ago, is always one day later than the
expiry. If you are using the OSI symbol use saturday; if you are specifying
the expiry field use friday.

-Kurt

On 7/14/13 8:51 AM, "Peter Gum" <petergum@...> wrote:


Should '20130719' be '20130720'? I.e. 19 -> 20 to match the tws market line.
(Although IB will expire the option on the 19th. Confusing.)
Pete



On 07/14/13, andrewcmeier<andrewcmeier@...> wrote:




Oops, Tester and A1 were meant to be the same variable in the options lines,
change Tester to A1 and that is what I have.

--- In TWSAPI@..., "andrewcmeier" <andrewcmeier@...> wrote:

Hi there,
I've started using the Krs.Ats.IBNet software
(
.21.Full.zip) to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what
I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in
C#? I also then wan't to be able to leave fields out to do things such as
return all the contracts in a month, does anyone have any examples how to do
this?

I'm finding that C# should be a good way to download and analyse data but
don't have any documentation, I've only worked out what to do from searching
through lots of the code.

Thanks for your help.




------------------------------------

Yahoo! Groups Links
Tick Encoding/Decoding

 

Hi All,

I'm trying to encode tick data from IB, and wanted to use TickUtils.jar contributed here. But it seems to work with standard tick formats for example a Trade tick would have format (%time %price %trade size).

IB data shows up as (%time %tick type %value), so IB would send two tick responses for a trade tick, instead of one.

I was wondering if anyone was using the encoding utility for IB and if they would have a converter for IB tick data into the the format the encoder needs and are willing to share it.

Thanks

S
Re: C# Option Contract Details

 

In the file section of this group
I wrote a option chain getter
I included the source.it in vb
and conversion is easy to c#
i had very little problems with it
it get the chain of any stock ticker
gets all the quotes
and draws vertical spread graphs

nick

On 7/14/2013 6:23 AM, andrewcmeier wrote:
Oops, Tester and A1 were meant to be the same variable in the options lines, change Tester to A1 and that is what I have.

--- In TWSAPI@..., "andrewcmeier" <andrewcmeier@...> wrote:
Hi there,
I've started using the Krs.Ats.IBNet software () to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in C#? I also then wan't to be able to leave fields out to do things such as return all the contracts in a month, does anyone have any examples how to do this?

I'm finding that C# should be a good way to download and analyse data but don't have any documentation, I've only worked out what to do from searching through lots of the code.

Thanks for your help.


------------------------------------

Yahoo! Groups Links
Re: C# Option Contract Details

Peter Gum
 

Should '20130719' be '20130720'? I.e. 19 -> 20 to match the tws market line. (Although IB will expire the option on the 19th. Confusing.)
Pete

On 07/14/13, andrewcmeier<andrewcmeier@...> wrote:




Oops, Tester and A1 were meant to be the same variable in the options lines, change Tester to A1 and that is what I have.

--- In TWSAPI@..., "andrewcmeier" <andrewcmeier@...> wrote:

Hi there,
I've started using the Krs.Ats.IBNet software () to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in C#? I also then wan't to be able to leave fields out to do things such as return all the contracts in a month, does anyone have any examples how to do this?

I'm finding that C# should be a good way to download and analyse data but don't have any documentation, I've only worked out what to do from searching through lots of the code.

Thanks for your help.
Re: C# Option Contract Details

 

You're running an older version of ib-csharp.

The latest code is now hosted here:

Download that and give it a try.

Shane

On Sunday, July 14, 2013, andrewcmeier wrote:

Oops, Tester and A1 were meant to be the same variable in the options
lines, change Tester to A1 and that is what I have.

--- In TWSAPI@... <javascript:;>, "andrewcmeier"
<andrewcmeier@...> wrote:

Hi there,
I've started using the Krs.Ats.IBNet software (
)
to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is
what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an
option in C#? I also then wan't to be able to leave fields out to do
things such as return all the contracts in a month, does anyone have any
examples how to do this?

I'm finding that C# should be a good way to download and analyse data
but don't have any documentation, I've only worked out what to do from
searching through lots of the code.

Thanks for your help.



------------------------------------

Yahoo! Groups Links
Re: C# Option Contract Details

andrewcmeier
 

Oops, Tester and A1 were meant to be the same variable in the options lines, change Tester to A1 and that is what I have.

--- In TWSAPI@..., "andrewcmeier" <andrewcmeier@...> wrote:

Hi there,
I've started using the Krs.Ats.IBNet software () to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in C#? I also then wan't to be able to leave fields out to do things such as return all the contracts in a month, does anyone have any examples how to do this?

I'm finding that C# should be a good way to download and analyse data but don't have any documentation, I've only worked out what to do from searching through lots of the code.

Thanks for your help.
C# Option Contract Details

andrewcmeier
 

Hi there,
I've started using the Krs.Ats.IBNet software () to develop TWS software in C#.

Setting up equities is easy enough:
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, true, false);

But when I try to adapt it to options, I can't get it to work. This is what I'm using:
Option A1 = new Option("AA", "AA", "20130719", RightType.Call, 8.0m);
client.RequestMarketData(15, Tester, null, false, false);

This is what it has in its class):
public Option(string equitySymbol, string optionSymbol, string expiry,
RightType right, decimal strike)

This is the error I get when I raise e.ErrorCode:
"No security definition has been found for the request"

Does anyone know what I'm entering wrong, or just how to set up an option in C#? I also then wan't to be able to leave fields out to do things such as return all the contracts in a month, does anyone have any examples how to do this?

I'm finding that C# should be a good way to download and analyse data but don't have any documentation, I've only worked out what to do from searching through lots of the code.

Thanks for your help.
TWS API child order questions

cf16r
 

nothing is reliable in demo account.
you cannot assume anything by induction from your experience with edemo/demouser: this is my opinion after doing initial tests on demo account.
Re: TWS API child order questions

Ray Salem
 

IN the demo account it was minutes, not sure if this would be true with real account


thanks ray



________________________________
From: cf16r <piter@...>
To: TWSAPI@...
Sent: Friday, July 12, 2013 11:23 AM
Subject: [TWS API] Re: TWS API child order questions



?
@raysalem619 did you really mean "minutes"?
can somebody tell this is not true in a real account?
I would like to see rather something less than second.
Re: Upcoming stock earnings dates

Robert
 

I use
"
Let me know if anyone is interested in the VB.Net code that parses the downloaded html. It works well for me.

r4

--- In TWSAPI@..., "rwk2095" <r@...> wrote:



I built a short term stock-trading app about ten years ago that excluded stocks with earning releases that day or the next. I used Yahoo!Finance via a screen scraper as my source of earnings release schedule, though it was not always complete. My scraper app was pretty primative, and whenever Yahoo changed the format of the web page, my program failed to deliver the desired data.

There are several other sites that also have earnings release schedules, and interestingly, their lists are usually quite different.

I ran the app for 8+ years, but I shelved it about a year and a half ago because the performance had deteriorated.


[rwk]



--- "ramdukof" <ramdukof@> wrote:
Is there any API request that returns upcoming stock earnings dates?
If not, do you use any other services to provide this?
I'm interested in both US and foreign exchanges.
Re: Upcoming stock earnings dates

rwk2095
 

I built a short term stock-trading app about ten years ago that excluded stocks with earning releases that day or the next. I used Yahoo!Finance via a screen scraper as my source of earnings release schedule, though it was not always complete. My scraper app was pretty primative, and whenever Yahoo changed the format of the web page, my program failed to deliver the desired data.

There are several other sites that also have earnings release schedules, and interestingly, their lists are usually quite different.

I ran the app for 8+ years, but I shelved it about a year and a half ago because the performance had deteriorated.


[rwk]



--- "ramdukof" <ramdukof@...> wrote:

Is there any API request that returns upcoming stock earnings dates?
If not, do you use any other services to provide this?
I'm interested in both US and foreign exchanges.
The following jar files is missing from the classpath: hsqldb.jar

 

Thanks everyone for your help with this. I tried some older versions of TWS and IBController and have come up with a working pair. I think I'll just stick with that until I'm forced to upgrade.

Thanks again.
David
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