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You can get IVs directly from the API and calculate any HV you want from that. Here is how I calculate various HVs, eg for S&P500 (I am using ib_insync so some calls may look different than the native

I get the margin delta with "Check Margin" in tws or??IBApi.Order.WhatIf. Also,?using a limit order I can get cash balance delta. My question was if the formula for excess_liquidity_delta was

Does the "Check Margin" feature in the TWS Order Entry form give you the information you are looking for? In that case, take a look at the documentation for Checking Margin Changes (

I would save options prices each week before they expire as well as the underlying prices. That way you should be able to get a historical IV over time using Black Scholes to back into to the IV. If

Hey, if you feel that strongly about it and have the time then go ahead and make the pull request. In the worst case scenario it'll be good practice, a learning experience and software development

@Gordon, @Buddy, "mountain"?? : hardly. There is no impact to existing code with this proposed change (tested). I am simply adding functionality that allows users to manually stop the thread that

Yeah, I see most of this as making a mountain out of a molehill. It strikes me, largely, as a misunderstanding; much like issuing a SIGKILL but expecting SIGTERM. If you are familiar with unix signal

Assuming that an order execution has $cash_balance_delta?impact on cash balance and $margin_delta?on margin, is it correct to assume that the impact on?excess liquidity is Is this accurate? Is

I like evolution, so I may be wrong but here I am not sure I would flag this as a bug. Just out of curiosity what undesirable side effect the current implementation generate? ? Some food for

Resurrecting an old thread as I have a similar question. I think I've convinced myself that the way the "IV of a specific chain" is calculated is the same way that the VIX is calculated as

Thanks, Jürgen, being less of a doofus with the contract definition seems to have helped. (I had seen that documentation -- I stand by my opinion that it could be better documented; I think that

... I should add with the proposed code change, you can now stop the reader and disconnect the socket without actually destroying the EReader object by doing the following: ' The last line here is

What makes me feel uneasy is that according to the documentation: It makes users think that by calling eDisconnect() you can safely disconnect from TWS without causing errors but we have shown that

IDK if this is what made you uneasy or what you meant, but maybe you'd prefer to see the call to eDisconnect happen in readToQueue as the penultimate action (i.e. before the final signal is issued)?

My tool is extremely similar to yours, so no bottlenecks in code either.

I am doing this from my sim account. I should probably switch to my live account to hopefully get better times? <TwsApiOnGroupsIo@...> wrote:

Just after 15:10 US/Central this afternoon, I request Historical TickByTickLast data for Friday's NQZ3 session (20230928 17:00 through 20230929 16:00 US/Central): * I received 451,009 TickByTickLast

First of all, order status ApiPending is not an error condition. It is the state of your order(s) right after you placed them. And the Placing Orders (

I'm now having a seemingly identical problem using IB's python client -- I can only imagine I'm doing something boneheaded, but without documentation on the error, I'm a bit stuck. Running on v177, I

Running a script right now to get 2 years of tick data for NQ. Seems to be restricting my request limits to every 6 seconds. Are there times when this could improve? It is Sunday @ 2:30 p.m. where I