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reqMktData() - not receiving open price ...

bdcoder
 

Using the Interactive Brokers C# TWS API Version 10.19.04? (very new to this API).
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I am using the reqMktData() method to retrieve market data for some option contracts.? ?I do receive live data, however, I never seem to receive the open price -- from what I can tell , the "Open Tick" tick type (14) should be included automatically when the reqMktData() method is used, but I never seem to receive this tick type.
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Is this a bug in the API or is there something I need to do in order to retrieve this tick type?
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Thanks in advance.
 

Maybe one of the options practitioners can add a more definitive answer, but it looks to me as if your program is correct and that no Open tick #14 is sent for certain or all option contracts. That may be an issue with the IBKR feed or just something unique to instruments of secType OPT and FOP or the exchanges.

I tried three options with my data record (one STK OPT via SMART, one ES FOP on CME, one SPX OPT on CBOE) and got these "welcome" ticks upon successful reqMktData subscription:
  • BidPrice, AskPrice - a price of -1 when exchange is closed
  • BidSize, AskSize, LastSize - a size of 0 when exchange is closed
  • Close, MarkPrice - values that look like real/correct prices
  • Halted , OptionCallOpenInterest, OptionPutOpenInterest, OptionImpliedVolatility
  • and in some cases tickOptionComputation callbacks.
´³¨¹°ù²µ±ð²Ô
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On Tue, Oct 22, 2024 at 08:51 PM, bdcoder wrote:

Using the Interactive Brokers C# TWS API Version 10.19.04? (very new to this API).
?
I am using the reqMktData() method to retrieve market data for some option contracts.? ?I do receive live data, however, I never seem to receive the open price -- from what I can tell , the "Open Tick" tick type (14) should be included automatically when the reqMktData() method is used, but I never seem to receive this tick type.
?
Is this a bug in the API or is there something I need to do in order to retrieve this tick type?
?
Thanks in advance.
bdcoder
 

Thanks ´³¨¹°ù²µ±ð²Ô,
?
I am using secType OPT via SMART for STK optins and have never received the tick type OPEN (14) for any option. I am thinking that the Close price should be interpreted as the Open Price.? Not sure if one can assume that the Close Price of the previous day is the Open price of the following day though -- probably not.
?
Other than this forum (and StackOverflow) is there any way to ask someone WITHIN IB if this is the "standard" behavior?
?
Thanks again.
 

this REALLY isn't something I know for a fact but some observations. Maybe Type 14 (OPEN) is rarely populated for options due to :

Options Liquidity: Many options, especially outside the most active strikes or expirations, have low trading volume. The lack of consistent opening trades means there's no clear "open" price to report early in the day.

Price Discovery: Options trading often relies on the underlying stock's opening price for price discovery. Until the stock opens, option market makers might not quote an official opening price, causing delays in populating the tick.

Delayed Reporting: For options, some exchanges may not prioritize reporting an open price compared to equities, which typically have more structured opening auction processes.

 

I guess you could open a ticket through the client portal. There are a couple relevant ticket classifications: "API" and "Account Services -> Market Data"
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On Wed, Oct 23, 2024 at 07:09 PM, bdcoder wrote:

Thanks ´³¨¹°ù²µ±ð²Ô,
?
I am using secType OPT via SMART for STK optins and have never received the tick type OPEN (14) for any option. I am thinking that the Close price should be interpreted as the Open Price.? Not sure if one can assume that the Close Price of the previous day is the Open price of the following day though -- probably not.
?
Other than this forum (and StackOverflow) is there any way to ask someone WITHIN IB if this is the "standard" behavior?
?
Thanks again.
 

Generally one should expect the API to mirror data fields in the TWS.
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Having no experience trading options, I just added to a TWS page a couple of random options on SPY and QQQ assuming they would be amongst the most liquid options available so that anything displayed or not displayed for them in TWS could be considered nearly normative.
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The last trade times for them are just a few seconds in the past as I write this and curiously, neither row displays the count of trades placed, but such trades are obviously happening from time to time since the last trade time field is updating.
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Another value that is missing despite ongoing trading is the Open price.
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My take is that for whatever reason IBKR simply transmits no Open price to TWS for stock options, and possibly other options as well, so that's the reason you are not getting it through API as well.
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--
Best,
DS

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