Hi everyone,

?

I'm trying to get SPX put option prices for a given strike and expiration using the IBrokers package in R.

The final aim is to fill an option price chain from IB. Not necessarily with the latest option prices available, but also with bid/ask prices for a given date/hour would be useful.

I'm using the following code:

?

require(IBrokers)
tws=twsConnect()
ticker="SPX"
exp="20181115"
k=2700
opt=twsOption(local="",symbol=ticker,expiry=exp,strike=k,right="P")
optPrice=reqMktData(tws,opt,eventWrapper=eWrapper.data.Last(1),CALLBACK=snapShot)


where the two functions eWrapper.data.Last and snapShot are below reported.


?

eWrapper.data.Last <- function(n) {
  eW <- eWrapper(NULL)  # use basic template
  eW$assign.Data("data", 
rep(list(structure(.xts(matrix(rep(NA_real_,2),nc=2),0),

.Dimnames=list(NULL,c("LastSize","Last")))),n))

  eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) 
  {
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- msg[2] #as.numeric(msg[2])
    data <- eW$get.Data("data") #[[1]]  # list position of symbol (by id == 
msg[2])
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    if(tickType == .twsTickType$LAST) {
      data[[id]][nr.data,2] <- msg[4]
    }
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  eW$tickSize  <- function(curMsg, msg, timestamp, file, ...) 
  { 
    data <- eW$get.Data("data")
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- as.numeric(msg[2])
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    if(tickType == .twsTickType$LAST_SIZE) {
      data[[id]][nr.data,1] <- msg[4]
    } 
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  return(eW)
}



snapShot <- function (twsCon, eWrapper, timestamp, file, playback = 1, ...<span class="m_5544574937103192364gmail-pun" style="margin: 0px; padding: 0px; border: 0px; font-style: inherit; font-variant: inherit; font-weight: inherit; font-stretch: inherit; line-height: inherit; font-family: inherit; vertical-align: baseline; box-sizing: inherit; color: #3033

My Italian is terrible, but I think it means you are not subscribed (lit. under written) and it suggests that you activate it.

Could that be the case, that you have not subscribed or activated the necessary subscription??

Someone with better Italian will probably be able to help more

M

On Fri, 31 Aug 2018, 09:26 Simone, <simone.gallo1990@...> wrote:

Hi everyone,

?

I'm trying to get SPX put option prices for a given strike and expiration using the IBrokers package in R.

The final aim is to fill an option price chain from IB. Not necessarily with the latest option prices available, but also with bid/ask prices for a given date/hour would be useful.

I'm using the following code:

?

require(IBrokers)
tws=twsConnect()
ticker="SPX"
exp="20181115"
k=2700
opt=twsOption(local="",symbol=ticker,expiry=exp,strike=k,right="P")
optPrice=reqMktData(tws,opt,eventWrapper=eWrapper.data.Last(1),CALLBACK=snapShot)


where the two functions eWrapper.data.Last and snapShot are below reported.


?

eWrapper.data.Last <- function(n) {
  eW <- eWrapper(NULL)  # use basic template
  eW$assign.Data("data", 
rep(list(structure(.xts(matrix(rep(NA_real_,2),nc=2),0),

.Dimnames=list(NULL,c("LastSize","Last")))),n))

  eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) 
  {
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- msg[2] #as.numeric(msg[2])
    data <- eW$get.Data("data") #[[1]]  # list position of symbol (by id == 
msg[2])
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    if(tickType == .twsTickType$LAST) {
      data[[id]][nr.data,2] <- msg[4]
    }
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  eW$tickSize  <- function(curMsg, msg, timestamp, file, ...) 
  { 
    data <- eW$get.Data("data")
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- as.numeric(msg[2])
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    if(tickType == .twsTickType$LAST_SIZE) {
      data[[id]][nr.data,1] <- msg[4]
    } 
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  return(eW)
}



snapShot <- function (twsCon, eWrapper, timestamp, file, playback 

Simone

?

If you don’t specify the exchange, you get the SPX options on CBOE, which would indeed be a separate subscription.

?

Richard

?

?

From: [email protected] <[email protected]> On Behalf Of Simone
Sent: 30 August 2018 23:42
To: [email protected]
Subject: [TWS API] Ibrokers package in R - Get option prices

?

Hi everyone,

?

I'm trying to get SPX put option prices for a given strike and expiration using the IBrokers package in R.

The final aim is to fill an option price chain from IB. Not necessarily with the latest option prices available, but also with bid/ask prices for a given date/hour would be useful.

I'm using the following code:

?

require(IBrokers)

tws=twsConnect()

ticker="SPX"

exp="20181115"

k=2700

opt=twsOption(local="",symbol=ticker,expiry=exp,strike=k,right="P")

optPrice=reqMktData(tws,opt,eventWrapper=eWrapper.data.Last(1),CALLBACK=snapShot)

where the two functions eWrapper.data.Last and snapShot are below reported.

?

eWrapper.data.Last <- function(n) {

? eW <- eWrapper(NULL)? # use basic template

? eW$assign.Data("data", 

rep(list(structure(.xts(matrix(rep(NA_real_,2),nc=2),0),

?

.Dimnames=list(NULL,c("LastSize","Last")))),n))

?

? eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) 

??{

??? tickType = msg[3]

??? msg <- as.numeric(msg)

??? id <- msg[2] #as.numeric(msg[2])

??? data <- eW$get.Data("data") #[[1]]? # list position of symbol (by id == 

msg[2])

??? attr(data[[id]],"index") <- as.numeric(Sys.time())

??? nr.data <- NROW(data[[id]])

??? if(tickType == .twsTickType$LAST) {

????? data[[id]][nr.data,2] <- msg[4]

??? }

??? eW$assign.Data("data", data)

??? c(curMsg, msg)

? }

? eW$tickSize? <- function(curMsg, msg, timestamp, file, ...) 

??{ 

????data <- eW$get.Data("data")

??? tickType = msg[3]

??? msg <- as.numeric(msg)

??? id <- as.numeric(msg[2])

??? attr(data[[id]],"index") <- as.numeric(Sys.time())

??? nr.data <- NROW(data[[id]])

??? if(tickType == .twsTickType$LAST_SIZE) {

????? data[[id]][nr.data,1] <- msg[4]

??? } 

????eW$assign.Data("data", data)

??? c(curMsg, msg)

? }

? return(eW)

}

?

?

?

snapShot <- function (twsCon, eWrapper, timestamp, file, playback = 1, ...){

? if (missing(eWrapper))

??? eWrapper <- eWrapper()

? names(eWrapper$.Data$data) <- eWrapper$.Data$symbols

? con <- twsCon[[1]]

? if (inherits(twsCon, "twsPlayback")) {

??? sys.time <- NULL

??? while (TRUE) {

????? if (!is.null(timestamp)) {

??????? last.time <- sys.time

??????? sys.time <- as.POSIXct(strptime(paste(readBin(con,

????????????????????????????????????????????????????? character(), 2), 

collapse = " "), timestamp))

??????? if (!is.null(last.time)) {

????????? Sys.sleep((sys.time - last.time) <span style="font-family:"inherit&

Simone,

If you have the OPRA subscription it covers the options but not the underlying SPX index. For the index you would need CBOE Streaming Market Indexes or US Securities Snapshot and Futures Value Bundle.?

?

So with only the options subscription TWS can return some tick types such as bid/ask/last, but can't return the greek values which require the real time index price to calculate. Thats why it returns the message:?

?

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

?

However you can still receive the bid/ask/last/ values for the options. I would double-check if those are being returned. Please note there won't be a 'last' price in the current day if the option hasn't traded.
Josh (IBKR)

Richard, Josh,

thank you so much for the explanation.

With OPRA subscription (using the R code I posted in the first mail) I get the last values for few option strikes/expirations only (maybe for those contracts that are traded).

Now, I've just made the subscription to US Equity and Options Add-On Streaming Bundle.

If I run the R code with the new subscription I do not get the following message anymore:

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

However, like before the code does not stop running and does not create objects (it's 15 min I run the code, I'll wait), I don't know if this is a problem related to the R code I'm using.

Can I overcome the limitation of the last price getting only bid/ask prices for a particular day? I just need to bring in R an option chain.

Thanks

Simone

Il giorno ven 31 ago 2018 alle ore 16:14 Josh via Groups.Io <jb201448=[email protected]> ha scritto:

Simone,

If you have the OPRA subscription it covers the options but not the underlying SPX index. For the index you would need CBOE Streaming Market Indexes or US Securities Snapshot and Futures Value Bundle.?

?

So with only the options subscription TWS can return some tick types such as bid/ask/last, but can't return the greek values which require the real time index price to calculate. Thats why it returns the message:?

?

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

?

However you can still receive the bid/ask/last/ values for the options. I would double-check if those are being returned. Please note there won't be a 'last' price in the current day if the option hasn't traded.
Josh (IBKR)

Well, your R code does have a while(TRUE) loop control so I'd not expect it to stop unless something hits the conditions for breaking the loop.... it's probably stuck there or somewhere similar. Are you printing out the process steps as it goes?

Best wishes,

M

On 31 August 2018 at 15:43, Simone <simone.gallo1990@...> wrote:

Richard, Josh,

thank you so much for the explanation.

With OPRA subscription (using the R code I posted in the first mail) I get the last values for few option strikes/expirations only (maybe for those contracts that are traded).

Now, I've just made the subscription to US Equity and Options Add-On Streaming Bundle.

If I run the R code with the new subscription I do not get the following message anymore:

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

However, like before the code does not stop running and does not create objects (it's 15 min I run the code, I'll wait), I don't know if this is a problem related to the R code I'm using.

Can I overcome the limitation of the last price getting only bid/ask prices for a particular day? I just need to bring in R an option chain.

Thanks

Simone

Il giorno ven 31 ago 2018 alle ore 16:14 Josh via Groups.Io <jb201448=[email protected]> ha scritto:

Simone,

If you have the OPRA subscription it covers the options but not the underlying SPX index. For the index you would need CBOE Streaming Market Indexes or US Securities Snapshot and Futures Value Bundle.?

?

So with only the options subscription TWS can return some tick types such as bid/ask/last, but can't return the greek values which require the real time index price to calculate. Thats why it returns the message:?

?

"Part of requested market data is not subscribed. Subscription-independent ticks are still active.Delayed market data is available.SPX S&P 500 Stock Index/TOP/ALL"

?

However you can still receive the bid/ask/last/ values for the options. I would double-check if those are being returned. Please note there won't be a 'last' price in the current day if the option hasn't traded.
Josh (IBKR)

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