Hey, I use these functions to get the options chain:
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First, create a Contract for the underlying, as well as 2 vectors to capture options chain details (one of type std::string to retrieve expiry dates, and the other of type double to retrieve strike prices).
// Define a contract
Contract retContract = Contract();
// Define return data structures
std::vector< std::string > m_expiries;
std::vector< double > m_strikes;
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First, get the underlying contract ID to retrieve the options.
// Set the underlying contract data
retContract.symbol = symbol; // "SPY"
retContract.secType = secType; // "STK"
retContract.currency = currency; // "USD"
retContract.exchange = exchange; // "SMART"
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// Get the contract ID, for future use
m_pClient->reqContractDetails( ++m_requestId , retContract );
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std::this_thread::sleep_for( std::chrono::seconds( SLEEP_SEC ) );
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m_osSignal.waitForSignal();
errno =0;
m_pReader->processMsgs();
}
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In the callback for reqContractDetails, we retrieve the contract ID and assign it to our underlying contract.
void Strategy::contractDetails( int reqId , const ContractDetails& contractDetails ) {
retContract.conId = contractDetails.contract.conId;
}
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Once you have the conId, you can retrieve the options chain.
// Retrieve options chain
void Strategy::getOptionsChain() {
printf( ">> Getting options chain\n" );
printf( "\tContract Id: %d\n" , retContract.conId );
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m_pClient->reqSecDefOptParams( ++m_requestId , retContract.symbol , "" , "STK" , retContract.conId );
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// Returns in securityDefinitionOptionalParameter callback
std::this_thread::sleep_for( std::chrono::seconds( SLEEP_SEC ) );
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m_osSignal.waitForSignal();
errno = 0;
m_pReader->processMsgs();
}
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The response will be returned in the following callback:
// Callback for reqSecDefOptParams()
void Strategy::securityDefinitionOptionalParameter( int reqId , const std::string& exchange , int underlyingConId , const std::string& tradingClass , const std::string& multiplier , const std::set<std::string>& expirations , const std::set<double>& strikes ) {
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m_expiries = std::vector< std::string >( expirations.begin() , expirations.end() );
m_strikes = std::vector< double >( strikes.begin() , strikes.end() );
}
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Marluv