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How to get OPEN INTEREST in reqMktDataEx
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I have been trying to retrieve the Open Interest ?for all the options in a chain through the reqMktDataEx method.
I have set the generictick to 101. there is no market data returned by the tickgeneric after this call. I checked in ticksize but nothing is returned there as well. what could i be doing wrong?stuck once again for the last 4 days.need help. |
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On 3/24/14 10:58 PM, "fatimaiqbal13@..." <fatimaiqbal13@...> wrote:
Below is a copy of a thread from last November. ?Particularly see the bold green portion. I would also suggest: ?better for the list and for the archives, if you edit a message imperfectly but it is understandable, leave it alone, don’t post another message. ?You can't get rid of the earlier one anyway (at least not for those who have email delivery) and there is no point in having two posts with the same content. When it is necessary to post a corrected message, as a courtesy note that you are doing this and clarify that the previous one can be deleted. ?(Also note that much of the time Yahoo does not deliver messages in order.) -Kurt ------ Forwarded Message From: Kurt Bigler Date: Wed, 20 Nov 2013 12:14:41 -0800 To: <TWSAPI@...> Subject: Re: [TWS API] How to get a OPEN_INTEREST for option data Why are you looking at tickSize? ?In general: ?override ALL callbacks and log any messages you don't currently use. ?How else are you ever going to figure things out? ?Certainly not from IB documentation. ?It is still not complete enough, even if it were accurate. Well the documentation does really seem to be wrong. ?Looking at Generic Tick Types you have: 101 ???Option Open Interest (currently for stocks) ???27, 28 27 and 28 are indeed OPTION_CALL_OPEN_INTEREST and OPTION_PUT_OPEN_INTEREST, but it is no longer the case that this is only for stocks. So try setting the appropriate genericTicks flags in reqMktData, and look for tickGeneric. But really if you aren't logging every single unexpected message that arrives you are crippling your development, because what actually happens is far more illuminating than IB's documentation and it saves you a lot of time just to see it. ?For that matter turning on all vaguely relevant genericTicks flags first and removing unneeded ones later would be the way to go. -Kurt On 11/20/13 7:03 AM, "B2B Trading" <b2btrading@...> wrote:
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As an aside, today for the first time in over a year, IBWrapper::tickSize returned messages of tickType OPTION_CALL_VOLUME, OPTION_PUT_VOLUME, OPTION_CALL_OPEN_INTEREST, OPTION_PUT_OPEN_INTEREST for the following futures (didn't try stocks):? CL GC HG HO NG PA PL RB SI YM ZB ZC ZF ZL ZM ZN ZS ZW.
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OptionOpenInterest messges appeared once when my app connected to the API, and once around 10 am EST.?? OptionVolume messages trickled continuously depending on symbol being liquid (so far a total of 1620 for CL and 4 for PL).? Also, since 20140211 IBWrapper::tickSize returns messages of tickType AUCTION_VOLUME upon connection to API and at 11:25 am EST and 4:15 pm EST, but only for the SPI futures. souqMate. ---In TWSAPI@..., <kkb@...> wrote :
On 3/24/14 10:58 PM, "fatimaiqbal13@..." <fatimaiqbal13@...> wrote:
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First of all sorry for posting two messages with the same text. actually I sent one message but it never showed up in the group even after one hour so I thought that it didn't send properly therefore I had to type and send it again. but later on both of them got posted together. sorry again.
@souqmate what I understand is that for the last one year,u were not getting the option open interest and volume, but u got it yesterday with the same code that u were using earlier.And it is confirmed that open interest and volume will show up in tickSize and not tickGeneric.?I have tried my code again and I get nothing in open interest only zeroes and volume doesn't even show up in the data.? @Kurt I tried looking at all call backs in tickGeneric but I only got 49 which is neither Option_call_open_interest nor?Option_put_open_interest or volume. I think I must be going wrong somewhere. I call the method with the following request.? reqMktDataEx(ib.Handle,lp,ibContract,'100,101',0); and then in my event handler i am doing the following switch varargin{end} ? ? case 'errMsg' ? ? ? ? display(varargin{5}); ?? case 'tickSize' ? ? ?? ? ?? ? ? switch varargin{6}.tickType ? ? ? ? case 0 ? ? ? ?% BID SIZE ? ? ? ? ?data{varargin{6}.id,4} = varargin{6}.size; ? ? ? ? ? ? ? case 3 ? ? ? ?% ASK SIZE ? ? ? ? data{varargin{6}.id,6} = varargin{6}.size; ? ? ? case 5 ? ? ? ?% LAST SIZE ? ? ? ? data{varargin{6}.id,2} = varargin{6}.size; ? ? ? case 8 ? ? ? ?% VOLUME ? ? ? ?data{varargin{6}.id,7} = varargin{6}.size; ? ? ? case 27 ? ? ? %?OPT CALL OPEN INTEREST ? ? ? ? ?data{varargin{6}.id,8} = varargin{6}.size; ? ? ? ? ? ? ? case 28 ? ? ? ?%?OPT PUT OPEN INTEREST ? ? ? ? data{varargin{6}.id,9} = varargin{6}.size; ? ? ? case 29 ? ? ? ?% OPT CALL VOLUME ? ? ? ? data{varargin{6}.id,10} = varargin{6}.size; ? ? ? case 30 ? ? ? ?% OPT PUT VOLUME ? ? ? ?data{varargin{6}.id,11} = varargin{6}.size; ? ? end?? ? ?case 'tickPrice' ? ? ? ? switch varargin{7}.tickType ? ? ? case 1 ? ? ? ?% BID PRICE ? ? ? ? data{varargin{7}.id,3} = varargin{7}.price; ? ? ? case 2 ? ? ? ?% ASK PRICE ? ? ? ? data{varargin{7}.id,5} = varargin{7}.price; ? ? ? case 4 ? ? ? ?% LAST PRICE ? ? ? ? data{varargin{7}.id,1} = varargin{7}.price; ? ? end ? ? Can anybody suggest where could I be going wrong. I am no longer looking at the tickGeneric as I assume that open interest and volume will be returned in tickSize. |
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It appears that TickType 49 is HALTED, which might offer a clue why no data is arriving. ?Technically open interest is well-defined even during a halt but who knows what the exchange or IB thinks (or cares) about that.
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I often see "random" individual US equity options showing a non-zero HALTED value. ?I have no idea why that would be so. ?Maybe this is what you get for the rest of the day if an option has not traded after the underlying was HALTED and un-halted. I see that at some point I changed my code not to care which callback provides a given tick type. ?I funnel them all together differentiating only the data type (float versus int vs string) of the passed value and using the tickType as an array index. ?So at the moment I have no idea whether the data is coming through tickSize or tickGeneric. In case IB did something buggy with genericTicks, what I always pass is "100, 101, 104, 106, 258" and so have no idea whether 101 was the one that produced the result I get. It is often illuminating to test in IB's sample app, although last I checked that was recently crippled in java by the requirement of a java IDE to compile it. ?So I use the java sample app from a couple of API versions back when executable java was provided. ?I develop in C++ on the Mac so I use the java sample app for lack of a corresponding fully-functioning C++ sample app provided by IB. ?I hear the new sample app (which I have never compiled) is much more feature rich than the java sample that has been around for years. -Kurt On 3/25/14 11:50 PM, "fatimaiqbal13@..." <fatimaiqbal13@...> wrote:
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@fatima: yes, only tickSize (didn't try tickGeneric); same result today; same code for over a year, same TWS 943.1b and C++ API 9.68 and java 1.7.0_45 for over two months.
souqMate. void IBWrapper::tickSize(TickerId id, TickType field, int size) { switch(field) { case BID_SIZE: m_mytrader.setBidSize(id, size); break; case ASK_SIZE: m_mytrader.setAskSize(id, size); break; case LAST_SIZE: m_mytrader.setVolume(id, size); break; case VOLUME : m_mytrader.setDailyVolume(id, size); break; default : std::cout << "tickSize msg: id= " << id << ", field= " << getStringTickType(field) << ", value= "<< size; break; } return; } ---In TWSAPI@..., <fatimaiqbal13@...> wrote : First of all sorry for posting two messages with the same text. actually I sent one message but it never showed up in the group even after one hour so I thought that it didn't send properly therefore I had to type and send it again. but later on both of them got posted together. sorry again. @souqmate what I understand is that for the last one year,u were not getting the option open interest and volume, but u got it yesterday with the same code that u were using earlier.And it is confirmed that open interest and volume will show up in tickSize and not tickGeneric. I have tried my code again and I get nothing in open interest only zeroes and volume doesn't even show up in the data. |
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