IBKR TWS API - How to tell when reqOptionsMktData is complete for all strikes?

Question

I am just getting started with IBKR API on Java. I am following the API sample code, specifically the options chain example, to figure out how to get options chains for specific stocks.

The example works well for this, but I have one question - how do I know once ALL data has been loaded? There does not seem to be a way to tell. The sample code is able to tell when each individual row has been loaded, but there doesn't seem to be a way to tell when ALL strikes have been successfully loaded.

I thought that using tickSnapshotEnd() would be beneficial, but it doesn't not seem to work as I would expect it to. I would expect it to be called once for every request that completes. For example, if I do a query for a stock like SOFI on the 2022/03/18 expiry, I see that there are 35 strikes but tickSnapshotEnd() is called 40+ times, with some strikes repeated more than once.

Note that I am doing requests for snapshot data, not live/streaming data

dno · Answer 1 · 2022-03-20T22:32:30.833

reqOptionsMktData is obviously a method in the sample code you are using. Not sure what particular code your using, so this is a general response.

Firstly you are correct, there is no way to tell via the API, this must be done by the client. Of course it will provide the requestID that was used when the request was made. The client needs to remember what each requestID was for and decide how to process that information when it is received in the callbacks. This can be done via a dictionary or hashtable, where upon receiving data in the callback then check if the chain is complete.

Message delivery from the API often has unexpected results, receiving extra messages is common and is something that needs to be taken into account by the client. Consider the API stateless, and track everything in the client.

Seems you are referring to Regulatory Snapshots, I would encourage you to look at the cost. It could quite quickly add up to the price of streaming live data. Add to that the 1/sec limit will make a chain take a long time to load. I wouldn't even recommend using snapshots with live data, cancelling the request yourself is trivial and much faster.

Something like (this is obviously incomplete C#, just a starting point)

class OptionData
{
    public int ReqId { get; }
    public double Strike { get; }
    public string Expiry { get; }
    public double? Bid { get; set; } = null;
    public double? Ask { get; set; } = null;

    public bool IsComplete()
    {
        return Bid != null && Ask != null;
    }

    public OptionData(int reqId, double strike, ....
    { ...
}

...
class MyData()
{
    // Create somewhere to store our data, indexed by reqId.
    Dictionary<int, OptionData> optChain = new();

    public MyData()
    {
        // We would want to call reqSecDefOptParams to get a list of strikes etc.
        // Choose which part of the chain you want, likely you'll want to
        // get the current price of the underlying to decide.
        int reqId = 1;
        ...
        optChain.Add(++reqId, new OptionData(reqId,strike,expiry));
        ...

        // Request data for each contract
        // Note the 50 msg/sec limit https://interactivebrokers.github.io/tws-api/introduction.html#fifty_messages
        // Only 1/sec for Reg snapshot
        foreach(OptionData opt in optChain)
        {
            Contract con = new() 
            { 
                Symbol = "SPY", 
                Currency = "USD"
                Exchange = "SMART", 
                Right = "C",
                SecType = "OPT",
                Strike = opt.strike, 
                Expiry = opt.Expiry 
            };
            ibClient.ClientSocket.reqMktData(opt.ReqId, con, "", false, true, new List<TagValue>());
        }
    }

    ...
    private void Recv_TickPrice(TickPriceMessage msg)
    {
        if(optChain.ContainsKey(msg.RequestId))
        {
            if (msg.Field == 2) optChain[msg.RequestId].Ask = msg.Price;
            if (msg.Field == 1) optChain[msg.RequestId].Bid = msg.Price;
            // You may want other tick types as well
            // see https://interactivebrokers.github.io/tws-api/tick_types.html
            if(optChain[msg.RequestId].IsComplete())
            {
                // This wont apply for reg snapshot.
                ibClient.ClientSocket.cancelMktData(msg.RequestId);
                // You have the data, and have cancelled the request.
                // Maybe request more data or update display etc...

                // Check if the whole chain is complete
                bool complete=true;
                foreach(OptionData opt in optChain)
                    if(!opt.IsComplete()) complete=false;

                if(complete)
                // do whatever
            }
        }
    }

IBKR TWS API - How to tell when reqOptionsMktData is complete for all strikes?

1 Answers1