How to obtain option chain data from Interactive Brokers TWS API

Question

I am trying to build option chain data much like the major exchanges present it on their websites IE: Sort by expiration dates, then strike prices and display the bids/asks for the puts/calls etc.

I am trying to get the data but have only been able to obtain the expiry and strike prices.

I am using their ibapi library with TWS

I have tried using the reqSecDefOptParams() but keep receiving errors like: Error: 1 321 Error validating request.-'cB' : cause - Invalid security type -

Here is my code:

from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract


class OptionDataApp(EWrapper, EClient):
    def __init__(self):
        EClient.__init__(self, self)

    def error(self, reqId, errorCode, errorString):
        print("Error:", reqId, errorCode, errorString)

    def contractDetails(self, reqId, contractDetails):
        contract = contractDetails.contract
        print("Symbol:", contract.symbol)
        print("Expiry:", contract.lastTradeDateOrContractMonth)
        print("Strike Price:", contract.strike)
        self.request_option_chain(contract)

    def request_option_chain(self, contract):
        self.reqSecDefOptParams(
            1, contract.exchange, "", contract.tradingClass, contract.conId
        )

    def contractDetailsEnd(self, reqId):
        self.disconnect()


def main():
    app = OptionDataApp()
    app.connect("127.0.0.1", 7496, clientId=0)
    contract = Contract()
    contract.symbol = "AAPL"  # Specify the symbol for which you want option data
    contract.secType = "OPT"
    contract.exchange = "SMART"
    contract.currency = "USD"
    app.reqContractDetails(1, contract)
    app.run()
    

if __name__ == "__main__":
    main()

This codes prints what appears to be all the Expiry/Strike prices one after the other like this:

Symbol: AAPL
Expiry: 20230811
Strike Price: 105.0
Symbol: AAPL
Expiry: 20230811
Strike Price: 115.0

And then at the end(with a few mixed in the above data), many errors like this:

Error: 1 321 Error validating request.-'cB' : cause - Invalid security type -
Error: 1 321 Error validating request.-'cB' : cause - Invalid security type -
Error: 1 321 Error validating request.-'cB' : cause - Invalid security type -
Error: 1 321 Error validating request.-'cB' : cause - Invalid security type -

Any help would be appreciated, Thanks

score 0 · Answer 1 · answered Jul 14 '23 at 16:37

You already obtained the option contract parameters (strike, expiry etc) and then you're running the same request again in request_option_chain which doesn't make sense.

As per the official API page: "IBApi::EClient::reqSecDefOptParams returns a list of expiries and a list of strike prices."

You're already getting this when making a reqContractDetails request.

Bids and asks are received via a call to request ticks, for example reqTickByTickData.

How to obtain option chain data from Interactive Brokers TWS API

1 Answers1