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How do I use trading toolbox to get IB option chain?

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Scott Tuttle
Scott Tuttle 2016 年 7 月 5 日
回答済み: Stephan 2021 年 3 月 7 日
Hi, I thought I might try getting the option chain for the RUT index (Russell 2000) via a partially completed ibContract as described in the documentation for the IB API interface here: http://interactivebrokers.github.io/tws-api/contract_details.html#gsc.tab=0
I coded the following:
optContract = ib.Handle.createContract;
optContract.symbol = 'RUT';
optContract.secType = 'OPT';
optContract.exchange = 'CBOE';
optContract.currency = 'USD';
optionChain = contractdetails(ib, optContract);
disp('Option contract details');
disp(optionChain)
The display of the optionChain shows:
Option contract details
marketName: 'RUT'
minTick: 0.0500
priceMagnifier: 1
orderTypes: 'ACTIVETIM,ADJUST,ALERT,ALLOC,AON,AVGCOST,BASKET,CON…'
validExchanges: 'SMART,CBOE,CBOE2'
underConId: 416888
longName: 'Russell 2000 Stock Index'
contractMonth: '201612'
industry: 'Indices'
category: 'Broad Range Equity Index'
subcategory: '*'
timeZoneId: 'CST'
tradingHours: '20160705:0830-1515;20160706:0830-1515'
liquidHours: '20160705:0830-1515;20160706:0830-1515'
summary: [1x1 Interface.AE6A66F3_8FA9_4076_9C1F_3728B10A4CC7]
secIdList: []
cusip: ''
ratings: ''
descAppend: ''
bondType: ''
couponType: ''
callable: 0
putable: 0
coupon: 0
convertible: 0
maturity: ''
issueDate: ''
nextOptionDate: ''
nextOptionType: ''
nextOptionPartial: 0
notes: ''
evRule: ''
evMultiplier: 0
Seems that the request recognized the RUT, and I do see a contract month for 201612, but nothing else that shows the various option contract details for the various strikes and expirations.
I was hoping that I would get back an array of option contract details so that I could then iterate over them and use the name of each contract (e.g., 'RUT 160819C01180000') on a getdata request to obtain the bid and ask price for each option. Any ideas on how I can do this?
If the Matlab trading toolbox contractdetails function does not support this, what other method could anyone suggest to get the option chain?
  6 件のコメント
Scott Tuttle
Scott Tuttle 2017 年 9 月 7 日
G_Ib.Handle.registerevent({'contractDetailsEnd',@SbtContractDetailsEventHandler});

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採用された回答

Stephan
Stephan 2021 年 3 月 7 日
Using the help of @Scott Tuttle i wrote a function to download the option chain. It can be downloaded at FEX.

その他の回答 (1 件)

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