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SC Options Trading with IB

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[2017-06-23 11:32:37] #1 [Go To First Post]
User754985 - Posts: 109
Dear SC, Eagerly awaiting your upcoming options (extended) ACSIL trading functionality and availability of historical data, I have a couple of suggestions: 1. Please incorporate new IB API's ability to retrieve "Delayed" data https://interactivebrokers.github.io/tws-api/market_data_type.html#gsc.tab=0 Would allow to test quite a number of things for free before going live (and paying hefty exchange fees). 2. Add ability to submit multiple leg/"combo" orders Thank you. E.

[2017-06-24 07:44:33] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Eagerly awaiting your upcoming options (extended) ACSIL trading functionality Specifically what do you require? 1. We need to spend more time looking this over and seeing if it is going to work well. It is not entirely clear. 2. We do have plans to do this. These are the details from Interactive Brokers about this: Below is a skeleton code on how to request market data for Java for the Calendar Spread of Light Sweet Crude Oil Futures: Vector comboLegs = new Vector(); comboLegs.add(new ComboLeg(47207269 /CL FUT FEB 13/,1,"SELL","NYMEX",0)); comboLegs.add(new ComboLeg(55928743 /CL FUT JUL 14/,1,"BUY","NYMEX",0)); Contract contract = new Contract(); contract.m_symbol = "CL"; contract.m_secType = "BAG"; contract.m_exchange = "NYMEX"; contract.m_currency = "USD"; contract.m_comboLegs = comboLegs; m_client.reqMktData(1, contract,"", false); Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-06-24 07:44:55

[2017-06-29 11:15:42] #3 [Go To First Post]
User754985 - Posts: 109
Specifically what do you require? My current needs at the moment are: 1. Simplified ability to retrieve option prices(mid, bid-ask) - for n-th closest expiry - for x closest strikes 2. Same as 1 but for IVs (pre-calculated by IB) - to estimate skew 3. Ready-made functions to find an option symbol/quote based on specified Delta range or abs. price range. 4. Ready-made functions to retrieve IVs across n closest expiries 6. Ability to retrieve/monitor single and complex position delta/vega/theta. 7. Calculation of different Put/Call ratios (not required, but is an area I would explore in the near future)

[2017-06-29 16:51:23] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
OK, regarding post 3, none of this is planned. There should be no expectation of any of this coming. We have never talked about adding any of this functionality. You have to implement all of this yourself. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-06-29 16:51:44

[2017-06-29 17:04:56] #5 [Go To First Post]
User754985 - Posts: 109
Clear. I assumed that with the addition of FOPs support in SC datafeed, there will come an ACSIL framework for the easier handling of options data\trading. What is planned - roughly - in this respect?

[2017-06-29 17:13:14] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There will be supported at some point for CME futures options. We do not know exactly when. Basically you will be able to receive real-time and historical data on them, and have them automatically listed through the Find Symbol window if using the Sierra Chart Exchange Data Feed. This will not be supported with other services. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-06-29 17:27:51] #7 [Go To First Post]
User754985 - Posts: 109
So, I would need to use IB's API directly to satisfy most of my needs, correct? Would SC allow establishing another connection to IB from within ACSIL code? Any critical problems you envisage - from your experience?

[2017-06-29 17:37:18] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
So, I would need to use IB's API directly to satisfy most of my needs, correct? To the extent that you need to. Would SC allow establishing another connection to IB from within ACSIL code? This is not clear what you are asking. However, each instance of Sierra Chart can only have one connection to TWS at a time. Unless the connection is your own separately established connection. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-06-29 17:37:30

[2017-06-29 17:43:14] #9 [Go To First Post]
User754985 - Posts: 109
This is not clear what you are asking. I meant establishing connection/calling EClientSocket functions from within my ACSIL program.

[2017-06-29 18:05:00] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There is no restriction from Sierra Chart with this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-06-30 16:01:04] #11 [Go To First Post]
User754985 - Posts: 109
Dare I ask that you add IV and key Greeks (Delta, Theta,Vega) to the s_SCBasicSymbolData structure and extend sc.GetBasicSymbolData (or add another function) to fill in those for an option symbol? Thank you in advance!

[2017-06-30 17:24:00] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Is this data available from Interactive Brokers? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-06-30 17:26:54] #13 [Go To First Post]
User754985 - Posts: 109
Yes. https://interactivebrokers.github.io/tws-api/option_computations.html#option_greeks&gsc.tab=0

[2017-07-26 12:09:39] #14 [Go To First Post]
User754985 - Posts: 109
Dear SC, Coming back to the questions raised in the thread earlier, I would like to ask you once again to please implement the following functionalities. 1. Ability to retrieve "Delayed" data from IB. - if API's response is on the data request is an error (203?), try requesting again with a "Delayed" tag.. It would be a great functionality to enable pre-production testing without having to pay for the expensive futures/options data. 2. Ability to submit multiple leg/"combo" orders 3. Add IV and key Greeks (Delta, Theta,Vega) to the s_SCBasicSymbolData structure and extend sc.GetBasicSymbolData (or add another function) to fill in those for an option symbol - these data are available from IB Thanks a lot in advance for consideration!

[2017-07-27 12:45:38] #15 [Go To First Post]
User754985 - Posts: 109
Just to make sure it did not slip away from your attention...

[2017-07-31 18:10:40] #16 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1. We have to look at this more closely. 2. Considering how this works which is shown in this post here: SC Options Trading with IB \| Post: 120366 It does not seem practical to implement because it looks as though numeric security identifiers are required for the legs. So how is a user going to know those? We could look those up, but then this starts getting more involved. It is not something we are willing to spend time on right now. 3. We will look at this. This we can probably do. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-08-01 13:15:06] #17 [Go To First Post]
User754985 - Posts: 109
Re 2: ConIds can be requested via a standard IB API .reqContractDetails request (https://interactivebrokers.github.io/tws-api/contract_details.html#gsc.tab=0) or with the help of a more recently added .reqSecDefOptParams, if needed. All in all, implementing the above would be really useful! Would you please hint at the timing?

[2017-08-04 05:01:23] #18 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1. This is now done. 2. We have considered this more and this is just simply too complicated and our users would find it next to impossible to use. It is the responsibility of Interactive Brokers to support exchange traded spreads through a standard symbol that the user can look up and simply use through the standard contract object. We should not have to do anything further. The responsibility lies 100 percent with Interactive Brokers and it is nothing more than a total complete joke that an exchange traded spread cannot be simply specified at this time through the TWS API through both a symbol, security type and an exchange specifier. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-08-04 05:02:20

[2017-08-04 18:20:46] #19 [Go To First Post]
User754985 - Posts: 109
1. Great, thank you! 2. In case of Option combinations, it would be highly impractical to use "pre-defined" "exchange traded spreads" and their respective ConIds. a) there are just way tooooo many of them (unlike with future spreads) (and not all might be "exchange traded") b) a options combo to trade is always selected at run-time, after some analysis considering several alternatives. A wrapper in some form around IB APIs functions would do (so that one does not have to establish a separate connection to IB, etc..) 3. Adding Greeks in the s_SCBasicSymbolData structure. - do I understand correctly that this structure "lives" until the next "refresh" and it is not possible to reference previous records without storing them in some way? Thanks a lot in advance! Date Time Of Last Edit: 2017-08-04 18:21:45

[2019-04-09 16:19:55] #20 [Go To First Post]
Chad - Posts: 234
@Sierra Chart Engineering, is it still correct that futures options for CME markets are only available through the SC data feed? I am trying to get a 1-day chart of 5-min bars for ES FOPs while connected to IB, but nothing's loading. Symbol used is ES-FOP-20190621-2870-C-GLOBEX-50-USD. Works fine for stock options.

[2019-04-09 18:22:26] #21 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You should be able to get futures options data from Interactive Brokers. Use the Get Options button through File >> Find Symbol. But if you have problems we will not help with this. Although for the most reliability do use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-04-09 18:22:47

[2019-06-10 17:44:54] #22 [Go To First Post]
Chad - Posts: 234
Thanks. As far as attempting to automate access to stock option data from IB, I'm considering a quasi-workaround of requesting a list of all OPT contract symbols from IB API per-underlying, writing to a basic text file (csv or symbollist), then using sc.OpenFile() and requesting data for each, then sending orders when conditions met. Obviously this would seem redundant when I could just do everything directly through IB API, but I'd like to know if you see this idea as a sound one, or if there are any pitfalls?

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