For all socket-based API technologies, including the socket client library, ActiveX and Java, we provide several types of market data ticks that can be requested as a part of the market data request.
Starting with API version 9.0 (client version 30), version 6 of the REQ_MKT_DATA message is sent containing a new field that specifies the requested ticks as a list of comma-delimited integer Ids (generic tick types). Requests for these ticks will be answered if the tick type requested pertains to the contract at issue.
Note that Generic Tick Tags cannot be specified if you elect to use the Snapshot market data subscription.
The generic market data tick types are:
|
Integer ID Value |
Tick Type |
Resulting Tick Value (see list below) |
|
100 |
Option Volume (currently for stocks) |
29, 30 |
|
101 |
Option Open Interest (currently for stocks) |
27, 28 |
|
104 |
Historical Volatility (currently for stocks) |
23 |
|
106 |
Option Implied Volatility (currently for stocks) |
24 |
|
162 |
Index Future Premium |
31 |
|
165 |
Miscellaneous Stats |
15, 16, 17, 18, 19, 20, 21 |
|
221 |
Mark Price (used in TWS P&L computations) |
37 |
|
225 |
Auction values (volume, price and imbalance) |
34, 35, 36 |
|
236 |
Shortable (see “Tick Values” for more information) |
46 |