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Contracts (Financial Instruments)

Option Chain

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Introduction

The option chain for a given security can be returned using the function EClient.reqContractDetails. If an option contract is incompletely defined (for instance with the strike undefined) and used as an argument to EClient.reqContractDetails, a list of all matching option contracts will be returned.

One limitation of this technique is that the return of option chains will be throttled and take a longer time the more ambiguous the contract definition. The function EClient.reqSecDefOptParams was introduced that does not have the throttling limitation.

  • It is not recommended to use EClient.reqContractDetails to receive complete option chains on an underlying, e.g. all combinations of strikes/rights/expiries.
  • For very large option chains returned from EClient.reqContractDetails, unchecking the setting in TWS Global Configuration at API -> Settings -> “Expose entire trading schedule to the API” will decrease the amount of data returned per option and help to return the contract list more quickly.

EClient.reqSecDefOptParams returns a list of expiries and a list of strike prices. In some cases, it is possible there are combinations of strike and expiry that would not give a valid option contract.

Request Option Chains

EClient.reqSecDefOptParams(reqId, underlyingSymbol, futFopExchange, underlyingSecType, underlyingConId)

Requests security definition option parameters for viewing a contract’s option chain.

reqId
int

The ID chosen for the request.

underlyingSymbol
string

Contract symbol of the underlying.

futFopExchange
string

The exchange on which the returned options are trading. Can be set to the empty string "" for all exchanges.

underlyingSecType
string

The type of the underlying security, i.e. STK.

underlyingConId
int

The contract ID of the underlying security.


self.reqSecDefOptParams(0, "IBM", "", "STK", 8314)

Receive Option Chains

EWrapper.securityDefinitionOptionParameter(reqId, underlyingConId, tradingClass, multiplier, exchange, expirations, strikes)

Returns the option chain for an underlying on an exchange specified in reqSecDefOptParams. There will be multiple callbacks to securityDefinitionOptionParameter if multiple exchanges are specified in reqSecDefOptParams.

reqId
int

ID of the request initiating the callback.

underlyingConId
int

The conID of the underlying security.

tradingClass
string

The option trading class.

multiplier
string

The option multiplier.

exchange
string

Exchange for which the derivative is hosted.

expirations
HashSet

A list of the expiries for the options of this underlying on this exchange.

strikes
HashSet

A list of the possible strikes for options of this underlying on this exchange.


def securityDefinitionOptionParameter(self, reqId: int, exchange: str, underlyingConId: int, tradingClass: str, multiplier: str, expirations: SetOfString, strikes: SetOfFloat):
  print("SecurityDefinitionOptionParameter.", "ReqId:", reqId, "Exchange:", exchange, "Underlying conId:", underlyingConId, "TradingClass:", tradingClass, "Multiplier:", multiplier, "Expirations:", expirations, "Strikes:", strikes)