Receiving Options Data

EWrapper.tickOptionComputation (

tickerId the request’s unique identifier.

field: int. Specifies the type of option computation.
Pass the field value into
TickType.getField(int tickType) to retrieve the field description. For example, a field value of 13 will map to modelOptComp, etc. 10 = Bid 11 = Ask 12 = Last

tickAttrib: int. 0 – return based, 1- price based.

impliedVolatility: double. the implied volatility calculated by the TWS option modeler, using the specified tick type value.

delta: double. The option delta value.

optPrice: double. The option price.

pvDividend: double. The present value of dividends expected on the option’s underlying.

gamma: double. The option gamma value.

vega: double. The option vega value.

theta: double. The option theta value.

undPrice: double. The price of the underlying.
)

Receives option specific market data. This method is called when the market in an option or its underlier moves. TWS’s option model volatilities, prices, and deltas, along with the present value of dividends expected on that options underlier are received.

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def tickOptionComputation(self, reqId: TickerId, tickType: TickType, tickAttrib: int, impliedVol: float, delta: float, optPrice: float, pvDividend: float, gamma: float, vega: float, theta: float, undPrice: float):
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	print("TickOptionComputation. TickerId:", reqId, "TickType:", tickType, "TickAttrib:", intMaxString(tickAttrib), "ImpliedVolatility:", floatMaxString(impliedVol), "Delta:", floatMaxString(delta), "OptionPrice:", floatMaxString(optPrice), "pvDividend:", floatMaxString(pvDividend), "Gamma: ", floatMaxString(gamma), "Vega:", floatMaxString(vega), "Theta:", floatMaxString(theta), "UnderlyingPrice:", floatMaxString(undPrice))