def read_option_chain(client, ticker):
# Define a contract for the underlying stock
contract = Contract()
contract.symbol = ticker
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
client.reqContractDetails(0, contract)
time.sleep(2)
# Get the current price of the stock
client.reqTickByTickData(1, contract, "MidPoint", 1, True)
time.sleep(4)
# Request strike prices and expirations
if client.conid:
client.reqSecDefOptParams(2, ticker, '', 'STK', client.conid)
time.sleep(2)
else:
print('Failed to obtain contract identifier.')
exit()
# Create contract for stock option
req_id = 3
if client.strikes:
for strike in client.strikes:
client.chain[strike] = {}
for right in ['C', 'P']:
# Add to the option chain
client.chain[strike][right] = {}
# Define the option contract
contract.secType = 'OPT'
contract.right = right
contract.strike = strike
contract.exchange = client.exchange
contract.lastTradeDateOrContractMonth = client.expiration
# Request option data
client.reqMktData(req_id, contract, '100', False, False, [])
req_id += 1
time.sleep(1)
else:
print('Failed to access strike prices')
exit()
time.sleep(5)
# Remove empty elements
for strike in client.chain:
if client.chain[strike]['C'] == {} or client.chain[strike]['P'] == {}:
client.chain.pop(strike)
return client.chain, client.atm_price
def main():
app = TestApp()
app.connect("127.0.0.1", 7497,
2) # socket port is set in TWS or IB Gateway settings
time.sleep(1) # short sleep to allow connection
contract = Contract()
contract.symbol = instrument
contract.secType = securitytype
contract.exchange = exchange
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "201903"
app.reqHistoricalData(1, contract, "", length, barSize, "TRADES", 1, 1,
False, [])
print(instrument)
app.run()
wb.save('RandomRawData.xlsx')
