Option Greeks

[rpm3o]

In the TWS API for Python and other languages, I've found documentation on returning greek values for options. Is it possible to do this with the R API? Thank you for the package.

[cholzer68]

This works for me.

eWrapper.data.Opt_Model <- function(n) {
eW <- eWrapper(NULL) # use basic template
eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,8),nc=8),0),
.Dimnames=list(NULL,c('impVol','delta','TV','pvDiv','gamma','vega','theta','undPrice')))),n))

eW$tickOptionComputation <- function(curMsg, msg, timestamp, file, ...)
{
tickType = msg[3]
msg <- as.numeric(msg)
id <- msg[2] #as.numeric(msg[2])
data <- eW$get.Data("data") #[[1]] # list position of symbol (by id == msg[2])
attr(data[[id]],"index") <- as.numeric(Sys.time())
nr.data <- NROW(data[[id]])
if(tickType == .twsTickType$MODEL_OPTION) {
data[[id]][nr.data,1:8] <- msg[4:11]
}
#else
# if(tickType == .twsTickType$ASK) {
# data[[id]][nr.data,2] <- msg[4]
# }
eW$assign.Data("data", data)
c(curMsg, msg)
}

return(eW)
}

[rpm3o]

Thank you for the response. I'm having difficulty knowing what and where to input the option details. Can you please provide an example using a common stock and options contract? Again, thank you very much for your help.

[cholzer68]

reqMktData(tws,OptionContract,eventWrapper=eWrapper.data.Opt_Model(1),CALLBACK = snapShot)

This should work as long as you define an options contract.

[rpm3o]

I've tried to apply this to VIX September 21 Call at strike 20 and receive an error.

> reqMktData(tws,twsOption(local="VIX 220921C00020000"),eventWrapper=eWrapper.data.Opt_Model(1),CALLBACK = snapShot)
Error in reqMktData(tws, twsOption(local = "VIX 220921C00020000"), eventWrapper = eWrapper.data.Opt_Model(1), :
object 'snapShot' not found

Thank you.

[cholzer68]

Sorry, you have to define the Snapshot function:

snapShot <- function (twsCon, eWrapper, timestamp, file, playback = 1, ...){
if (missing(eWrapper))
eWrapper <- eWrapper()
names(eWrapper$.Data$data) <- eWrapper$.Data$symbols
con <- twsCon[[1]]
if (inherits(twsCon, "twsPlayback")) {
sys.time <- NULL
while (TRUE) {
if (!is.null(timestamp)) {
last.time <- sys.time
sys.time <- as.POSIXct(strptime(paste(readBin(con,
character(), 2),
collapse = " "), timestamp))
if (!is.null(last.time)) {
Sys.sleep((sys.time - last.time) * playback)
}
curMsg <- .Internal(readBin(con, "character",
1L, NA_integer_, TRUE, FALSE))
if (length(curMsg) < 1)
next
processMsg(curMsg, con, eWrapper, format(sys.time,
timestamp), file, ...)
}
else {
curMsg <- readBin(con, character(), 1)
if (length(curMsg) < 1)
next
processMsg(curMsg, con, eWrapper, timestamp,
file, ...)
if (curMsg == .twsIncomingMSG$REAL_TIME_BARS)
Sys.sleep(5 * playback)
}
}
}
else {
while (TRUE) {
socketSelect(list(con), FALSE, NULL)
curMsg <- .Internal(readBin(con, "character", 1L,
NA_integer_, TRUE, FALSE))
if (!is.null(timestamp)) {
processMsg(curMsg, con, eWrapper, format(Sys.time(),
timestamp), file, ...)
}
else {
processMsg(curMsg, con, eWrapper, timestamp,
file, ...)
}
if (!any(sapply(eWrapper$.Data$data, is.na)))
return(do.call(rbind, lapply(eWrapper$.Data$data,
as.data.frame)))
}
}
}

[rpm3o]

Great! Thank you!

[cholzer68]

It took me along time to figure it out! Now I am trying to get it to work in python.

[rpm3o]

In case you haven't seen this:
https://interactivebrokers.github.io/tws-api/option_computations.html

Good luck!