Open GoogleCodeExporter opened 9 years ago
I use IBrokers on Linux Simple code and its output: opt <- twsOption(expiry="20130315", strike="21",local="", right="C", symbol="INTC") reqMktData(tws, opt) <20130315 15:59:12.920284> id=1 symbol=INTC lastSize: 20 <20130315 15:59:12.920680> id=1 symbol=INTC Volume: 8449 <20130315 15:59:12.921341> id=1 symbol=INTC highPrice: 0.65 <20130315 15:59:12.921747> id=1 symbol=INTC lowPrice: 0.28 <20130315 15:59:12.922291> id=1 symbol=INTC closePrice: 0.65 <20130315 15:59:12.922644> id=1 symbol=INTC lastTimestamp: 1363377492 <20130315 15:59:12.922978> id=1 symbol=INTC Halted: 0.0 TWS Message: 2 -1 2119 Market data farm is connecting:usopt <20130315 15:59:13.174221> id=1 symbol=INTC modelOption: impVol: 0.1956849992275238 delta: 0.999999999999999 modelPrice: 0.3600011338569562 pvDiv: 0.0 gamma: -4.009075294604543E-11 vega: 1.5483198888680883E-14 theta: -1.6327539756222365E-4 undPrice: 21.36 TWS Message: 2 -1 2104 Market data farm connection is OK:usopt <20130315 15:59:13.486186> id=1 symbol=INTC closePrice: 0.65 <20130315 15:59:13.486725> id=1 symbol=INTC Volume: 8457 <20130315 15:59:13.487112> id=1 symbol=INTC highPrice: 0.65 <20130315 15:59:13.487522> id=1 symbol=INTC lowPrice: 0.28 <20130315 15:59:13.487965> id=1 symbol=INTC lastTimestamp: 1363377550 <20130315 15:59:13.488381> id=1 symbol=INTC lastPrice: 0.37 <20130315 15:59:13.488759> id=1 symbol=INTC lastSize: 5 <20130315 15:59:13.489135> id=1 symbol=INTC bidPrice: 0.35 bidSize: 494 <20130315 15:59:13.489541> id=1 symbol=INTC askPrice: 0.37 askSize: 3406 <20130315 15:59:13.489936> id=1 symbol=INTC bidSize: 494 <20130315 15:59:13.490294> id=1 symbol=INTC askSize: 3406 <20130315 15:59:13.621428> id=1 symbol=INTC optionCallOpenInterest: 42602 <20130315 15:59:13.621836> id=1 symbol=INTC optionPutOpenInterest: 0 <20130315 15:59:13.922365> id=1 symbol=INTC bidSize: 513 <20130315 15:59:13.922732> id=1 symbol=INTC askSize: 3380 <20130315 15:59:14.003092> id=1 symbol=INTC bidOption: -1 -2 <20130315 15:59:14.003583> id=1 symbol=INTC askOption: 2.826760735226004 0.9184333627898871 <20130315 15:59:14.004014> id=1 symbol=INTC lastOption: 2.826760735226004 0.9184333627898871 <20130315 15:59:14.005832> id=1 symbol=INTC modelOption: impVol: 2.826760735226004 delta: 0.9184333627898871 modelPrice: 0.370000000001884 pvDiv: 0.0 gamma: 0.5760957620536729 vega: 1.4796454132893913E-4 theta: -2.877241331844451 undPrice: 21.36 <20130315 15:59:14.925486> id=1 symbol=INTC bidSize: 594 <20130315 15:59:16.629393> id=1 symbol=INTC bidSize: 658 <20130315 15:59:16.629796> id=1 symbol=INTC askSize: 3358 <20130315 15:59:17.731887> id=1 symbol=INTC bidSize: 691 <20130315 15:59:17.732255> id=1 symbol=INTC askSize: 3107 <20130315 15:59:17.784939> id=1 symbol=INTC modelOption: impVol: 2.826760735226004 delta: 0.9117902345558202 modelPrice: 0.3609915971320222 pvDiv: 0.0 gamma: 0.6098849008489783 vega: 1.5586516089414836E-4 theta: -3.043136018620518 undPrice: 21.35 <20130315 15:59:18.035754> id=1 symbol=INTC bidOption: -1 -2 <20130315 15:59:18.036185> id=1 symbol=INTC askOption: 3.379444579514946 0.8736280563971375 <20130315 15:59:18.036636> id=1 symbol=INTC lastOption: 3.379444579514946 0.8736280563971375 <20130315 15:59:18.633736> id=1 symbol=INTC bidSize: 626 <20130315 15:59:18.634130> id=1 symbol=INTC askSize: 2723 <20130315 15:59:19.001366> id=1 symbol=INTC modelOption: impVol: 2.826760735226004 delta: 0.9184333627898871 modelPrice: 0.370000000001884 pvDiv: 0.0 gamma: 0.5760957620536729 vega: 1.4796454132893913E-4 theta: -2.877241331844451 undPrice: 21.36 Please check option implied volatility and other Greeks, the first time it is correct (0.1956849992275238), the second and following times (2.826760735226004) it is not correct, please suggest how to fix it?
Original issue reported on code.google.com by ssam...@uwo.ca on 15 Mar 2013 at 8:07
ssam...@uwo.ca
Original issue reported on code.google.com by
ssam...@uwo.ca
on 15 Mar 2013 at 8:07