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ravigovind / ibrokers

Automatically exported from code.google.com/p/ibrokers
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Bug gettion option info #7

Open GoogleCodeExporter opened 8 years ago

GoogleCodeExporter commented 8 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