Hi, I thought I might try getting the option chain for the RUT index (Russell 2000) via a partially completed ibContract as described in the documentation for the IB API interface here: http://interactivebrokers.github.io/tws-api/contract_details.html#gsc.tab=0
I coded the following:
optContract = ib.Handle.createContract; optContract.symbol = 'RUT'; optContract.secType = 'OPT'; optContract.exchange = 'CBOE'; optContract.currency = 'USD'; optionChain = contractdetails(ib, optContract); disp('Option contract details'); disp(optionChain)
The display of the optionChain shows:
Option contract details marketName: 'RUT' minTick: 0.0500 priceMagnifier: 1 orderTypes: 'ACTIVETIM,ADJUST,ALERT,ALLOC,AON,AVGCOST,BASKET,CON…' validExchanges: 'SMART,CBOE,CBOE2' underConId: 416888 longName: 'Russell 2000 Stock Index' contractMonth: '201612' industry: 'Indices' category: 'Broad Range Equity Index' subcategory: '*' timeZoneId: 'CST' tradingHours: '20160705:0830-1515;20160706:0830-1515' liquidHours: '20160705:0830-1515;20160706:0830-1515' summary: [1x1 Interface.AE6A66F3_8FA9_4076_9C1F_3728B10A4CC7] secIdList: [] cusip: '' ratings: '' descAppend: '' bondType: '' couponType: '' callable: 0 putable: 0 coupon: 0 convertible: 0 maturity: '' issueDate: '' nextOptionDate: '' nextOptionType: '' nextOptionPartial: 0 notes: '' evRule: '' evMultiplier: 0
Seems that the request recognized the RUT, and I do see a contract month for 201612, but nothing else that shows the various option contract details for the various strikes and expirations.
I was hoping that I would get back an array of option contract details so that I could then iterate over them and use the name of each contract (e.g., 'RUT 160819C01180000') on a getdata request to obtain the bid and ask price for each option. Any ideas on how I can do this?
If the Matlab trading toolbox contractdetails function does not support this, what other method could anyone suggest to get the option chain?
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