Another suggestion to IB

Discussion in 'Retail Brokers' started by nitro, Jul 2, 2009.

Should IB implement queried subscriptions for option strikes?

  1. Yes please implement this IB. This feature rules

    2 vote(s)
  2. No, don't need it.

    4 vote(s)
  3. Not sure

    1 vote(s)
  4. Don't care

    1 vote(s)
  1. nitro


    The IB 100 symbol limit causes problems with options. In order to alleviate this, add an API function that allows for subscribing to [mini] option chains in the following way (or something like it):

    double maxDeltaCalls = 80.0;
    double minDeltaPuts = -20.0;
    bool subscribeATM = true;
    string symbol = AAPL;
    int maxNumberOfCalls = 3;
    int maxNumberOfPuts = 3;
    DateTime month= "200907";

    Here is the declaration of the function:

    ListOfOptions SubscribeMiniOptionChain(string symbol, string month, bool subscribeATM , double maxDeltaCalls, double minDeltaPuts, int maxNumberOfCalls, int maxNumberOfPuts);

    ListOfOptions = SubscribeMiniOptionChain(symbol, month, subscribeATM , maxDeltaCalls, minDeltaPuts, maxNumberOfCalls, maxNumberOfPuts);

    So this would subscribe to AAPL atm calls and puts and all option strikes inbetween ATM and the minDeltaPuts and maxDeltaCalls, i.e., all the way from ATM to the -20 delta put, and all theway from ATM to 80 delta call, from the July expiration, but stop subscribing when the count of symbols exceed maxNumberOfCalls and maxNumberOfPuts, and return the subscription list. So in this case, the total number of puts including the ATM is three and the total number of calls including the ATM strike is three.

    This is huge. Please vote for it.
  2. nitro


    Oy vey, definition of the function.
  3. pwa2


    could you not request the contract list for the ul and then grep for the desired strikes in the mini chain?
  4. nitro


    Can I do that? Can you give me some pseudocode with the IB function calls?

    Please please, let it be true...