Download options chains data with the IBKR API

Summary

In this tutorial, the presenter demonstrates how to use the Interactive Broker API with the IB-insync library to retrieve options chain data. The process involves setting up a connection to Interactive Brokers, querying stock data, creating options contracts for specific symbols like Nvidia, and obtaining relevant market data. The video walks through setting up strike prices, expirations, and resolving contracts, ultimately building a data frame with detailed options information. The tutorial provides an accessible way for users to gather and analyze options data using Python and IB-insync.

Takeaways

• 😀 IB in Sync simplifies working with Interactive Brokers API, allowing asynchronous connections and event handling.
• 😀 The script demonstrates how to connect to Interactive Brokers using the IB in Sync library in a Jupyter notebook.
• 😀 It shows how to qualify a stock contract (like Nvidia) to ensure it's correctly resolved by Interactive Brokers' database.
• 😀 Tick data can be accessed for individual stock contracts, providing details like bid, ask, and last traded price.
• 😀 The script introduces a method called `requestSECdefOptParameters`, which fetches options data for a given stock symbol.
• 😀 A list comprehension is used to filter and generate a range of strike prices for options contracts, ensuring they’re within a specified price range of the underlying stock.
• 😀 The script demonstrates how to create a list of unique options contract combinations using multiple criteria such as strike prices, expirations, and call/put rights.
• 😀 The `qualifyContracts` method is used again to validate and resolve the options contract data by interacting with Interactive Brokers' database.
• 😀 The resolved options contracts contain detailed data, including Greeks (Delta, Gamma, etc.), implied volatility, and more.
• 😀 The final output is structured into a Pandas DataFrame, making it easy to manage and analyze the options contract data.

Q & A

What is IB Insync and how does it simplify the use of the Interactive Brokers API?

IB Insync is a Python wrapper for the Interactive Brokers API that simplifies asynchronous operations and event handling. It allows for cleaner, easier code when interacting with IB's API, especially in an asynchronous environment like Jupyter Notebooks.

What is the purpose of the 'startLoop()' function in the script?

'startLoop()' is necessary when running in Jupyter Notebooks. It starts a new asynchronous event loop, which IB Insync uses to handle requests and responses from the Interactive Brokers API.

How do you connect to Interactive Brokers using IB Insync?

To connect to Interactive Brokers, use the `connect()` method with your local IP address, port (typically 7497 for paper trading), and a client ID. For example: `ib.connect('127.0.0.1', 7497, clientId=2)`.

What does the 'qualifyContracts()' method do?

The 'qualifyContracts()' method sends a contract to Interactive Brokers to resolve it against their database. It ensures that the contract you’re working with is valid and properly identified by its contract ID.

What kind of data can you get from a ticker object in IB Insync?

A ticker object provides market data, including the latest bid, ask, last traded price, and other relevant data such as minimum tick size, bid/ask size, and exchange details. It also includes time-related data such as the last update time in UTC.

What are 'strikes' in the context of options chains, and how are they filtered in this script?

Strikes refer to the strike prices of options. In the script, strikes are filtered to include only those that are multiples of $5 and within a specified range of $20 above and below the current price of the underlying stock (NVIDIA).

How does the script create a list of option contracts for NVIDIA?

The script uses list comprehensions to create a list of option contracts, combining the expiration dates and strike prices from the options chain, while considering the type of option (call or put) and the smart exchange for routing.

What is the significance of using the 'Option' class in IB Insync?

The 'Option' class in IB Insync is used to define specific options contracts. By creating instances of this class with parameters like expiration, strike price, right (call or put), and exchange, the script can request market data for those options.

What is the role of the 'reqMktData()' function?

'reqMktData()' is used to request real-time market data for a contract (e.g., stock or options). It retrieves details like bid, ask, last price, and other market information for the specific contract.

How does the script process the retrieved options data into a more manageable format?

The script processes the options data by creating a list of tuples with relevant fields such as expiration date, strike price, option type (call or put), closing price, and underlying stock price. This data is then converted into a pandas DataFrame for easy manipulation and analysis.