Historical option data for non-expired contracts

[Khrizz9000]

Hi all,

I would like to get historical data (ideally hourly or less) for non-expired option contracts. TWS API should provide that data (source: https://www.tradersinsight.news/ibkr-quant-news/historical-options-futures-data-using-tws-api/). I have not found a way to get that data using the beautiful ib_insync lib. Is there a way to do that? If so, how?

Thx in advance

[m12t]

Have you been able to request historical data for other underlyings such as SPX or AAPL Stock? I don't know exactly what your familiarity is with the library and IBKR. If so, you should be able to simply create the contract object for the underlying you wish (the unexpired option contract) and the request historical data on it. I've recreated a MRE below that does just this getting a 1 day duration of 1-minute data:

contract = Option(
    symbol='SPX', lastTradeDateOrContractMonth='20220304',
    strike=4400, right='C', exchange='CBOE',
    multiplier=100, currency='USD')

bars = ib.reqHistoricalData(
            contract=contract, endDateTime='20220228 16:00:00 EST', durationStr='1 D', barSizeSetting='1 min',
            whatToShow='TRADES', useRTH=True)

After converting the data to a pandas dataframe via util.df(bars) for convenience, you can validate that the data are as expected:

                   date  open  high   low  close  volume  average  barCount
610 2022-02-28 08:30:00  33.7  33.7  33.7   33.7       3     33.7         1
611 2022-02-28 08:31:00  34.5  34.5  34.5   34.5      10     34.5         1
612 2022-02-28 08:32:00  34.5  34.5  34.5   34.5       0     34.5         0
613 2022-02-28 08:33:00  34.5  34.5  34.5   34.5       0     34.5         0
614 2022-02-28 08:34:00  32.8  32.8  32.8   32.8       1     32.8         1
..                  ...   ...   ...   ...    ...     ...      ...       ...
995 2022-02-28 14:55:00  34.2  34.2  34.2   34.2       0     34.2         0
996 2022-02-28 14:56:00  34.2  34.2  34.2   34.2       0     34.2         0
997 2022-02-28 14:57:00  34.2  34.2  34.2   34.2       0     34.2         0
998 2022-02-28 14:58:00  34.2  34.2  34.2   34.2       0     34.2         0
999 2022-02-28 14:59:00  34.2  34.2  34.2   34.2       0     34.2         0

[EugeniuZ]

What is the meaning of average and barCount columns? Is it the VWAP and number of trades?

[erdewit]

Is it the VWAP and number of trades?

Yes it is.

[August1328]

Hi all,

are we sure that the values in the average column are the VWAP?

I have been using ib.reqHistoricalData() for over a year and back then in my script I decided to drop the average column - unfortunately I didn´t write down or remember why.

I came upon this discussion here a few days ago and thought it would be great to get the VWAP with the historical data.

Today I wrote a new script and tested ib.reqHistoricalData() with a few stock symbols, but the values in average are not the same as the VWAP on the chart or the values from ticker.vwap when calling genericTick 233.

Any opinion on this?

Thanks