Trading Toolbox - Retrieve Option Chain from Interactive Brokers

I'm trying to use the Interactive Brokers functionality below to return an option chain including all strike prices and expires for a given security. Is this possible to do this with Matlab's Trading Toolbox? I can't seem to make it work in Matlab R2017a. Thanks.

https://interactivebrokers.github.io/tws-api/options.html#option_chains

Answer 1

[qmnjb007]

Turns out this is very easy to do with Yahoo Finance...

function d = getchain(ticker)
% DESCRIPTION: This function retrieves all stikes prices and expiry dates
% from yahoo finance for a given ticker input.
% 
% REFERENCES
% https://www.mathworks.com/matlabcentral/fileexchange/50455-getyahoooptionchain
% https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903

data = webread(['https://query1.finance.yahoo.com/v7/finance/options/' ticker]);

expys = datetime(data.optionChain.result.expirationDates,'ConvertFrom','posixtime','Format','MM-dd-yyy')
strks = data.optionChain.result.strikes
end

[lab314]

The above works well, thanks for posting. I noticed it only returns 1 option series. The yahoo web page has a selection box for other series. Any ideas on how to read the other option series? Thanks.

[David Hanuka]

Hi,

I am getting the following error:

>> data = webread(['https://query1.finance.yahoo.com/v7/finance/options/NVDA']);

Error using matlab.internal.webservices.HTTPConnector/copyContentToByteArray (line 373)

The server returned the status 403 with message "Forbidden" in response to the request to URL https://query1.finance.yahoo.com/v7/finance/options/NVDA.

Error in readContentFromWebService (line 46)

byteArray = copyContentToByteArray(connection);

Error in webread (line 125)

[varargout{1:nargout}] = readContentFromWebService(connection, options);

Is there a way to resolving this issue?

Thanks,

David

Answer 2

[Yair Altman]

Here's how you can fetch the full option chain using the IB-Matlab connector, for example all futures options for the 10-year US Treasury Note (ZN) that have a contract month of March 2019 (which trade on the ECBOT exchange):

>> dataStruct = IBMatlab('action','contract', 'symbol','ZN', 'secType','FOP', 'expiry','201903', 'exchange','ecbot')
dataStruct = 
  220×1 struct array with fields:
    m_conId
    m_symbol
    m_secType
    m_expiry
    m_strike
    m_right
    m_multiplier
    m_exchange
    m_currency
    ...

>> dataStruct(1)
ans = 
  struct with fields:

                m_conId: 322823677
               m_symbol: 'ZN'
              m_secType: 'FOP'
               m_expiry: '20190222'
               m_strike: 97
                m_right: 'C'
           m_multiplier: '1000'
             m_exchange: 'ECBOT'
             m_currency: 'USD'
          m_localSymbol: 'C OZN  MAR 19   9700'
          m_primaryExch: []
       m_includeExpired: 0
            m_secIdType: []
                m_secId: []
     m_comboLegsDescrip: []
            m_comboLegs: [0 java.util.Vector]
            m_underComp: []
              m_summary: [1×1 com.ib.client.Contract]
           m_marketName: 'OZN'
         m_tradingClass: 'OZN'
              m_minTick: 0.015625
       m_priceMagnifier: 1
           m_orderTypes: 'ACTIVETIM,ADJUST,ALERT,ALLOC,AVGCOST,BASKET,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,GAT,GTC,GTD,GTT,HID,IOC,LIT,LMT,LTH,MIT,MKT,MTL,NGCOMB,NONALGO,OCA,SCALE,SCALERST,SNAPMID,SNAPMKT,SNAPREL,STP,STPLMT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,VOLAT,WHATIF'
       m_validExchanges: 'ECBOT'
           m_underConId: 322458860
             m_longName: '10 Year US Treasury Note'
        m_contractMonth: '201903'
             m_industry: []
             m_category: []
          m_subcategory: []
           m_timeZoneId: 'CST'
         m_tradingHours: '20190102:1700-20190103:1600;20190103:1700-20190104:1600;20190105:CLOSED;20190106:1700-20190107:1600;20190107:1700-20190108:1600;20190108:1700-20190109:1600;20190109:1700-20190110:1600;20190110:1700-20190111:1600;20190112:CLOSED;20190113:1700-20190114:1600;20190114:1700-20190115:1600;20190115:1700-20190116:1600;20190116:1700-20190117:1600;20190117:1700-20190118:1600;20190119:CLOSED;20190120:1700-20190121:1600;20190121:1700-20190122:1600;20190122:1700-20190123:1600;20190123:1700-20190124:1600;20190124:1700-20190125:1600;20190126:CLOSED;20190127:1700-20190128:1600;20190128:1700-20190129:1600;20190129:1700-20190130:1600;20190130:1700-20190131:1600;20190131:1700-20190201:1600;20190202:CLOSED;20190203:1700-20190204:1600;20190204:1700-20190205:1600;20190205:1700-20190206:1600'
          m_liquidHours: '20190103:0830-20190103:1600;20190104:0830-20190104:1600;20190105:CLOSED;20190106:CLOSED;20190107:0830-20190107:1600;20190108:0830-20190108:1600;20190109:0830-20190109:1600;20190110:0830-20190110:1600;20190111:0830-20190111:1600;20190112:CLOSED;20190113:CLOSED;20190114:0830-20190114:1600;20190115:0830-20190115:1600;20190116:0830-20190116:1600;20190117:0830-20190117:1600;20190118:0830-20190118:1600;20190119:CLOSED;20190120:CLOSED;20190121:0830-20190121:1600;20190122:0830-20190122:1600;20190123:0830-20190123:1600;20190124:0830-20190124:1600;20190125:0830-20190125:1600;20190126:CLOSED;20190127:CLOSED;20190128:0830-20190128:1600;20190129:0830-20190129:1600;20190130:0830-20190130:1600;20190131:0830-20190131:1600;20190201:0830-20190201:1600;20190202:CLOSED;20190203:CLOSED;20190204:0830-20190204:1600;20190205:0830-20190205:1600;20190206:0830-20190206:1600'
                    ...

>> dataStruct(2)
ans = 
  struct with fields:

                m_conId: 322823681
               m_symbol: 'ZN'
              m_secType: 'FOP'
               m_expiry: '20190222'
               m_strike: 97.5
                m_right: 'C'
           m_multiplier: '1000'
             m_exchange: 'ECBOT'
             m_currency: 'USD'
          m_localSymbol: 'C OZN  MAR 19   9750'
                    ...

You can filter the results by specifying a combination of the Expiry, Strike, Multiplier and/or Right parameters. For example, to limit ZN options only to Calls that have Strike=100 (i.e., fetch all the 11 active expiration dates):

>> dataStruct = IBMatlab('action','contract', 'symbol','ZN', 'secType','FOP', 'exchange','ecbot', 'Right','Call', 'Strike',100)
dataStruct = 
  11×1 struct array with fields:
    m_conId
    m_symbol
    m_secType
    m_expiry
    m_strike
    m_right
    m_multiplier
    m_exchange
    m_currency
    ...

>> {dataStruct.m_expiry}
ans =
  1×11 cell array
  Columns 1 through 6
    {'20190222'}    {'20190125'}    {'20190104'}    {'20190111'}    {'20190102'}    {'20190109'}
  Columns 7 through 11
    {'20190118'}    {'20190524'}    {'20190322'}    {'20190426'}    {'20190823'}

For additional details, see https://undocumentedmatlab.com/ib-matlab