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Open interest quotes from IB

Discussion in 'OptionVue Forum' started by PK, Mar 14, 2017.

  1. PK

    PK Well-Known Member

    Is there any setting to get live data for open interest from the TWS (Interactive Brokers)?
    I can get these data in backtesting mode through OptionVue, but the fields remain empty during live data feed from IB, independent of the asset I select.
    Thanks in advance for any suggestion!
    Peter
     
  2. Steve S

    Steve S Well-Known Member

    I'm assuming you know how to get OI on the TWS screen ... so are you talking about exporting it, or are you only asking how to get it in OVue?
     
  3. PK

    PK Well-Known Member

    Yes, I have OI on the TWS screen, but in OVue the OI data disappear when I connect to IB.

    Similarly, on the OVue quotes display I get data from IB for price and volume, but not for OI.
     
  4. Steve S

    Steve S Well-Known Member

    If you really can't get it then it's probably just because Len neglected to program it, or he didn't do it on purpose because IB is so stingy with API data in general and Len elected to not load the connection with OI ... unlike the basic price/vol/greeks, you need to specify an extra "generic ticks" request to get OI, so there is extra overhead.

    If you end up requesting this from OVue then don't let them tell you it's not easy to add, because it is easy.
     
  5. PK

    PK Well-Known Member

    Thanks for the explanation! I will contact them. Meanwhile I continue using the data for volume to have some idea whether a strike is actively traded or not.
    I have just moved from ONE to OVue. After one week of having climbed up a rather steep learning curve, I am still not convinced whether OVue is worth almost twice the money. A not very user friendly interface, poor graphic design, sometimes buggy data feed from IB etc. do not compare with ONE. Anyway, I will keep struggling to get the best out of OVue, trusting in that there must be compelling reasons for so many option traders preferring OVue over ONE.
     
  6. Steve S

    Steve S Well-Known Member

    Can't believe you moved from ONE to OVue unless you really need the futures options ... seems like more and more folks are moving in the opposite direction. I just let my OVue subscription lapse; I hardly ever used it when I had it. I'll keep ONE around indefinitely, although I rarely use that either. As a software developer (of options market making software) in a former life, I am somewhat educated when I say that OVue is truly a bad piece of software, and separately a bad piece of options trading software.

    P.S. Others can weigh in on this comment, but I think it's correct to say "forget it" with using IB data feed with OVue. OVue with TOS works quite well, but I test-drove the IB feed and as expected it was horrible/unusable.
     
    PK likes this.
  7. PK

    PK Well-Known Member

    You are confirming my, as yet, not very positive impressions. The main reason for me to move from ONE to OVue was that I am mainly trading futures options and do not feel very comfortable with the analysis tools provided by IB on their TWS. And, unfortunately, TOS does not accept clients from Spain. In the features request list for the future development of ONE, access to futures options has been on the top of the list already for some time. Difficult to understand for me why they still have not included it. As soon as they have it, I will move back.
    Thanks again for your prompt feedback!
     
  8. PK

    PK Well-Known Member

    For those who have experienced the same problem. I contacted with OVue and they confirmed that they do not get O/I data from IB. They say it is because IB does not want to do so. Strange situation. ONE gets O/I from IB and OVue does not. I will suggest them to publish a list with all the things OVue does not do as expected when using external data providers.

    Another problem I experienced is the modeling of the greeks when using the variable model for long term diagonals (current week versus 3-4 months out). A big mess, with delta values hopping around between -5 and -35. In ONE, I get -7 (standard setting without CEV and without volatility surface), but at least this value remains stable.

    At ONE they told me that they will implement futures options "within the next couple of releases". Hopefully before I have to renew my one year's subscription to OVue.
     
  9. PK

    PK Well-Known Member

    Another follow up. I just started using OptionVue with their own real time quotes. I did not expect such an improvement in speed and stability. Now the software works as expected. My conclusion is that it just simply does not work reasonably with IB data feed for whatsoever reason, and there are many. If this is worth paying almost 3.000 USD is another question I hope to be able to answer within the next year. ;)
     

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