SmartQuant Discussion

[Doron Whitman]

Hi,

I am trying to setup 3 instruments (v2.1.3) for a straddle model using IB:

1. SPY ETF
2. SPY Call Option (SPY100821C00108000)
3. SPY Put Option (SPY100821P00108000)

(1) works correctly but I get an "No Security Definition has been found" error for (2) and (3).

The only way I can get (2) or (3) to work is if I delete (1) and use SPY as the Symbol for (2) or (3) since Instrument SPY already exists...

my question is how can I setup the above 3 instruments to work concurrently in IB?

Thanks in advance.

[Dr. Anton Fokin]

Hi,

you can create three instruments with different OQ symbols, i.e. SPY_ETF, SPY_CALL and SPY_PUT and then set AltSource to IB and AltSymbol to SPY.

Regards,
Anton

[Doron Whitman]

Thanks, works well.

[Doron Whitman]

Anton, there is a bug with the IB Provider that prevents me from subscribing to the SPY September / December contracts.

Since there are 2 SPY contracts per month (Sep: 20100918 & 20100930) IB expects the exact date (20100918 Not 201009).

One solution is to add a free form AltMaturity field and use that with IB, until than OQ/IB users will not be able to trade options with multiple maturity dates for a given month using the IB provider.

(to replicate the error look at the IB DDE excel spreadsheet and use my attached script to build the instruments).

Looking forward to a solution for this, Doron

[Doron Whitman]

As a work around, is it possible for you to provide me with the IB Provider code?

I can twik it and use the description field to override the maturity date until this bug is fixed by rebuilding it as a user provider?

Doron

[Dr. Anton Fokin]

Hi,

we will take a look at this issue on Monday and will release an update if needed. IB provider uses underlying low level framework (not OQ API like UserProvider does) so that even if we could give you the source code, this would not help much without access to the framework.

Regards,
Anton

[Doron Whitman]

Thank you for your prompt reply, I will continue to develop the strategy using imported historical files with the mindset that this issue will get resolved by the time I am ready to use IB for paper/live trading.

Have a great weekend, Doron.

[Doron Whitman]

Hi Anton,

Have you taken a look at this issue? Any work-arounds / updates / ETA on a fix?.

Thanks, Doron

[Alexei Kurov]

Hi Doron,

There is no problem to pass 'day' in maturity argument to TWS too, but we want to make sure that it will be correct in all cases. In other words, we test all possible situations at the moment.

Regards,
Alex