Problems with lookup of security. StockSharp

Problems with lookup of security

10/31/2017

I have a windows service that hosts a web api interface. The service connects to an interactive broker TWS. A call to the web api must lookup the security and return the Id. The code to do this is:
var criteria = new SecurityLookupMessage()
{
Class = "",
ExpiryDate = DateTimeOffset.Parse(expiryDate),
OptionType = optionType == null ? default(OptionTypes?) : (OptionTypes)Enum.Parse(typeof(OptionTypes), optionType),
Strike = strike,
UnderlyingSecurityCode = underlyingSecurityCode,
SecurityType = securityType == null ? default(SecurityTypes?) : (SecurityTypes)Enum.Parse(typeof(SecurityTypes), securityType),
};

var security = _connector.Securities.FirstOrDefault(s =>
(s.UnderlyingSecurityId.StartsWith(criteria.UnderlyingSecurityCode)) &&
(s.Board?.Code == boardCode) &&
(s.Class == @class) &&
(s.Type == criteria.SecurityType) &&
(s.ExpiryDate == criteria.ExpiryDate) &&
(s.OptionType == criteria.OptionType) &&
(s.Strike == criteria.Strike));

if (security == null)
{
var onNewSecurity = new Action<Security>(s =>
{
if ((!s.UnderlyingSecurityId.StartsWith(criteria.UnderlyingSecurityCode)) ||
(s.Type != criteria.SecurityType) ||
(s.Board?.Code != boardCode) ||
(s.Class != @class) ||
(s.ExpiryDate != criteria.ExpiryDate) ||
(s.OptionType != criteria.OptionType) ||
(s.Strike != criteria.Strike) )
return;

waitHandle.Set();
});

_connector.NewSecurity += onNewSecurity;

_connector.LookupSecurities(criteria);

waitHandle.WaitOne(30000);

_connector.NewSecurity -= onNewSecurity;

security = _connector.Securities.FirstOrDefault(s =>
(s.UnderlyingSecurityId.StartsWith(criteria.UnderlyingSecurityCode)) &&
(s.Board?.Code == boardCode) &&
(s.Class == @class) &&
(s.Type == criteria.SecurityType) &&
(s.ExpiryDate == criteria.ExpiryDate) &&
(s.OptionType == criteria.OptionType) &&
(s.Strike == criteria.Strike));
}

If I search for "SPZ7@GLOBEX" and then "SPXW 171215C02580000@SMART" it works fine. But if I first search for "SPXW 171215C02580000@SMART", then it cannot find "SPZ7@GLOBEX". It is like the option prohibits the searching of the future. Also, sometimes if I search for the option first, then it only finds "SPXW 171215C02580000@ALL" and "SPXW 171215C02580000@CBOE", but then if I search again no search returns "SPXW 171215C02580000@SMART". It is like the incomplete loaded results prohibit the later loading of extra results.

Tags:

Thanks:

Support

Date: 10/31/2017

Hello,

IB do not provide search by futures or options codes. Only by underlying symbol. So for futures the lookup code should be

Code

connector.LookupSecurities(new Security
{
Code = "SPX",
Type = SecurityTypes.Future
});

For options chain

Code

connector.LookupSecurities(new Security
{
  Code = "SPX",
  Board = new ExchangeBoard { Code = "GLOBEX" },
  Type = SecurityTypes.Option,
  Currency = CurrencyTypes.USD,
});

Thanks:

Johan Kirsten

Date: 10/31/2017

Hi

Thank you for the feedback. I can do what you suggest, but the reason for me loading it in the way I did, is I do not want to load 300+ options. It takes time and memory. I want to load a specific set of options/futures into memory. Can I specify strike, expiry and optiontype in the examples you specified?

Thanks:

Mikhail Sukhov

Date: 10/31/2017

Johan Kirsten

Yes, you can put more filtering details. Here is sample how to filter by expiration date and option type. Strike also can be specified:

Code

connector.LookupSecurities(new Security
{
  Code = "SPX",
  Board = new ExchangeBoard { Code = "GLOBEX" },
  Type = SecurityTypes.Option,
  Currency = CurrencyTypes.USD,
  ExpiryDate = new DateTime(2017, 12, 14).ApplyTimeZone(TimeZoneInfo.Utc),
  OptionType = OptionTypes.Call,
});

Thanks:

Johan Kirsten

Date: 11/1/2017

Hi

Thank you, this worked for me

Regards

Thanks:

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