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Ticker

ib_interface.api.ticker

Access to realtime market information.

Ticker​

Current market data such as bid, ask, last price, etc. for a contract.

Streaming level-1 ticks of type :class:.TickData are stored in the ticks list.

Streaming level-2 ticks of type :class:.MktDepthData are stored in the domTicks list. The order book (DOM) is available as lists of :class:.DOMLevel in domBids and domAsks.

Streaming tick-by-tick ticks are stored in tickByTicks.

For options the :class:.OptionComputation values for the bid, ask, resp. last price are stored in the bidGreeks, askGreeks resp. lastGreeks attributes. There is also modelGreeks that conveys the greeks as calculated by Interactive Brokers' option model.

Events:

  • updateEvent (ticker: :class:.Ticker)

hasBidAsk​

def hasBidAsk() -> bool

See if this ticker has a valid bid and ask.

midpoint​

def midpoint() -> float

Return average of bid and ask, or NaN if no valid bid and ask are available.

marketPrice​

def marketPrice() -> float

Return the first available one of

  • last price if within current bid/ask or no bid/ask available;
  • average of bid and ask (midpoint).

TickerUpdateEvent​

trades​

def trades() -> Tickfilter

Emit trade ticks.

bids​

def bids() -> Tickfilter

Emit bid ticks.

asks​

def asks() -> Tickfilter

Emit ask ticks.

bidasks​

def bidasks() -> Tickfilter

Emit bid and ask ticks.

midpoints​

def midpoints() -> Tickfilter

Emit midpoint ticks.

Tickfilter​

Tick filtering event operators that emit(time, price, size).

on_source​

def on_source(ticker)

timebars​

def timebars(timer: Event) -> TimeBars

Aggregate ticks into time bars, where the timing of new bars is derived from a timer event. Emits a completed :class:Bar.

This event stores a :class:BarList of all created bars in the bars property.

Args: timer: Event for timing when a new bar starts.

tickbars​

def tickbars(count: int) -> TickBars

Aggregate ticks into bars that have the same number of ticks. Emits a completed :class:Bar.

This event stores a :class:BarList of all created bars in the bars property.

Args: count: Number of ticks to use to form one bar.

volumebars​

def volumebars(volume: int) -> VolumeBars

Aggregate ticks into bars that have the same volume. Emits a completed :class:Bar.

This event stores a :class:BarList of all created bars in the bars property.

Args: volume (int): Volume threshold to use to form one bar.

Midpoints​

on_source​

def on_source(ticker)

Bar​

BarList​

TimeBars​

on_source​

def on_source(time, price, size)

TickBars​

on_source​

def on_source(time, price, size)

VolumeBars​

on_source​

def on_source(time, price, size)