Option modelGreeks is None

[hcleungca]

Hi I'm new to ib_async

I'm trying to get the modelGreeks property of the SPY option, the codes I used is shown below

from ib_async import *

ib = IB()
ib.connect('127.0.0.1', 7497, clientId=123)

ib.reqMarketDataType(3)

expiration_date = '20241115'
strike = 540
right = 'C'

contract = Option('SPY', expiration_date, strike, right, 'SMART', tradingClass='SPY')

contracts = ib.qualifyContracts(contract)

tickers = ib.reqTickers(*contracts)

ticker_idx = 0

print(tickers[ticker_idx])
print(tickers[ticker_idx].modelGreeks)
print(tickers[ticker_idx].bidGreeks)
print(tickers[ticker_idx].askGreeks)
print(tickers[ticker_idx].lastGreeks)

ib.disconnect()

the console output are

Ticker(contract=Option(conId=706885237, symbol='SPY', lastTradeDateOrContractMonth='20241115', strike=540.0, right='C', multiplier='100', exchange='SMART', currency='USD', localSymbol='SPY   241115C00540000', tradingClass='SPY'), time=datetime.datetime(2024, 10, 4, 3, 52, 20, 332739, tzinfo=datetime.timezone.utc), minTick=0.01, bid=-1.0, bidSize=0.0, ask=-1.0, askSize=0.0, close=37.34, halted=0.0, bboExchange='c70003')
None
None
None
None

All the greeks properties are None, did I do anything wrong? Please help, thank you very much

[mattsta]

That's actually normal because each field is populated asynchronously, so sometimes it takes a couple seconds for all data to "appear" after being requested.

You could either wait longer before reading all the fields (be sure to read the intro docs about how time needs to work if you aren't using connectAsync() directly) or you could attach an event handler to check for updates and stop when you have enough data.

An event handler could look something like:

def checkTickerUpdates(tickers):
    for ticker in tickers:
        if ticker.modelGreeks:
            ... do something ...

ib.pendingTickersEvent += checkTickerUpdates

[hcleungca]

Thanks for reply, I just tried the codes now when the market is open,
And I can get the results.

The None results are from yesterday when the market was closed,
Is the data unavailable if the market is closed?

Below is what I get today

Ticker(contract=Option(conId=706885237, symbol='SPY', lastTradeDateOrContractMonth='20241115', strike=540.0, right='C', multiplier='100', exchange='SMART', currency='USD', localSymbol='SPY   241115C00540000', tradingClass='SPY'), time=datetime.datetime(2024, 10, 4, 17, 49, 5, 142653, tzinfo=datetime.timezone.utc), minTick=0.01, bid=38.85, bidSize=10.0, bidExchange='N', ask=38.97, askSize=30.0, askExchange='N', last=38.01, lastSize=1.0, volume=10.0, high=39.02, low=38.01, close=36.92, halted=0.0, bidGreeks=OptionComputation(tickAttrib=0, impliedVol=0.21419604931197095, delta=0.812249392640076, optPrice=38.849998474121094, pvDividend=0.0, gamma=0.006510464209727961, vega=0.5543929671075318, theta=-0.1901612213707661, undPrice=571.1799926757812), askGreeks=OptionComputation(tickAttrib=0, impliedVol=0.21583111157083218, delta=0.8104971743676316, optPrice=38.970001220703125, pvDividend=0.0, gamma=0.006495591014640249, vega=0.5548763814456237, theta=-0.19175211343873672, undPrice=571.1799926757812), lastGreeks=OptionComputation(tickAttrib=0, impliedVol=0.21676224295909574, delta=0.8095110120973181, optPrice=38.0099983215332, pvDividend=0.0, gamma=0.006486980850975886, vega=0.5551469692866036, theta=-0.19265878251125385, undPrice=571.1799926757812), modelGreeks=OptionComputation(tickAttrib=0, impliedVol=0.21560477867723649, delta=0.8107381572295266, optPrice=38.71923442104989, pvDividend=0.0, gamma=0.006497668818987877, vega=0.5548100971756043, theta=-0.1915318020046982, undPrice=571.1799926757812), bboExchange='c70003', snapshotPermissions=3)
OptionComputation(tickAttrib=0, impliedVol=0.21560477867723649, delta=0.8107381572295266, optPrice=38.71923442104989, pvDividend=0.0, gamma=0.006497668818987877, vega=0.5548100971756043, theta=-0.1915318020046982, undPrice=571.1799926757812)
OptionComputation(tickAttrib=0, impliedVol=0.21419604931197095, delta=0.812249392640076, optPrice=38.849998474121094, pvDividend=0.0, gamma=0.006510464209727961, vega=0.5543929671075318, theta=-0.1901612213707661, undPrice=571.1799926757812)
OptionComputation(tickAttrib=0, impliedVol=0.21583111157083218, delta=0.8104971743676316, optPrice=38.970001220703125, pvDividend=0.0, gamma=0.006495591014640249, vega=0.5548763814456237, theta=-0.19175211343873672, undPrice=571.1799926757812)
OptionComputation(tickAttrib=0, impliedVol=0.21676224295909574, delta=0.8095110120973181, optPrice=38.0099983215332, pvDividend=0.0, gamma=0.006486980850975886, vega=0.5551469692866036, theta=-0.19265878251125385, undPrice=571.1799926757812)

[mattsta]

I think their systems do respond to data requests faster during market hours (probably caching things), but it should at least return modelGreeks after hours as well. It usually returns bid/ask/last greeks after hours up until the next pre-market daily reset period (something like 15-30 minutes before next market open).

If you request even more detailed fields like histVolatility or impliedVolatility on instruments directly, sometimes those can take 10 to 30 seconds before the data begins populating.