API Beta Notes

The modifications below are in build 9.64 of the TWS API. Please note that all the enhancements for release 9.64 require the minimum server version 48 (TWS version 905).

For clarification on any of the items listed, refer to the appropriate section in the API Reference Guide, or send us an email at Beta Support.
Enhancements
Request Market Data and Place Order by conid

You can now request market data and place orders from the API using the conid, the unique contract identifier. Previously, the conid could only be used for contract details.

This enhancement applies to the ActiveX, C++ and Java APIs.
Bond Bid/Ask/Last Yield

API market data requests for bond contracts now return values for askYield, bidYield and lastYield.

This enhancement applies to the ActiveX, C++ and Java APIs.
New Request for Implied Volatility

A new API request, calculateImpliedVolatility, calculates the Implied Volatility based on the user-supplied option and underlying prices. This new request is also included in the Java, Active X and C++ Sample Test Clients included with this release.

calculateImpliedVolatility(int reqId, Contract optionContract, double optionPrice, double underPrice)

where

    * optionContract is the option contract.
    * optionPrice is the price of the option.
    * underPrice is the price of the underlying of the option.

The calculated implied volatility is returned by tickOptionComputation( ) in a new tick type, CUST_OPTION_COMPUTATION, which is described below.

A related request, cancelCalculateImpliedVolatility(int reqId), has also been added. This new request cancels a calculateImpliedVolatility request and is also included in the Java, Active X and C++ Sample Test Clients included with this release. .

This enhancement applies to the ActiveX, C++ and Java APIs.
New Tick Type

A new tick type has been added to the API:

    * CUST_OPTION_COMPUTATION - returns calculated implied volatility as a result of a calculateImpliedVolatility( ) request.
      Tick Value 53, returned by tickOptionCompution( ).

This enhancement applies to the ActiveX, C++ and Java APIs.
Tick Types Now Return Greeks, Underlying Price, Model Implied Volatility, Stock and Option Reference Price

The following tick types return values for the Greeks (delta, gamma, vega, theta), the underlying price, pvDividend and the stock and option reference price when requested:

    * BID_OPTION_COMPUTATION
    * ASK_OPTION_COMPUTATION
    * LAST_OPTION_COMPUTATION
    * MODEL_OPTION_COMPUTATION

MODEL_OPTION_COMPUTATION also returns model implied volatility.

This enhancement applies to the ActiveX, C++ and Java APIs.
New Request to Calculate Option Price and Greek Values

A new API request, calculateOptionPrice, calculates the option price and greek values based on a user-supplied implied volatility and underlying prices. This new request is also part of the Java, Active X and C++ Sample Test Clients included with this release.

calculateOptionPrice(int reqId, Contract optionContract, double volatility, double underPrice)

where

    * optionContract is the option contract.
    * volatility is the user-supplied implied volatility value..
    * underPrice is the price of the underlying of the option.

The calculated option price and greek values are returned by tickOptionComputation( ) in the new tick type, CUST_OPTION_COMPUTATION, which is described below.

A related request, cancelCalculateOptionPrice(int reqId), has also been added. This new request cancels a calculateOptionPrice request and is also part of the Java, Active X and C++ Sample Test Clients included with this release. .

This enhancement applies to the ActiveX, C++ and Java APIs.
New Tick Type

A new tick type has been added to the API:

    * CUST_OPTION_COMPUTATION - returns calculated implied volatility as a result of an calculateImpliedVolatility( ) request.
      Tick Value 53, returned by tickOptionCompution( ).

This enhancement applies to the ActiveX, C++ and Java APIs.
Tick Types Now Return Greeks, Underlying Price, Model Implied Volatility, Stock and Option Reference Price

The following tick types return values for the Greeks (delta, gamma, vega, theta), the underlying price, pvDividend and the stock and option reference price when requested:

    * BID_OPTION_COMPUTATION
    * ASK_OPTION_COMPUTATION
    * LAST_OPTION_COMPUTATION
    * MODEL_OPTION_COMPUTATION

MODEL_OPTION_COMPUTATION also returns model implied volatility.

This enhancement applies to the ActiveX, C++ and Java APIs.