[SOLVED] Historical data for non-expired option contracts with ib

Historical data for non-expired option contracts with ib_insync lib?

I would like to get historical data (ideally hourly or less) for non-expired option contracts. TWS API should provide that data (source: https://www.tradersinsight.news/ibkr-quant-news/historical-options-futures-data-using-tws-api/). I have not found a way to get that data using the beautiful ib_insync lib. Is there a way to do that? If so, how?

Thx in advance

Solution

This works in the same way you fetch historical data for a stock, you just need to define an Option contract as "contract" reqHistoricalData().

For example, first, you define e.g. a monthly NVIDIA call expiring on Friday 15th March 2024:

from ib_insync import IB, util, Option
ib = IB()

...

contract = Option(
    symbol="NVDA",
    lastTradeDateOrContractMonth="20240315",
    strike=800,
    right="C",
    exchange="SMART",
    tradingClass="NVDA"
    )

Then you get the historical data, in this case 5 minute bars of the last 5 days.

bars = ib.reqHistoricalData(
    contract=contract,
    endDateTime = "",
    durationStr = "5 D",
    barSizeSetting = "5 Mins",
    whatToShow = "TRADES",
    useRTH = True,
    formatDate = 1,
    keepUpToDate = False
    )

Afterwards you proceed with df = util.df(bars) to store the data in a dataframe.