Category Archives: Coding

Interactive Brokers TWS Generic Tick Types

As a part of the market data request Interactive Brokers provide several types of market data ticks. The generic market data tick types are:

Integer ID Value Tick Type Resulting Tick Value
100 Option Volume (currently for stocks) 29, 30
101 Option Open Interest (currently for stocks) 27, 28
104 Historical Volatility (currently for stocks) 23
106 Option Implied Volatility (currently for stocks) 24
162 Index Future Premium 31
165 Miscellaneous Stats 15, 16, 17, 18, 19, 20, 21
221 Mark Price (used in TWS P&L computations) 37
225 Auction values (volume, price and imbalance) 34, 35, 36
233 RTVolume – contains the last trade price, last trade size, last trade time, total volume, VWAP, and single trade flag. 48
236 Shortable 46
256 Inventory
258 Fundamental Ratios 47
292 Receive top news for underlying contracts from TWS for news feeds to which you have subscribed (in Account Management). Use secType = NEWS in the Contract object. See Requesting News for examples.

You will receive at least one news tick regardless of its timeliness (it could be new or it could be weeks old). Some news providers limit us to maximum news retention of 30 days, so those limitations may affect which news you see. Otherwise you will receive a maximum of five of the most recent news items in the last 24 hours, and you will receive additional news items as they come in.

411 Realtime Historical Volatility 58
456 IBDividends 59

Click here for the full Interactive Brokers API Reference Guide.

How to request live data from IB TWS to Matlab

It is possible to request and display real-time data to Matlab work-space from the Interactive Brokers TWS. The function retrieving live data from the IB TWS to Matlab is called realtime and has the following syntax:

tickerid = realtime(ib, ibContract, f, eventhandler) 

Please note that for this function Trading Toolbox 2.2 or above is requested. Below I will show you an example where I will retrieve real-time data for three random US stocks.

So, after having linked Matlab to IB TWS, we must connect the two stations between them by running the following command:

ib = ibtws('',7496);

Next, we have to create a figure where the real-time quotes will be displayed live.

f = findobj('Tag','IBStreamingDataWorkflow');
if isempty(f)
  f = figure('Tag','IBStreamingDataWorkflow','MenuBar','none',...
  pos = f.Position;
  f.Position = [pos(1) pos(2) pos(3)+37 109];
  colnames = {'Trade','Size','Bid','BidSize','Ask','AskSize',...
						'Total Volume'};
  rownames = {'AAPL','TSLA','XOM'};
  data = cell(3,6);
		'Position',[10 30 582 76],'Tag','SecurityDataTable')
  uicontrol('Style','text','Position',[10 5 497 20],'Tag','IBMessage')
    'Position',[512 5 80 20])

The following step is creating the IB contracts for which we are going to request the live quotes. In this example we will show live quotes for three contracts chosen randomly, here AAPL*, TSLA* and XOM*.

% Define the details for the 1st contract
ibContract1 = ib.Handle.createContract;
ibContract1.symbol = 'AAPL';
ibContract1.secType = 'STK'; = 'SMART';
ibContract1.currency = 'USD';
% Create the 2nd IB contract
ibContract2 = ib.Handle.createContract;
ibContract2.symbol = 'TSLA';
ibContract2.secType = 'STK'; = 'SMART';
ibContract2.currency = 'USD';
% Set the 3d IB contract details
ibContract3 = ib.Handle.createContract;
ibContract3.symbol = 'XOM';
ibContract3.secType = 'STK'; = 'SMART';
ibContract3.currency = 'USD';

After that, create the contracts matrix by running the code:

contracts = {ibContract1;ibContract2;ibContract3};

In our example we will set f = 100, in order to retrieve the Option Volume tick type. For further details about other generic market data tick types, see Interactive Brokers API Reference Guide.

f = '100';

Then we can use the Matlab IBTWS sample ibExampleRealtimeEventHandler or create your own event handler function and run the real-time data request as below:

tickerID = realtime(ib,contracts,f,...

This will create your figure and display the requested live data as following:

Matlab Live Data from IB TWS

* The tickers shown in examples are random, for exercising purposes only and do not represent any advise to invest in them nor any other kind of advertising.

Retrieve historical data from IB TWS to Matlab

You can retrieve the historical data for a specific contract from IB TWS to Matlab by using the ibtws “history” command. This command has the following syntax:

Hist_Data = history(ib, ibContract, Start_Date, End_Date)

and requests the historical data  for the defined ibContract from Start_Date to End_Date.

After having connected Matlab to Interactive Brokers TWS you can test the following example on how to retrieve historical data for a specific IB contract*


% Connect Matlab to IB TWS
ib = ibtws('',7496);

% Define the IB Contract
ibContract = ib.Handle.createContract;
ibContract.symbol = 'AAPL';
ibContract.secType = 'STK'; = 'SMART';
ibContract.currency = 'USD';

% Set the time horizon (in this example, last 30 business days)
Start_Date = today-30;
End_Date   = today;

% Get the historical data
Hist_Data = history(ib,ibContract,Start_Date,End_Date)


The output will have the following structure:

History Matlab IBTWS

Where each row shows the historical data for 1 day and the columns represent the following:

  • Numeric representation of a date
  • Open price
  • High price
  • Low price
  • Close price
  • Volume
  • Bar count
  • Weighted average price
  • Flag indicating if there are gaps in the bar

* The tickers shown in examples are random, for exercising purposes only and do not represent any advise to invest in them nor any other kind of advertising.