undefined

Available Tick Types

Note: not all tick types are available for all instruments at all times. If you are not receiving a specific tick type when you think you should see if the tick type in question is available within the TWS itself. Remember the TWS API is only a delivery channel: if the information is not available in the TWS itself first, the TWS will not be able to dispatch it via the API socket.

Tick Name Tick Id Description Delivery Method Generic tick required
Bid Size 0 Number of contracts or lots offered at the bid price. LYNXApi.EWrapper.tickSize -
Bid Price 1 Highest priced bid for the contract. LYNXApi.EWrapper.tickPrice -
Ask Price 2 Lowest price offer on the contract. LYNXApi.EWrapper.tickPrice -
Ask Size 3 Number of contracts or lots offered at the ask price. LYNXApi.EWrapper.tickSize -
Last Price 4 Last price at which the contract traded (does not include some trades in RTVolume). LYNXApi.EWrapper.tickPrice -
Last Size 5 Number of contracts or lots traded at the last price. LYNXApi.EWrapper.tickSize -
High 6 High price for the day. LYNXApi.EWrapper.tickPrice -
Low 7 Low price for the day. LYNXApi.EWrapper.tickPrice -
Volume 8 Trading volume for the day for the selected contract (US Stocks: multiplier 100). LYNXApi.EWrapper.tickSize -
Close Price 9 The last available closing price for the previous day. For US Equities, we use corporate action processing to get the closing price, so the close price is adjusted to reflect forward and reverse splits and cash and stock dividends. LYNXApi.EWrapper.tickPrice -
Bid Option Computation 10 Computed Greeks and implied volatility based on the underlying stock price and the option bid price. See Option Greeks LYNXApi.EWrapper.tickOptionComputation -
Ask Option Computation 11 Computed Greeks and implied volatility based on the underlying stock price and the option ask price. See Option Greeks LYNXApi.EWrapper.tickOptionComputation -
Last Option Computation 12 Computed Greeks and implied volatility based on the underlying stock price and the option last traded price. See Option Greeks LYNXApi.EWrapper.tickOptionComputation -
Model Option Computation 13 Computed Greeks and implied volatility based on the underlying stock price and the option model price. Correspond to greeks shown in TWS. See Option Greeks LYNXApi.EWrapper.tickOptionComputation -
Open Tick 14 Current session's opening price. Before open will refer to previous day. The official opening price requires a market data subscription to the native exchange of the instrument. LYNXApi.EWrapper.tickPrice -
Low 13 Weeks 15 Lowest price for the last 13 weeks. For stocks only. LYNXApi.EWrapper.tickPrice 165
High 13 Weeks 16 Highest price for the last 13 weeks. For stocks only. LYNXApi.EWrapper.tickPrice 165
Low 26 Weeks 17 Lowest price for the last 26 weeks. For stocks only. LYNXApi.EWrapper.tickPrice 165
High 26 Weeks 18 Highest price for the last 26 weeks. For stocks only. LYNXApi.EWrapper.tickPrice 165
Low 52 Weeks 19 Lowest price for the last 52 weeks. For stocks only. LYNXApi.EWrapper.tickPrice 165
High 52 Weeks 20 Highest price for the last 52 weeks. For stocks only. LYNXApi.EWrapper.tickPrice 165
Average Volume 21 The average daily trading volume over 90 days. Multiplier of 100. For stocks only. LYNXApi.EWrapper.tickSize 165
Open Interest 22 (Deprecated, not currently in use) Total number of options that are not closed. LYNXApi.EWrapper.tickSize -
Option Historical Volatility 23 The 30-day historical volatility (currently for stocks). LYNXApi.EWrapper.tickGeneric 104
Option Implied Volatility 24 A prediction of how volatile an underlying will be in the future. The LYNX 30-day volatility is the at-market volatility estimated for a maturity thirty calendar days forward of the current trading day, and is based on option prices from two consecutive expiration months. LYNXApi.EWrapper.tickGeneric 106
Option Bid Exchange 25 Not Used. LYNXApi.EWrapper.tickString -
Option Ask Exchange 26 Not Used. LYNXApi.EWrapper.tickString -
Option Call Open Interest 27 Call option open interest. LYNXApi.EWrapper.tickSize 101
Option Put Open Interest 28 Put option open interest. LYNXApi.EWrapper.tickSize 101
Option Call Volume 29 Call option volume for the trading day. LYNXApi.EWrapper.tickSize 100
Option Put Volume 30 Put option volume for the trading day. LYNXApi.EWrapper.tickSize 100
Index Future Premium 31 The number of points that the index is over the cash index. LYNXApi.EWrapper.tickGeneric 162
Bid Exchange 32 For stock and options, identifies the exchange(s) posting the bid price. See Component Exchanges LYNXApi.EWrapper.tickString -
Ask Exchange 33 For stock and options, identifies the exchange(s) posting the ask price. See Component Exchanges LYNXApi.EWrapper.tickString -
Auction Volume 34 The number of shares that would trade if no new orders were received and the auction were held now. LYNXApi.EWrapper.tickSize 225
Auction Price 35 The price at which the auction would occur if no new orders were received and the auction were held now- the indicative price for the auction. Typically received after Auction imbalance (tick type 36) LYNXApi.EWrapper.tickPrice 225
Auction Imbalance 36 The number of unmatched shares for the next auction; returns how many more shares are on one side of the auction than the other. Typically received after Auction Volume (tick type 34) LYNXApi.EWrapper.tickSize 225
Mark Price 37 The mark price is the current theoretical calculated value of an instrument. Since it is a calculated value, it will typically have many digits of precision. LYNXApi.EWrapper.tickPrice 221 or 232
Bid EFP Computation 38 Computed EFP bid price LYNXApi.EWrapper.tickEFP -
Ask EFP Computation 39 Computed EFP ask price LYNXApi.EWrapper.tickEFP -
Last EFP Computation 40 Computed EFP last price LYNXApi.EWrapper.tickEFP -
Open EFP Computation 41 Computed EFP open price LYNXApi.EWrapper.tickEFP -
High EFP Computation 42 Computed high EFP traded price for the day LYNXApi.EWrapper.tickEFP -
Low EFP Computation 43 Computed low EFP traded price for the day LYNXApi.EWrapper.tickEFP -
Close EFP Computation 44 Computed closing EFP price for previous day LYNXApi.EWrapper.tickEFP -
Last Timestamp 45 Time of the last trade (in UNIX time). LYNXApi.EWrapper.tickString -
Shortable 46 Describes the level of difficulty with which the contract can be sold short. See Shortable LYNXApi.EWrapper.tickGeneric 236
Fundamental Ratios 47 Provides the available Fundamental Ratios. See Fundamental Ratios Note: For some tags the value returned may be -99999.99. This indicates that data is not available for that tag for the company. Also see Fundamental Data for requesting other fundamental data type using LYNXApi.EClient.reqFundamentalData. LYNXApi.EWrapper.tickString 258
RT Volume (Time & Sales) 48 Last trade details (Including both "Last" and "Unreportable Last" trades). See RT Volume LYNXApi.EWrapper.tickString 233
Halted 49 Indicates if a contract is halted. See Halted LYNXApi.EWrapper.tickGeneric -
Bid Yield 50 Implied yield of the bond if it is purchased at the current bid. LYNXApi.EWrapper.tickPrice -
Ask Yield 51 Implied yield of the bond if it is purchased at the current ask. LYNXApi.EWrapper.tickPrice -
Last Yield 52 Implied yield of the bond if it is purchased at the last price. LYNXApi.EWrapper.tickPrice -
Custom Option Computation 53 Greek values are based off a user customized price. LYNXApi.EWrapper.tickOptionComputation -
Trade Count 54 Trade count for the day. LYNXApi.EWrapper.tickGeneric 293
Trade Rate 55 Trade count per minute. LYNXApi.EWrapper.tickGeneric 294
Volume Rate 56 Volume per minute. LYNXApi.EWrapper.tickGeneric 295
Last RTH Trade 57 Last Regular Trading Hours traded price. LYNXApi.EWrapper.tickPrice 318
RT Historical Volatility 58 30-day real time historical volatility. LYNXApi.EWrapper.tickGeneric 411
LYNX Dividends 59 Contract's dividends. See LYNX Dividends LYNXApi.EWrapper.tickString 456
Bond Factor Multiplier 60 Not currently implemented. -
Regulatory Imbalance 61 The imbalance that is used to determine which at-the-open or at-the-close orders can be entered following the publishing of the regulatory imbalance. LYNXApi.EWrapper.tickSize -
News 62 Contract's news feed. LYNXApi.EWrapper.tickString 292
Short-Term Volume 3 Minutes 63 The past three minutes volume. Interpolation may be applied. For stocks only. LYNXApi.EWrapper.tickSize 595
Short-Term Volume 5 Minutes 64 The past five minutes volume. Interpolation may be applied. For stocks only. LYNXApi.EWrapper.tickSize 595
Short-Term Volume 10 Minutes 65 The past ten minutes volume. Interpolation may be applied. For stocks only. LYNXApi.EWrapper.tickSize 595
Delayed Bid 66 Delayed bid price. See Market Data Types LYNXApi.EWrapper.tickPrice -
Delayed Ask 67 Delayed ask price. See Market Data Types LYNXApi.EWrapper.tickPrice -
Delayed Last 68 Delayed last traded price. See Market Data Types LYNXApi.EWrapper.tickPrice -
Delayed Bid Size 69 Delayed bid size. See Market Data Types LYNXApi.EWrapper.tickSize -
Delayed Ask Size 70 Delayed ask size. See Market Data Types LYNXApi.EWrapper.tickSize -
Delayed Last Size 71 Delayed last size. See Market Data Types LYNXApi.EWrapper.tickSize -
Delayed High Price 72 Delayed highest price of the day. See Market Data Types LYNXApi.EWrapper.tickPrice -
Delayed Low Price 73 Delayed lowest price of the day. See Market Data Types LYNXApi.EWrapper.tickPrice -
Delayed Volume 74 Delayed traded volume of the day. See Market Data Types LYNXApi.EWrapper.tickSize -
Delayed Close 75 The prior day's closing price. LYNXApi.EWrapper.tickPrice -
Delayed Open 76 Not currently available LYNXApi.EWrapper.tickPrice -
RT Trade Volume 77 Last trade details that excludes "Unreportable Trades". See RT Trade Volume LYNXApi.EWrapper.tickString 375
Creditman mark price 78 Not currently available LYNXApi.EWrapper.tickPrice
Creditman slow mark price 79 Slower mark price update used in system calculations LYNXApi.EWrapper.tickPrice 619
Delayed Bid Option 80 Computed greeks based on delayed bid price. See Market Data Types and Option Greeks LYNXApi.EWrapper.tickPrice
Delayed Ask Option 81 Computed greeks based on delayed ask price. See Market Data Types and Option Greeks LYNXApi.EWrapper.tickPrice
Delayed Last Option 82 Computed greeks based on delayed last price. See Market Data Types and Option Greeks LYNXApi.EWrapper.tickPrice
Delayed Model Option 83 Computed Greeks and model's implied volatility based on delayed stock and option prices. LYNXApi.EWrapper.tickPrice
Last Exchange 84 Exchange of last traded price LYNXApi.EWrapper.tickString
Last Regulatory Time 85 Timestamp (in Unix ms time) of last trade returned with regulatory snapshot LYNXApi.EWrapper.tickString
Futures Open Interest 86 Total number of outstanding futures contracts (TWS v965+). *HSI open interest requested with generic tick 101 LYNXApi.EWrapper.tickSize 588
Average Option Volume 87 Average volume of the corresponding option contracts(TWS Build 970+ is required) LYNXApi.EWrapper.tickSize 105
Delayed Last Timestamp 88 Delayed time of the last trade (in UNIX time) (TWS Build 970+ is required) LYNXApi.EWrapper.tickString
Shortable Shares 89 Number of shares available to short (TWS Build 974+ is required) LYNXApi.EWrapper.tickSize 236

Halted

The Halted tick type indicates if a contract has been halted for trading. It can have the following values:

Value Description
-1 Halted status not available. Usually returned with frozen data.
0 Not halted. This value will only be returned if the contract is in a TWS watchlist.
1 General halt. Trading halt is imposed for purely regulatory reasons with/without volatility halt.
2 Volatility halt. Trading halt is imposed by the exchange to protect against extreme volatility.

Shortable

The shortable tick is an indicative on the amount of shares which can be sold short for the contract:

Range Description
Value higher than 2.5 There are at least 1000 shares available for short selling.
Value higher than 1.5 This contract will be available for short selling if shares can be located.
1.5 or less Contract is not available for short selling.

Receiving the actual number of shares available to short requires TWS 974+. For detailed information about shortability data (shortable shares, fee rate, rebate rate) available outside of TWS, LYNX also provides an FTP site.

Volume Data

The API reports the current day's volume in several ways. They are summarized as follows:

  • Volume tick type 8: The 'native volume'. This includes delayed transactions, busted trades, and combos, but will not update with every tick.
  • RTVolume: highest number, includes non-reportable trades such as odd lots, average price and derivative trades.
  • RTTradeVolume: only includes 'last' ticks, similar to number also used in charts/historical data.

RT Volume

The RT Volume tick type corresponds to the TWS' Time & Sales window and contains the last trade's price, size and time along with current day's total traded volume, Volume Weighted Average Price (VWAP) and whether or not the trade was filled by a single market maker.

There is a new setting available starting in TWS v969 which displays tick-by-tick data in the TWS Time & Sales Window. If this setting is checked, it will provide a higher granularity of data than RTVolume.

Example: 701.28;1;1348075471534;67854;701.46918464;true

As volume for US stocks is reported in lots, a volume of 0 reported in RTVolume will typically indicate an odd lot data point (less than 100 shares).

It is important to note that while the TWS Time & Sales Window also has information about trade conditions available with data points, this data is not available through the API. So for instance, the 'unreportable' trade status displayed with points in the Time & Sales Window is not available through the API, and that trade data will appear in the API just as any other data point. As always, an API application needs to exercise caution in responding to single data points.

RT Trade Volume

The RT Trade Volume is similar to RT Volume, but designed to avoid relaying back "Unreportable Trades" shown in TWS Time&Sales via the API. RT Trade Volume will not contain average price or derivative trades which are included in RTVolume.

Dividends

This tick type provides four different comma-separated elements:

  • The sum of dividends for the past 12 months (0.83 in the example below).
  • The sum of dividends for the next 12 months (0.92 from the example below).
  • The next dividend date (20130219 in the example below).
  • The next single dividend amount (0.23 from the example below).

Example: 0.83,0.92,20130219,0.23

To receive dividend information it is sometimes necessary to direct-route rather than smart-route market data requests.

Delayed Data

Delayed Data support through the API is available with TWS and LYNXG versions 962 and higher.

To receive delayed data for exchanges without the necessary market data subscriptions for live data, the function call Market Data Types is made prior to reqMktData. Quotes for data from 15-20 minutes prior will be streamed back.

Note: API version 9.72 and higher is suggested, but not required, so as to correctly label the delayed tick types (Tick ID 66~76).