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.
|Generic tick required
|Number of contracts or lots offered at the bid price.
|Highest priced bid for the contract.
|Lowest price offer on the contract.
|Number of contracts or lots offered at the ask price.
|Last price at which the contract traded (does not include some trades in RTVolume).
|Number of contracts or lots traded at the last price.
|High price for the day.
|Low price for the day.
|Trading volume for the day for the selected contract (US Stocks: multiplier 100).
|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.
|Bid Option Computation
|Computed Greeks and implied volatility based on the underlying stock price and the option bid price. See Option Greeks
|Ask Option Computation
|Computed Greeks and implied volatility based on the underlying stock price and the option ask price. See Option Greeks
|Last Option Computation
|Computed Greeks and implied volatility based on the underlying stock price and the option last traded price. See Option Greeks
|Model Option Computation
|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
|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.
|Low 13 Weeks
|Lowest price for the last 13 weeks. For stocks only.
|High 13 Weeks
|Highest price for the last 13 weeks. For stocks only.
|Low 26 Weeks
|Lowest price for the last 26 weeks. For stocks only.
|High 26 Weeks
|Highest price for the last 26 weeks. For stocks only.
|Low 52 Weeks
|Lowest price for the last 52 weeks. For stocks only.
|High 52 Weeks
|Highest price for the last 52 weeks. For stocks only.
|The average daily trading volume over 90 days. Multiplier of 100. For stocks only.
|(Deprecated, not currently in use) Total number of options that are not closed.
|Option Historical Volatility
|The 30-day historical volatility (currently for stocks).
|Option Implied Volatility
|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.
|Option Bid Exchange
|Option Ask Exchange
|Option Call Open Interest
|Call option open interest.
|Option Put Open Interest
|Put option open interest.
|Option Call Volume
|Call option volume for the trading day.
|Option Put Volume
|Put option volume for the trading day.
|Index Future Premium
|The number of points that the index is over the cash index.
|For stock and options, identifies the exchange(s) posting the bid price. See Component Exchanges
|For stock and options, identifies the exchange(s) posting the ask price. See Component Exchanges
|The number of shares that would trade if no new orders were received and the auction were held now.
|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)
|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)
|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.
|221 or 232
|Bid EFP Computation
|Computed EFP bid price
|Ask EFP Computation
|Computed EFP ask price
|Last EFP Computation
|Computed EFP last price
|Open EFP Computation
|Computed EFP open price
|High EFP Computation
|Computed high EFP traded price for the day
|Low EFP Computation
|Computed low EFP traded price for the day
|Close EFP Computation
|Computed closing EFP price for previous day
|Time of the last trade (in UNIX time).
|Describes the level of difficulty with which the contract can be sold short. See Shortable
|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.
|RT Volume (Time & Sales)
|Last trade details (Including both "Last" and "Unreportable Last" trades). See RT Volume
|Indicates if a contract is halted. See Halted
|Implied yield of the bond if it is purchased at the current bid.
|Implied yield of the bond if it is purchased at the current ask.
|Implied yield of the bond if it is purchased at the last price.
|Custom Option Computation
|Greek values are based off a user customized price.
|Trade count for the day.
|Trade count per minute.
|Volume per minute.
|Last RTH Trade
|Last Regular Trading Hours traded price.
|RT Historical Volatility
|30-day real time historical volatility.
|Contract's dividends. See LYNX Dividends
|Bond Factor Multiplier
|Not currently implemented.
|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.
|Contract's news feed.
|Short-Term Volume 3 Minutes
|The past three minutes volume. Interpolation may be applied. For stocks only.
|Short-Term Volume 5 Minutes
|The past five minutes volume. Interpolation may be applied. For stocks only.
|Short-Term Volume 10 Minutes
|The past ten minutes volume. Interpolation may be applied. For stocks only.
|Delayed bid price. See Market Data Types
|Delayed ask price. See Market Data Types
|Delayed last traded price. See Market Data Types
|Delayed Bid Size
|Delayed bid size. See Market Data Types
|Delayed Ask Size
|Delayed ask size. See Market Data Types
|Delayed Last Size
|Delayed last size. See Market Data Types
|Delayed High Price
|Delayed highest price of the day. See Market Data Types
|Delayed Low Price
|Delayed lowest price of the day. See Market Data Types
|Delayed traded volume of the day. See Market Data Types
|The prior day's closing price.
|Not currently available
|RT Trade Volume
|Last trade details that excludes "Unreportable Trades". See RT Trade Volume
|Creditman mark price
|Not currently available
|Creditman slow mark price
|Slower mark price update used in system calculations
|Delayed Bid Option
|Computed greeks based on delayed bid price. See Market Data Types and Option Greeks
|Delayed Ask Option
|Computed greeks based on delayed ask price. See Market Data Types and Option Greeks
|Delayed Last Option
|Computed greeks based on delayed last price. See Market Data Types and Option Greeks
|Delayed Model Option
|Computed Greeks and model's implied volatility based on delayed stock and option prices.
|Exchange of last traded price
|Last Regulatory Time
|Timestamp (in Unix ms time) of last trade returned with regulatory snapshot
|Futures Open Interest
|Total number of outstanding futures contracts (TWS v965+). *HSI open interest requested with generic tick 101
|Average Option Volume
|Average volume of the corresponding option contracts(TWS Build 970+ is required)
|Delayed Last Timestamp
|Delayed time of the last trade (in UNIX time) (TWS Build 970+ is required)
|Number of shares available to short (TWS Build 974+ is required)
The Halted tick type indicates if a contract has been halted for trading. It can have the following values:
|Halted status not available. Usually returned with frozen data.
|Not halted. This value will only be returned if the contract is in a TWS watchlist.
|General halt. Trading halt is imposed for purely regulatory reasons with/without volatility halt.
|Volatility halt. Trading halt is imposed by the exchange to protect against extreme volatility.
The shortable tick is an indicative on the amount of shares which can be sold short for the contract:
|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.
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.
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.
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.
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).
To receive dividend information it is sometimes necessary to direct-route rather than smart-route market data requests.
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).