load_ibkr_option_chain.py

from datetime import datetime, time
from ib_insync import IB, Option, util
import pandas as pd
from configparser import ConfigParser
import pytz

config = ConfigParser()
EST = pytz.timezone('America/New_York')
ib = IB().connect('127.0.0.1', 4003)

def is_weekday():
    return datetime.now(EST).weekday() < 5

def is_market_open():
    now = datetime.now(EST).time()
    open_time = datetime.strptime("09:30", "%H:%M").time()
    close_time = datetime.strptime("16:00", "%H:%M").time()
    return open_time <= now <= close_time

def get_data_type():
    # if you don't have a market data subscription:
    # return 3 # Delayed
    
    if is_weekday() and is_market_open():
        return 1 # Live
    if is_weekday() and not is_market_open():
        return 2 # Frozen
    return 2 # Frozen
    # return 4 # Delayed Frozen

def get_chain(ticker,expiration_list):
    queries = []
    results = []

    ib.reqMarketDataType(get_data_type())
    for expiry in expiration_list:
        contract_details = ib.reqContractDetails(Option(ticker, expiry, exchange='SMART'))
        for x in contract_details:
            contract = x.contract
            contract = Option(ticker, expiry, contract.strike, contract.right, "SMART", currency="USD")
            # TODO: try https://ib-insync.readthedocs.io/api.html#:~:text=Contract%20of%20interest.-,genericTickList,-(str)%20%E2%80%93
            snapshot = ib.reqMktData(contract, "", True, False)
            queries.append([expiry, contract.strike, contract.right, snapshot])

    # Wait for queries to load
    while any([util.isNan(x[3].bid) for x in queries]):
        ib.sleep(0.025)

    # Process into df
    for q in queries:
        expiry = q[0]
        strike = q[1]
        right = q[2]
        snapshot = q[3]
        print('snapshot', snapshot)
        data = {
            'expiry': expiry,
            'strike': strike,
            'right': right,
            'close': snapshot.close,
            'last': snapshot.last,
            'bid': snapshot.bid,
            'ask': snapshot.ask,
            'mid': (snapshot.bid+snapshot.ask)/2,
            'volume': snapshot.volume,
        }
        if snapshot.modelGreeks:
            data['tickAttrib'] = snapshot.modelGreeks.tickAttrib
            data['impliedVol'] = snapshot.modelGreeks.impliedVol
            data['delta'] = snapshot.modelGreeks.delta
            data['optPrice'] = snapshot.modelGreeks.optPrice
            data['pvDividend'] = snapshot.modelGreeks.pvDividend
            data['gamma'] = snapshot.modelGreeks.gamma
            data['vega'] = snapshot.modelGreeks.vega
            data['theta'] = snapshot.modelGreeks.theta
            data['undPrice'] = snapshot.modelGreeks.undPrice
        results.append(data)

    df = pd.DataFrame(results)
    df = df.sort_values(by=['expiry', 'strike', 'right'], ascending=False)
    return df

def get_individual(ticker, exp, strike, kind):
    ib.reqMarketDataType(get_data_type())
    contract = Option(ticker, exp, strike, kind, "SMART", currency="USD")
    snapshot = ib.reqMktData(contract, "", True, False)
    while util.isNan(snapshot.bid):
        ib.sleep(0.025)
    print("Snapshot for individual option:", snapshot)
    data = {
        'strike': strike,
        'kind': kind,
        'close': snapshot.close,
        'last': snapshot.last,
        'bid': snapshot.bid,
        'ask': snapshot.ask,
        'volume': snapshot.volume,
    }
    if snapshot.modelGreeks:
        data['tickAttrib'] = snapshot.modelGreeks.tickAttrib
        data['impliedVol'] = snapshot.modelGreeks.impliedVol
        data['delta'] = snapshot.modelGreeks.delta
        data['optPrice'] = snapshot.modelGreeks.optPrice
        data['pvDividend'] = snapshot.modelGreeks.pvDividend
        data['gamma'] = snapshot.modelGreeks.gamma
        data['vega'] = snapshot.modelGreeks.vega
        data['theta'] = snapshot.modelGreeks.theta
        data['undPrice'] = snapshot.modelGreeks.undPrice
    return data

t0 = datetime.now()
print(get_individual('AMD', "20250411", 100, 'C'))
print("Elapsed:", datetime.now() - t0)

pd.set_option('display.max_rows', None)
t0 = datetime.now()
print(get_chain('AMD', ["20250411", "20250417"]))
print("Elapsed:", datetime.now() - t0)

source: https://www.reddit.com/r/algotrading/comments/ifmpem/looking_for_faster_ways_to_get_option_chains_from

may require market data subscriptions:

US Securities Snapshot and Futures Value Bundle (NP,L1) - Trader Workstation
US Equity and Options Add-On Streaming Bundle (NP) - Trader Workstation