Market Scanner Subscriptions

Introduction
Initialize session with Trader Workstation
Create Scanner Subscription Definition
Request Scanner Subscription
Process Market Scanner Events
See Also
References

Introduction

Market Scanners allow you to quickly and easily scan global markets for the top performing contracts. Variables, filters and parameters allow you to create unique, completely customized scans. For example, you may want to find the top ten most active US stocks with a price of USD 30.00 or lower, but only in the Real Estate industry. Or, search for all exchange-listed US Corporate Bonds with an A1 Moody's rating or better. The search definitions are practically limitless.

Interactive Brokers provides API access to many preconfigured scanner definitions such as:

Most Active
Top % Gainers and Losers
Hot by Price and Volume
Top Trade Rate
Highest and Lowest Option Implied Volatility
13-, 26- and 52-week High and Low
High Dividend Yield

and many more. See Market Scanner Definitions for all avaliable preconfigured scanners and associated "scanCodes".

Initialize session with Trader Workstation

% initialize session with TWS
session = TWS.Session.getInstance();

% create local buffer for market depth events
[buf,lh] = TWS.initBufferForEvent(TWS.Events.SCANNERDATA);

% connect to Trader Workstation
session.eClientSocket.eConnect('127.0.0.1',7496,0);

added interface method: TWSNotification
notification listener has been added
Server Version:71
TWS Time at connection:20150102 19:08:40 EST

Create Scanner Subscription Definition

% create new scanner subscription specification
scannerSubscription = com.ib.client.ScannerSubscription();

% configure the scanner definition
scannerSubscription.numberOfRows(15           );
scannerSubscription.abovePrice  (1            );
scannerSubscription.instrument  ('STK'        );
scannerSubscription.scanCode    ('MOST_ACTIVE');

Request Scanner Subscription

% request the scanner subscription with reqId 0
session.eClientSocket.reqScannerSubscription(0,scannerSubscription,[]); pause(0.5);

To cancel a scanner subscription use the EClientSocket::cancelScannerSubscription method with the associated reqId to terminate (in this case reqId = 0).

Process Market Scanner Events

% create print function for scanner data objects (sd)
f = @(sd)fprintf('%5s: %3d\n',char(sd.contractDetails.m_summary.m_symbol),sd.rank);

% print out all scanner events in the local buffer
cellfun(@(e)f(e),collection2cell(buf.get.data));

  EEM:   1
  PBR:   8
 TVIX:   7
  EWJ:  14
  VXX:   2
  GDX:   5
  IWM:   6
PBR A:  10
   GE:   9
  SPY:   0
 AAPL:   3
  BAC:   4
  XLF:  12
 SIRI:  11
  QQQ:  13

From here make a few ContractDetails request to obtain exchange information. Then fire up MarketData + MarketDepth subscriptions.