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»Forums Index »Product Support »Data and Content Support »mktsymbols_v2.txt - full dates for futures, options, and foptions
Author Topic: mktsymbols_v2.txt - full dates for futures, options, and foptions (8 messages, Page 1 of 1)

stargrazer
-DTN Guru-
Posts: 279
Joined: Jun 13, 2005

Right Here & Now


Posted: Aug 29, 2021 09:06 PM          Msg. 1 of 8
Is it possible to make a format change to mktsymbols_v2.txt or maybe to create a v3 such that expiring symbols have full expiry year, month, and day embedded in the name? or maybe a consistent parsable format in the description field?

It isn't possible create a full IB futures contract request without a manually supplied day of the month into the contract request.

It would be very useful to be able to create a full automatically created contract request given the symbol name of something from the description field for futures, options, and futures options.

I've also noticed that futures options have a different naming convention that do regular equity options.

Proper expiry dates are even harder to calculate for the weeklies for ES/@ES, and similar CME symbols.

DTN_Stephen
-DTN Guru-
Posts: 418
Joined: Aug 22, 2014


Posted: Sep 1, 2021 03:01 PM          Msg. 2 of 8
Could you expand more on this? From my understanding we are currently matching the Industry Standard in this regard.

At this time it's highly unlikely we would move forward with such a project this idea for future consideration.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

stargrazer
-DTN Guru-
Posts: 279
Joined: Jun 13, 2005

Right Here & Now


Posted: Sep 1, 2021 11:19 PM          Msg. 3 of 8
Well here are some sample details.

Here is a regular equity option:

GLD2127H185 GLD AUG 2021 C 185.00 OPRA OPRA IEOPTION

The symbol name has the year/month/day encoded in the name. I remember this change occurred some number of years ago. The day, by being encoded in the name, makes it easy to come up with GLD, 2021/08/27, which makes it easy to submit GLD with the date to IB to obtain the contract number for trade executions.

Here is an FOPTION:

QGCZ21P1850 GOLD DECEMBER 2021 PUT 1850 COMEX COMEX_GBX FOPTION

Futures options have a definite expiry day. However, neither the symbol name nor the description includes the expiry day, which is in contrast to the IEOPTION. How does one find the expiry day? Is there a lookup somewhere?

In a similar manner, for a FUTURE:

QGCZ21 GOLD DECEMBER 2021 COMEX COMEX_GBX FUTURE Y

Futures have a definite expiry day. But that day is not provided in the description nor the symbol name. Where does one go to find the day? I can not lookup the contract number in IB without the day.

DTN Todd
-Interested User-
Posts: 72
Joined: Mar 24, 2010


Posted: Sep 2, 2021 12:05 AM          Msg. 4 of 8
The expiration date is available in the IQfeed applications Snapquote. On your desktop select the icon IQfeed applications then select Snapquote then enter the symbol. The expiration date is available in Snapquote for all of your example

Thanks
Todd DTN Customer Service

stargrazer
-DTN Guru-
Posts: 279
Joined: Jun 13, 2005

Right Here & Now


Posted: Sep 2, 2021 12:23 AM          Msg. 5 of 8
Sure, but ...... the whole point is that this is automated trading.

However, I think what you are saying, is if I do a watch on the symbol, there is a field with the expiry in the response? I'll have to look at the API docs.

However, the problem I have is that I am building up the option chains for futures (run the CFO [Request a Future Option Chain]) command, and I do calculations for date ranges. It gets a bit hairy when trying to work with the @ES weekly options. There are a lot of symbols involved across days, weeks and months. With the weeklies being more difficult to decode..... lots of symbols to lookup.

If changing the symbol is a challenge, maybe adding the day to the description?

Since the equity options have days embedded, is there a standard where the day is embedded in the futures option name as well?

Here is a weekly @ES. An example of another lookup to get at the day.
@E2AU21P377500 E-MINI S&P 500 MONDAY WEEK 2 SEPTEMBER 2021 PUT 377500 CME CMEMINI FOPTION

Edited by stargrazer on Sep 2, 2021 at 12:24 AM
Edited by stargrazer on Sep 2, 2021 at 01:33 AM

DTN Todd
-Interested User-
Posts: 72
Joined: Mar 24, 2010


Posted: Sep 2, 2021 12:45 AM          Msg. 6 of 8
We will look into this and let you know the result.

Thanks
Todd DTN Customer Support

DTN_Stephen
-DTN Guru-
Posts: 418
Joined: Aug 22, 2014


Posted: Sep 2, 2021 09:01 AM          Msg. 7 of 8
Thank you for the enhancement request. While we have noted your idea, we cannot accommodate your suggestion at this time. We will, however, log the idea for future consideration. Thank you for being a DTN customer.
 

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 219
Joined: Jul 3, 2019


Posted: Sep 2, 2021 12:27 PM          Msg. 8 of 8
Stargrazer,

An FDS report for the commodity type/exchange you are interested in will include, among other things, an explicit expiration date. To use the example you gave:

GLD2127H185 is an IEOPTION (symbol type 2) on the OPRA exhange (exchange code 14). So you can send this command:

FDS,2,14,20210901
Symbol,Description,PeRatio,AvgVolume,DivYield,DivAmount,DivRate,PayDate,ExDivDate,CurrentEps,EstEps,SIC,Precision,Display,GrowthPercent,FiscalYearEnd,Volatility,ListedMarket,MaturityDate,OptionRoots,CouponRate,InstitutionalPercent,YearEndClose,Beta,LEAPs,WRAPs,Assets,Liabilities,BalanceSheetDate,LongTermDebt,CommonSharesOutstanding,MarketCap,52WeekHigh,52WeekHighDate,52WeekLow,52WeekLowDate,CalHigh,CalHighDate,CalLow,CalLowDate,Expiration,LastSplit,LastSplitDate,PrevSplit,PrevSplitDate,NAICS,ShortInterest
A2115J100,"A OCT 2021 C 100.00",,,,,,,,,,,4,12,,,,14,,,,,,,,,,,,,,,,,,,,,,,20211015,,,,,,
A2115J105,"A OCT 2021 C 105.00",,,,,,,,,,,4,12,,,,14,,,,,,,,,,,,,,,,,,,,,,,20211015,,,,,,
A2115J110,"A OCT 2021 C 110.00",,,,,,,,,,,4,12,,,,14,,,,,,,,,,,,,,,,,,,,,,,20211015,,,,,,
(many symbols skipped)
AA2119W40,"AA NOV 2021 P 40.00",,,,,,,,,,,4,12,,,,14,,,,,,,,,,,,,,,9.9,20210719,2.4,20210830,,,,,20211119,,,,,,
(many symbols skipped)
GLD2127H185,"GLD AUG 2021 C 185.00",,,,,,,,,,,4,12,,,,14,,,,,,,,,,,,,,,0.39,20210715,0.01,20210824,,,,,20210827,,,,,,
(many symbols skipped)
ZZZ2221M7.5,,,,,,,,,,,,2,12,,,,14,,,,,,,,,,,,,,,,20210830,,20210830,,,,,,,,,,,
!ENDMSG!,

You can see the expiration date near the end of each records, as well as other datapoints you may be interested in. You can use the Lookup commands SLM and SST to get the lists of market and symbol type codes you need. SBF,s,(symbol) will tell you the market and symbol type for a symbol. The FCS report can be run back until about May 2018.

I hope this helps!

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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