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»Forums Index »IQFeed Developer »IQFeed Developer Support »@ESM22 seems to be missing options
Author Topic: @ESM22 seems to be missing options (13 messages, Page 1 of 1)

stargrazer
-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 10, 2022 09:33 PM          Msg. 1 of 13
Similar to before. Is this a data problem or an algorithm problem

underlying: @ESM22
chain: 2022-Mar-21 has 324 entries
#strikes=324, #calls=317, #puts=324
chain: 2022-Mar-23 has 303 entries
#strikes=303, #calls=297, #puts=303
chain: 2022-Mar-25 has 309 entries
#strikes=309, #calls=307, #puts=309
chain: 2022-Mar-28 has 304 entries
#strikes=304, #calls=297, #puts=304
chain: 2022-Mar-30 has 85 entries
#strikes=85, #calls=44, #puts=41
chain: 2022-Mar-31 has 346 entries
#strikes=346, #calls=344, #puts=346
chain: 2022-Apr-01 has 45 entries
#strikes=45, #calls=24, #puts=30
chain: 2022-Apr-04 has 6 entries
#strikes=6, #calls=6, #puts=0
chain: 2022-Apr-08 has 9 entries
#strikes=9, #calls=7, #puts=2
chain: 2022-Apr-14 has 247 entries
#strikes=247, #calls=247, #puts=247
chain: 2022-Apr-29 has 243 entries
#strikes=243, #calls=243, #puts=243
chain: 2022-May-20 has 249 entries
#strikes=249, #calls=249, #puts=249
chain: 2022-May-31 has 244 entries
#strikes=244, #calls=244, #puts=244
chain: 2022-Jun-17 has 257 entries
#strikes=257, #calls=257, #puts=257
EmitChainSummary total sum(call + put)=5782,

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Mar 11, 2022 11:49 AM          Msg. 2 of 13
What's the exact Option Chains API request you're doing? And can you link to the "similar to before" problem so I can better understand what you're expecting?

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

stargrazer
-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 11, 2022 12:00 PM          Msg. 3 of 13
This contains the previous experience: http://forums.dtn.com/index.cfm?page=topic&topicID=5949 ... the commands used, and the various results, suggestions, and then the remediation by DTN.

@ES# rolled over to a new month yesterday, so I'm now working with the new chains.

stargrazer
-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 15, 2022 10:33 AM          Msg. 4 of 13
Any thoughts on a resolution to keeping the chains fully loaded with their symbols?

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Mar 15, 2022 11:47 AM          Msg. 5 of 13
If I do this command right now:

CFO,@ESM22,cp,,,1


I get 1,607 calls and 1,512 puts, (3,119 total) which is far less than the 5,782 in your original post. Including the year codes 23 makes no difference to the result. None of these 3,119 symbols duplicate each other. Is the problem that there are duplicate symbols, or that some symbols are missing? Can you provide an example of an option symbol that the CFO command doesn't turn up?

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

stargrazer
-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 15, 2022 09:33 PM          Msg. 6 of 13
This is my request:
CFO,@ESM22,cp,,234,1,CFO-@ESM22

These are the summary results:
underlying: @ESM22
chain: 2022-Mar-21 has 324 entries
#strikes=324, #calls=317, #puts=324
chain: 2022-Mar-23 has 303 entries
#strikes=303, #calls=297, #puts=303
chain: 2022-Mar-25 has 309 entries
#strikes=309, #calls=307, #puts=170
chain: 2022-Mar-28 has 304 entries
#strikes=304, #calls=297, #puts=304
chain: 2022-Mar-30 has 85 entries
#strikes=85, #calls=44, #puts=41
chain: 2022-Mar-31 has 344 entries
#strikes=344, #calls=344, #puts=0
chain: 2022-Apr-01 has 45 entries
#strikes=45, #calls=24, #puts=30
chain: 2022-Apr-04 has 6 entries
#strikes=6, #calls=6, #puts=0
chain: 2022-Apr-08 has 9 entries
#strikes=9, #calls=7, #puts=2
chain: 2022-Apr-14 has 247 entries
#strikes=247, #calls=247, #puts=247
chain: 2022-Apr-29 has 243 entries
#strikes=243, #calls=243, #puts=0
chain: 2022-May-20 has 249 entries
#strikes=249, #calls=249, #puts=249
chain: 2022-May-31 has 244 entries
#strikes=244, #calls=244, #puts=0
chain: 2022-Jun-17 has 257 entries
#strikes=257, #calls=257, #puts=257
EmitChainSummary total sum(call + put)=4810


Here is an excerpt of part of the summary. even ATM options are missing. Many calls have no paired puts, and many puts have no paired calls. I would say this is an incomplete data set. In my previous request, someone did something behind the scenes to restore the dataset. Perhaps there is a ticket for that fix you could look at?
chain: 2022-Apr-01 has 45 entries
2100: , @EW1J22P210000
2550: , @EW1J22P255000
3160: , @EW1J22P316000
3170: , @EW1J22P317000
3180: , @EW1J22P318000
3190: , @EW1J22P319000
3210: , @EW1J22P321000
3220: , @EW1J22P322000
3230: , @EW1J22P323000
3240: , @EW1J22P324000
3260: , @EW1J22P326000
3510: @EW1J22C351000,
3520: @EW1J22C352000,
3530: @EW1J22C353000,
3540: @EW1J22C354000,
3550: @EW1J22C355000,
3560: @EW1J22C356000,
3565: @EW1J22C356500, @EW1J22P356500
3570: @EW1J22C357000,
3575: @EW1J22C357500, @EW1J22P357500
3580: @EW1J22C358000,
3585: @EW1J22C358500, @EW1J22P358500
3595: @EW1J22C359500, @EW1J22P359500
3605: @EW1J22C360500, @EW1J22P360500
3615: @EW1J22C361500, @EW1J22P361500
3625: @EW1J22C362500, @EW1J22P362500
3635: @EW1J22C363500, @EW1J22P363500
3645: @EW1J22C364500, @EW1J22P364500
3690: @EW1J22C369000,
3695: @EW1J22C369500,
3700: @EW1J22C370000,
3705: @EW1J22C370500,
3710: @EW1J22C371000,
3715: @EW1J22C371500,
3720: @EW1J22C372000,
4515: , @EW1J22P451500
4520: , @EW1J22P452000
4525: , @EW1J22P452500
4530: , @EW1J22P453000
4535: , @EW1J22P453500
4580: , @EW1J22P458000
4585: , @EW1J22P458500
4590: , @EW1J22P459000
4630: , @EW1J22P463000
4660: , @EW1J22P466000
chain: 2022-Apr-04 has 6 entries
3675: @E1AJ22C367500,
3680: @E1AJ22C368000,
3685: @E1AJ22C368500,
3690: @E1AJ22C369000,
3695: @E1AJ22C369500,
3700: @E1AJ22C370000,
chain: 2022-Apr-08 has 9 entries
3605: @EW2J22C360500,
3610: @EW2J22C361000,
3615: @EW2J22C361500,
3620: @EW2J22C362000,
3625: @EW2J22C362500,
3630: @EW2J22C363000,
3635: @EW2J22C363500,
4550: , @EW2J22P455000
4560: , @EW2J22P456000

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Mar 16, 2022 03:58 PM          Msg. 7 of 13
We are investigating this now. I will post when I have an update.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

stargrazer
-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 24, 2022 02:45 PM          Msg. 8 of 13
Any updates?

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Mar 28, 2022 02:47 PM          Msg. 9 of 13
This is still in the works. We are testing how the CEO responses are generated, and making sure it works as it should. There is definitely something that needs to be corrected, but we are still investigating.

One thing I can tell you is: don't assume that the number of Put and Call options will always match. IQFeed doesn't add options contracts until they trade at least once. IQFeed does not add options contracts until they trade for the first time. So it is possible for both "sides" of an option to have different numbers of symbols.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

stargrazer
-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 28, 2022 03:03 PM          Msg. 10 of 13
For what it is worth, I can probably understand the 'first trade' concept, but a few counter-facts which may help troubleshoot:

* IB has pretty good open interest on all chains in the usual trading range, so I think the 'first trade' has been triggered for many of the primary missing symbols

* in the other referenced thread, Steve was able to confirm that a 'watch' will indicate that the symbol is active and available

* all this would indicate there is some 'missing part' in the code which does generate the CEO responses. I've been able to generate a few 'flaky' responses from that that CEO request depending upon the combination of parameters provided (which yields a window into backend tooling, which, if I recall the message, seems to be Perl).

* in that other thread, someone did something in the background, and magically, all the symbols that I thought should be there, did show up.

* so.... I'd say there is an ugly bug or two waiting to be unearthed there somewhere :-) to provide the complete chains based upon what you see as actively traded options

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Mar 28, 2022 05:02 PM          Msg. 11 of 13
I'll pass all this information along to the dev team. Thanks.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Mar 31, 2022 02:02 PM          Msg. 12 of 13
OK, I have some new information to add here. To clarify something I said earlier:

Quote: IQFeed doesn't add options contracts until they trade at least once.


I meant "to the Option Chains command", not in general. Option symbols can exist in the IQFeed system, even if they have never been traded. So these symbols will exist in the system; a watch or historical request will work fine. The problem is they are sometimes not added to Option Chains when they should be, which leads to the omissions you discovered in CEO and similar commands. We have identified the problem and are testing a fix for it now. There is no ETA as yet, but I'll post when I have an update.

Also, it doesn't have to be traded; just having a bid/ask quote is enough. So I misspoke when I said "traded at least once."

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Jun 21, 2022 02:14 PM          Msg. 13 of 13
For the record, the behavior of the Option Chains command has been improved, and users should no longer see situations like this.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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