I am pulling historic option data for backtesting.

I need to be able to discover the option chain symbols for options that have expired in order to be able to then request the historic data for the chains of interest.

There does not appear to be any way to find out the symbol names (with strike prices) for those (past) option chains... is this correct?

I am currently using TCP/IP, and I can query *current* (non-expired) option chains by using the CEO command. If this command included a way to specify the *year* (such as 2011, or 2010), then I would be able to query symbols for those past years, but it doesn't take a year parameter (i.e., it assumes forward looking, non-expired symbols only are of interest).

If there is no API based way to query this info, would it be possible to get access to a txt file listing all the EXPIRED option symbols that have historical data available?

Since IQFeed *does* support retrieving historic option data it seems only fair that there should be a way to discover which symbols are available :)

Thank You.

At this time, there is no way of retrieving a list of expired symbols from the feed.

However, you should be able to pretty closely build a list of expired options fairly simply using the OSI symbology.

using the following page to know how the symbols are built, you should be able to build symbols for expired contracts:

http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=options&web=IQFeed&type=stock

Yes, initially I also thought it wouldn't be hard to build the option chain list myself and then "probe" it with the API.

Unfortunately, building the option chain without knowing the strike prices is proving to be problematic.

Is there any way IQFeed can make available a list of those symbols as a zipped txt file?

Here are some of the problems I've encountered trying to generate this list:

1) Because of the variation in strike price deltas one must "probe" many many symbols that turn out to be invalid to make sure one has tried every possible strike price that might exist. Finding the option chain for a single symbol can involve up to hundreds of separate queries (each requiring a network round trip), most of which turn out to be invalid symbols. This is very slow.

2) There is an anomaly where from time to time IQFeed will return what appears to be valid data for a query on an *invalid* option chain symbol. This causes "false positives" when trying to detect which option symbols exist in a chain. Conversely, on occasion a valid symbol query will return an error suggesting that the symbol doesn't exist, thus causing "false negatives".

Because of these problems it does not appear practical (or possible) to accurately generate a list of expired option chain symbols at the current time.

So... would it be possible for DTN to generate and make available a list of those symbols?

I would actually be willing to pay for the time and effort required for DTN to generate such a list! Please contact me to work out details :)

Providing a list of expired symbols (not just options) is something we have considered in the past and still comes up as discussion points every now and then. Unfortunately, due to the way that our history servers manage data, generating the list one time isn't as simple as running a database query or generating a directory listing. It will require either encorporating the list generation into an existing server piece or generating a new piece to manage the list of expired symbols and at that point it should be relatively easy to simply keep an updated list available via the feed or the website.

Basically, I'm not saying it can't be done. I'm simply saying that we don't have the necessary pieces in place to do it yet.

Is there any update on this? I'd be very interested in a solution to this as well

I would be interested in an update as well.

Unfortunately there hasn't been any progress on this due to other, higher priority, projects.

I would like to express interest in this feature as well. As building option chains from symbology sometimes is not feasible.

any updates?

Looking for a solution for this as well.

Thanks,
Mathieu

It is something that is on our books to add support for, but I do not have an ETA on it yet. We will definitely send out an update to all registered developers when this functionality is added.

Tim

Apart from historical, is there any advice for pulling just say, today's options chains that have trades?

To illustrate the problem: when I download the symbology .zip file for today, and exclude weeklies, for SPX alone there are 5405 symbols to query.

I thought I read somewhere that we're not allowed to rotate the symbol subscription list -- did I misunderstand? Or maybe the limits treat SPX as a single symbol so this isn't a problem? I'm just wondering how to subscribe to the SPX active option feed.

Hello,

Sorry for the delayed response. Unfortunately, at this time requesting each is the only way to retrieve this data. We understand that this will cause you to have to rotate through a large list and we are working on ways to improve this. But, I do not have an ETA on when that work will be completed.

However, when completed, I believe one request will give you what you are looking for. When we get to a testable point, we will email all of the active developers so you can download the beta and start using it.

I do not expect it to be soon, but it is something that we do know about and we are working to improve it. So for now, go ahead and loop through them and we'll work to get you something better as soon as we can!

Thanks,
Tim

Hey Tim, thanks for your reply.

Since you dont really offer any support yet, is it possible to download archived version of mktsymbols_v2.zip for every week? This way I will be able to build my chains...

Thanks

Good morning,

I came across this thread while trying to address the same issue myself and running into the same issues the original poster did.

Was this feature released or is there an updated ETA on when historical chains will be made available either in snapshot or via API?

Thanks!

Good morning,

Just a point of clarification, we are not going to have historical chains even when the currently planned changes are done. We do plan on providing an expired symbols list that you can parse, most likely as a download from our website, but that work is not complete yet.

I will try to get an update on the status for you and let you know.

Tim

Hello Tim,

Any updates regarding this request?

Thank you,
Mathieu

Hi Tim,

I am looking for the same. Any updates - just checking

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AK786

There is some work being done on our website currently and that bumped the automation back, but I did place a file up a couple weeks ago for everything that was expired up to that date if you want to take a look at it.

ftp://www.dtniq.com/beta/IEOPTION.zip

Thank you so so much Tim, This will get us going a long way

Can you please provide the header. Just want to make sure I get it right.

PEGA1716R35,2,PEGASYSTEMS JUN 17 P 35,,14,20170227

This is PEGA JUN 17 35 Put

What does the 2 refer to?
What is 14?
and is 20170227 the trade date when 14 contracts traded?

Thanks very much

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AK786

This message is for everyone who has been looking for "Reducing the number of Callbacks" to IQfeed for requesting options tick or daily data on a Daily Basis to avoid "False Positives"

https://www.theocc.com/webapps/cont-volume-download?reportDate=20170103&format=txt
where 20170103 = TradeDate
(this provided us with "Expirations" where Trading happened
If you are just focused on Front 2 months, that reduced the load even further.

This is not a perfect solution but reduces the load.

There are many different queries available for Batch Processing
https://www.theocc.com/market-data/batch-processing.jsp#http_volume_download_contract_date

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AK786

I asked for a header, we'll try to get that added to the file before it rolls out to production or at least get it documented.

SYMBOL,SEC_TYPE,DESCRIPTION,EXPIRATION_DATE,EXCHANGE,LAST_TRADE_DATE

I'll try to find out what the blank field is as well. But, it is probably security type specific is my guess.

Tim
Edited by DTN_Tim Walter on Aug 7, 2018 at 08:33 AM

Actually, the expiration date is the blank field, the other date is the last traded date.

I'll correct the email above to be accurate. Expiration can be inferred from the symbol, but we will look into that prior to release as well.

Tim

Tim

Q1. How do I join the Dev List so I can "TEST OUT" Beta products.

Q2. Can you provide a link to the LATEST "Options File" - i had the old one and Matt P helped me out on this one.

Q3. Any ETA on the list of the "traded products"

Thanks

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AK786

Tim,

Any updates?

Would appreciate your response. This is very critical to get me going.

Thanks

AK

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AK786

Q1. How do I join the Dev List so I can "TEST OUT" Beta products.

We send out beta notices to all active developers whenever a new version is available.

Q2. Can you provide a link to the LATEST "Options File" - i had the old one and Matt P helped me out on this one.

I am currently doing these manually about once a month, we will have an automated process in the future. They are always posted at the ftp link above. I have updated it per your request.

Q3. Any ETA on the list of the "traded products"

We are still probably a few months away unfortunately.

Tim

Tim,

I downloaded Daily Data for Equity Options. However the "Open Interest" is missing.

Can you please verify that this IS or IS NOT available?

Thanks,

(VERY Significant for my trading strategy)

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AK786

@AK786, I think that open interest is available.

You do have to use the Dynamic Fieldsets to request it.

Open interest is part of the update/summary structure.

http://www.iqfeed.net/dev/api/docs/Level1UpdateSummaryMessage.cfm

Frequently, however, open interest is zero for much of the chain. Cross reference against your broker to verify a non-zero expected value.

Good morning,

We do not have open interest on equities or equity options in the level one or history feeds.

I found this on Investopedia where they discuss it.

Open interest is commonly associated with the futures and options markets, where the number of existing contracts changes from day to day. This differs from the stock market, where the outstanding shares of a company's stock remain constant once a stock issue is completed.

https://www.investopedia.com/terms/o/openinterest.asp

Let me know if you need anything more on it though.

Tim

Sorry, guys we do have equity OPTION open interest. It is just the equities where it is not reported.

What was the request you were making to history and I can take a deeper look.

The last field is the open interest in this example.

HDX,GOOG1821I480,0,1
2018-02-02 08:14:47,646.50,645.50,646.50,645.50,2,2,
2018-02-05 08:14:47,619.50,585.90,619.50,585.90,2,4,
!ENDMSG!,

Tim,

This is so strange (NO changes to my code since yesterday)

Yesterday No Open Interest
TimeStamp,Open,High,Low,Close,PeriodVolume,OpenInterest
20180816,17.5,17.5,2.85,3.41,158,0,

Today, I see open interest.

Thank you anyways. You are very meticulous.

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AK786