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»Forums Index »IQFeed Developer »IQFeed Developer Support »Futures Options Chain is 'corrupt'.
Author Topic: Futures Options Chain is 'corrupt'. (9 messages, Page 1 of 1)

stargrazer
-DTN Guru-
Posts: 296
Joined: Jun 13, 2005

Right Here & Now


Posted: Feb 27, 2022 01:44 PM          Msg. 1 of 9
If I perform a chain request for @ESH22 for one month, the call side of the ':' and the put side seem to be very similar. Meaning there are puts on the call side and calls on the put side:

chain response: CFO-@ESH22,LC,@E1AH22C372000,@E1AH22C372500,@E1AH22C373000,@E1AH22C373500,@E1AH22C374000 ...

,:,


@E1AH22C372000,@E1AH22C372500,@E1AH22C373000,@E1AH22C373500,@E1AH22C374000,@E1AH22C374500,@E1AH22C375000, .....

Which means the put side is somewhat of a duplication of the call side. I havn't looked at all entries, but in this one month query, there are 2724 entries with many/most of the them duplicates (> 1300)

I have not checked yet if this is occurring for the equity requests as well.

DTN_Steve_S
-DTN Guru-
Posts: 2090
Joined: Nov 21, 2005


Posted: Feb 28, 2022 06:33 AM          Msg. 2 of 9
Hello, can you give us the exact request you are sending to the feed?

Also, is the issue still occurring? If so, does it also happen with our chains app that is included with IQFeed (the app sorts symbols by position in the return message in relation to the : field)?

This morning, I do not seem to be able to duplicate the issue.

stargrazer
-DTN Guru-
Posts: 296
Joined: Jun 13, 2005

Right Here & Now


Posted: Feb 28, 2022 10:30 AM          Msg. 3 of 9
Try running this one:
CFO,@ESH22,cp,,,1,LU1 

You should get something like:
CFO,@ESH22,cp,,,1,LU1
LU1,@E1AH22C372000,@E1AH22C372500,@E1AH22C373000,@E1AH22C373500,@E1AH22C374000,@E1AH22C3745

Then look for the separating : and you'll see the same thing repeated:
:,@E1AH22C372000,@E1AH22C372500,@E1AH22C373000,@E1AH  ..... 

So you will see two issues:

* only calls should be before the : and puts after (which does not hold in this example)
* the stuff before the : is repeated after the :

Are you able to replicate that?

My example is directly from the telnet session.


What is the command which works for you?
Edited by stargrazer on Feb 28, 2022 at 10:30 AM
Edited by stargrazer on Feb 28, 2022 at 10:53 AM

stargrazer
-DTN Guru-
Posts: 296
Joined: Jun 13, 2005

Right Here & Now


Posted: Feb 28, 2022 10:52 AM          Msg. 4 of 9
Quote: If so, does it also happen with our chains app that is included with IQFeed (the app sorts symbols by position in the return message in relation to the : field)?

In my program, it says that query has around 2724 options. In your chains app, is says about 633 calls, 751 puts. Which when totalled, is about half of 2724 from a few days a go.

Also, your app is showing that there is a different number of puts than calls. Should that number be so out of balance?
Edited by stargrazer on Feb 28, 2022 at 10:53 AM

DTN_Steve_S
-DTN Guru-
Posts: 2090
Joined: Nov 21, 2005


Posted: Feb 28, 2022 11:01 AM          Msg. 5 of 9
I can replicate the issue with your request.

Here is the request that our chains app uses (pulled from the IQFeed Logfile).

CFO,@ESH22,pc,,23,1,LookupChains

It appears the server is not handling the case where you are not sending the year codes. I have alerted our server team about this but the workaround is to send that field.

-edit- Just noticed your second post. I'll take a closer look at the contracts returned. I don't believe this behavior should have changed since last week.
Edited by DTN_Steve_S on Feb 28, 2022 at 11:03 AM

stargrazer
-DTN Guru-
Posts: 296
Joined: Jun 13, 2005

Right Here & Now


Posted: Feb 28, 2022 11:13 AM          Msg. 6 of 9
With the revised query, there are 1385 options. And I think the puts and calls are now properly segmented.
Now that I know how to perform the query, there is still something else. The put / call list doesn't seem complete. When looking at chains in Interactive Brokers, they seem to be complete, but your list doesn't seem to be. Only two chains seem to have about the correct number of puts/call. The others seem to be missing entries:

chain: 2022-Feb-28 has 268 entries
#strikes=268, #calls=249, #puts=247
chain: 2022-Mar-02 has 64 entries
#strikes=64, #calls=35, #puts=29
chain: 2022-Mar-04 has 71 entries
#strikes=71, #calls=50, #puts=21
chain: 2022-Mar-07 has 78 entries
#strikes=78, #calls=58, #puts=20
chain: 2022-Mar-09 has 36 entries
#strikes=36, #calls=24, #puts=12
chain: 2022-Mar-11 has 54 entries
#strikes=54, #calls=39, #puts=15
chain: 2022-Mar-14 has 45 entries
#strikes=45, #calls=29, #puts=16
chain: 2022-Mar-16 has 10 entries
#strikes=10, #calls=7, #puts=3
chain: 2022-Mar-18 has 261 entries
#strikes=261, #calls=256, #puts=255
EmitChainSummary total sum(call + put)=1365


As an example of one of the ones with missing entries, here is an example (whole strikes are missing, and no strike has a complete put/call entry):
chain: 2022-Mar-09 has 40 entries
3690: @E2CH22C369000,
3700: @E2CH22C370000,
3710: @E2CH22C371000,
3720: @E2CH22C372000,
3730: @E2CH22C373000,
3740: @E2CH22C374000,
3750: @E2CH22C375000,
3755: @E2CH22C375500,
3760: @E2CH22C376000,
3765: @E2CH22C376500,
3770: @E2CH22C377000,
3775: @E2CH22C377500,
3780: @E2CH22C378000,
3785: @E2CH22C378500,
3800: @E2CH22C380000,
3805: @E2CH22C380500,
3810: @E2CH22C381000,
3815: @E2CH22C381500,
3820: @E2CH22C382000,
3825: @E2CH22C382500,
3830: @E2CH22C383000,
3910: @E2CH22C391000,
3915: @E2CH22C391500,
3920: @E2CH22C392000,
4485: , @E2CH22P448500
4490: , @E2CH22P449000
4495: , @E2CH22P449500
4500: , @E2CH22P450000
4580: , @E2CH22P458000
4585: , @E2CH22P458500
4625: , @E2CH22P462500
4630: , @E2CH22P463000
4635: , @E2CH22P463500
4640: , @E2CH22P464000
4645: , @E2CH22P464500
4650: , @E2CH22P465000
4655: , @E2CH22P465500
4660: , @E2CH22P466000
4665: , @E2CH22P466500
4670: , @E2CH22P467000

Edited by stargrazer on Feb 28, 2022 at 11:14 AM
Edited by stargrazer on Feb 28, 2022 at 11:26 AM

stargrazer
-DTN Guru-
Posts: 296
Joined: Jun 13, 2005

Right Here & Now


Posted: Feb 28, 2022 03:40 PM          Msg. 7 of 9
The other interesting aspect here is that, as I write this, ATM is 4370. The two symbols would be:
@E2CH22C437000
@E2CH22P437000

both exist in the system (but aren't listed in the chain as shown in my previous message):
w@E2CH22C437000
F,@E2CH22C437000,22,,,114.75,18.75,,,,,,,,,,,,E-MINI S&P 500 WEDNESDAY WEEK 2 MARCH 2022 CALL 437000,,,,,,,,,,,,12,2,,0.28,9,43,02/17/2022,02/24/2022,,,,,,03/09/2022,4370.00,,E2C,,,18:00:00,17:00:00,USD,,------------,0.25,,,,
P,@E2CH22C437000,55.75,0,14:56:09.178157,43,34,71.00,19,72.50,24,74.00,74.50,50.00,76.00,Cbasohlcv,01,
Q,@E2CH22C437000,55.75,0,14:56:09.178157,43,34,71.25,2,72.50,24,74.00,74.50,50.00,76.00,b,01,

w@E2CH22P437000
F,@E2CH22P437000,22,,,,,,,,,,,,,,,,E-MINI S&P 500 WEDNESDAY WEEK 2 MARCH 2022 PUT 437000,,,,,,,,,,,,12,2,,0.28,9,43,,,,,,,,03/09/2022,4370.00,,E2C,,,18:00:00,17:00:00,USD,,------------,0.25,,,,
P,@E2CH22P437000,,,,,0,70.50,17,71.50,2,,,,66.00,bascv,01,

Q,@E2CH22P437000,,,,,0,70.75,1,71.50,2,,,,66.00,b,01,

DTN_Steve_S
-DTN Guru-
Posts: 2090
Joined: Nov 21, 2005


Posted: Feb 28, 2022 03:46 PM          Msg. 8 of 9
You are correct. We found the same results and I was just typing up a response when you posted. All the symbols are in the system, just not getting to the chains server currently. We are still investigating an will let you know when we have a fix available.
Edited by DTN_Steve_S on Feb 28, 2022 at 03:46 PM

stargrazer
-DTN Guru-
Posts: 296
Joined: Jun 13, 2005

Right Here & Now


Posted: Mar 2, 2022 01:44 PM          Msg. 9 of 9
Looks like some fixes have been put in!

underlying: @ESH22
chain: 2022-Mar-02 has 341 entries
#strikes=341, #calls=341, #puts=341
chain: 2022-Mar-04 has 342 entries
#strikes=342, #calls=342, #puts=342
chain: 2022-Mar-07 has 341 entries
#strikes=341, #calls=341, #puts=341
chain: 2022-Mar-09 has 341 entries
#strikes=341, #calls=341, #puts=341
chain: 2022-Mar-11 has 341 entries
#strikes=341, #calls=341, #puts=341
chain: 2022-Mar-14 has 341 entries
#strikes=341, #calls=341, #puts=341
chain: 2022-Mar-16 has 316 entries
#strikes=316, #calls=316, #puts=316
chain: 2022-Mar-18 has 369 entries
#strikes=369, #calls=369, #puts=369
EmitChainSummary total sum(call + put)=5464

Thank you.
 

 

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