
stargrazer
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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,
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DTN_Gary_Stephen
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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
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stargrazer
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Posted: Mar 11, 2022 12:00 PM

Msg. 3 of 13
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stargrazer
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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?
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DTN_Gary_Stephen
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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
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stargrazer
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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
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DTN_Gary_Stephen
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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
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stargrazer
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Posted: Mar 24, 2022 02:45 PM

Msg. 8 of 13
Any updates?
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DTN_Gary_Stephen
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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
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stargrazer
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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
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DTN_Gary_Stephen
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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
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DTN_Gary_Stephen
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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
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DTN_Gary_Stephen
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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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