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chito_j has contributed to 6 posts out of 21193 total posts
(0.03%) in 5,264 days (0.00 posts per day).
20 Most recent posts:
Hi Jay
Will DTN still be posting daily (per an earlier eMail on this thread) or just weekly? If the latter, will it be on Fridays (eg, the next one will be for the 22nd)?
Thanks
Hi Jay
Can you post the URL for 2010 data? I've tried variations of the URL from an earlier posting on this thread, but haven't been able to access the right location
Thanks
Thanks for opting to publish daily updates. Can you confirm the location . . . I tried the above URL with a modified date (for the 21st) but was unable to link to a file
Thanks Steve . . . the data file is just what I was looking for!
I ran the contents through our index analytics and we got about 99% of the expected universe we were after. The missing 1% seems to arise with valid contracts that have 0-bid & 0-ask (eg, SZJ LP, new symbol SZJ1117L280 - underlying is SPX). Would it be possible to include these also (since our analytics would like to see the entire chain)?
I'd also suggest that a fresh set be published weekly (so that new contracts get picked up) until the OSI symbology goes industry-wide on Feb 12. I think many of your options users will find this quite useful.
Again, many thanks to you and the server team for a timely and comprehensive response. If only other vendors could be as good . . .
Hi Steve
An exchange code will discriminate between two interlisted contracts issued with the same expiry and strike (eg, we've come across this with BKX - the bank index - in the past, though I can't see anything at this time that I can forward as an active example)
However, even the full expiry date data (ie, mm/dd/yyyy or some variant) will take care of the bulk of the problems I'm encountering re generating a clean map
Also, it would be great if these inputs (ie, exp.dt | exchg) to my mapping utility could be provided as part of the end-of-day symbol file (ie, the zip'd one). I can then align the current OPRA code with the new OSI symbol in return (also in csv fmt)
Thanks / ... Chito
I've been faced with the same problem, and I've been able to create a map (at least for the index options which is my universe). However, I still have issues with a sizeable minority of (important) symbols. To produce a clean data set, is there a way DTN can provide :
a) the complete expiry date (eg, so I can distinguish month-end from 3rd Friday) b) actual traded exchange (so I can resolve the interlisteds like the bank index BKX)
I don't seem to be able to get the above data via the IQFeed symbol dump. Any way to get at these? Am happy to freely share the mapping
Thanks
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