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ericjohnson has contributed to 2 posts out of 21199 total posts
(0.01%) in 205 days (0.01 posts per day).
20 Most recent posts:
Data Questions »
5MS market snapshot Close field seems wrong, opra JPM2313V143 2023-10-13T09:58:38-04:00 Oct 15, 2023 09:20 AM
(Total replies: 1)
Ah: 0.99 is the price of the last trade on that option from Thursday. So it is the previous day's closing price.
Data Questions »
5MS market snapshot Close field seems wrong, opra JPM2313V143 2023-10-13T09:58:38-04:00 Oct 15, 2023 09:16 AM
(Total replies: 1)
From a 5MS market snapshot taken on Friday, at 2023-10-13T10:05:19.859237-04:00, of the opra options market: market_summary_5MS_opra_2023-10-13T10:05:19.859237-04:00 $ tm : chr "2023-10-13T09:58:38-04:00" $ Symbol : chr "JPM2313V143" $ Exchange : int 14 $ Type : int 2 $ Last : num 0.02 $ TradeSize : int 1 $ TradedMarket : int 108 $ TradeDate : int 20231013 $ TradeTime : int 95838 $ Open : num 0.03 $ High : num 0.05 $ Low : num 0.01 $ Close : num 0.99. <<< how can the Close be this high? High is only 0.05, as seen here and in the tick trade prints for this symbol. $ Bid : num 0.01 $ BidMarket : int 156 $ BidSize : int 9 $ Ask : num 0.02 $ AskMarket : int 156 $ AskSize : int 42 $ Volume : int 821 $ PDayVolume : int 1724 $ UpVolume : int 0 $ DownVolume : int 0 $ NeutralVolume : int 0 $ TradeCount : int 118 $ UpTrades : int 0 $ DownTrades : int 0 $ NeutralTrades : int 0 $ VWAP : logi NA $ MutualDiv : logi NA $ SevenDayYield : logi NA $ OpenInterest : int 1425 $ Settlement : logi NA $ SettlementDate: logi NA $ ExpirationDate: int 20231013 $ Strike : num 143 When I pull the trade for that JPM option symbol and look at last trade price (in Close), and bid and ask (in $lo and $hi respectively): > summary(a$close) Min. 1st Qu. Median Mean 3rd Qu. Max. 0.01000 0.01000 0.01000 0.01567 0.02000 0.05000 > summary(a$hi) Min. 1st Qu. Median Mean 3rd Qu. Max. 0.01000 0.01000 0.02000 0.02106 0.02000 0.08000 > summary(a$lo) Min. 1st Qu. Median Mean 3rd Qu. Max. 0.000000 0.000000 0.010000 0.009355 0.010000 0.030000 > So the Close 0f 0.99 seems outlandish or just crazy wrong. Here is what my CSV output looks like. Perhaps I have done something wrong with the header alignment... hmm. tm,Symbol,Exchange,Type,Last,TradeSize,TradedMarket,TradeDate,TradeTime,Open,High,Low,Close,Bid,BidMarket,BidSize,Ask,AskMarket,AskSize,Volume,PDayVolume,UpVolume,DownVolume,NeutralVolume,TradeCount,UpTrades,DownTrades,NeutralTrades,VWAP,MutualDiv,SevenDayYield,OpenInterest,Settlement,SettlementDate,ExpirationDate,Strike ... 2023-10-13T09:58:38-04:00,JPM2313V143,14,2,0.02,1,108,20231013,95838,0.03,0.05,0.01,0.99,0.01,156,9,0.02,156,42,821,1724,0,0,0,118,0,0,0,,,,1425,,,20231013,143.000 the request sent at 2023-10-13 09:05:19.869 -0500 CDT was: S,SET PROTOCOL,6.2 5MS,2,14 Is there some user error, or is the Close field buggy in the 5MS for opra? |
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