Cannot retrieve Options Expiration Date for FX Future Options

ph
ph Newcomer

I am trying to retrieve the expiration date ,strike price, put call flag and underlying ric for a list of FX future Options. (e.g. Japanese Yen Futures Options, Euro Futues Options etc. ) I get the list of options Ric Code by expanding the chain on Ric Root 1JPU for yen.

The following code works for S&P future options (e.g.EV3W1000A8) but does not seem to work for any FX future Options (e.g. 1JPU1095C8)

DateTime dateBegin = new DateTime(2018, 01, 03);
DateTime dateEnd = new DateTime(2018, 01, 06);

ExtractionsContext ExtractionsContext = ContextHelper.CreateExtractionsContext();

var extractionRequest = new HistoricalReferenceExtractionRequest
{
IdentifierList = InstrumentIdentifierList.Create(new[]
{

new InstrumentIdentifier {Identifier = "1JPU1095C8", IdentifierType = IdentifierType.Ric}

}, new InstrumentValidationOptions
{
AllowHistoricalInstruments = true
}, false),
ContentFieldNames = new[] { "Strike Price", "Expiration Date", "Put Call Flag","Underlying RIC"
},
Condition = new HistoricalReferenceCondition()
{
StartDate = dateBegin,
EndDate = dateEnd
}
};
var extractionResult = ExtractionsContext.ExtractWithNotes(extractionRequest);

Best Answer

  • warat.boonyanit
    Answer ✓

    Hi @ph

    You have to use <JPU1095C8>.Only Composite RIC available on TRTH.

    <1JPU1095C8> is Electronic Trading RIC.

    <2JPU1095C8> is Floor Trading RIC.

Answers

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    I couldn't get the data as yours. Have you seen any errors in the note file?

    For me, I got this error.

    Quota Message: INFO: Tick History Options Quota Count Before Extraction: 82; Instruments Approved for Extraction: 0; Tick History Options Quota Count After Extraction: 82, 164% of Limit; Tick History Options Quota Limit: 50

    Quota Message: ERROR: The RIC 'JPU' in the request would exceed your quota limits. Adjust your input list to continue.

    Quota Message: WARNING: Tick History Options Quota has been reached or exceeded

    Quota Message: Note: Quota has exceeded, however, it is not being enforced at this time but you can still make your extractions and instruments are still being counted. Please contact your Account Manager for questions.