How can I get price data of historical/expired option?
If I use get_data function to get .SPX option data like this:
df,error= ek.get_data('0#SPX*.U',['CF_LAST','CF_BID','CF_ASK','CF_DATE','EXPIR_DATE','STRIKE_PRC'],{"SDate":'2017-12-21', "EDate":'2018-01-01'})
I can only get the latest snapshot of the option data, even if I have specified the date range. Can anyone help? Thanks in advance.
Best Answer
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The fields that you are using only exist in the real-time context.
You can get the historical values for the last, bid and ask with a using TR.BIDPRICE, TR.ASKPRICE and TR.CLOSEPRICE.
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Answers
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Thanks. It works for a known RIC (e.g.'/SPXi211829300.U'), but dose not work for '0#SPX*.U'. If I want data for an expired option, how can I find the RIC?
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I don't believe we carry any data in Eikon for expired options. You may want to verify this with Thomson Reuters Helpdesk by either calling the Helpdesk number in your country or by using Contact Us capability in your Eikon application.
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I have the same problem as you.
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Me, too. Previously, when I used Datastream, it had all of the expired option data. However, now in EIKON, I cannot find any expired options. Although I can see the Datastream interface in the DSCHART and all of the expired options, it seems that the "Symbol" in Datastream is not recognized by the Eikon API.
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Hi, was there a proper solution provided for this question? It is impossible to get historical option chains and related data in anyway unless you manually build out the historical rics individiaully, this is terribly tedious...
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If you have access to Datastream, then you can first extract the list of options for each underlying asset and then use VBA to download daily option data using Datastream Excel add-in. I've tried this for index options. Since I just used less than 30 indexes, it is feasible. Yet, if you want to download stock options and there are many stocks, this may be infeasible.
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