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CME FX Options Strike Price Multiplier

We are using the FuturesAndOptionsSearch to match instruments we get form a client to that of the Refinitiv symbol. We have an issue with some of the CME FX Options for the following RicRoots EUU,GBU,JPU,CAU.

We know that Refinitiv apply a Strike Price Multiplier to these instruments and this information can be gathered from the Terms and Conditions Report. In order to run a Terms and Condintions report we must first know which RIC to use, but as the client sends the strike price as per the exchange it doesn't match what Refinitiv is expecting

Clients sends this with the Strike Price of '1.105'

{

"SearchRequest":{

"StrikePrice":{

"@odata.type":"#DataScope.Select.Api.Search.NumericValueComparison",

"Value":"1105"

},


"PutCall":"Put",

"ExpirationDate":{

"@odata.type":"#DataScope.Select.Api.Search.DateRangeComparison",

"From":"2022-12-21T00:00:00.000Z",

"To":"2023-02-28T00:00:00.000Z"

},


"IdentifierType":"RICRoot",

"Identifier":"EUU",

"PreferredIdentifierType":"Ric",

"FuturesAndOptionsType":null

}

}

Nothing gets returned as Refinitiv have the Strike Price with Multiplier as '1105'


{

"SearchRequest":{

"StrikePrice":{

"@odata.type":"#DataScope.Select.Api.Search.NumericValueComparison",

"Value":"1105"

},


"PutCall":"Put",

"ExpirationDate":{

"@odata.type":"#DataScope.Select.Api.Search.DateRangeComparison",

"From":"2022-12-21T00:00:00.000Z",

"To":"2023-02-28T00:00:00.000Z"

},


"IdentifierType":"RICRoot",

"Identifier":"EUU",

"PreferredIdentifierType":"Ric",

"FuturesAndOptionsType":null

}

}

Is there any way of getting the SPM information before the Terms and Conditions?

datascope-selectapi#content
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Hi @jason.dance,

May I ask (i) if using the search you are referring to is this search API? (ii) what language you are coding your solution in?

@jonathan.legrand its DataScope Select REST API
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@jason.dance

This method may not be effective.

After getting a RIC from the FuturesAndOptionsSearch, you still need to use the Terms and Conditions report template to get the SPM. Then, use the SPM with the Strike Prices to search for RICs.

You may save the retrieved SPM of this RIC root in a file or database for the next searches.

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Am currently just using the REST API via postman

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@jason.dance

Thanks for reaching out to us.

If all RICs in the same RIC root use the same SPM, you can use the FuturesAndOptionsSearch to retrieve some sample RICs from the RIC root and then use those RICs to get the SPM.

Otherwise, you may contact the Datascope Select support team directly via MyRefinitiv for other solutions.

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I'm not sure I understand, this is the result from the FuturesAndOptionsSearch using the RICRoot 'EUU' from here I can get the RIC 'EUU1170C3' but where does it shows what SPM its using?

1675946040782.png


1675946040782.png (32.1 KiB)
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@Jirapongse Ok I see what you're saying, not ideal but it's a workable solution for now. Really appreciate your help.

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