Futures and options chains

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joris
joris Newcomer
in Eikon Data APIs

Hi,

how can I get a futures list and their expiry date into the python API.

Basically I want to import all futures linked to e.g. 0#W: with their expiry. I would also like to import the option chain linked to a future.

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Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG
    Answer ✓

    hi @joris,

    you can get the futures/expiration dates with one request:

    req, err = tr.get_data(['0#W:'], ['EXPIR_DATE'])

    result:

    image

    I could not find a good way to extract the option chains though, you might have to parse it from the contract specification pages (CBT/W) or, in this case, by adding a + to the contact root: 0#W+.

    You can also read this to get all underlying instruments for an options chain.

Answers

  • joris
    joris Newcomer

    thanks, yes afraid the tr option data model is wobbly at best ;-(

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