Futures and options chains

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Question by joris · Feb 09, 2018 at 06:15 AM · options futures

Futures and options chains

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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Answer 1 · 2018-02-12T07:22:43Z

REFINITIV

Best Answer

Answer by Zhenya Kovalyov · Feb 12, 2018 at 07:22 AM

hi @joris,

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

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

result:

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.

screen-shot-2018-02-12-at-115542.png (90.8 KiB)

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Answer 2 · 2018-02-12T09:00:50Z

Answer by joris · Feb 12, 2018 at 09:00 AM

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

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Futures and options chains

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