question

Upvotes
Accepted
Deepak.Mishra avatar image
1 ●1 ●1 ●2

Option Watch Historical data with Around the Strike condition using Eikon API

I am trying to extract historical data for Equity/Index Option for only those strikes which are within +/-10% of the at the money strike. How can we get this using Eikon API. Is it possible to create a daily schedule in DSS where every day I need not to update the RIC of options strikes (it should always pull those options within +/-10% of ATM strike.

A sample of the data I want to extract ( historical)

eikoneikon-data-apidss-rest-apieikon-com-apiderivatives
optwatcheik.png (196.9 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Zhenya Kovalyov avatar image Zhenya Kovalyov

@Deepak.Mishra is your question about Eikon API or DSS?

Deepak.Mishra avatar image Deepak.Mishra

Either is fine, just need data in that format

Zhenya Kovalyov avatar image Zhenya Kovalyov

@Deepak.Mishra I suggest you post a separate question for DSS, I will provide you the response for Eikon API

1 Answer

Upvotes
Accepted
Zhenya Kovalyov avatar image
4.6k ●26 ●7 ●22

@Deepak.Mishra the only way to achieve this fully is with a VBA/Excel solution with AdxRtList (get at the money), RSearch (build a query to get the rics) and RHistory APIs (get the history).

You can find the tutorials here.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.