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

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Question by Deepak.Mishra · Jan 05, 2019 at 10:17 AM · eikon eikon-data-api dss-rest-api eikon-com-api derivatives

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)

optwatcheik.png (196.9 KiB)

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Zhenya Kovalyov ♦♦ · Jan 07, 2019 at 05:19 AM 0

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

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Deepak.Mishra · Jan 07, 2019 at 05:23 AM 0

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Either is fine, just need data in that format

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Zhenya Kovalyov ♦♦ · Jan 07, 2019 at 05:27 AM 0

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

Answer 1 · 2019-01-07T05:36:54Z

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Best Answer

Answer by Zhenya Kovalyov · Jan 07, 2019 at 05:36 AM

@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.

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

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