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kai fang avatar image
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easy way to get option futures data

I am wondering whether there is an easy way to get all options data with underlying like CME CL/NG. currently the way i do it is to download the options chain by using the the RIC: 0#CL+, and there would be more than 10000 ric identifier I get, which makes it really difficult to download useful data, as most of them would not have any data as they are not traded during that date. and I have to seperate it into small basket to request data as 10000 is too much to put in the request and the api complain about it.

So I am wondering whether there is a way to download only validated options data, do not get those ric for options not active at the current date, or limit the options strike around the ATM options price.

so the ric chain would be shorter.

Or is there a way to directly download data using the ric 0#CL+ rather than find the options chain firstly.

The API i use is ElektronTimeseriesExtractionRequest.

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veerapath.rungruengrayubkul avatar image   veerapath.rungruengrayubkul

@kf2449, This is a private post

Considering your query, we moved it to the TRTH forum, it seems more appropriate, and will help people discover it.

AHS

Christiaan Meihsl avatar image Christiaan Meihsl

Somewhat related to this query.

chavalit-jintamalit avatar image   chavalit-jintamalit

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question. Thanks, AHS

moragodkrit.chumsri_1 avatar image moragodkrit.chumsri_1

@kf2449

Thank you for your participation in the forum.

Are any of the replies below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the reply that best answers your question. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.


Thanks,
-AHS

chavalit-jintamalit avatar image   chavalit-jintamalit

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such. Thanks, AHS

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Christiaan Meihsl avatar image
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@kf2449,

Effectively, using /Search/HistoricalChainResolution to convert the chain to RICs, I see there are currently slightly more than 100k RICs in that chain.

All extraction requests have a limit on the number of instruments; for an Elektron Timeseries Extraction Request it is 30'000 instruments. This is for obvious technical reasons, to avoid overburdening the servers with huge queries.

The servers can only determine if an instrument is active or not at a specific date or date range when the extraction is actually performed, it is not possible to know that in advance. In other words, it is not possible to get only those RICs that were active at a specific date.

And there is no possibility to limit the results to options where the strike price is around the ATM price, for the same reason.

So the only solution I see is to convert the chain to RICs, and then make several data extraction requests that each respect the instrument limit .

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