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Add Option Type Filter to REST API Request

Is there a way to filter out European Options only in the on demand Time Series request.

Currently the way I use to get options data is to get options chain using historical chain request, and then use the RIC I get the request settlement price.

However, for Crude Oil contract only, CME CL, I get more than 100,000 contracts, which I believe contain all kinds of option with CL as underlying asset. Is there a way to filter out just European Options rather than get all kinds of Options.

Also, is there a way to set a limit of range for strike price based on ATM price when we get the RIC. Really surprised that Reuters provide strike that are really deep in the money and out of money which would not have any trade during the whole year.

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@kf2449,

What do you mean by "European options" ?

  • If you mean "quoted on European exchanges", you could make a Terms and Conditions request to retrieve the Issuer Country Code or the Exchange Code, which would allow you to select which RICs are of interest.
  • If you mean "have a European exercise style" (in opposition to "American exercise style"), you could make a Terms and Conditions request to retrieve the Exercise Style, which would allow you to select which RICs are of interest.

There is no such filter on data extraction requests, so you would first have to filter your RIC list using the results of a T&C request. Adding the T&C request brings some overhead, so following this route will only be effective if the following data request is for a large number of fields or a big date range.

As explained in this separate thread, there is no possibility to limit the results to options where the strike price is around the ATM price (a definition of "around" would be quite subjective by the way).

It might seem surprising that we provide strike prices that are really deep in the money and out of money, but that is simply because we deliver all the data from the exchanges. You can consider that as a "gold copy", which entirely represents and respects what market participants did, without any bias. Data filtering must be done by the consumer, following his own rules.

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Could you provide some information about how to add the do the terms and conditions request in the on demand mode to filter out only the options with exercise style of European, try to find some more information in the API docs but only find something that seems to be used only in scheduled request template generation

DSS REST Tutorial 7 shows an On Demand T&C request (that call works the same for DSS and TRTH customers).

It is not possible to filter the returned data in the request. You must filter the data in your own code, after receiving it from our servers. In other words, you would:

  1. Convert the chain to RICs with /Search/HistoricalChainResolution
  2. Do a T&C on those RICs to retrieve field Exercise Style
  3. Select the RICs which have European Exercise style in your own code
  4. Make the Time Series request for those RICs.

On Demand or Scheduled is just a workflow choice, see here for a comparison.

Does this help?

Thanks, this is helpful, let me try it now