getting options chain for e-mini Options on Futures via REDI API

Hi , i am trying to build option using option chain. it work well for SPY, but not for ES symbol.

As a first step i am trying to get list of expiration, and for ES it is only Apr 20, Jan 20, Oct 19 and Sep 19.

How i can get more specific dates to build options like "ES 190920P00085000"?

I was trying use ESU9 instead of ES for September expiration, but expiration for ESU9 returns empty.

I am doing REDI call objOrder.GetExpirationDatesCount via C#. Please help me with getting expirations/ strike prices for options on futures. Thank you!

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Accepted answers

Brian.Mullane1

Hi @vladlen.chernyavskiy,

Options on futures symbols via the API are a little different.

Check this post if you haven't already: https://community.developers.refinitiv.com/questions/24597/how-do-i-trade-options-on-futures-via-redi-api.html
For S&P E-Minis, the objOrderSymbol = ‘R.ES-.EUR’.
Then, you can get the expirations and strikes.This sheet has sample code for that.

Please give this a try and let us know how it works out.

Thanks,

Brian

All comments

Brian.Mullane1

Hi @vladlen.chernyavskiy,

Options on futures symbols via the API are a little different.

Check this post if you haven't already: https://community.developers.refinitiv.com/questions/24597/how-do-i-trade-options-on-futures-via-redi-api.html
For S&P E-Minis, the objOrderSymbol = ‘R.ES-.EUR’.
Then, you can get the expirations and strikes.This sheet has sample code for that.

Please give this a try and let us know how it works out.

Thanks,

Brian

vladlen.chernyavskiy

Brian.Mullane for your quick answer! Yes, knowing R.ES-.EUR indeed helps to get expiration/strikes. The post your referring to explains how to place the order and it is clear as well. Only the missing part is: how i can subscribe to the e-mini option quotes? Let's say i am interested in Sept 13 expiration and price 3010. I can see in REDIPlus client opra put = 1esw23000u9.

But i don't getting the quotes for 1esw23000u9 neither via REDIplus client or API.

Even if somehow i would get quotes for 1esw23000u9 how i can build this symbol from Sept13 expiration? Is there API for this or i have to do it by my own?

Thank you,

Vlad C.

Brian.Mullane1

Hi @vladlen.chernyavskiy,

Looking at today's data...

The Sep 18'19 3010 call's symbol is "EC3W3010I9". (To see this, in the Option Series window, right-click>Edit>Fields, then add the field for "Opra Call Symbol".)

You need to use this symbol to subscribe to market data.

Here, I have an array of DDE links in Excel for Last, Bid, and Ask:

=REDILink|'L1'!'EC3W3010I9;Lp,BP,AP'

Hope this helps...

-Brian

vladlen.chernyavskiy

Thank you Brian. Your example work in Excel, i am trying to subscribe for EC3W3010I9 using C#. Do you have an example how to do it?

You said that options on futures different. My code for subscription work for equities and regular options, but not for EC3W3010I9. I was trying to treat it as option( quoteCache.AddWatch(WatchType.L1OPT, Symbol, null, ref err);) - and get no event fired up. After i decided to try it as equity(quoteCache.AddWatch(WatchType.L1, Symbol, null, ref err);) - and managed to get one Snapshot event right after subscription call, but no updates on changing ask/bid are coming after.

I need to get all the events Snapshot/Add/Update/Delete related to option on futures symbols.

P,S symbol EC3W3010I9 also not working in quote window of standard REDI client, but regular options like "SPY 190920C00300000" are shown there.Any comment on it?

Brian.Mullane1

Hi @vladlen.chernyavskiy,

We've been researching this today and we're able to reproduce the same issue as you. We're checking into this...will come back ASAP.

Thanks,
Brian

Brian.Mullane1

Hi @vladlen.chernyavskiy,

We've researched this a bit and we've identified the issue. We're discussing the best way to resolve it.

In the interim, if it's possible for you to obtain quotes for these options on futures outside of REDI, I would suggest that. (e.g. Eikon API)

-Brian

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