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ns3481 avatar image
17 ●5 ●5 ●11

Getting a list of all RIC codes for Equity Index Options

Hello Developers,

Notes: I'm using the python API and have access to Refinitiv Tickhistory.

Getting a list of all option RIC codes (with expiration date and strike price) for S&P 500, current + historical.

Right now, I am using the following:

UnderlyingRIC = '.SPX' for S&P 500

request_header = { 'Prefer':'respond-async;odata.maxpagesize=25000',
                  'Content-Type':'application/json',
                  'Authorization': 'token {}'.format(auth_token)
                 }

request_body = { 'SearchRequest': { '@odata.context': 'http://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#DataScope.Select.Api.Search.FuturesAndOptionsSearchRequest',
                                   'FuturesAndOptionsType': 'Options',
                                   'UnderlyingRic': '.SPX',
                                   'ExpirationDate': {'@odata.type': '#DataScope.Select.Api.Search.DateValueComparison',
                                                      'ComparisonOperator': 'GreaterThanEquals',
                                                      'Value': '1995-01-01'
                                                     }
                                  }
               }


data_request = requests.post('https://selectapi.datascope.refinitiv.com/RestApi/v1/Search/FuturesAndOptionsSearch',
                             json = request_body, headers = request_header)

It gives me the option meta data for all live contracts + historical contracts from October 2017 (which I guess implies a 5 year rule). However, I want this information for all options on S&P 500 since 1996 (which is when we're told TRTH starts) can you please help?

1664396199629.png

I saw previous questions here:

https://community.developers.refinitiv.com/questions/51893/need-details-regarding-options-ric-construction.html including something I had asked earlier https://community.developers.refinitiv.com/questions/95314/getting-information-for-ric-code-of-an-option-via.html, but I am looking for all expired contracts because I do not know the specific contracts available. I understand how option Option RICs are constructed, but my understanding is that there are conflicts since the number of bits reserved for strike price is not well-defined (XXXXX20000) can mean a strike of 200 or 2000 depending on the context. Which is why we need specific RIC codes - Expiration dates - Strike Price mappings.

The code above works fine for futures (in that it gives me a list of all futures RIC on SPX, etc) but for options only returns last 5 years. Lastly, I am mindful of the fact that the data is stored in chunks and I run queries sequentially until the '@odata.nextlink' flag exists and so this is all there exists.

Thank you very much!

Best,

Neel.

python apitrth-rest-api
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wasin.w avatar image   wasin.w

Hello @ns3481

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS

raksina.samasiri avatar image   raksina.samasiri

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

Thanks,
AHS

2 Answers

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @ns3481 ,

Thank you for the clarification. To better understand the results, I have run some verifications via DSS GUI.

First, run the same search, and sorted the results on Expiration Date:

dssgui1.gif

the contents start with 2017.

However, the default result size via GUI is just 2000. So I have further run the following request to verify if any results are available prior to 2017:

dssgui2.gif

Consequently, I believe this content to be available starting from 2017.

However, I suggest to additionally verify this content availability with Refinitiv content experts directly at Refinitiv Helpdesk Online -> Content -> DSS.

Hope that this information is of help


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dssgui2.gif (90.3 KiB)
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ns3481 avatar image ns3481
Thanks Zoya. I'll reach out to the team as you suggest.


Best,

Neel.

Upvotes
zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @ns3481 ,

Please try this request on your side:

{
                {protocol}}{
                {host}}{
                {api}}Search/FuturesAndOptionsSearch
{
    "SearchRequest": {
      "@odata.context": "http://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#DataScope.Select.Api.Search.FuturesAndOptionsSearchRequest",
      "FuturesAndOptionsType": "Options",
      "UnderlyingRic": ".SPX",
      "AssetStatus":"Inactive",
       "ExpirationDate": {"@odata.type": "#DataScope.Select.Api.Search.DateValueComparison",
         "ComparisonOperator": "GreaterThanEquals",
         "Value": "1995-01-01"
        }
     }
}

perhaps this is what you are looking for?


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ns3481 avatar image ns3481

Hello @zoya faberov,


Thank you very much for your quick response. I had tried this earlier. The problem is with the inactive flag, I get only the inactive contracts on S&P 500 (from October 2017-Sept 2022), but not before. I need information on all historical contracts from 1996-.

Thank you very much.

Best,

Neel.

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