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»Forums Index »IQFeed Developer »IQFeed Developer Support »No way to query historical (expired) equity option chain symbols?
Author Topic: No way to query historical (expired) equity option chain symbols? (13 messages, Page 1 of 1)

hooji
-Interested User-
Posts: 2
Joined: Mar 2, 2012


Posted: Mar 2, 2012 11:10 PM          Msg. 1 of 13
I am pulling historic option data for backtesting.

I need to be able to discover the option chain symbols for options that have expired in order to be able to then request the historic data for the chains of interest.

There does not appear to be any way to find out the symbol names (with strike prices) for those (past) option chains... is this correct?

I am currently using TCP/IP, and I can query *current* (non-expired) option chains by using the CEO command. If this command included a way to specify the *year* (such as 2011, or 2010), then I would be able to query symbols for those past years, but it doesn't take a year parameter (i.e., it assumes forward looking, non-expired symbols only are of interest).

If there is no API based way to query this info, would it be possible to get access to a txt file listing all the EXPIRED option symbols that have historical data available?

Since IQFeed *does* support retrieving historic option data it seems only fair that there should be a way to discover which symbols are available :)

Thank You.

DTN_Steve_S
-DTN Guru-
Posts: 2029
Joined: Nov 21, 2005


Posted: Mar 5, 2012 08:23 AM          Msg. 2 of 13
At this time, there is no way of retrieving a list of expired symbols from the feed.

However, you should be able to pretty closely build a list of expired options fairly simply using the OSI symbology.

using the following page to know how the symbols are built, you should be able to build symbols for expired contracts:

http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=options&web=IQFeed&type=stock

hooji
-Interested User-
Posts: 2
Joined: Mar 2, 2012


Posted: Mar 5, 2012 09:24 AM          Msg. 3 of 13
Yes, initially I also thought it wouldn't be hard to build the option chain list myself and then "probe" it with the API.

Unfortunately, building the option chain without knowing the strike prices is proving to be problematic.

Is there any way IQFeed can make available a list of those symbols as a zipped txt file?

Here are some of the problems I've encountered trying to generate this list:

1) Because of the variation in strike price deltas one must "probe" many many symbols that turn out to be invalid to make sure one has tried every possible strike price that might exist. Finding the option chain for a single symbol can involve up to hundreds of separate queries (each requiring a network round trip), most of which turn out to be invalid symbols. This is very slow.

2) There is an anomaly where from time to time IQFeed will return what appears to be valid data for a query on an *invalid* option chain symbol. This causes "false positives" when trying to detect which option symbols exist in a chain. Conversely, on occasion a valid symbol query will return an error suggesting that the symbol doesn't exist, thus causing "false negatives".

Because of these problems it does not appear practical (or possible) to accurately generate a list of expired option chain symbols at the current time.

So... would it be possible for DTN to generate and make available a list of those symbols?

I would actually be willing to pay for the time and effort required for DTN to generate such a list! Please contact me to work out details :)

DTN_Steve_S
-DTN Guru-
Posts: 2029
Joined: Nov 21, 2005


Posted: Mar 5, 2012 10:20 AM          Msg. 4 of 13
Providing a list of expired symbols (not just options) is something we have considered in the past and still comes up as discussion points every now and then. Unfortunately, due to the way that our history servers manage data, generating the list one time isn't as simple as running a database query or generating a directory listing. It will require either encorporating the list generation into an existing server piece or generating a new piece to manage the list of expired symbols and at that point it should be relatively easy to simply keep an updated list available via the feed or the website.

Basically, I'm not saying it can't be done. I'm simply saying that we don't have the necessary pieces in place to do it yet.

NikEy
-Interested User-
Posts: 2
Joined: Jan 12, 2013


Posted: Jan 12, 2013 07:58 PM          Msg. 5 of 13
Is there any update on this? I'd be very interested in a solution to this as well

gdudey
-Interested User-
Posts: 1
Joined: Mar 2, 2013


Posted: Mar 2, 2013 11:33 PM          Msg. 6 of 13
I would be interested in an update as well.

DTN_Steve_S
-DTN Guru-
Posts: 2029
Joined: Nov 21, 2005


Posted: Mar 4, 2013 09:25 AM          Msg. 7 of 13
Unfortunately there hasn't been any progress on this due to other, higher priority, projects.

rkamaly
-Interested User-
Posts: 6
Joined: Aug 10, 2014


Posted: Aug 10, 2014 01:14 PM          Msg. 8 of 13
I would like to express interest in this feature as well. As building option chains from symbology sometimes is not feasible.

freemind
-Interested User-
Posts: 3
Joined: Jun 27, 2017


Posted: Jun 27, 2017 06:11 PM          Msg. 9 of 13
any updates?

Looking for a solution for this as well.

Thanks,
Mathieu

DTN_Tim Walter
-DTN Guru-
Posts: 1090
Joined: Apr 25, 2006


Posted: Jun 27, 2017 09:22 PM          Msg. 10 of 13
It is something that is on our books to add support for, but I do not have an ETA on it yet. We will definitely send out an update to all registered developers when this functionality is added.

Tim

J
-Interested User-
Posts: 21
Joined: Jun 27, 2017


Posted: Jun 29, 2017 01:43 AM          Msg. 11 of 13
Apart from historical, is there any advice for pulling just say, today's options chains that have trades?

To illustrate the problem: when I download the symbology .zip file for today, and exclude weeklies, for SPX alone there are 5405 symbols to query.

I thought I read somewhere that we're not allowed to rotate the symbol subscription list -- did I misunderstand? Or maybe the limits treat SPX as a single symbol so this isn't a problem? I'm just wondering how to subscribe to the SPX active option feed.

DTN_Tim Walter
-DTN Guru-
Posts: 1090
Joined: Apr 25, 2006


Posted: Jun 29, 2017 04:16 PM          Msg. 12 of 13
Hello,

Sorry for the delayed response. Unfortunately, at this time requesting each is the only way to retrieve this data. We understand that this will cause you to have to rotate through a large list and we are working on ways to improve this. But, I do not have an ETA on when that work will be completed.

However, when completed, I believe one request will give you what you are looking for. When we get to a testable point, we will email all of the active developers so you can download the beta and start using it.

I do not expect it to be soon, but it is something that we do know about and we are working to improve it. So for now, go ahead and loop through them and we'll work to get you something better as soon as we can!

Thanks,
Tim

freemind
-Interested User-
Posts: 3
Joined: Jun 27, 2017


Posted: Jul 16, 2017 05:20 PM          Msg. 13 of 13
Hey Tim, thanks for your reply.

Since you dont really offer any support yet, is it possible to download archived version of mktsymbols_v2.zip for every week? This way I will be able to build my chains...

Thanks
 

 

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