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»Forums Index »IQFeed Developer »IQFeed Developer Support »Full options chain command?
Author Topic: Full options chain command? (5 messages, Page 1 of 1)

-Interested User-
Posts: 42
Joined: Feb 23, 2015

Posted: May 4, 2021 05:33 PM          Msg. 1 of 5
A command to get a current snapshot of the full options chain for one expiration date like yahoo shows would be nice:

They give:
Contract Name
Last Trade Date
Last Price
% Change
Open Interest
implied vol <- probably not needed

Currently with IQ Feed I think you have to query the whole chain, then iterate over it, subscribing and unsubscribing to each symbol. Right?

-Interested User-
Posts: 5
Joined: Jan 1, 2022

Posted: Jan 1, 2022 08:50 AM          Msg. 2 of 5
No responses since May. Did you figure out how to do this? I have the same exact question.

-Interested User-
Posts: 42
Joined: Feb 23, 2015

Posted: Jan 1, 2022 09:33 AM          Msg. 3 of 5
No reply.

I believe it's not supported

-DTN Guru-
Posts: 294
Joined: Jun 13, 2005

Right Here & Now

Posted: Jan 1, 2022 03:26 PM          Msg. 4 of 5
Quote: Currently with IQ Feed I think you have to query the whole chain, then iterate over it, subscribing and unsubscribing to each symbol. Right?

That is what I do.
Edited by stargrazer on Jan 1, 2022 at 03:27 PM

-DTN Guru-
Posts: 265
Joined: Jul 3, 2019

Posted: Jan 3, 2022 01:51 PM          Msg. 5 of 5
Quote: Currently with IQ Feed I think you have to query the whole chain, then iterate over it, subscribing and unsubscribing to each symbol. Right?

What you can do is request one of the market summary reports. There are three different reports which will give you two different sets of data, for all symbols of a certain type on a certain exchange. You can't limit it to just one root symbol, but you can get a comprehensive report and then pick out the symbols you want. This is a lot faster and more efficient than the process you described it.

5MS, (symbol type), (exchange ID)
EDS, (symbol type), (exchange ID), (date in YYYYMMDD format)

Symbol,Exchange,Type,Last,TradeSize,TradedMarket,TradeDate,TradeTime, Open,High,Low,Close,Bid,BidMarket,BidSize,Ask,AskMarket,AskSize,Volume, PDayVolume,UpVolume,DownVolume,NeutralVolume,TradeCount,UpTrades, DownTrades,NeutralTrades,VWAP,MutualDiv,SevenDayYield,OpenInterest, Settlement,SettlementDate,ExpirationDate,Strike

5MS Is a 5-minute report, while EDS is an end-of-day report. So pick the one that matches the scope you want. There is also an end of day fundamental data report:

FDS, (symbol type), (exchange ID), (date in YYYYMMDD format)

Symbol,Description,PeRatio,AvgVolume,DivYield,DivAmount,DivRate,PayDate, ExDivDate,CurrentEps,EstEps,SIC,Precision,Display,GrowthPercent,FiscalYearEnd, Volatility,ListedMarket,MaturityDate,OptionRoots,CouponRate,InstitutionalPercent, YearEndClose,Beta,LEAPs,WRAPs,Assets,Liabilities,BalanceSheetDate, LongTermDebt,CommonSharesOutstanding,MarketCap,52WeekHigh, 52WeekHighDate,52WeekLow,52WeekLowDate,CalHigh,CalHighDate,CalLow, CalLowDate,Expiration,LastSplit,LastSplitDate,PrevSplit,PrevSplitDate,NAICS,ShortInterest

I believe all the fields you asked about will be in one of those two reports.

The commands SST and SLM, respectively, will give you a list of all the symbol types and exchange ideas you would want to use. The exchange ID, make sure you use the Group ID, Not the number of the beginning of the line:

1,NGM,Nasdaq Global Market,5,NASDAQ,

For NGM you would use 5, because it's a part of the NASDAQ group of exchanges.

You can also get the symbol type and exchange codes from a specific symbol via the SBF command (note reversed order):

QQQ2216I383,14,2,QQQ SEP 2022 C 383.00,

I hope that helps with your performance. Let me know if this does not answer your question or if you have any other questions on this!

Gary Stephen
DTN IQFeed Implementation Support Specialist


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