In reviewing the data output from the historical daily data (HD), I ran into some unexpected values for equity options.

1) The volume seems to be Volume / 10 (i.e. is FLOOR(Volume/10))
2) The open interest is always zero

If I use the tick data queries such as HM, HX, or HT, then the Total Volume field is correct, but I don't get open interest.

My actual query was:

 HD,OEB_OP,10

And the results were:

Symbol: OEB_OP
Days: 10
2006-03-10 11:50:47,3.6,1.6,3.0,1.7,1278,0
2006-03-09 11:50:47,4.1,2.2,2.6,4.1,759,0
2006-03-08 11:50:47,4.9,2.5,4.8,2.8,681,0
2006-03-07 11:50:47,5.2,3.7,4.5,3.7,581,0
2006-03-03 11:50:47,4.00,1.55,3.70,3.20,743,0
2006-03-02 11:50:47,4.00,2.75,3.30,2.90,467,0
2006-03-01 11:50:47,4.0,2.6,3.9,2.8,500,0
2006-02-28 11:50:47,4.8,3.0,3.1,4.6,651,0
2006-02-27 11:50:47,3.00,2.30,3.00,2.85,219,0
2006-02-24 11:50:47,4.3,3.0,4.0,3.2,333,0
 

Data from my own internal database contains the following data and shows the actual volume and open interest along with reproducing the nVolume/10 calculation from the DTN HD,... query:

+------------+-------+-------+------+--------+---------+------------+-------+
| Date       | fOpen | fHigh | fLow | fClose | nVolume | nVolume/10 | nOI   |
+------------+-------+-------+------+--------+---------+------------+-------+
| 2006-03-10 |     3 |   3.6 |  1.6 |    1.7 |   12785 |       1278 | 12534 |
| 2006-03-09 |   2.6 |   4.1 |  2.2 |    4.1 |    7597 |        759 | 13596 |
| 2006-03-08 |   4.8 |   4.9 |  2.5 |    2.8 |    6811 |        681 | 11936 |
| 2006-03-07 |   4.5 |   5.2 |  3.7 |    3.7 |    5817 |        581 | 11976 |
| 2006-03-06 |     3 |   4.7 |  2.5 |      4 |    7030 |        703 | 12389 |
| 2006-03-03 |   3.7 |     4 | 1.55 |    3.2 |    7438 |        743 | 11287 |
| 2006-03-02 |   3.3 |     4 | 2.75 |    2.9 |    4672 |        467 | 11642 |
| 2006-03-01 |   3.9 |     4 |  2.6 |    2.8 |    5009 |        500 | 11265 |
| 2006-02-28 |   3.1 |   4.8 |    3 |    4.6 |    6512 |        651 | 10462 |
| 2006-02-27 |     3 |     3 |  2.3 |   2.85 |    2199 |        219 | 10044 |
| 2006-02-24 |     4 |   4.3 |    3 |    3.2 |    3336 |        333 |  8997 |
+------------+-------+-------+------+--------+---------+------------+-------+
11 rows in set (0.08 sec)

Any help is greatly appreciated.

-Eric

You are correct. For some reason the volume for daily, weekly, and Monthly requests is being divided by 10. It appears that this has always been this way and simply never reported previously.

We are working on a solution.

As for Open Interest. We currently do not send the open interest with history data. It is something we intend to add (which is why the field is already there), however some unforseen circumstances has delayed this. It will be comming in the future.

To clarify:

We are currently sending Open Interest for Futures history requests (they are not included in futures options). These are the only symbols that will recieve OI currently for history.

That's too bad, as the OI is a very important piece of information. At least the value is included for the Level I quotes in the Fundamental data message, so this is only an issue for historical data.
Edited by EspressoE on Mar 13, 2006 at 05:07 PM