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Quote: Hi DTN Gary Stephen,

Thanks for explaining that your DTN code mirrors the option names as
determined by the CME.

I apologize for assuming that the DTN code had logic that duplicated the CME
naming rules.

Like you, I was unable to find the CME futures options naming rules for
the “week of month” number on any web page or document, CME or otherwise.

As you mention:
Perhaps the CME handles week counting differently for "day-of-the-week" future
options than it does for "end of week" future options.

I believe this is the case. Please see my example from my first post in this topic above,
dated May 6 and repeated here…. (The option names are valid IQfeed names.)

Data from April 2022:


Wednesday expiration, April 2022, Put, strike 4,200.00:

@E1CJ22P420000   (week=1, data through 4/06/2022)
@E2CJ22P420000   (week=2, data through 4/13/2022)
@E3CJ22P420000   (week=3, data through 4/20/2022)
@E4CJ22P420000   (week=4, data through 4/27/2022)

April 2022, end of week options:

@EW1J22P420000   (week=1, data through 3/31/2022)
@EW2J22P420000   (week=2, data through 4/08/2022)
@EW3J22P420000   (week=3, data through 4/14/2022)
@EW4J22P420000   (week=4, data through 4/22/2022)
@EW5J22P420000   (week=5, no data)
@EWJ22P420000    (EOM, data through 4/29/2022)
 (EOM coincides with end of last week for April 2022)

Notice that the 1C,2C,3C,4C (Wednesday expiry) options for the same
“week of month” number expire in the calendar week following the
W1,W2,W3,W4 (Friday) options.

So it must be the case that the "week of month" for A,B,C,D (Mon,Tue,Wed,Thu) options
is not always the same as the "week of month" for the W1,W2,W3,W4 (Friday)
options - and therefore they use different naming rules.

I gave an illustration of this in my last post:


Example:  no A,B,C,D expiration in the first calendar week . . . .

             F   S   S   M   T   W   T   F   S   S   M  (Fri, Sat, etc.)
            W1          1A  1B  1C  1D  W2
 DayOfMonth= 1   2   3   4   5   6   7   8   9  10  11 
             ^--NOT nW=1
                         ^--start of nW=1
                                                     ^--start of nW=2
Note:  in the above case, the “week of month” number for the second
Friday (W2) is different than “week of month” number
for A,B,C,D (1A,1B,1C,1D) in that same calendar week.  
This is why some months only have four (4) A,B,C,D  “week of month” 
numbers, but have five (5) calendar weeks, and possibly five (5) W*
numbers (Fridays).

Thanks for the CME Product Codes link. As far as the CME naming, I believe
they limit the “week of month” for Friday to EW1-EW4 because
the 5th Friday always coincides with the trading end-of-month (EOM) day,
which supersedes (replaces) the EW naming for that Friday. (Either that,
or it could be a holiday.)

Some example months showing a 5th Friday that is the trading EOM are:
2021: April, July, October, December (for January, the 1st Friday is a holiday)
2022: April, July, September, December
(note: The months not listed have 4 Fridays.)

Thanks for your thoughtful replies and information.

I will attempt to reverse engineer and code the rules, and see how they match
to the A,C or A,B,C,D options for the past several months.

Thanks again.

Edited by step999 on May 11, 2022 at 05:03 AM
--- Original message by step999 on May 11, 2022 03:53 AM

C:\Users\Gary.Stephen>netstat -ano | findStr "9300"
TCP 127.0.0.1:9300 0.0.0.0:0 LISTENING 17736
TCP 127.0.0.1:9300 127.0.0.1:59229 ESTABLISHED 17736
TCP 127.0.0.1:59229 127.0.0.1:9300 ESTABLISHED 21048

Image Name PID Session Name Session# Mem Usage

========================= ======== ================ =========== ============
iqconnect.exe 17736 Console 1 17,112 K

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