||Sep 22, 2005 10:17 PM
||Jun 18, 2008 04:43 PM
||Jun 18, 2008 05:10 PM
FullyArticulate has contributed to 331 posts out of 18849 total posts
(1.76%) in 4,830 days (0.07 posts per day).
20 Most recent posts:
Hmm... Another issue. +HGN8 and +HGZ8 report a settle date of today, despite the settle being for yesterday. If the electronic session closes at 1625, shouldn't the settle date be yesterday?
Ah! I've found the problem.
+HGN8 reports market is open (1 in field 44). +HGZ8 reports market is closed (0 in field 44).
When the market is open, I use the last, when the market is closed, I use the settle. Hence the reason these two don't match.
Presumably they should both be open or closed right now.
Edited by FullyArticulate on Jun 18, 2008 at 04:36 PM
Ah, you're right, sorry about that. Semantics changed between versions of IQFeed. Settle used to be 0 until the settle of the day. With the addition of the settle date field, I can work that out in my code.
Close is shown as 363.10. This can't be right.
According to NYMEX, the "most recent settle" is 372.30, and the last trade is 371.50.
The problem, as you can see from my first post, is that the open interest is radically more than the previous day's open interest + volume.
In other words, say today's OI is 100, and today's volume is 100. The maximum that OI can be tomorrow is 200, right? It could be as little as 0 (if all trades were closing), it could be as much as 200 (if all trades were opening), or it could be anywhere in between.
In the case I mentioned above (and many others), the new OI is dramatically more than the volume + previous OI. Somehow trades are happening which cannot be accounted for in the volume reported by DTN. In some cases, thousands of contracts cannot be accounted for.
This discrepancy makes understanding the flow of money within a stock very difficult. In one particular case, the missing options opening contracts represented, on a notional basis, *several times* the total stock volume of that day. This makes it very difficult to understand that market.
Either OCC/OPRA is giving out radically bad data (which should be identified and corrected for the good of all market participants, including your customers), or DTN is reporting bad data.
The data is essentially saying 1+1=7. That's not good for anyone. :-)
DTN shows HOK8 has an open, high, low, and close of 2.6823, yet IB shows:
Similar discrepencies on RBK8 (ohlc are equal)
I noticed this yesterday when PRGS showed up on one of my option scans.
DTN (as well as IB) had the open interest of the March 30 puts (RGQ OF) as 555.
If you retrieve yesterdays historical ticks, you'll see that 500 options changed hands. Even if you assumed all of those were opening new positions, how is the RGQ OF Open Interest now 1554?
If you look at The OCC's history for yesterday, they do not summarize by strike, only by root code. Even if you take all of the put volume yesterday (960 + 842) / 2 = 901, add in all of the previous OI of 555, you still get an open interest of 1456.
At least 98 contracts were invented somewhere.
In addition, I know there were 370 RGQ Mar 25 puts traded. So, you'd get ((960 + 842) / 2) - 370 = 1011. In this case, an additional 444 contracts were invented.
Any insight into this discrepancy?
Edited by FullyArticulate on Feb 20, 2008 at 02:58 PM
Are the electronic Eurodollar mid-curves available? E0, E2, E5 are, but no @E0. It might be under another symbol, I suppose, but DTN was a little inconsistent in how they named mid-curves. Searching under "mcurve", "mid-curve", and "midcurve", all turn up different products.
If these are not available now, are there any plans to make them so?
Still empty. Any update? This is a very important data source!
http://cgi.interquote.com/stats/ O* (the optionable hotlists) are empty.
Edited by FullyArticulate on Feb 5, 2008 at 12:26 PM
@EDH8, @EDH9 (at the least) has no daily history for 2008-01-17.
Will this be fixed in the server release next weekend? I just had to request AIG 8 times.
So, @CCN7 is *not* the ICE contract?
I'm confused, am I right with these statements:
- CCN7 is NYBOT floor Cocoa. It should not have bids or asks.
- @CCN7 is ICE electronic Cocoa. It should have bids and asks.
If your data source for @CCN7 is ICE, the bids/asks should be available as well?
I'm sorry if I'm a pain in the neck, but it's time for my weekly "any update" check. :-)
Looks like it's fixed now. Thanks!
@NQM7 has a low of -7216.79
Right now, @CCN7 and @CCZ7 show no bids or asks on IQFeed. At the same time, however, IB shows active trading (and a 4 point bid/ask spread).
At the moment, @CCN7 is (according to IB) bid 1924, ask 1928, @CCZ7 iis bid 1966, ask 1971.